public static                            WrappedDistribution[] WrapDistributions(IContinuousDistribution[] distributions, double[] lowerBounds, double[] upperBounds)
        {
            WrappedDistribution[] result = new WrappedDistribution[distributions.Length];

            for (int i = 0; i < distributions.Length; i++)
            {
                result[i] = new WrappedDistribution(distributions[i], lowerBounds[i], upperBounds[i]);
            }

            return(result);
        }
示例#2
0
        public static void TestQuantileTrap()
        {
            Xoshiro256StarStar rand          = new Xoshiro256StarStar(8675309);
            const int          numberOfDists = 10;

            //const double meanOfNormals = 50;
            //const double stdDevOfNormals = 0.002;
            double Shape() => 2 *rand.NextDouble() - 1;
            double Scale() => 0.002 *rand.NextDouble() + 0;
            double Location() => 180 *rand.NextDouble();

            IDistributionWrapper[] dists = new IDistributionWrapper[numberOfDists];
            for (int i = 0; i < dists.Length; i++)
            {
                //dists[i] = new WrappedDistribution(new Normal(rand.NextDouble() * meanOfNormals * 2, 0 + Math.Abs(rand.NextDouble() * stdDevOfNormals)), -100, 200); // Bounds are unused here
                dists[i] = new WrappedDistribution(new GEV(Location(), Scale(), Shape(), rand), -100, 100);
            }
            double[] exact = DiscardProbabilityComputation.ComplementsTrapezoid(dists, 50000);
            Console.WriteLine("Exact:");
            for (int i = 0; i < exact.Length; i++)
            {
                Console.WriteLine($"{i}: {dists[i].GetWrappedDistribution()} 1-P(D_i) = {exact[i]}");
            }
            exact = DiscardProbabilityComputation.ComplementsMonteCarloMaximizing(dists);
            Console.WriteLine("MC:");
            for (int i = 0; i < exact.Length; i++)
            {
                Console.WriteLine($"{i}: {dists[i].GetWrappedDistribution()} 1-P(D_i) = {exact[i]}");
            }
            double[] est;
            int[]    its = new int[] { 10, 20, 30, 40, 50, 75, 100, 200, 500, 1000, 2000, 20000 };
            for (int i = 0; i < its.Length; i++)
            {
                int size = its[i];
                est = DiscardProbabilityComputation.ComplementsQuantileTrapRule(dists, size);
                Console.WriteLine($"Size {size}:");
                for (int j = 0; j < est.Length; j++)
                {
                    Console.WriteLine($"{j}: {dists[j].GetWrappedDistribution()} 1-P(D_i) = {est[j]}");
                }
            }
        }
示例#3
0
        public static void TestGEVComplementComputations()
        {
            double ep           = Math.Pow(2, -50);
            double complementEp = 1.0 - ep;

            int testSize = 20;

            //GEV[] dists = new GEV[] { new GEV(0,200,-1), new GEV(0,100,-1) };

            GEV[]  dists = new GEV[testSize];
            Random rand  = new Xoshiro256StarStar(8675309);

            for (int i = 0; i < dists.Length; i++)
            {
                dists[i] = new GEV(rand.NextDouble(), rand.NextDouble(), -rand.NextDouble(), rand);
            }

            IDistributionWrapper[] wrappedDists = new IDistributionWrapper[dists.Length];
            for (int i = 0; i < dists.Length; i++)
            {
                wrappedDists[i] = new WrappedDistribution(dists[i], dists[i].InverseCumulativeDistribution(ep), dists[i].InverseCumulativeDistribution(complementEp));
            }

            double[] complements     = DiscardProbabilityComputation.ComplementsClenshawCurtisAutomatic(wrappedDists);
            double[] complemetnsTrap = DiscardProbabilityComputation.ComplementsTrapezoid(wrappedDists, 10000);
            double[] mcComplements   = DiscardProbabilityComputation.ComplementsMonteCarlo(wrappedDists, iterations: 10000000);
            double   totalc          = 0;
            double   totalmc         = 0;
            double   totalTrap       = 0;

            for (int i = 0; i < complements.Length; i++)
            {
                GEV dist = dists[i];
                Program.logger.WriteLine($"Distribution Scale: {dist.scale} Loc {dist.location} Shape {dist.shape} " +
                                         $"1-P(D) {complements[i]} MC {mcComplements[i]} Trap {complemetnsTrap[i]}");
                totalc    += complements[i];
                totalmc   += mcComplements[i];
                totalTrap += complemetnsTrap[i];
            }

            Program.logger.WriteLine($"Total probability: {totalc} Total by MC: {totalmc} Total by Trap 10k: {totalTrap}");
        }