Foundations I: Parameter

A parameter is one of the main building blocks in Effective Quadratures. Let \(s\) be a parameter defined on a domain \(\mathcal{D} \in \mathbb{R}\). The support of the domain \(\mathcal{D}\) may be:

  • closed \([a,b]\)

  • semi-infinite \((-\infty, b)\) or \([a, \infty)\)

  • infinite \((-\infty, \infty)\)

Further, let us assume that this parameter is characterized by a positive weight function \(\rho(s)\), which may be interpreted as the probability density function (PDF) of \(s\), which readily implies that


We now demonstrate some basic functionality of this parameter. First consider the case where \(\rho(s) = \mathcal{N} (0, 1)\) is a standard Gaussian distribution with a mean of 0.0 and a variance of 1.0. We then plot its PDF and cumulative density function (CDF) and demonstrate how we can generate random samples from this distribution.

In [2]:
import equadratures as eq
s = eq.Parameter(distribution='normal', shape_parameter_A = 0.0, \
                 shape_parameter_B = 1.0, order=3)

Now for some plots; first let us plot the PDF. We can call s.get_pdf() to get a numpy array containing the pdf values, but instead, lets use plot_pdf() here.

In [3]:

and similarly, lets plot the CDF.

In [4]:

Now, lets use the get_samples() functionality to sample from the parameter distribution. These samples can be passed to plot_pdf to create a histogram.

In [5]:
s_samples = s.get_samples(1000)

One can repeat the above for a range of distributions. We provide a few additional definitions below. First, consider the example of a Gaussian distribution \(\mathcal{N}(0,1)\), truncanted between \([-1,2]\).

In [6]:
s = eq.Parameter(distribution='truncated-gaussian', lower=-1.0, upper=2., \
                 shape_parameter_A = 0.0, shape_parameter_B = 1.0, order=3)

followed by that of a custom distribution—based on user supplied data.

In [7]:
# Create some data
import numpy as np
param1 = np.random.rand(500)
param2 = np.random.randn(600)
param3 = np.random.randn(650)*0.5 - 0.2
param4 = np.random.randn(150)*0.1 + 3
data = np.hstack([param1, param2, param3, param4])

# Fit a Weight function to this data
input_dist = eq.Weight(data, support=[0, 4], pdf=False)

# Use the weight function to define a bespoke data-driven Parameter.
# We can also can truncate the data to a tighter support.
s = eq.Parameter(distribution='data', weight_function=input_dist, order=3)

# Plot the cdf
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