コード例 #1
0
ファイル: LogisticFunctions.cs プロジェクト: 0xCM/arrows
        /// <summary>
        /// Calculate (kth derivative of LogisticGaussian)*exp(0.5*mean^2/variance)
        /// </summary>
        /// <param name="mean"></param>
        /// <param name="variance"></param>
        /// <param name="k"></param>
        /// <returns></returns>
        public static double LogisticGaussianRatio(double mean, double variance, int k)
        {
            if (k < 0 || k > 2)
            {
                throw new ArgumentException("invalid k (" + k + ")");
            }
            double a = mean / variance;

            // int 0.5 cosh(x(m/v+1/2))/cosh(x/2) N(x;0,v) dx
            double f(double x)
            {
                double logSigma = MMath.LogisticLn(x);
                double extra    = 0;
                double s        = 1;

                if (k > 0)
                {
                    extra += MMath.LogisticLn(-x);
                }
                if (k > 1)
                {
                    s = -Math.Tanh(x / 2);
                }
                return(s * Math.Exp(logSigma + extra + x * a + Gaussian.GetLogProb(x, 0, variance)));
            }

            double upperBound = (Math.Abs(a + 0.5) - 0.5) * variance + Math.Sqrt(variance);

            upperBound = Math.Max(upperBound, 10);
            return(Quadrature.AdaptiveClenshawCurtis(f, upperBound, 32, 1e-10));
        }
コード例 #2
0
        protected override void OnBarUpdate()
        {
            if (CurrentBar < 50)
            {
                return;
            }

            smooth.Set((4 * Median[0] + 3 * Median[1] + 2 * Median[2] + Median[3]) / 10);
            detrender.Set((0.0962 * smooth[0] + 0.5769 * smooth[2] - 0.5769 * smooth[4] - 0.0962 * smooth[6]) * (0.075 * period[1] + .54));

            //InPhase and Quadrature components
            q1.Set((0.0962 * detrender[0] + 0.5769 * detrender[2] - 0.5769 * detrender[4] - 0.0962 * detrender[6]) * (0.075 * period[1] + 0.54));
            i1.Set(detrender[3]);

            //Advance the phase of I1 and Q1 by 90 degrees
            jI.Set((0.0962 * i1[0] + 0.5769 * i1[2] - 0.5769 * i1[4] - 0.0962 * i1[6]) * (0.075 * period[1] + .54));
            jQ.Set((0.0962 * q1[0] + 0.5769 * q1[2] - 0.5769 * q1[4] - 0.0962 * q1[6]) * (0.075 * period[1] + .54));

            //Phasor Addition
            i2.Set(i1[0] - jQ[0]);
            q2.Set(q1[0] + jI[0]);

            //Smooth the I and Q components before applying the discriminator
            i2.Set(0.2 * i2[0] + 0.8 * i2[1]);
            q2.Set(0.2 * q2[0] + 0.8 * q2[1]);

            //Homodyne Discriminator
            re.Set(i2[0] * i2[1] + q2[0] * q2[1]);
            im.Set(i2[0] * q2[1] - q2[0] * i2[1]);
            re.Set(0.2 * re[0] + 0.8 * re[1]);
            im.Set(0.2 * im[0] + 0.8 * im[1]);

            double rad2Deg = 180.0 / (4.0 * Math.Atan(1));

            if (Math.Abs(im[0]) > double.Epsilon && Math.Abs(re[0]) > double.Epsilon)
            {
                period.Set(360 / (Math.Atan(im[0] / re[0]) * rad2Deg));
            }
            if (period[0] > (1.5 * period[1]))
            {
                period.Set(1.5 * period[1]);
            }
            if (period[0] < (0.67 * period[1]))
            {
                period.Set(0.67 * period[1]);
            }
            if (period[0] < 6)
            {
                period.Set(6);
            }
            if (period[0] > 50)
            {
                period.Set(50);
            }

            period.Set(0.2 * period[0] + 0.8 * period[1]);
            smoothPeriod.Set(0.33 * period[0] + 0.67 * smoothPeriod[1]);
            InPhase.Set(i1[0]);
            Quadrature.Set(q1[0]);
        }
コード例 #3
0
ファイル: LogisticFunctions.cs プロジェクト: 0xCM/arrows
        /// <summary>
        /// Calculate <c>\sigma'(m,v)=\int N(x;m,v)logistic'(x) dx</c>
        /// </summary>
        /// <param name="mean">Mean.</param>
        /// <param name="variance">Variance.</param>
        /// <returns>The value of this special function.</returns>
        /// <remarks><para>
        /// For large v we can use the big v approximation <c>\sigma'(m,v)=N(m,0,v+pi^2/3)</c>.
        /// For small and moderate v we use Gauss-Hermite quadrature.
        /// For moderate v we first find the mode of the (log concave) function since this may be quite far from m.
        /// </para></remarks>
        public static double LogisticGaussianDerivative(double mean, double variance)
        {
            double halfVariance = 0.5 * variance;

            mean = Math.Abs(mean);

            // use the upper bound exp(-|m|+v/2) to prune cases that must be zero
            if (-mean + halfVariance < log0)
            {
                return(0.0);
            }

            // use the upper bound 0.5 exp(-0.5 m^2/v) to prune cases that must be zero
            double q = -0.5 * mean * mean / variance - MMath.Ln2;

            if (mean <= variance && q < log0)
            {
                return(0.0);
            }
            if (double.IsPositiveInfinity(variance))
            {
                return(0.0);
            }

            // Handle the tail cases using the following exact formula:
            // sigma'(m,v) = exp(-m+v/2) -2 exp(-2m+2v) +3 exp(-3m+9v/2) sigma(m-3v,v) - exp(-3m+9v/2) sigma'(m-3v,v)
            if (-mean + 1.5 * variance < logEpsilon)
            {
                return(Math.Exp(halfVariance - mean));
            }
            if (-2 * mean + 4 * variance < logEpsilon)
            {
                return(Math.Exp(halfVariance - mean) - 2 * Math.Exp(2 * (variance - mean)));
            }

            if (variance > LogisticGaussianVarianceThreshold)
            {
                double f(double x)
                {
                    return(Math.Exp(MMath.LogisticLn(x) + MMath.LogisticLn(-x) + Gaussian.GetLogProb(x, mean, variance)));
                }

                return(Quadrature.AdaptiveClenshawCurtis(f, 10, 32, 1e-10));
            }
            else
            {
                Vector nodes = Vector.Zero(LogisticGaussianQuadratureNodeCount);
                Vector weights = Vector.Zero(LogisticGaussianQuadratureNodeCount);
                double m_p, v_p;
                BigvProposal(mean, variance, out m_p, out v_p);
                Quadrature.GaussianNodesAndWeights(m_p, v_p, nodes, weights);
                double weightedIntegrand(double z)
                {
                    return(Math.Exp(MMath.LogisticLn(z) + MMath.LogisticLn(-z) + Gaussian.GetLogProb(z, mean, variance) - Gaussian.GetLogProb(z, m_p, v_p)));
                }

                return(Integrate(weightedIntegrand, nodes, weights));
            }
        }
コード例 #4
0
        public void TruncatedGaussianNormaliser()
        {
            double a = 0, b = 2;
            var    g = new TruncatedGaussian(3, 1, a, b);
            double Z = Quadrature.AdaptiveTrapeziumRule(x => System.Math.Exp(g.GetLogProb(x)), 32, a, b, 1e-10, 10000);

            Assert.True((1.0 - Z) < 1e-4);
        }
コード例 #5
0
 public void UniformQuadrature2()
 {
     for (int count = 3; count <= 20; count++)
     {
         Vector nodes   = Vector.Zero(count);
         Vector weights = Vector.Zero(count);
         Quadrature.UniformNodesAndWeights(0, 1, nodes, weights);
         double result = (weights * (nodes ^ 5.0)).Sum();
         Assert.True(MMath.AbsDiff(1.0 / 6, result, 1e-10) < 1e-10);
     }
 }
コード例 #6
0
        public void GammaQuadrature()
        {
            Vector nodes      = Vector.Zero(15);
            Vector logWeights = Vector.Zero(15);

            Quadrature.GammaNodesAndWeights(2, 3, nodes, logWeights);
            Vector weights = Vector.Zero(logWeights.Count);

            weights.SetToFunction(logWeights, System.Math.Exp);
            double result = (weights * nodes * nodes).Sum();

            Assert.True(MMath.AbsDiff(4.0 / 3, result, 1e-4) < 1e-4);
        }
コード例 #7
0
    private static void test02()

    //****************************************************************************80
    //
    //  Purpose:
    //
    //    TEST02 tests the code for the even case N = 4.
    //
    //  Licensing:
    //
    //    This code is distributed under the GNU LGPL license.
    //
    //  Modified:
    //
    //    03 August 2010
    //
    //  Author:
    //
    //    John Burkardt
    //
    {
        int       i;
        const int n = 4;

        Console.WriteLine("");
        Console.WriteLine("TEST02");
        Console.WriteLine("  Request KRONROD to compute the Gauss rule");
        Console.WriteLine("  of order 4, and the Kronrod extension of");
        Console.WriteLine("  order 4+5=9.");

        double eps = 0.000001;

        double[] w1 = new double[n + 1];
        double[] w2 = new double[n + 1];
        double[] x  = new double[n + 1];

        Quadrature.kronrod(n, eps, ref x, ref w1, ref w2);

        Console.WriteLine("");
        Console.WriteLine("  KRONROD returns 3 vectors of length " + n + 1 + "");
        Console.WriteLine("");
        Console.WriteLine("     I      X               WK              WG");
        Console.WriteLine("");
        for (i = 1; i <= n + 1; i++)
        {
            Console.WriteLine("  " + i.ToString(CultureInfo.InvariantCulture).PadLeft(4)
                              + "  " + x[i - 1].ToString(CultureInfo.InvariantCulture).PadLeft(14)
                              + "  " + w1[i - 1].ToString(CultureInfo.InvariantCulture).PadLeft(14)
                              + "  " + w2[i - 1].ToString(CultureInfo.InvariantCulture).PadLeft(14) + "");
        }
    }
コード例 #8
0
ファイル: LogisticFunctions.cs プロジェクト: 0xCM/arrows
        /// <summary>
        /// Evaluates E[log(1+exp(x))] under a Gaussian distribution with specified mean and variance.
        /// </summary>
        /// <param name="mean"></param>
        /// <param name="variance"></param>
        /// <returns></returns>
        public static double Log1PlusExpGaussian(double mean, double variance)
        {
            double[] nodes   = new double[11];
            double[] weights = new double[11];
            Quadrature.GaussianNodesAndWeights(mean, variance, nodes, weights);
            double z = 0;

            for (int i = 0; i < nodes.Length; i++)
            {
                double x = nodes[i];
                double f = MMath.Log1PlusExp(x);
                z += weights[i] * f;
            }
            return(z);
        }
コード例 #9
0
        /// <summary>
        /// Evidence message for EP
        /// </summary>
        /// <param name="exp">Incoming message from 'exp'.</param>
        /// <param name="d">Incoming message from 'd'.</param>
        /// <param name="to_d">Previous outgoing message to 'd'.</param>
        /// <returns>Logarithm of the factor's average value across the given argument distributions</returns>
        /// <remarks><para>
        /// The formula for the result is <c>log(sum_(exp,d) p(exp,d) factor(exp,d))</c>.
        /// </para></remarks>
        public static double LogAverageFactor(Gamma exp, Gaussian d, Gaussian to_d)
        {
            if (d.IsPointMass)
            {
                return(LogAverageFactor(exp, d.Point));
            }
            if (d.IsUniform())
            {
                return(exp.GetLogAverageOf(new Gamma(0, 0)));
            }
            if (exp.IsPointMass)
            {
                return(LogAverageFactor(exp.Point, d));
            }
            if (exp.IsUniform())
            {
                return(0.0);
            }
            double[] nodes = new double[QuadratureNodeCount];
            double[] weights = new double[QuadratureNodeCount];
            double   mD, vD;
            Gaussian dMarginal = d * to_d;

            dMarginal.GetMeanAndVariance(out mD, out vD);
            Quadrature.GaussianNodesAndWeights(mD, vD, nodes, weights);
            if (!to_d.IsUniform())
            {
                // modify the weights to include q(y_k)/N(y_k;m,v)
                for (int i = 0; i < weights.Length; i++)
                {
                    weights[i] *= Math.Exp(d.GetLogProb(nodes[i]) - Gaussian.GetLogProb(nodes[i], mD, vD));
                }
            }
            double Z = 0;

            for (int i = 0; i < weights.Length; i++)
            {
                double y = nodes[i];
                double f = weights[i] * Math.Exp((exp.Shape - 1) * y - exp.Rate * Math.Exp(y));
                Z += f;
            }
            return(Math.Log(Z) - exp.GetLogNormalizer());
        }
コード例 #10
0
 /// <summary>
 /// Initializes a new instance of the ComplexAdaptiveIntegrator class.
 /// </summary>
 /// <param name="quadrature">A complex function representing the quadrature formula of integration.</param>
 public ComplexAdaptiveIntegrator(Quadrature quadrature)
     : this()
 {
     _quadr = quadrature;
 }
コード例 #11
0
        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
            if (this.CurrentBar < 50)
            {
                return;
            }

            Smooth.Set((4 * Median[0] + 3 * Median[1] + 2 * Median[2] + Median[3]) / 10);
            Detrender.Set((0.0962 * Smooth[0] + 0.5769 * Smooth[2] - 0.5769 * Smooth[4] - 0.0962 * Smooth[6]) * (0.075 * Period[1] + .54));


            //InPhase and Quadrature components
            Q1.Set((0.0962 * Detrender[0] + 0.5769 * Detrender[2] - 0.5769 * Detrender[4] - 0.0962 * Detrender[6]) * (0.075 * Period[1] + 0.54));
            I1.Set(Detrender[3]);

            //Advance the phase of I1 and Q1 by 90 degrees
            jI.Set((0.0962 * I1[0] + 0.5769 * I1[2] - 0.5769 * I1[4] - 0.0962 * I1[6]) * (0.075 * Period[1] + .54));
            jQ.Set((0.0962 * Q1[0] + 0.5769 * Q1[2] - 0.5769 * Q1[4] - 0.0962 * Q1[6]) * (0.075 * Period[1] + .54));

            //Phasor Addition
            I2.Set(I1[0] - jQ[0]);
            Q2.Set(Q1[0] + jI[0]);

            //Smooth the I and Q components before applying the discriminator
            I2.Set(0.2 * I2[0] + 0.8 * I2[1]);
            Q2.Set(0.2 * Q2[0] + 0.8 * Q2[1]);

            //Homodyne Discriminator
            Re.Set(I2[0] * I2[1] + Q2[0] * Q2[1]);
            Im.Set(I2[0] * Q2[1] - Q2[0] * I2[1]);
            Re.Set(0.2 * Re[0] + 0.8 * Re[1]);
            Im.Set(0.2 * Im[0] + 0.8 * Im[1]);

            double rad2Deg = 180.0 / (4.0 * Math.Atan(1));

            if (Im[0] != 0 && Re[0] != 0)
            {
                Period.Set(360 / (Math.Atan(Im[0] / Re[0]) * rad2Deg));
            }

            if (Period[0] > (1.5 * Period[1]))
            {
                Period.Set(1.5 * Period[1]);
            }

            if (Period[0] < (0.67 * Period[1]))
            {
                Period.Set(0.67 * Period[1]);
            }

            if (Period[0] < 6)
            {
                Period.Set(6);
            }

            if (Period[0] > 50)
            {
                Period.Set(50);
            }

            Period.Set(0.2 * Period[0] + 0.8 * Period[1]);
            SmoothPeriod.Set(0.33 * Period[0] + 0.67 * SmoothPeriod[1]);


            InPhase.Set(I1[0]);
            Quadrature.Set(Q1[0]);
        }
コード例 #12
0
        /// <summary>
        /// Computes the cumulative bivariate normal distribution.
        /// </summary>
        /// <param name="x">First upper limit.  Must be finite.</param>
        /// <param name="y">Second upper limit.  Must be finite.</param>
        /// <param name="r">Correlation coefficient.</param>
        /// <returns><c>phi(x,y,r)</c></returns>
        /// <remarks>
        /// The double integral is transformed into a single integral which is approximated by quadrature.
        /// Reference:
        /// "Numerical Computation of Rectangular Bivariate and Trivariate Normal and t Probabilities"
        /// Alan Genz, Statistics and Computing, 14 (2004), pp. 151-160
        /// http://www.math.wsu.edu/faculty/genz/genzhome/research.html
        /// </remarks>
        private static double NormalCdf_Quadrature(double x, double y, double r)
        {
            double absr = System.Math.Abs(r);
            Vector nodes, weights;
            int    count = 20;

            if (absr < 0.3)
            {
                count = 6;
            }
            else if (absr < 0.75)
            {
                count = 12;
            }
            nodes   = Vector.Zero(count);
            weights = Vector.Zero(count);
            double result = 0.0;

            if (absr < 0.925)
            {
                // use equation (3)
                double asinr = System.Math.Asin(r);
                Quadrature.UniformNodesAndWeights(0, asinr, nodes, weights);
                double sq = 0.5 * (x * x + y * y), xy = x * y;
                for (int i = 0; i < nodes.Count; i++)
                {
                    double sin  = System.Math.Sin(nodes[i]);
                    double cos2 = 1 - sin * sin;
                    result += weights[i] * System.Math.Exp((xy * sin - sq) / cos2);
                }
                result /= 2 * System.Math.PI;
                result += MMath.NormalCdf(x, y, 0);
            }
            else
            {
                double sy = (r < 0) ? -y : y;
                if (absr < 1)
                {
                    // use equation (6) modified by (7)
                    // quadrature part
                    double cos2asinr = (1 - r) * (1 + r), sqrt1mrr = System.Math.Sqrt(cos2asinr);
                    Quadrature.UniformNodesAndWeights(0, sqrt1mrr, nodes, weights);
                    double sxy = x * sy;
                    double diff2 = (x - sy) * (x - sy);
                    double c = (4 - sxy) / 8, d = (12 - sxy) / 16;
                    for (int i = 0; i < nodes.Count; i++)
                    {
                        double cos2     = nodes[i] * nodes[i];
                        double sin      = System.Math.Sqrt(1 - cos2);
                        double series   = 1 + c * cos2 * (1 + d * cos2);
                        double exponent = -0.5 * (diff2 / cos2 + sxy);
                        double f        = System.Math.Exp(-0.5 * sxy * (1 - sin) / (1 + sin)) / sin;
                        result += weights[i] * System.Math.Exp(exponent) * (f - series);
                    }
                    // Taylor expansion part
                    double exponentr = -0.5 * (diff2 / cos2asinr + sxy);
                    double absdiff   = System.Math.Sqrt(diff2);
                    if (exponentr > -800)
                    {
                        // avoid 0*Inf problems
                        result += sqrt1mrr * System.Math.Exp(exponentr) * (1 - c * (diff2 - cos2asinr) * (1 - d * diff2 / 5) / 3 + c * d * cos2asinr * cos2asinr / 5);
                        // for large absdiff, NormalCdfLn(-absdiff / sqrt1mrr) =approx -0.5*diff2/cos2asinr
                        // so (-0.5*sxy + NormalCdfLn) =approx exponentr
                        result -= System.Math.Exp(-0.5 * sxy + MMath.NormalCdfLn(-absdiff / sqrt1mrr)) * absdiff * (1 - c * diff2 * (1 - d * diff2 / 5) / 3) * MMath.Sqrt2PI;
                    }
                    result /= -2 * System.Math.PI;
                }
                if (r > 0)
                {
                    // exact value for r=1
                    result += MMath.NormalCdf(x, y, 1);
                }
                else
                {
                    // exact value for r=-1
                    result  = -result;
                    result += MMath.NormalCdf(x, y, -1);
                }
            }
            if (result < 0)
            {
                result = 0.0;
            }
            else if (result > 1)
            {
                result = 1.0;
            }
            return(result);
        }
コード例 #13
0
        private static double NormalCdfLn_Quadrature(double x, double y, double r)
        {
            double absr = System.Math.Abs(r);
            Vector nodes, weights;
            int    count = 20;

            if (absr < 0.3)
            {
                count = 6;
            }
            else if (absr < 0.75)
            {
                count = 12;
            }
            nodes   = Vector.Zero(count);
            weights = Vector.Zero(count);
            // hasInfiniteLimit is true if NormalCdf(x,y,-1) is 0
            bool hasInfiniteLimit = false;

            if (r < -0.5)
            {
                if (x > 0)
                {
                    // NormalCdf(y) <= NormalCdf(-x)  iff y <= -x
                    if (y < 0)
                    {
                        hasInfiniteLimit = (y <= -x);
                    }
                }
                else
                {
                    // NormalCdf(x) <= NormalCdf(-y) iff x <= -y
                    if (y > 0)
                    {
                        hasInfiniteLimit = (x <= -y);
                    }
                    else
                    {
                        hasInfiniteLimit = true;
                    }
                }
            }
            if (absr < 0.925 && !hasInfiniteLimit)
            {
                // use equation (3)
                double asinr = System.Math.Asin(r);
                Quadrature.UniformNodesAndWeights(0, asinr, nodes, weights);
                double sq = 0.5 * (x * x + y * y), xy = x * y;
                double logResult     = double.NegativeInfinity;
                bool   useLogWeights = true;
                if (useLogWeights)
                {
                    for (int i = 0; i < nodes.Count; i++)
                    {
                        double sin  = System.Math.Sin(nodes[i]);
                        double cos2 = 1 - sin * sin;
                        logResult = MMath.LogSumExp(logResult, System.Math.Log(System.Math.Abs(weights[i])) + (xy * sin - sq) / cos2);
                    }
                    logResult -= 2 * MMath.LnSqrt2PI;
                }
                else
                {
                    double result = 0.0;
                    for (int i = 0; i < nodes.Count; i++)
                    {
                        double sin  = System.Math.Sin(nodes[i]);
                        double cos2 = 1 - sin * sin;
                        result += weights[i] * System.Math.Exp((xy * sin - sq) / cos2);
                    }
                    result   /= 2 * System.Math.PI;
                    logResult = System.Math.Log(System.Math.Abs(result));
                }
                double r0 = MMath.NormalCdfLn(x, y, 0);
                if (asinr > 0)
                {
                    return(MMath.LogSumExp(r0, logResult));
                }
                else
                {
                    return(MMath.LogDifferenceOfExp(r0, logResult));
                }
            }
            else
            {
                double result = 0.0;
                double sy     = (r < 0) ? -y : y;
                if (absr < 1)
                {
                    // use equation (6) modified by (7)
                    // quadrature part
                    double cos2asinr = (1 - r) * (1 + r), sqrt1mrr = System.Math.Sqrt(cos2asinr);
                    Quadrature.UniformNodesAndWeights(0, sqrt1mrr, nodes, weights);
                    double sxy = x * sy;
                    double diff2 = (x - sy) * (x - sy);
                    double c = (4 - sxy) / 8, d = (12 - sxy) / 16;
                    for (int i = 0; i < nodes.Count; i++)
                    {
                        double cos2     = nodes[i] * nodes[i];
                        double sin      = System.Math.Sqrt(1 - cos2);
                        double series   = 1 + c * cos2 * (1 + d * cos2);
                        double exponent = -0.5 * (diff2 / cos2 + sxy);
                        double f        = System.Math.Exp(-0.5 * sxy * (1 - sin) / (1 + sin)) / sin;
                        result += weights[i] * System.Math.Exp(exponent) * (f - series);
                    }
                    // Taylor expansion part
                    double exponentr = -0.5 * (diff2 / cos2asinr + sxy);
                    double absdiff   = System.Math.Sqrt(diff2);
                    if (exponentr > -800)
                    {
                        double taylor = sqrt1mrr * (1 - c * (diff2 - cos2asinr) * (1 - d * diff2 / 5) / 3 + c * d * cos2asinr * cos2asinr / 5);
                        // avoid 0*Inf problems
                        //result -= Math.Exp(-0.5*sxy + NormalCdfLn(-absdiff/sqrt1mrr))*absdiff*(1 - c*diff2*(1 - d*diff2/5)/3)*Sqrt2PI;
                        taylor -= MMath.NormalCdfRatio(-absdiff / sqrt1mrr) * absdiff * (1 - c * diff2 * (1 - d * diff2 / 5) / 3);
                        result += System.Math.Exp(exponentr) * taylor;
                    }
                    result /= -2 * System.Math.PI;
                }
                if (r > 0)
                {
                    // result += NormalCdf(x, y, 1);
                    double r1 = MMath.NormalCdfLn(x, y, 1);
                    if (result > 0)
                    {
                        result = System.Math.Log(result);
                        return(MMath.LogSumExp(result, r1));
                    }
                    else
                    {
                        return(MMath.LogDifferenceOfExp(r1, System.Math.Log(-result)));
                    }
                }
                else
                {
                    // return NormalCdf(x, y, -1) - result;
                    double r1 = MMath.NormalCdfLn(x, y, -1);
                    if (result > 0)
                    {
                        return(MMath.LogDifferenceOfExp(r1, System.Math.Log(result)));
                    }
                    else
                    {
                        return(MMath.LogSumExp(r1, System.Math.Log(-result)));
                    }
                }
            }
        }
コード例 #14
0
    private static void test03()

    //****************************************************************************80
    //
    //  Purpose:
    //
    //    TEST03 uses the program to estimate an integral.
    //
    //  Licensing:
    //
    //    This code is distributed under the GNU LGPL license.
    //
    //  Modified:
    //
    //    24 April 2012
    //
    //  Author:
    //
    //    John Burkardt
    //
    {
        const double exact = 1.5643964440690497731;

        Console.WriteLine("");
        Console.WriteLine("TEST03");
        Console.WriteLine("  Call Kronrod to estimate the integral of a function.");
        Console.WriteLine("  Keep trying until the error is small.");
        //
        //  EPS just tells KRONROD how carefully it must compute X, W1 and W2.
        //  It is NOT a statement about the accuracy of your integral estimate!
        //
        double eps = 0.000001;
        //
        //  Start the process with a 1 point rule.
        //
        int n = 1;

        for (;;)
        {
            //
            //  Make space.
            //
            double[] w1 = new double[n + 1];
            double[] w2 = new double[n + 1];
            double[] x  = new double[n + 1];

            Quadrature.kronrod(n, eps, ref x, ref w1, ref w2);
            //
            //  Compute the estimates.
            //  There are two complications here:
            //
            //  1) Both rules use all the points.  However, the lower order rule uses
            //     a zero weight for the points it doesn't need.
            //
            //  2) The points X are all positive, and are listed in descending order.
            //     this means that 0 is always in the list, and always occurs as the
            //     last member.  Therefore, the integral estimates should use the
            //     function value at 0 once, and the function values at the other
            //     X values "twice", that is, once at X and once at -X.
            //
            double i1 = w1[n] * f(x[n]);
            double i2 = w2[n] * f(x[n]);

            int i;
            for (i = 0; i < n; i++)
            {
                i1 += w1[i] * (f(-x[i]) + f(x[i]));
                i2 += w2[i] * (f(-x[i]) + f(x[i]));
            }

            if (Math.Abs(i1 - i2) < 0.0001)
            {
                Console.WriteLine("");
                Console.WriteLine("  Error tolerance satisfied with N = " + n + "");
                Console.WriteLine("  Coarse integral estimate = " + i1.ToString("0.########") + "");
                Console.WriteLine("  Fine   integral estimate = " + i2 + "");
                Console.WriteLine("  Error estimate = " + Math.Abs(i2 - i1) + "");
                Console.WriteLine("  Actual error = " + Math.Abs(exact - i2) + "");
                break;
            }

            if (25 < n)
            {
                Console.WriteLine("");
                Console.WriteLine("  Error tolerance failed even for n = " + n + "");
                Console.WriteLine("  Canceling iteration, and accepting bad estimates!");
                Console.WriteLine("  Coarse integral estimate = " + i1 + "");
                Console.WriteLine("  Fine   integral estimate = " + i2 + "");
                Console.WriteLine("  Error estimate = " + Math.Abs(i2 - i1) + "");
                Console.WriteLine("  Actual error = " + Math.Abs(exact - i2) + "");
                break;
            }

            n = 2 * n + 1;
        }
    }
コード例 #15
0
    private static void test01()

    //****************************************************************************80
    //
    //  Purpose:
    //
    //    TEST01 tests the code for the odd case N = 3.
    //
    //  Licensing:
    //
    //    This code is distributed under the GNU LGPL license.
    //
    //  Modified:
    //
    //    03 August 2010
    //
    //  Author:
    //
    //    John Burkardt
    //
    {
        int       i;
        int       i2;
        const int n = 3;
        double    s;

        double[] wg =
        {
            0.555555555555555555556,
            0.888888888888888888889,
            0.555555555555555555556
        };
        double[] wk =
        {
            0.104656226026467265194,
            0.268488089868333440729,
            0.401397414775962222905,
            0.450916538658474142345,
            0.401397414775962222905,
            0.268488089868333440729,
            0.104656226026467265194
        };
        double[] xg =
        {
            -0.77459666924148337704,
            0.0,
            0.77459666924148337704
        };
        double[] xk =
        {
            -0.96049126870802028342,
            -0.77459666924148337704,
            -0.43424374934680255800,
            0.0,
            0.43424374934680255800,
            0.77459666924148337704,
            0.96049126870802028342
        };

        Console.WriteLine("");
        Console.WriteLine("TEST01");
        Console.WriteLine("  Request KRONROD to compute the Gauss rule");
        Console.WriteLine("  of order 3, and the Kronrod extension of");
        Console.WriteLine("  order 3+4=7.");
        Console.WriteLine("");
        Console.WriteLine("  Compare to exact data.");

        double eps = 0.000001;

        double[] w1 = new double[n + 1];
        double[] w2 = new double[n + 1];
        double[] x  = new double[n + 1];

        Quadrature.kronrod(n, eps, ref x, ref w1, ref w2);

        Console.WriteLine("");
        Console.WriteLine("  KRONROD returns 3 vectors of length " + n + 1 + "");
        Console.WriteLine("");
        Console.WriteLine("     I      X               WK              WG");
        Console.WriteLine("");
        for (i = 1; i <= n + 1; i++)
        {
            Console.WriteLine("  " + i.ToString(CultureInfo.InvariantCulture).PadLeft(4)
                              + "  " + x[i - 1].ToString(CultureInfo.InvariantCulture).PadLeft(14)
                              + "  " + w1[i - 1].ToString(CultureInfo.InvariantCulture).PadLeft(14)
                              + "  " + w2[i - 1].ToString(CultureInfo.InvariantCulture).PadLeft(14) + "");
        }

        Console.WriteLine("");
        Console.WriteLine("               Gauss Abscissas");
        Console.WriteLine("            Exact           Computed");
        Console.WriteLine("");
        for (i = 1; i <= n; i++)
        {
            if (2 * i <= n + 1)
            {
                i2 = 2 * i;
                s  = -1.0;
            }
            else
            {
                i2 = 2 * (n + 1) - 2 * i;
                s  = +1.0;
            }

            Console.WriteLine("  " + i.ToString(CultureInfo.InvariantCulture).PadLeft(4)
                              + "  " + xg[i - 1].ToString(CultureInfo.InvariantCulture).PadLeft(14)
                              + "  " + (s * x[i2 - 1]).ToString(CultureInfo.InvariantCulture).PadLeft(14) + "");
        }

        Console.WriteLine("");
        Console.WriteLine("               Gauss Weights");
        Console.WriteLine("            Exact           Computed");
        Console.WriteLine("");
        for (i = 1; i <= n; i++)
        {
            if (2 * i <= n + 1)
            {
                i2 = 2 * i;
            }
            else
            {
                i2 = 2 * (n + 1) - 2 * i;
            }

            Console.WriteLine("  " + i.ToString(CultureInfo.InvariantCulture).PadLeft(4)
                              + "  " + wg[i - 1].ToString(CultureInfo.InvariantCulture).PadLeft(14)
                              + "  " + w2[i2 - 1].ToString(CultureInfo.InvariantCulture).PadLeft(14) + "");
        }

        Console.WriteLine("");
        Console.WriteLine("             Gauss Kronrod Abscissas");
        Console.WriteLine("            Exact           Computed");
        Console.WriteLine("");
        for (i = 1; i <= 2 * n + 1; i++)
        {
            if (i <= n + 1)
            {
                i2 = i;
                s  = -1.0;
            }
            else
            {
                i2 = 2 * (n + 1) - i;
                s  = +1.0;
            }

            Console.WriteLine("  " + i.ToString(CultureInfo.InvariantCulture).PadLeft(4)
                              + "  " + xk[i - 1].ToString(CultureInfo.InvariantCulture).PadLeft(14)
                              + "  " + (s * x[i2 - 1]).ToString(CultureInfo.InvariantCulture).PadLeft(14) + "");
        }

        Console.WriteLine("");
        Console.WriteLine("             Gauss Kronrod Weights");
        Console.WriteLine("            Exact           Computed");
        Console.WriteLine("");
        for (i = 1; i <= 2 * n + 1; i++)
        {
            if (i <= n + 1)
            {
                i2 = i;
            }
            else
            {
                i2 = 2 * (n + 1) - i;
            }

            Console.WriteLine("  " + i.ToString(CultureInfo.InvariantCulture).PadLeft(4)
                              + "  " + wk[i - 1].ToString(CultureInfo.InvariantCulture).PadLeft(14)
                              + "  " + w1[i2 - 1].ToString(CultureInfo.InvariantCulture).PadLeft(14) + "");
        }
    }
コード例 #16
0
        //internal static Gaussian DAverageConditional_slow([SkipIfUniform] Gamma exp, [Proper] Gaussian d)
        //{
        //  Gaussian to_d = exp.Shape<=1 || exp.Rate==0 ?
        //            Gaussian.Uniform()
        //            : new Gaussian(MMath.Digamma(exp.Shape-1) - Math.Log(exp.Rate), MMath.Trigamma(exp.Shape));
        //  //var to_d = Gaussian.Uniform();
        //  for (int i = 0; i < QuadratureIterations; i++) {
        //    to_d = DAverageConditional(exp, d, to_d);
        //  }
        //  return to_d;
        //}
        // to_d does not need to be Fresh. it is only used for quadrature proposal.

        /// <include file='FactorDocs.xml' path='factor_docs/message_op_class[@name="ExpOp"]/message_doc[@name="DAverageConditional(Gamma, Gaussian, Gaussian)"]/*'/>
        public static Gaussian DAverageConditional([SkipIfUniform] Gamma exp, [Proper] Gaussian d, Gaussian result)
        {
            if (exp.IsUniform() || d.IsUniform() || d.IsPointMass || exp.IsPointMass || exp.Rate <= 0)
            {
                return(ExpOp_Slow.DAverageConditional(exp, d));
            }
            // We use moment matching to find the best Gaussian message.
            // The moments are computed via quadrature.
            // Z = int_y f(x,y) q(y) dy =approx sum_k w_k f(x,y_k) q(y_k)/N(y_k;m,v)
            // f(x,y) = Ga(exp(y); shape, rate) = exp(y*(shape-1) -rate*exp(y))
            double[] nodes = new double[QuadratureNodeCount];
            double[] weights = new double[QuadratureNodeCount];
            double   moD, voD;

            d.GetMeanAndVariance(out moD, out voD);
            double mD, vD;

            if (result.IsUniform() && exp.Shape > 1)
            {
                result = new Gaussian(MMath.Digamma(exp.Shape - 1) - Math.Log(exp.Rate), MMath.Trigamma(exp.Shape - 1));
            }
            Gaussian dMarginal = d * result;

            dMarginal.GetMeanAndVariance(out mD, out vD);
            if (vD == 0)
            {
                return(ExpOp_Slow.DAverageConditional(exp, d));
            }
            Quadrature.GaussianNodesAndWeights(mD, vD, nodes, weights);
            if (!result.IsUniform())
            {
                // modify the weights to include q(y_k)/N(y_k;m,v)
                for (int i = 0; i < weights.Length; i++)
                {
                    weights[i] *= Math.Exp(d.GetLogProb(nodes[i]) - Gaussian.GetLogProb(nodes[i], mD, vD));
                }
            }
            double Z       = 0;
            double sumy    = 0;
            double sumy2   = 0;
            double maxLogF = Double.NegativeInfinity;

            for (int i = 0; i < weights.Length; i++)
            {
                double y    = nodes[i];
                double logf = Math.Log(weights[i]) + (exp.Shape - 1) * y - exp.Rate * Math.Exp(y);
                if (logf > maxLogF)
                {
                    maxLogF = logf;
                }
                weights[i] = logf;
            }
            for (int i = 0; i < weights.Length; i++)
            {
                double y   = nodes[i];
                double f   = Math.Exp(weights[i] - maxLogF);
                double f_y = f * y;
                double fyy = f_y * y;
                Z     += f;
                sumy  += f_y;
                sumy2 += fyy;
            }
            if (Z == 0)
            {
                return(Gaussian.Uniform());
            }
            double s    = 1.0 / Z;
            double mean = sumy * s;
            double var  = sumy2 * s - mean * mean;

            // TODO: explain this
            if (var <= 0.0)
            {
                double quadratureGap = 0.1;
                var = 2 * vD * quadratureGap * quadratureGap;
            }
            result = new Gaussian(mean, var);
            result.SetToRatio(result, d, ForceProper);
            if (result.Precision < -1e10)
            {
                throw new InferRuntimeException("result has negative precision");
            }
            if (Double.IsPositiveInfinity(result.Precision))
            {
                throw new InferRuntimeException("result is point mass");
            }
            if (Double.IsNaN(result.Precision) || Double.IsNaN(result.MeanTimesPrecision))
            {
                return(ExpOp_Slow.DAverageConditional(exp, d));
            }
            return(result);
        }
コード例 #17
0
        /// <summary>
        /// EP message to 'd'
        /// </summary>
        /// <param name="exp">Incoming message from 'exp'. Must be a proper distribution.  If uniform, the result will be uniform.</param>
        /// <param name="d">Incoming message from 'd'. Must be a proper distribution.  If uniform, the result will be uniform.</param>
        /// <param name="result">Modified to contain the outgoing message</param>
        /// <returns><paramref name="result"/></returns>
        /// <remarks><para>
        /// The outgoing message is a distribution matching the moments of 'd' as the random arguments are varied.
        /// The formula is <c>proj[p(d) sum_(exp) p(exp) factor(exp,d)]/p(d)</c>.
        /// </para></remarks>
        /// <exception cref="ImproperMessageException"><paramref name="exp"/> is not a proper distribution</exception>
        /// <exception cref="ImproperMessageException"><paramref name="d"/> is not a proper distribution</exception>
        //internal static Gaussian DAverageConditional_slow([SkipIfUniform] Gamma exp, [Proper] Gaussian d)
        //{
        //  Gaussian to_d = exp.Shape<=1 || exp.Rate==0 ?
        //            Gaussian.Uniform()
        //            : new Gaussian(MMath.Digamma(exp.Shape-1) - Math.Log(exp.Rate), MMath.Trigamma(exp.Shape));
        //  //var to_d = Gaussian.Uniform();
        //  for (int i = 0; i < QuadratureIterations; i++) {
        //    to_d = DAverageConditional(exp, d, to_d);
        //  }
        //  return to_d;
        //}
        // to_d does not need to be Fresh. it is only used for quadrature proposal.
        public static Gaussian DAverageConditional([SkipIfUniform] Gamma exp, [Proper] Gaussian d, Gaussian result)
        {
            if (exp.IsUniform() || d.IsPointMass)
            {
                return(Gaussian.Uniform());
            }
            if (exp.IsPointMass)
            {
                return(DAverageConditional(exp.Point));
            }
            if (exp.Rate < 0)
            {
                throw new ImproperMessageException(exp);
            }
            if (d.IsUniform())
            {
                // posterior for d is a shifted log-Gamma distribution:
                // exp((a-1)*d - b*exp(d)) =propto exp(a*(d+log(b)) - exp(d+log(b)))
                // we find the Gaussian with same moments.
                // u = d+log(b)
                // E[u] = digamma(a-1)
                // E[d] = E[u]-log(b) = digamma(a-1)-log(b)
                // var(d) = var(u) = trigamma(a-1)
                double lnRate = Math.Log(exp.Rate);
                return(new Gaussian(MMath.Digamma(exp.Shape - 1) - lnRate, MMath.Trigamma(exp.Shape - 1)));
            }
            // We use moment matching to find the best Gaussian message.
            // The moments are computed via quadrature.
            // Z = int_y f(x,y) q(y) dy =approx sum_k w_k f(x,y_k) q(y_k)/N(y_k;m,v)
            // f(x,y) = Ga(exp(y); shape, rate) = exp(y*(shape-1) -rate*exp(y))
            double[] nodes = new double[QuadratureNodeCount];
            double[] weights = new double[QuadratureNodeCount];
            double   moD, voD;

            d.GetMeanAndVariance(out moD, out voD);
            double mD, vD;

            if (result.IsUniform() && exp.Shape > 1)
            {
                result = new Gaussian(MMath.Digamma(exp.Shape - 1) - Math.Log(exp.Rate), MMath.Trigamma(exp.Shape - 1));
            }
            Gaussian dMarginal = d * result;

            dMarginal.GetMeanAndVariance(out mD, out vD);
            Quadrature.GaussianNodesAndWeights(mD, vD, nodes, weights);
            if (!result.IsUniform())
            {
                // modify the weights to include q(y_k)/N(y_k;m,v)
                for (int i = 0; i < weights.Length; i++)
                {
                    weights[i] *= Math.Exp(d.GetLogProb(nodes[i]) - Gaussian.GetLogProb(nodes[i], mD, vD));
                }
            }
            double Z       = 0;
            double sumy    = 0;
            double sumy2   = 0;
            double maxLogF = Double.NegativeInfinity;

            for (int i = 0; i < weights.Length; i++)
            {
                double y    = nodes[i];
                double logf = Math.Log(weights[i]) + (exp.Shape - 1) * y - exp.Rate * Math.Exp(y);
                if (logf > maxLogF)
                {
                    maxLogF = logf;
                }
                weights[i] = logf;
            }
            for (int i = 0; i < weights.Length; i++)
            {
                double y   = nodes[i];
                double f   = Math.Exp(weights[i] - maxLogF);
                double f_y = f * y;
                double fyy = f_y * y;
                Z     += f;
                sumy  += f_y;
                sumy2 += fyy;
            }
            if (Z == 0)
            {
                return(Gaussian.Uniform());
            }
            double s    = 1.0 / Z;
            double mean = sumy * s;
            double var  = sumy2 * s - mean * mean;

            if (var <= 0.0)
            {
                double quadratureGap = 0.1;
                var = 2 * vD * quadratureGap * quadratureGap;
            }
            result = new Gaussian(mean, var);
            if (ForceProper)
            {
                result.SetToRatioProper(result, d);
            }
            else
            {
                result.SetToRatio(result, d);
            }
            if (result.Precision < -1e10)
            {
                throw new ApplicationException("result has negative precision");
            }
            if (Double.IsPositiveInfinity(result.Precision))
            {
                throw new ApplicationException("result is point mass");
            }
            if (Double.IsNaN(result.Precision) || Double.IsNaN(result.MeanTimesPrecision))
            {
                throw new ApplicationException("result is nan");
            }
            return(result);
        }
コード例 #18
0
        /// <summary>
        /// EP message to 'exp'
        /// </summary>
        /// <param name="exp">Incoming message from 'exp'.</param>
        /// <param name="d">Incoming message from 'd'. Must be a proper distribution.  If uniform, the result will be uniform.</param>
        /// <param name="to_d">Previous outgoing message to 'd'.</param>
        /// <returns>The outgoing EP message to the 'exp' argument</returns>
        /// <remarks><para>
        /// The outgoing message is a distribution matching the moments of 'exp' as the random arguments are varied.
        /// The formula is <c>proj[p(exp) sum_(d) p(d) factor(exp,d)]/p(exp)</c>.
        /// </para></remarks>
        /// <exception cref="ImproperMessageException"><paramref name="d"/> is not a proper distribution</exception>
        public static Gamma ExpAverageConditional(Gamma exp, [Proper] Gaussian d, Gaussian to_d)
        {
            if (d.IsPointMass)
            {
                return(Gamma.PointMass(Math.Exp(d.Point)));
            }
            if (d.IsUniform())
            {
                return(Gamma.FromShapeAndRate(0, 0));
            }
            if (exp.IsPointMass)
            {
                // Z = int_y delta(x - exp(y)) N(y; my, vy) dy
                //   = int_u delta(x - u) N(log(u); my, vy)/u du
                //   = N(log(x); my, vy)/x
                // logZ = -log(x) -0.5/vy*(log(x)-my)^2
                // dlogZ/dx = -1/x -1/vy*(log(x)-my)/x
                // d2logZ/dx2 = -dlogZ/dx/x -1/vy/x^2
                // log Ga(x;a,b) = (a-1)*log(x) - bx
                // dlogGa/dx = (a-1)/x - b
                // d2logGa/dx2 = -(a-1)/x^2
                // match derivatives and solve for (a,b)
                double shape = (1 + d.GetMean() - Math.Log(exp.Point)) * d.Precision;
                double rate  = d.Precision / exp.Point;
                return(Gamma.FromShapeAndRate(shape, rate));
            }
            if (exp.IsUniform())
            {
                return(ExpAverageLogarithm(d));
            }

            if (to_d.IsUniform() && exp.Shape > 1)
            {
                to_d = new Gaussian(MMath.Digamma(exp.Shape - 1) - Math.Log(exp.Rate), MMath.Trigamma(exp.Shape - 1));
            }

            double   mD, vD;
            Gaussian dMarginal = d * to_d;

            dMarginal.GetMeanAndVariance(out mD, out vD);
            double Z       = 0;
            double sumy    = 0;
            double sumexpy = 0;

            if (vD < 1e-6)
            {
                double m, v;
                d.GetMeanAndVariance(out m, out v);
                return(Gamma.FromLogMeanAndMeanLog(m + v / 2.0, m));
            }

            //if (vD < 10)
            if (true)
            {
                // Use Gauss-Hermite quadrature
                double[] nodes   = new double[QuadratureNodeCount];
                double[] weights = new double[QuadratureNodeCount];

                Quadrature.GaussianNodesAndWeights(mD, vD, nodes, weights);
                for (int i = 0; i < weights.Length; i++)
                {
                    weights[i] = Math.Log(weights[i]);
                }
                if (!to_d.IsUniform())
                {
                    // modify the weights to include q(y_k)/N(y_k;m,v)
                    for (int i = 0; i < weights.Length; i++)
                    {
                        weights[i] += d.GetLogProb(nodes[i]) - dMarginal.GetLogProb(nodes[i]);
                    }
                }

                double maxLogF = Double.NegativeInfinity;
                // f(x,y) = Ga(exp(y); shape, rate) = exp(y*(shape-1) -rate*exp(y))
                // Z E[x] = int_y int_x x Ga(x;a,b) delta(x - exp(y)) N(y;my,vy) dx dy
                //        = int_y exp(y) Ga(exp(y);a,b) N(y;my,vy) dy
                // Z E[log(x)] = int_y y Ga(exp(y);a,b) N(y;my,vy) dy
                for (int i = 0; i < weights.Length; i++)
                {
                    double y    = nodes[i];
                    double logf = weights[i] + (exp.Shape - 1) * y - exp.Rate * Math.Exp(y);
                    if (logf > maxLogF)
                    {
                        maxLogF = logf;
                    }
                    weights[i] = logf;
                }
                for (int i = 0; i < weights.Length; i++)
                {
                    double y     = nodes[i];
                    double f     = Math.Exp(weights[i] - maxLogF);
                    double f_y   = f * y;
                    double fexpy = f * Math.Exp(y);
                    Z       += f;
                    sumy    += f_y;
                    sumexpy += fexpy;
                }
            }
            else
            {
                Converter <double, double> p = delegate(double y) {
                    return(d.GetLogProb(y) + (exp.Shape - 1) * y - exp.Rate * Math.Exp(y));
                };
                double sc     = Math.Sqrt(vD);
                double offset = p(mD);
                Z       = Quadrature.AdaptiveClenshawCurtis(z => Math.Exp(p(sc * z + mD) - offset), 1, 16, 1e-6);
                sumy    = Quadrature.AdaptiveClenshawCurtis(z => (sc * z + mD) * Math.Exp(p(sc * z + mD) - offset), 1, 16, 1e-6);
                sumexpy = Quadrature.AdaptiveClenshawCurtis(z => Math.Exp(sc * z + mD + p(sc * z + mD) - offset), 1, 16, 1e-6);
            }
            if (Z == 0)
            {
                throw new ApplicationException("Z==0");
            }
            double s = 1.0 / Z;

            if (Double.IsPositiveInfinity(s))
            {
                throw new ApplicationException("s is -inf");
            }
            double meanLog = sumy * s;
            double mean    = sumexpy * s;
            Gamma  result  = Gamma.FromMeanAndMeanLog(mean, meanLog);

            if (ForceProper)
            {
                result.SetToRatioProper(result, exp);
            }
            else
            {
                result.SetToRatio(result, exp);
            }
            if (Double.IsNaN(result.Shape) || Double.IsNaN(result.Rate))
            {
                throw new ApplicationException("result is nan");
            }
            return(result);
        }
コード例 #19
0
ファイル: LogisticFunctions.cs プロジェクト: 0xCM/arrows
        /// <summary>
        /// Calculate sigma(m,v) = \int N(x;m,v) logistic(x) dx
        /// </summary>
        /// <param name="mean">Mean</param>
        /// <param name="variance">Variance</param>
        /// <returns>The value of this special function.</returns>
        /// <remarks><para>
        /// Note <c>1-LogisticGaussian(m,v) = LogisticGaussian(-m,v)</c> which is more accurate.
        /// </para><para>
        /// For large v we can use the big v approximation <c>\sigma(m,v)=normcdf(m/sqrt(v+pi^2/3))</c>.
        /// For small and moderate v we use Gauss-Hermite quadrature.
        /// For moderate v we first find the mode of the (log concave) function since this may be quite far from m.
        /// </para></remarks>
        public static double LogisticGaussian(double mean, double variance)
        {
            double halfVariance = 0.5 * variance;

            // use the upper bound exp(m+v/2) to prune cases that must be zero or one
            if (mean + halfVariance < log0)
            {
                return(0.0);
            }
            if (-mean + halfVariance < logEpsilon)
            {
                return(1.0);
            }

            // use the upper bound 0.5 exp(-0.5 m^2/v) to prune cases that must be zero or one
            double q = -0.5 * mean * mean / variance - MMath.Ln2;

            if (mean <= 0 && mean + variance >= 0 && q < log0)
            {
                return(0.0);
            }
            if (mean >= 0 && variance - mean >= 0 && q < logEpsilon)
            {
                return(1.0);
            }
            // sigma(|m|,v) <= 0.5 + |m| sigma'(0,v)
            // sigma'(0,v) <= N(0;0,v+8/pi)
            double d0Upper = MMath.InvSqrt2PI / Math.Sqrt(variance + 8 / Math.PI);

            if (mean * mean / (variance + 8 / Math.PI) < 2e-20 * Math.PI)
            {
                double deriv = LogisticGaussianDerivative(mean, variance);
                return(0.5 + mean * deriv);
            }

            // Handle tail cases using the following exact formulas:
            // sigma(m,v) = 1 - exp(-m+v/2) + exp(-2m+2v) - exp(-3m+9v/2) sigma(m-3v,v)
            if (-mean + variance < logEpsilon)
            {
                return(1.0 - Math.Exp(halfVariance - mean));
            }
            if (-3 * mean + 9 * halfVariance < logEpsilon)
            {
                return(1.0 - Math.Exp(halfVariance - mean) + Math.Exp(2 * (variance - mean)));
            }
            // sigma(m,v) = exp(m+v/2) - exp(2m+2v) + exp(3m + 9v/2) (1 - sigma(m+3v,v))
            if (mean + 1.5 * variance < logEpsilon)
            {
                return(Math.Exp(mean + halfVariance));
            }
            if (2 * mean + 4 * variance < logEpsilon)
            {
                return(Math.Exp(mean + halfVariance) * (1 - Math.Exp(mean + 1.5 * variance)));
            }

            if (variance > LogisticGaussianVarianceThreshold)
            {
                double f(double x)
                {
                    return(Math.Exp(MMath.LogisticLn(x) + Gaussian.GetLogProb(x, mean, variance)));
                }

                double upperBound = mean + Math.Sqrt(variance);
                upperBound = Math.Max(upperBound, 10);
                return(Quadrature.AdaptiveClenshawCurtis(f, upperBound, 32, 1e-10));
            }
            else
            {
                Vector nodes = Vector.Zero(LogisticGaussianQuadratureNodeCount);
                Vector weights = Vector.Zero(LogisticGaussianQuadratureNodeCount);
                double m_p, v_p;
                BigvProposal(mean, variance, out m_p, out v_p);
                Quadrature.GaussianNodesAndWeights(m_p, v_p, nodes, weights);
                double weightedIntegrand(double z)
                {
                    return(Math.Exp(MMath.LogisticLn(z) + Gaussian.GetLogProb(z, mean, variance) - Gaussian.GetLogProb(z, m_p, v_p)));
                }

                return(Integrate(weightedIntegrand, nodes, weights));
            }
        }
コード例 #20
0
 static void Main(string[] args)
 {
     var result     = Noise.EmulateNoiseOverNPeriods(300, 9, 64);
     var strResult  = Noise.GetPointsAsString();
     var quadrature = Quadrature.GetQuadratureMatrix(21, 0.01, 0.01);
 }