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);
}
}
private void CheckProbLessThan(CanGetProbLessThan canGetProbLessThan, List <double> x, double maximumError)
{
x.Sort();
var sortedData = new OuterQuantiles(x.ToArray());
// check that quantiles match within the desired accuracy
var min = MMath.Min(x);
var max = MMath.Max(x);
var range = max - min;
var margin = range * 0.01;
var testPoints = EpTests.linspace(min - margin, max + margin, 100);
double maxError = 0;
foreach (var testPoint in testPoints)
{
var trueRank = sortedData.GetProbLessThan(testPoint);
var estRank = canGetProbLessThan.GetProbLessThan(testPoint);
var error = System.Math.Abs(trueRank - estRank);
maxError = System.Math.Max(maxError, error);
}
Console.WriteLine($"max rank error = {maxError}");
Assert.True(maxError <= maximumError);
}
public static double ProbLessThan <T>(CanGetProbLessThan <T> canGetProbLessThan, T upperBound)
{
return(canGetProbLessThan.GetProbLessThan(upperBound));
}
/// <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)));
}