Struct GaussianMeasure

Source

pub struct GaussianMeasure { /* private fields */ }

Expand description

Gaussian probability measure (N(\mu, \sigma^2)).

Implementations§

Source §

impl GaussianMeasure

Source

pub fn new(mean: f64, variance: f64) -> Result<Self, MeasureError>

Construct a Gaussian probability measure.

§Errors

Returns MeasureError when the mean is non-finite or the variance is non-finite or not strictly positive.

Examples found in repository ?

examples/bayesian_quadrature.rs (line 11)

7fn main() -> Result<(), Box<dyn std::error::Error>> {
8    // Prior over the integrand: zero-mean Gaussian process with an RBF kernel.
9    let kernel = RbfKernel::new(1.0, 1.0)?; // signal variance, length scale
10    // Integration measure p(x) = N(0, 1).
11    let measure = GaussianMeasure::new(0.0, 1.0)?;
12    // Jitter is an explicit, fixed diagonal regularizer. It is never escalated silently.
13    let quadrature = BayesianQuadrature::new(kernel, measure, 1.0e-10);
14
15    // Observe f(x) = cos(x) at seven nodes. Exactly, E[cos X] = exp(-1/2) for X ~ N(0, 1).
16    let nodes = [-3.0, -2.0, -1.0, 0.0, 1.0, 2.0, 3.0];
17    let values: Vec<f64> = nodes.iter().copied().map(f64::cos).collect();
18    let exact = (-0.5_f64).exp();
19
20    let posterior = quadrature.posterior(&nodes, &values)?;
21    let standardized_error = (posterior.mean() - exact).abs() / posterior.standard_deviation();
22
23    println!("E[I | y]           = {:.6}", posterior.mean());
24    println!(
25        "sd[I | y]          = {:.3e}",
26        posterior.standard_deviation()
27    );
28    println!("exact integral     = {exact:.6}");
29    println!("standardized error = {standardized_error:.3}");
30
31    // The posterior is honest about its own error here: the exact value lies well
32    // inside the reported uncertainty.
33    assert!((posterior.mean() - exact).abs() < 3.0 * posterior.standard_deviation());
34    Ok(())
35}

More examples

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examples/active_quadrature.rs (line 17)

15fn main() -> Result<(), Box<dyn std::error::Error>> {
16    let kernel = RbfKernel::new(1.0, 1.0)?;
17    let measure = GaussianMeasure::new(0.0, 1.0)?;
18    let quadrature = BayesianQuadrature::new(kernel, measure, 1.0e-10);
19    let active = ActiveBayesianQuadrature::new(quadrature);
20
21    // Start from three evaluations; allow up to six more from a fixed candidate grid,
22    // stopping early once the posterior variance of the integral drops below 1e-6.
23    let initial_nodes = [-1.0, 0.0, 1.0];
24    let initial_values: Vec<f64> = initial_nodes.iter().copied().map(integrand).collect();
25    let candidates: Vec<f64> = (0..=23).map(|i| -2.875 + 0.25 * f64::from(i)).collect();
26
27    let initial = quadrature.posterior(&initial_nodes, &initial_values)?;
28    println!("initial posterior variance = {:.3e}", initial.variance());
29
30    let result = active.run(
31        &initial_nodes,
32        &initial_values,
33        &candidates,
34        6,
35        1.0e-6,
36        integrand,
37    )?;
38
39    for step in result.steps() {
40        println!(
41            "x = {:+.3}  predicted reduction = {:.3e}  posterior variance = {:.3e}",
42            step.point(),
43            step.predicted_variance_reduction(),
44            step.posterior_variance(),
45        );
46    }
47
48    let exact = (1.0_f64 / 3.0).sqrt() * (-0.25_f64 / 3.0).exp();
49    let posterior = result.posterior();
50    println!("stopped because: {:?}", result.termination());
51    println!(
52        "E[I | y] = {:.6} ± {:.3e}   (exact {exact:.6})",
53        posterior.mean(),
54        posterior.standard_deviation(),
55    );
56    Ok(())
57}