I have a data set with N points which I fit a spline to and integrate using scipy.integrate.quad. I would like to use the N associated measurement errors to put an error estimate on the final integral value.
I originally tried to use the uncertainties package but the x+/-stddev objects did not work with scipy.
def integrand(w_point, x, y):
#call spline function to get data arbitrary points
f_i = spline_flux_full(x, y, w_point)
#use spline for normalizing data at arbitrary points
f_i_continuum = coef_continuum(w_point)
#this is the integrand evaluated at w_point
W_i = 1.-(f_i/f_i_continuum)
return(W_i)
Have any ideas?
Synthetic datasets. You have your data points with errors. Now generate 1000 datasets with each point drawn from a normal distribution centered around the measured point and standard deviation given by an errror at this point. Fit each dataset. Integrate. Repeat. Now you have 1000 values of the integral. Compute the mean and std dev of these values.
Related
I am trying trying to graph the polynomial fit of a 2D dataset in Matlab.
This is what I tried:
rawTable = readtable('Test_data.xlsx','Sheet','Sheet1');
x = rawTable.A;
y = rawTable.B;
figure(1)
scatter(x,y)
c = polyfit(x,y,2);
y_fitted = polyval(c,x);
hold on
plot(x,y_fitted,'r','LineWidth',2)
rawTable.A and rawTable.A are randomly generated numbers. (i.e. the x dataset cannot be represented in the following form : x=0:0.1:100)
The result:
second-order polynomial
But the result I expect looks like this (generated in Excel):
enter image description here
How can I graph the second-order polynomial fit in MATLAB?
I sense some confusion regarding what the output of each of those Matlab function mean. So I'll clarify. And I think we need some details as well. So expect some verbosity. A quick answer, however, is available at the end.
c = polyfit(x,y,2) gives the coefficient vectors of the polynomial fit. You can get the fit information such as error estimate following the documentation.
Name this polynomial as P. P in Matlab is actually the function P=#(x)c(1)*x.^2+c(2)*x+c(3).
Suppose you have a single point X, then polyval(c,X) outputs the value of P(X). And if x is a vector, polyval(c,x) is a vector corresponding to [P(x(1)), P(x(2)),...].
Now that does not represent what the fit is. Just as a quick hack to see something visually, you can try plot(sort(x),polyval(c,sort(x)),'r','LineWidth',2), ie. you can first sort your data and try plotting on those x-values.
However, it is only a hack because a) your data set may be so irregularly spaced that the spline doesn't represent function or b) evaluating on the whole of your data set is unnecessary and inefficient.
The robust and 'standard' way to plot a 2D function of known analytical form in Matlab is as follows:
Define some evenly-spaced x-values over the interval you want to plot the function. For example, x=1:0.1:10. For example, x=linspace(0,1,100).
Evaluate the function on these x-values
Put the above two components into plot(). plot() can either plot the function as sampled points, or connect the points with automatic spline, which is the default.
(For step 1, quadrature is ambiguous but specific enough of a term to describe this process if you wish to communicate with a single word.)
So, instead of using the x in your original data set, you should do something like:
t=linspace(min(x),max(x),100);
plot(t,polyval(c,t),'r','LineWidth',2)
I'm running Matlab code for kernel density, i.e., [f,xi] = ksdensity(x), where x is a two column bivariate data. The resulting output f is the density vector, while xi is the meshgrid of evaluation points that is 30x30 in dimension. See the documentation here: Link.
I'm trying to increase number of evaluation points that I receive from this code. There is an option mentioned in the documentation called 'NumPoints' that is only applicable for univariate data. Is there an option or ways that I can increase the meshgrid points of evaluation points of bivariate data to, say, 100x100?
You need to use the optional second input argument pts to specify the range and number of the output points in your grid. See this example in the documentation. Depending on your input data, you could specify something like this:
pts = [linspace(min(x(:,1)),max(x(:,1)),1000).' linspace(min(x(:,2)),max(x(:,2)),1000).'];
The NumPoints is npoints in the ksdensity(). e.g., [f,xi] = ksdensity(x, 'npoints', 1000) will return 1000 points of xi and f.
Consider the following draws for a 2x1 vector in Matlab with a probability distribution that is a mixture of two Gaussian components.
P=10^3; %number draws
v=1;
%First component
mu_a = [0,0.5];
sigma_a = [v,0;0,v];
%Second component
mu_b = [0,8.2];
sigma_b = [v,0;0,v];
%Combine
MU = [mu_a;mu_b];
SIGMA = cat(3,sigma_a,sigma_b);
w = ones(1,2)/2; %equal weight 0.5
obj = gmdistribution(MU,SIGMA,w);
%Draws
RV_temp = random(obj,P);%Px2
% Transform each component of RV_temp into a uniform in [0,1] by estimating the cdf.
RV1=ksdensity(RV_temp(:,1), RV_temp(:,1),'function', 'cdf');
RV2=ksdensity(RV_temp(:,2), RV_temp(:,2),'function', 'cdf');
Now, if we check whether RV1 and RV2 are uniformly distributed on [0,1] by doing
ecdf(RV1)
ecdf(RV2)
we can see that RV1 is uniformly distributed on [0,1] (the empirical cdf is close to the 45 degree line) while RV2 is not.
I don't understand why. It seems that the more distant are mu_a(2)and mu_b(2), the worse the job done by ksdensity with a reasonable number of draws. Why?
When you have a mixture of N(0.5,v) and N(8.2,v) then the range of the generated data is larger than if you had expectation which were closer, like N(0,v) and N(0,v), as you have in the other dimension. Then you ask ksdensity to approximate a function using P points inside this range.
Like in standard linear interpolation, the denser the points the better approximation of the function (inside the range), this is the same case here. Thus in the N(0.5,v) and N(8.2,v) where the points are "sparse" (or sparser, is that a word?) the approximation is worse than in the N(0,v) and N(0,v) where the points are denser.
As a small side note, are there any reason that you do not apply ksdensity directly on the bivariate data? Also I cannot reproduce your comment where you say that 5e2points are also good. Final comment, 1e3 is typically prefered over 10^3.
I think this is simply about the number of samples you're using. For the first example, the means of the two Gaussians are relatively close, hence a thousand samples are enough to obtain a cdf really close the the U[0,1] cdf. On the second vector though, you have a higher difference, and need more samples. With 100000 samples, I obtained the following result:
With 1000 I obtained this:
Which is clearly farther from the Uniform cdf function. Try to increase the number of samples to a million and check if the result is again getting closer.
I've got an arbitrary probability density function discretized as a matrix in Matlab, that means that for every pair x,y the probability is stored in the matrix:
A(x,y) = probability
This is a 100x100 matrix, and I would like to be able to generate random samples of two dimensions (x,y) out of this matrix and also, if possible, to be able to calculate the mean and other moments of the PDF. I want to do this because after resampling, I want to fit the samples to an approximated Gaussian Mixture Model.
I've been looking everywhere but I haven't found anything as specific as this. I hope you may be able to help me.
Thank you.
If you really have a discrete probably density function defined by A (as opposed to a continuous probability density function that is merely described by A), you can "cheat" by turning your 2D problem into a 1D problem.
%define the possible values for the (x,y) pair
row_vals = [1:size(A,1)]'*ones(1,size(A,2)); %all x values
col_vals = ones(size(A,1),1)*[1:size(A,2)]; %all y values
%convert your 2D problem into a 1D problem
A = A(:);
row_vals = row_vals(:);
col_vals = col_vals(:);
%calculate your fake 1D CDF, assumes sum(A(:))==1
CDF = cumsum(A); %remember, first term out of of cumsum is not zero
%because of the operation we're doing below (interp1 followed by ceil)
%we need the CDF to start at zero
CDF = [0; CDF(:)];
%generate random values
N_vals = 1000; %give me 1000 values
rand_vals = rand(N_vals,1); %spans zero to one
%look into CDF to see which index the rand val corresponds to
out_val = interp1(CDF,[0:1/(length(CDF)-1):1],rand_vals); %spans zero to one
ind = ceil(out_val*length(A));
%using the inds, you can lookup each pair of values
xy_values = [row_vals(ind) col_vals(ind)];
I hope that this helps!
Chip
I don't believe matlab has built-in functionality for generating multivariate random variables with arbitrary distribution. As a matter of fact, the same is true for univariate random numbers. But while the latter can be easily generated based on the cumulative distribution function, the CDF does not exist for multivariate distributions, so generating such numbers is much more messy (the main problem is the fact that 2 or more variables have correlation). So this part of your question is far beyond the scope of this site.
Since half an answer is better than no answer, here's how you can compute the mean and higher moments numerically using matlab:
%generate some dummy input
xv=linspace(-50,50,101);
yv=linspace(-30,30,100);
[x y]=meshgrid(xv,yv);
%define a discretized two-hump Gaussian distribution
A=floor(15*exp(-((x-10).^2+y.^2)/100)+15*exp(-((x+25).^2+y.^2)/100));
A=A/sum(A(:)); %normalized to sum to 1
%plot it if you like
%figure;
%surf(x,y,A)
%actual half-answer starts here
%get normalized pdf
weight=trapz(xv,trapz(yv,A));
A=A/weight; %A normalized to 1 according to trapz^2
%mean
mean_x=trapz(xv,trapz(yv,A.*x));
mean_y=trapz(xv,trapz(yv,A.*y));
So, the point is that you can perform a double integral on a rectangular mesh using two consecutive calls to trapz. This allows you to compute the integral of any quantity that has the same shape as your mesh, but a drawback is that vector components have to be computed independently. If you only wish to compute things which can be parametrized with x and y (which are naturally the same size as you mesh), then you can get along without having to do any additional thinking.
You could also define a function for the integration:
function res=trapz2(xv,yv,A,arg)
if ~isscalar(arg) && any(size(arg)~=size(A))
error('Size of A and var must be the same!')
end
res=trapz(xv,trapz(yv,A.*arg));
end
This way you can compute stuff like
weight=trapz2(xv,yv,A,1);
mean_x=trapz2(xv,yv,A,x);
NOTE: the reason I used a 101x100 mesh in the example is that the double call to trapz should be performed in the proper order. If you interchange xv and yv in the calls, you get the wrong answer due to inconsistency with the definition of A, but this will not be evident if A is square. I suggest avoiding symmetric quantities during the development stage.
The figure shown above is the plot of cumulative distribution function (cdf) plot for relative error (attached together the code used to generate the plot). The relative error is defined as abs(measured-predicted)/(measured). May I know the possible error/interpretation as the plot is supposed to be a smooth curve.
X = load('measured.txt');
Xhat = load('predicted.txt');
idx = find(X>0);
x = X(idx);
xhat = Xhat(idx);
relativeError = abs(x-xhat)./(x);
cdfplot(relativeError);
The input data file is a 4x4 matrix with zeros on the diagonal and some unmeasured entries (represent with 0). Appreciate for your kind help. Thanks!
The plot should be a discontinuous one because you are using discrete data. You are not plotting an analytic function which has an explicit (or implicit) function that maps, say, x to y. Instead, all you have is at most 16 points that relates x and y.
The CDF only "grows" when new samples are counted; otherwise its value remains steady, just because there isn't any satisfying sample that could increase the "frequency".
You can check the example in Mathworks' `cdfplot1 documentation to understand the concept of "empirical cdf". Again, only when you observe a sample can you increase the cdf.
If you really want to "get" a smooth curve, either 1) add more points so that the discontinuous line looks smoother, or 2) find any statistical model of whatever you are working on, and plot the analytic function instead.