Verify Law of Large Numbers in MATLAB - matlab

The problem:
If a large number of fair N-sided dice are rolled, the average of the simulated rolls is likely to be close to the mean of 1,2,...N i.e. the expected value of one die. For example, the expected value of a 6-sided die is 3.5.
Given N, simulate 1e8 N-sided dice rolls by creating a vector of 1e8 uniformly distributed random integers. Return the difference between the mean of this vector and the mean of integers from 1 to N.
My code:
function dice_diff = loln(N)
% the mean of integer from 1 to N
A = 1:N
meanN = sum(A)/N;
% I do not have any idea what I am doing here!
V = randi(1e8);
meanvector = V/1e8;
dice_diff = meanvector - meanN;
end

First of all, make sure everytime you ask a question that it is as clear as possible, to make it easier for other users to read.
If you check how randi works, you can see this:
R = randi(IMAX,N) returns an N-by-N matrix containing pseudorandom
integer values drawn from the discrete uniform distribution on 1:IMAX.
randi(IMAX,M,N) or randi(IMAX,[M,N]) returns an M-by-N matrix.
randi(IMAX,M,N,P,...) or randi(IMAX,[M,N,P,...]) returns an
M-by-N-by-P-by-... array. randi(IMAX) returns a scalar.
randi(IMAX,SIZE(A)) returns an array the same size as A.
So, if you want to use randi in your problem, you have to use it like this:
V=randi(N, 1e8,1);
and you need some more changes:
function dice_diff = loln(N)
%the mean of integer from 1 to N
A = 1:N;
meanN = mean(A);
V = randi(N, 1e8,1);
meanvector = mean(V);
dice_diff = meanvector - meanN;
end
For future problems, try using the command
help randi
And matlab will explain how the function randi (or other function) works.
Make sure to check if the code above gives the desired result

As pointed out, take a closer look at the use of randi(). From the general case
X = randi([LowerInt,UpperInt],NumRows,NumColumns); % UpperInt > LowerInt
you can adapt to dice rolling by
Rolls = randi([1 NumSides],NumRolls,NumSamplePaths);
as an example. Exchanging NumRolls and NumSamplePaths will yield Rolls.', or transpose(Rolls).
According to the Law of Large Numbers, the updated sample average after each roll should converge to the true mean, ExpVal (short for expected value), as the number of rolls (trials) increases. Notice that as NumRolls gets larger, the sample mean converges to the true mean. The image below shows this for two sample paths.
To get the sample mean for each number of dice rolls, I used arrayfun() with
CumulativeAvg1 = arrayfun(#(jj)mean(Rolls(1:jj,1)),[1:NumRolls]);
which is equivalent to using the cumulative sum, cumsum(), to get the same result.
CumulativeAvg1 = (cumsum(Rolls(:,1))./(1:NumRolls).'); % equivalent
% MATLAB R2019a
% Create Dice
NumSides = 6; % positive nonzero integer
NumRolls = 200;
NumSamplePaths = 2;
% Roll Dice
Rolls = randi([1 NumSides],NumRolls,NumSamplePaths);
% Output Statistics
ExpVal = mean(1:NumSides);
CumulativeAvg1 = arrayfun(#(jj)mean(Rolls(1:jj,1)),[1:NumRolls]);
CumulativeAvgError1 = CumulativeAvg1 - ExpVal;
CumulativeAvg2 = arrayfun(#(jj)mean(Rolls(1:jj,2)),[1:NumRolls]);
CumulativeAvgError2 = CumulativeAvg2 - ExpVal;
% Plot
figure
subplot(2,1,1), hold on, box on
plot(1:NumRolls,CumulativeAvg1,'b--','LineWidth',1.5,'DisplayName','Sample Path 1')
plot(1:NumRolls,CumulativeAvg2,'r--','LineWidth',1.5,'DisplayName','Sample Path 2')
yline(ExpVal,'k-')
title('Average')
xlabel('Number of Trials')
ylim([1 NumSides])
subplot(2,1,2), hold on, box on
plot(1:NumRolls,CumulativeAvgError1,'b--','LineWidth',1.5,'DisplayName','Sample Path 1')
plot(1:NumRolls,CumulativeAvgError2,'r--','LineWidth',1.5,'DisplayName','Sample Path 2')
yline(0,'k-')
title('Error')
xlabel('Number of Trials')

Related

Which Bins are occupied in a 3D histogram in MatLab

I got 3D data, from which I need to calculate properties.
To reduce computung I wanted to discretize the space and calculate the properties from the Bin instead of the individual data points and then reasign the propertie caclulated from the bin back to the datapoint.
I further only want to calculate the Bins which have points within them.
Since there is no 3D-binning function in MatLab, what i do is using histcounts over each dimension and then searching for the unique Bins that have been asigned to the data points.
a5pre=compositions(:,1);
a7pre=compositions(:,2);
a8pre=compositions(:,3);
%% BINNING
a5pre_edges=[0,linspace(0.005,0.995,19),1];
a5pre_val=(a5pre_edges(1:end-1) + a5pre_edges(2:end))/2;
a5pre_val(1)=0;
a5pre_val(end)=1;
a7pre_edges=[0,linspace(0.005,0.995,49),1];
a7pre_val=(a7pre_edges(1:end-1) + a7pre_edges(2:end))/2;
a7pre_val(1)=0;
a7pre_val(end)=1;
a8pre_edges=a7pre_edges;
a8pre_val=a7pre_val;
[~,~,bin1]=histcounts(a5pre,a5pre_edges);
[~,~,bin2]=histcounts(a7pre,a7pre_edges);
[~,~,bin3]=histcounts(a8pre,a8pre_edges);
bins=[bin1,bin2,bin3];
[A,~,C]=unique(bins,'rows','stable');
a5pre=a5pre_val(A(:,1));
a7pre=a7pre_val(A(:,2));
a8pre=a8pre_val(A(:,3));
It seems like that the unique function is pretty time consuming, so I was wondering if there is a faster way to do it, knowing that the line only can contain integer or so... or a totaly different.
Best regards
function [comps,C]=compo_binner(x,y,z,e1,e2,e3,v1,v2,v3)
C=NaN(length(x),1);
comps=NaN(length(x),3);
id=1;
for i=1:numel(x)
B_temp(1,1)=v1(sum(x(i)>e1));
B_temp(1,2)=v2(sum(y(i)>e2));
B_temp(1,3)=v3(sum(z(i)>e3));
C_id=sum(ismember(comps,B_temp),2)==3;
if sum(C_id)>0
C(i)=find(C_id);
else
comps(id,:)=B_temp;
id=id+1;
C_id=sum(ismember(comps,B_temp),2)==3;
C(i)=find(C_id>0);
end
end
comps(any(isnan(comps), 2), :) = [];
end
But its way slower than the histcount, unique version. Cant avoid find-function, and thats a function you sure want to avoid in a loop when its about speed...
If I understand correctly you want to compute a 3D histogram. If there's no built-in tool to compute one, it is simple to write one:
function [H, lindices] = histogram3d(data, n)
% histogram3d 3D histogram
% H = histogram3d(data, n) computes a 3D histogram from (x,y,z) values
% in the Nx3 array `data`. `n` is the number of bins between 0 and 1.
% It is assumed all values in `data` are between 0 and 1.
assert(size(data,2) == 3, 'data must be Nx3');
H = zeros(n, n, n);
indices = floor(data * n) + 1;
indices(indices > n) = n;
lindices = sub2ind(size(H), indices(:,1), indices(:,2), indices(:,3));
for ii = 1:size(data,1)
H(lindices(ii)) = H(lindices(ii)) + 1;
end
end
Now, given your compositions array, and binning each dimension into 20 bins, we get:
[H, indices] = histogram3d(compositions, 20);
idx = find(H);
[x,y,z] = ind2sub(size(H), idx);
reduced_compositions = ([x,y,z] - 0.5) / 20;
The bin centers for H are at ((1:20)-0.5)/20.
On my machine this runs in a fraction of a second for 5 million inputs points.
Now, for each composition(ii,:), you have a number indices(ii), which matches with another number idx[jj], corresponding to reduced_compositions(jj,:). One easy way to make the assignment of results is as follows:
H(H > 0) = 1:numel(idx);
indices = H(indices);
Now for each composition(ii,:), your closest match in the reduced set is reduced_compositions(indices(ii),:).

defining the X values for a code

I have this task to create a script that acts similarly to normcdf on matlab.
x=linspace(-5,5,1000); %values for x
p= 1/sqrt(2*pi) * exp((-x.^2)/2); % THE PDF for the standard normal
t=cumtrapz(x,p); % the CDF for the standard normal distribution
plot(x,t); %shows the graph of the CDF
The problem is when the t values are assigned to 1:1000 instead of -5:5 in increments. I want to know how to assign the correct x values, that is -5:5,1000 to the t values output? such as when I do t(n) I get the same result as normcdf(n).
Just to clarify: the problem is I cannot simply say t(-5) and get result =1 as I would in normcdf(1) because the cumtrapz calculated values are assigned to x=1:1000 instead of -5 to 5.
Updated answer
Ok, having read your comment; here is how to do what you want:
x = linspace(-5,5,1000);
p = 1/sqrt(2*pi) * exp((-x.^2)/2);
cdf = cumtrapz(x,p);
q = 3; % Query point
disp(normcdf(q)) % For reference
[~,I] = min(abs(x-q)); % Find closest index
disp(cdf(I)) % Show the value
Sadly, there is no matlab syntax which will do this nicely in one line, but if you abstract finding the closest index into a different function, you can do this:
cdf(findClosest(x,q))
function I = findClosest(x,q)
if q>max(x) || q<min(x)
warning('q outside the range of x');
end
[~,I] = min(abs(x-q));
end
Also; if you are certain that the exact value of the query point q exists in x, you can just do
cdf(x==q);
But beware of floating point errors though. You may think that a certain range outght to contain a certain value, but little did you know it was different by a tiny roundoff erorr. You can see that in action for example here:
x1 = linspace(0,1,1000); % Range
x2 = asin(sin(x1)); % Ought to be the same thing
plot((x1-x2)/eps); grid on; % But they differ by rougly 1 unit of machine precision
Old answer
As far as I can tell, running your code does reproduce the result of normcdf(x) well... If you want to do exactly what normcdf does them use erfc.
close all; clear; clc;
x = linspace(-5,5,1000);
cdf = normcdf(x); % Result of normcdf for comparison
%% 1 Trapezoidal integration of normal pd
p = 1/sqrt(2*pi) * exp((-x.^2)/2);
cdf1 = cumtrapz(x,p);
%% 2 But error function IS the integral of the normal pd
cdf2 = (1+erf(x/sqrt(2)))/2;
%% 3 Or, even better, use the error function complement (works better for large negative x)
cdf3 = erfc(-x/sqrt(2))/2;
fprintf('1: Mean error = %.2d\n',mean(abs(cdf1-cdf)));
fprintf('2: Mean error = %.2d\n',mean(abs(cdf2-cdf)));
fprintf('3: Mean error = %.2d\n',mean(abs(cdf3-cdf)));
plot(x,cdf1,x,cdf2,x,cdf3,x,cdf,'k--');
This gives me
1: Mean error = 7.83e-07
2: Mean error = 1.41e-17
3: Mean error = 00 <- Because that is literally what normcdf is doing
If your goal is not not to use predefined matlab funcitons, but instead to calculate the result numerically (i.e. calculate the error function) then it's an interesting challange which you can read about for example here or in this stats stackexchange post. Just as an example, the following piece of code calculates the error function by implementing eq. 2 form the first link:
nerf = #(x,n) (-1)^n*2/sqrt(pi)*x.^(2*n+1)./factorial(n)/(2*n+1);
figure(1); hold on;
temp = zeros(size(x)); p =[];
for n = 0:20
temp = temp + nerf(x/sqrt(2),n);
if~mod(n,3)
p(end+1) = plot(x,(1+temp)/2);
end
end
ylim([-1,2]);
title('\Sigma_{n=0}^{inf} ( 2/sqrt(pi) ) \times ( (-1)^n x^{2*n+1} ) \div ( n! (2*n+1) )');
p(end+1) = plot(x,cdf,'k--');
legend(p,'n = 0','\Sigma_{n} 0->3','\Sigma_{n} 0->6','\Sigma_{n} 0->9',...
'\Sigma_{n} 0->12','\Sigma_{n} 0->15','\Sigma_{n} 0->18','normcdf(x)',...
'location','southeast');
grid on; box on;
xlabel('x'); ylabel('norm. cdf approximations');
Marcin's answer suggests a way to find the nearest sample point. It is easier, IMO, to interpolate. Given x and t as defined in the question,
interp1(x,t,n)
returns the estimated value of the CDF at x==n, for whatever value of n. But note that, for values outside the computed range, it will extrapolate and produce unreliable values.
You can define an anonymous function that works like normcdf:
my_normcdf = #(n)interp1(x,t,n);
my_normcdf(-5)
Try replacing x with 0.01 when you call cumtrapz. You can either use a vector or a scalar spacing for cumtrapz (https://www.mathworks.com/help/matlab/ref/cumtrapz.html), and this might solve your problem. Also, have you checked the original x-values? Is the problem with linspace (i.e. you are not getting the correct x vector), or with cumtrapz?

Reverse-calculating original data from a known moving average

I'm trying to estimate the (unknown) original datapoints that went into calculating a (known) moving average. However, I do know some of the original datapoints, and I'm not sure how to use that information.
I am using the method given in the answers here: https://stats.stackexchange.com/questions/67907/extract-data-points-from-moving-average, but in MATLAB (my code below). This method works quite well for large numbers of data points (>1000), but less well with fewer data points, as you'd expect.
window = 3;
datapoints = 150;
data = 3*rand(1,datapoints)+50;
moving_averages = [];
for i = window:size(data,2)
moving_averages(i) = mean(data(i+1-window:i));
end
length = size(moving_averages,2)+(window-1);
a = (tril(ones(length,length),window-1) - tril(ones(length,length),-1))/window;
a = a(1:length-(window-1),:);
ai = pinv(a);
daily = mtimes(ai,moving_averages');
x = 1:size(data,2);
figure(1)
hold on
plot(x,data,'Color','b');
plot(x(window:end),moving_averages(window:end),'Linewidth',2,'Color','r');
plot(x,daily(window:end),'Color','g');
hold off
axis([0 size(x,2) min(daily(window:end))-1 max(daily(window:end))+1])
legend('original data','moving average','back-calculated')
Now, say I know a smattering of the original data points. I'm having trouble figuring how might I use that information to more accurately calculate the rest. Thank you for any assistance.
You should be able to calculate the original data exactly if you at any time can exactly determine one window's worth of data, i.e. in this case n-1 samples in a window of length n. (In your case) if you know A,B and (A+B+C)/3, you can solve now and know C. Now when you have (B+C+D)/3 (your moving average) you can exactly solve for D. Rinse and repeat. This logic works going backwards too.
Here is an example with the same idea:
% the actual vector of values
a = cumsum(rand(150,1) - 0.5);
% compute moving average
win = 3; % sliding window length
idx = hankel(1:win, win:numel(a));
m = mean(a(idx));
% coefficient matrix: m(i) = sum(a(i:i+win-1))/win
A = repmat([ones(1,win) zeros(1,numel(a)-win)], numel(a)-win+1, 1);
for i=2:size(A,1)
A(i,:) = circshift(A(i-1,:), [0 1]);
end
A = A / win;
% solve linear system
%x = A \ m(:);
x = pinv(A) * m(:);
% plot and compare
subplot(211), plot(1:numel(a),a, 1:numel(m),m)
legend({'original','moving average'})
title(sprintf('length = %d, window = %d',numel(a),win))
subplot(212), plot(1:numel(a),a, 1:numel(a),x)
legend({'original','reconstructed'})
title(sprintf('error = %f',norm(x(:)-a(:))))
You can see the reconstruction error is very small, even using the data sizes in your example (150 samples with a 3-samples moving average).

How to make a graph from function output in matlab

I'm completely lost at this using MATLAB functions, so here is the case:
lets assume I have SUM=0, and
I have a constant probability P that the user gives me, and I have to compare this constant P, with other M (also user gives M) random probabilities, if P is larger I add 1 to SUM, if P is smaller I add -1 to SUM... and at the end I want print on the screen the graph of the process.
I managed till now to make only one stage with this code:
function [result] = ex1(p)
if (rand>=p) result=1;
else result=-1;
end
(its like M=1)
How do You suggest I can modify this code in order to make it work the way I described it before (including getting a graph) ?
Or maybe I'm getting the logic wrong? the question says I get 1 with probability P, and -1 with probability (1-P), and the SUM is the same
Many thanks
I'm not sure how you achieve your input, but this should get you on the way:
p = 0.5; % Constant probability
m = 10;
randoms = rand(m,1) % Random probabilities
results = ones(m,1);
idx = find(randoms < p)
results(idx) = -1;
plot(cumsum(results))
For m = 1000:
You can do it like this:
p = 0.25; % example data
M = 20; % example data
random = rand(M,1); % generate values
y = cumsum(2*(random>=p)-1); % compute cumulative sum of +1/-1
plot(y) % do the plot
The important function here is cumsum, which does the cumulative sum on the sequence of +1/-1 values generated by 2*(random>=p)-1.
Example graph with p=0.5, M=2000:

Optimization by perturbing variable

My main script contains following code:
%# Grid and model parameters
nModel=50;
nModel_want=1;
nI_grid1=5;
Nth=1;
nRow.Scale1=5;
nCol.Scale1=5;
nRow.Scale2=5^2;
nCol.Scale2=5^2;
theta = 90; % degrees
a_minor = 2; % range along minor direction
a_major = 5; % range along major direction
sill = var(reshape(Deff_matrix_NthModel,nCell.Scale1,1)); % variance of the coarse data matrix of size nRow.Scale1 X nCol.Scale1
%# Covariance computation
% Scale 1
for ihRow = 1:nRow.Scale1
for ihCol = 1:nCol.Scale1
[cov.Scale1(ihRow,ihCol),heff.Scale1(ihRow,ihCol)] = general_CovModel(theta, ihCol, ihRow, a_minor, a_major, sill, 'Exp');
end
end
% Scale 2
for ihRow = 1:nRow.Scale2
for ihCol = 1:nCol.Scale2
[cov.Scale2(ihRow,ihCol),heff.Scale2(ihRow,ihCol)] = general_CovModel(theta, ihCol/(nCol.Scale2/nCol.Scale1), ihRow/(nRow.Scale2/nRow.Scale1), a_minor, a_major, sill/(nRow.Scale2*nCol.Scale2), 'Exp');
end
end
%# Scale-up of fine scale values by averaging
[covAvg.Scale2,var_covAvg.Scale2,varNorm_covAvg.Scale2] = general_AverageProperty(nRow.Scale2/nRow.Scale1,nCol.Scale2/nCol.Scale1,1,nRow.Scale1,nCol.Scale1,1,cov.Scale2,1);
I am using two functions, general_CovModel() and general_AverageProperty(), in my main script which are given as following:
function [cov,h_eff] = general_CovModel(theta, hx, hy, a_minor, a_major, sill, mod_type)
% mod_type should be in strings
angle_rad = theta*(pi/180); % theta in degrees, angle_rad in radians
R_theta = [sin(angle_rad) cos(angle_rad); -cos(angle_rad) sin(angle_rad)];
h = [hx; hy];
lambda = a_minor/a_major;
D_lambda = [lambda 0; 0 1];
h_2prime = D_lambda*R_theta*h;
h_eff = sqrt((h_2prime(1)^2)+(h_2prime(2)^2));
if strcmp(mod_type,'Sph')==1 || strcmp(mod_type,'sph') ==1
if h_eff<=a
cov = sill - sill.*(1.5*(h_eff/a_minor)-0.5*((h_eff/a_minor)^3));
else
cov = sill;
end
elseif strcmp(mod_type,'Exp')==1 || strcmp(mod_type,'exp') ==1
cov = sill-(sill.*(1-exp(-(3*h_eff)/a_minor)));
elseif strcmp(mod_type,'Gauss')==1 || strcmp(mod_type,'gauss') ==1
cov = sill-(sill.*(1-exp(-((3*h_eff)^2/(a_minor^2)))));
end
and
function [PropertyAvg,variance_PropertyAvg,NormVariance_PropertyAvg]=...
general_AverageProperty(blocksize_row,blocksize_col,blocksize_t,...
nUpscaledRow,nUpscaledCol,nUpscaledT,PropertyArray,omega)
% This function computes average of a property and variance of that averaged
% property using power averaging
PropertyAvg=zeros(nUpscaledRow,nUpscaledCol,nUpscaledT);
%# Average of property
for k=1:nUpscaledT,
for j=1:nUpscaledCol,
for i=1:nUpscaledRow,
sum=0;
for a=1:blocksize_row,
for b=1:blocksize_col,
for c=1:blocksize_t,
sum=sum+(PropertyArray((i-1)*blocksize_row+a,(j-1)*blocksize_col+b,(k-1)*blocksize_t+c).^omega); % add all the property values in 'blocksize_x','blocksize_y','blocksize_t' to one variable
end
end
end
PropertyAvg(i,j,k)=(sum/(blocksize_row*blocksize_col*blocksize_t)).^(1/omega); % take average of the summed property
end
end
end
%# Variance of averageed property
variance_PropertyAvg=var(reshape(PropertyAvg,...
nUpscaledRow*nUpscaledCol*nUpscaledT,1),1,1);
%# Normalized variance of averageed property
NormVariance_PropertyAvg=variance_PropertyAvg./(var(reshape(...
PropertyArray,numel(PropertyArray),1),1,1));
Question: Using Matlab, I would like to optimize covAvg.Scale2 such that it matches closely with cov.Scale1 by perturbing/varying any (or all) of the following variables
1) a_minor
2) a_major
3) theta
I am aware I can use fminsearch, however, how I am not able to perturb the variables I want to while using this fminsearch.
I won't pretend to understand everything that you are doing. But it sounds like a typical minimization problem. What you want to do is to come up with a single function that takes a_minor, a_major and theta as arguments, and returns the square of the difference between covAvg.Scale2 and cov.Scale1. Something like this:
function diff = minimize_me(a_minor, a_major, theta)
... your script goes here
diff = (covAvg.Scale2 - cov.Scale1)^2;
end
Then you need matlab to minimize this function. There's more than one option here. Since you only have three variables to minimize over, fminsearch is a good place to start. You would call it something like this:
opts = optimset('display', 'iter');
x = fminsearch( #(x) minimize_me(x(1), x(2), x(3)), [a_minor_start a_major_start theta_start], opts)
The first argument to fminsearch is the function you want to optimize. It must take a single argument: a vector of the variables that will be perturbed in order to find the minimum value. Here I use an anonymous function to extract the values from this vector and pass them into minimize_me. The second argument to fminsearch is a vector containing the values to start searching at. The third argument are options that affect the search; it's a good idea to set display to iter when you first start optimizing, so that you can get an idea of well the optimizer is converging.
If your parameters have restricted domains (e.g. they must all be positive) take a look at fminsearchbnd on the file exchange.
If I have misunderstood your problem, and this doesn't help at all, try posting code that we can run to reproduce the problem ourselves.