public OuterQuantiles(int quantileCount, CanGetQuantile canGetQuantile) : this(quantileCount)
{
for (int i = 0; i < quantileCount; i++)
{
this.quantiles[i] = canGetQuantile.GetQuantile(i / (quantileCount - 1.0));
}
}
public InnerQuantiles(int quantileCount, CanGetQuantile canGetQuantile) : this(quantileCount)
{
for (int i = 0; i < quantileCount; i++)
{
this.quantiles[i] = canGetQuantile.GetQuantile((i + 1.0) / (quantileCount + 1.0));
}
}
public OuterQuantiles(int quantileCount, CanGetQuantile canGetQuantile)
{
this.quantiles = new double[quantileCount];
for (int i = 0; i < quantileCount; i++)
{
this.quantiles[i] = canGetQuantile.GetQuantile(i / (quantileCount - 1.0));
}
}
public static InnerQuantiles FromDistribution(int quantileCount, CanGetQuantile canGetQuantile)
{
if (quantileCount == 0)
{
throw new ArgumentOutOfRangeException(nameof(quantileCount), quantileCount, "quantileCount == 0");
}
var quantiles = Util.ArrayInit(quantileCount, i => canGetQuantile.GetQuantile((i + 1.0) / (quantileCount + 1.0)));
return(new InnerQuantiles(quantiles));
}
/// <include file='FactorDocs.xml' path='factor_docs/message_op_class[@name="RatioGaussianOp"]/message_doc[@name="ProbabilityAverageConditional(Gaussian, CanGetQuantile{double}, double)"]/*'/>
public static Gaussian ProbabilityAverageConditional(Gaussian quantile, CanGetQuantile <double> canGetQuantile, double probability)
{
// The quantile function is the inverse function of the cdf.
// The derivative of the quantile function is the reciprocal of the pdf.
double x = canGetQuantile.GetQuantile(probability);
CanGetLogProb <double> canGetLogProb = (CanGetLogProb <double>)canGetQuantile;
double dlogp = quantile.MeanTimesPrecision / Math.Exp(canGetLogProb.GetLogProb(x));
double ddlogp = 0; // approximation ignoring quantile.Precision
return(Gaussian.FromDerivatives(probability, dlogp, ddlogp, false));
}
/// <include file='FactorDocs.xml' path='factor_docs/message_op_class[@name="RatioGaussianOp"]/message_doc[@name="QuantileAverageConditional(CanGetQuantile{double}, Gaussian)"]/*'/>
public static Gaussian QuantileAverageConditional(CanGetQuantile <double> canGetQuantile, Gaussian probability)
{
if (probability.IsPointMass)
{
return(Gaussian.PointMass(canGetQuantile.GetQuantile(probability.Point)));
}
else
{
throw new NotSupportedException();
}
}
internal void CheckGetQuantile(CanGetQuantile canGetQuantile, CanGetProbLessThan canGetProbLessThan, int minPercent = 0, int maxPercent = 100)
{
for (int i = minPercent; i < maxPercent; i++)
{
// probability = 1.0 is excluded
double probability = i / 100.0;
double x = canGetQuantile.GetQuantile(probability);
double probLessThanX = canGetProbLessThan.GetProbLessThan(x);
Assert.True(probLessThanX <= probability);
double next = MMath.NextDouble(x);
double probLessThanNext = canGetProbLessThan.GetProbLessThan(next);
Assert.True(probLessThanNext > probability);
}
}
public InnerQuantiles(int quantileCount, CanGetQuantile canGetQuantile)
{
if (quantileCount == 0)
{
throw new ArgumentException("quantileCount == 0", nameof(quantiles));
}
this.quantiles = new double[quantileCount];
for (int i = 0; i < quantileCount; i++)
{
this.quantiles[i] = canGetQuantile.GetQuantile((i + 1.0) / (quantileCount + 1.0));
}
lowerGaussian = GetLowerGaussian(quantiles);
upperGaussian = GetUpperGaussian(quantiles);
}
/// <include file='FactorDocs.xml' path='factor_docs/message_op_class[@name="RatioGaussianOp"]/message_doc[@name="ProbabilityAverageConditional(Gaussian, CanGetQuantile{double}, Gaussian)"]/*'/>
public static Gaussian ProbabilityAverageConditional(Gaussian quantile, CanGetQuantile <double> canGetQuantile, [RequiredArgument] Gaussian probability)
{
if (quantile.IsPointMass)
{
return(ProbabilityAverageConditional(quantile.Point, canGetQuantile));
}
else if (probability.IsPointMass)
{
return(ProbabilityAverageConditional(quantile, canGetQuantile, probability.Point));
}
else
{
throw new NotSupportedException();
}
}
public static OuterQuantiles FromDistribution(int quantileCount, CanGetQuantile canGetQuantile)
{
var quantiles = Util.ArrayInit(quantileCount, i => canGetQuantile.GetQuantile(i / (quantileCount - 1.0)));
return(new OuterQuantiles(quantiles));
}
public static double Quantile(CanGetQuantile <double> canGetQuantile, double probability)
{
return(canGetQuantile.GetQuantile(probability));
}
/// <include file='FactorDocs.xml' path='factor_docs/message_op_class[@name="RatioGaussianOp"]/message_doc[@name="ProbabilityAverageConditional(Gaussian, CanGetQuantile{double}, Gaussian)"]/*'/>
public static Gaussian ProbabilityAverageConditional(double quantile, CanGetQuantile <double> canGetQuantile)
{
CanGetProbLessThan <double> canGetProbLessThan = (CanGetProbLessThan <double>)canGetQuantile;
return(Gaussian.PointMass(canGetProbLessThan.GetProbLessThan(quantile)));
}
