Coder Social home page Coder Social logo

expectations.jl's Introduction

Travis status codecov

Expectations

Installation (v1.0 and up):

pkg> add Expectations

This is a package designed to simplify the process of taking expectations of functions of random variables.

Random Variables

The underlying distributions are objects from Distributions.jl (currently <:UnivariateDistribution).

Quadrature Algorithms

We support different types of Gaussian quadrature (Gauss-Hermite, Gauss-Legendre, Gauss-Laguerre, etc.) based on the distribution, as well as some methods with user-defined nodes (e.g., trapezoidal integration).

Expectation Operator

The key object is the expectation function, which returns an operator:

dist = Normal()
E = expectation(dist)
E(x -> x)

For convenience, the operator can be applied directly to a function instead of being cached,

expectation(x->x^2, dist)

As a linear operator on vectors using the nodes of the distribution

dist = Normal()
E = expectation(dist)
x = nodes(E)
f(x) = x^2
E * f.(x) == dot(f.(x), weights(E))

expectations.jl's People

Contributors

jlperla avatar

Recommend Projects

  • React photo React

    A declarative, efficient, and flexible JavaScript library for building user interfaces.

  • Vue.js photo Vue.js

    ๐Ÿ–– Vue.js is a progressive, incrementally-adoptable JavaScript framework for building UI on the web.

  • Typescript photo Typescript

    TypeScript is a superset of JavaScript that compiles to clean JavaScript output.

  • TensorFlow photo TensorFlow

    An Open Source Machine Learning Framework for Everyone

  • Django photo Django

    The Web framework for perfectionists with deadlines.

  • D3 photo D3

    Bring data to life with SVG, Canvas and HTML. ๐Ÿ“Š๐Ÿ“ˆ๐ŸŽ‰

Recommend Topics

  • javascript

    JavaScript (JS) is a lightweight interpreted programming language with first-class functions.

  • web

    Some thing interesting about web. New door for the world.

  • server

    A server is a program made to process requests and deliver data to clients.

  • Machine learning

    Machine learning is a way of modeling and interpreting data that allows a piece of software to respond intelligently.

  • Game

    Some thing interesting about game, make everyone happy.

Recommend Org

  • Facebook photo Facebook

    We are working to build community through open source technology. NB: members must have two-factor auth.

  • Microsoft photo Microsoft

    Open source projects and samples from Microsoft.

  • Google photo Google

    Google โค๏ธ Open Source for everyone.

  • D3 photo D3

    Data-Driven Documents codes.