I am trying to use linspace in Matlab for small numbers, e.g. from 0.00003 to 0.1.
However, if I do this, the first number/bin is not 0.00003, but 0, which does not give me an equal distribution:
linspace(0.00003,0.1,10)
ans =
0.0000 0.0111 0.0222 0.0334 0.0445 0.0556 0.0667 0.0778 0.0889 0.1000
I realized that if I start with 0.0003 or larger then it works, but how can I make it work for smaller numbers?
This is purely due to the way that the MATLAB command window is displaying your data.
The default way that numbers are displayed is the short format which the documentation states is:
Short, fixed-decimal format with 4 digits after the decimal point
Your first data point doesn't have a non-zero digit until the 5th digit after the decimal point so it simply shows up as 0.0000.
Try changing the display format to something that will show more significant digits. You can do this using format.
format long g
Also, in the future, if you actually want to check that something is behaving as you expect, do an explicit check by value not just by trusting what shows up in the command window.
limit = 0.000003
data = linsapce(limit, 0.1, 10);
% Check that the first datapoint is "equal" to what you expect
assert(abs(data(1) - limit) < eps)
I have two double arrays that are of equal size but one always has the following format:
A1 = 0.0756 0.0368 0.0124 0.0024 0.0002 0.0000 0.0000
while the other one is:
A2 = 0.0797 0.0368 0.0120 0.0024 0.0004 0 0
I want to enforce the last two elements to be of the same accuracy, that is be 0.0000 instead of 0. Trying the naïve approach of A2(7) = 0.0000 does not work, although A2(7) = A1(7) does the trick.
How can I archive this a bit more cleverly?
Careful! I think you will find the A1(7) == 0 returns false.
What exactly do you mean by the same accuracy? Internally matlab uses the same precision for every element of both of your arrays (they're all doubles). It is just displaying them differently.
Try the following commands:
A1(7);
format long g
A1(7);
and I think you'll find that in fact A1(7) isn't 0 and furthermore is also accurate to far more than the 4 decimal points you are seeing.
So the question is, do you actually want to round off to 4 decimal places? Or do you just want to display up to 4 decimal places? I image you want the latter, so have a look at sprintf
The numbers actually already have the desired precision. If you want you can print them with any amount of digits you like (Though typically only about the first fourteen will be significant).
For this you can use the various print commands, however if you want to change the default way numbers are displayed, your simple options are quite limited.
Check help format for the things you can choose from.
If you always want to show a minmum number of decimals, I believe your only choice is:
format shorteng
Having read carefully the previous question
Random numbers that add to 100: Matlab
I am struggling to solve a similar but slightly more complex problem.
I would like to create an array of n elements that sums to 1, however I want an added constraint that the minimum increment (or if you like number of significant figures) for each element is fixed.
For example if I want 10 numbers that sum to 1 without any constraint the following works perfectly:
num_stocks=10;
num_simulations=100000;
temp = [zeros(num_simulations,1),sort(rand(num_simulations,num_stocks-1),2),ones(num_simulations,1)];
weights = diff(temp,[],2);
I foolishly thought that by scaling this I could add the constraint as follows
num_stocks=10;
min_increment=0.001;
num_simulations=100000;
scaling=1/min_increment;
temp2 = [zeros(num_simulations,1),sort(round(rand(num_simulations,num_stocks-1)*scaling)/scaling,2),ones(num_simulations,1)];
weights2 = diff(temp2,[],2);
However though this works for small values of n & small values of increment, if for example n=1,000 & the increment is 0.1% then over a large number of trials the first and last numbers have a mean which is consistently below 0.1%.
I am sure there is a logical explanation/solution to this but I have been tearing my hair out to try & find it & wondered anybody would be so kind as to point me in the right direction. To put the problem into context create random stock portfolios (hence the sum to 1).
Thanks in advance
Thank you for the responses so far, just to clarify (as I think my initial question was perhaps badly phrased), it is the weights that have a fixed increment of 0.1% so 0%, 0.1%, 0.2% etc.
I did try using integers initially
num_stocks=1000;
min_increment=0.001;
num_simulations=100000;
scaling=1/min_increment;
temp = [zeros(num_simulations,1),sort(randi([0 scaling],num_simulations,num_stocks-1),2),ones(num_simulations,1)*scaling];
weights = (diff(temp,[],2)/scaling);
test=mean(weights);
but this was worse, the mean for the 1st & last weights is well below 0.1%.....
Edit to reflect excellent answer by Floris & clarify
The original code I was using to solve this problem (before finding this forum) was
function x = monkey_weights_original(simulations,stocks)
stockmatrix=1:stocks;
base_weight=1/stocks;
r=randi(stocks,stocks,simulations);
x=histc(r,stockmatrix)*base_weight;
end
This runs very fast, which was important considering I want to run a total of 10,000,000 simulations, 10,000 simulations on 1,000 stocks takes just over 2 seconds with a single core & I am running the whole code on an 8 core machine using the parallel toolbox.
It also gives exactly the distribution I was looking for in terms of means, and I think that it is just as likely to get a portfolio that is 100% in 1 stock as it is to geta portfolio that is 0.1% in every stock (though I'm happy to be corrected).
My issue issue is that although it works for 1,000 stocks & an increment of 0.1% and I guess it works for 100 stocks & an increment of 1%, as the number of stocks decreases then each pick becomes a very large percentage (in the extreme with 2 stocks you will always get a 50/50 portfolio).
In effect I think this solution is like the binomial solution Floris suggests (but more limited)
However my question has arrisen because I would like to make my approach more flexible & have the possibility of say 3 stocks & an increment of 1% which my current code will not handle correctly, hence how I stumbled accross the original question on stackoverflow
Floris's recursive approach will get to the right answer, but the speed will be a major issue considering the scale of the problem.
An example of the original research is here
http://www.huffingtonpost.com/2013/04/05/monkeys-stocks-study_n_3021285.html
I am currently working on extending it with more flexibility on portfolio weights & numbers of stock in the index, but it appears my programming & probability theory ability are a limiting factor.......
One problem I can see is that your formula allows for numbers to be zero - when the rounding operation results in two consecutive numbers to be the same after sorting. Not sure if you consider that a problem - but I suggest you think about it (it would mean your model portfolio has fewer than N stocks in it since the contribution of one of the stocks would be zero).
The other thing to note is that the probability of getting the extreme values in your distribution is half of what you want them to be: If you have uniformly distributed numbers from 0 to 1000, and you round them, the numbers that round to 0 were in the interval [0 0.5>; the ones that round to 1 came from [0.5 1.5> - twice as big. The last number (rounding to 1000) is again from a smaller interval: [999.5 1000]. Thus you will not get the first and last number as often as you think. If instead of round you use floor I think you will get the answer you expect.
EDIT
I thought about this some more, and came up with a slow but (I think) accurate method for doing this. The basic idea is this:
Think in terms of integers; rather than dividing the interval 0 - 1 in steps of 0.001, divide the interval 0 - 1000 in integer steps
If we try to divide N into m intervals, the mean size of a step should be N / m; but being integer, we would expect the intervals to be binomially distributed
This suggests an algorithm in which we choose the first interval as a binomially distributed variate with mean (N/m) - call the first value v1; then divide the remaining interval N - v1 into m-1 steps; we can do so recursively.
The following code implements this:
% random integers adding up to a definite sum
function r = randomInt(n, limit)
% returns an array of n random integers
% whose sum is limit
% calls itself recursively; slow but accurate
if n>1
v = binomialRandom(limit, 1 / n);
r = [v randomInt(n-1, limit - v)];
else
r = limit;
end
function b = binomialRandom(N, p)
b = sum(rand(1,N)<p); % slow but direct
To get 10000 instances, you run this as follows:
tic
portfolio = zeros(10000, 10);
for ii = 1:10000
portfolio(ii,:) = randomInt(10, 1000);
end
toc
This ran in 3.8 seconds on a modest machine (single thread) - of course the method for obtaining a binomially distributed random variate is the thing slowing it down; there are statistical toolboxes with more efficient functions but I don't have one. If you increase the granularity (for example, by setting limit=10000) it will slow down more since you increase the number of random number samples that are generated; with limit = 10000 the above loop took 13.3 seconds to complete.
As a test, I found mean(portfolio)' and std(portfolio)' as follows (with limit=1000):
100.20 9.446
99.90 9.547
100.09 9.456
100.00 9.548
100.01 9.356
100.00 9.484
99.69 9.639
100.06 9.493
99.94 9.599
100.11 9.453
This looks like a pretty convincing "flat" distribution to me. We would expect the numbers to be binomially distributed with a mean of 100, and standard deviation of sqrt(p*(1-p)*n). In this case, p=0.1 so we expect s = 9.4868. The values I actually got were again quite close.
I realize that this is inefficient for large values of limit, and I made no attempt at efficiency. I find that clarity trumps speed when you develop something new. But for instance you could pre-compute the cumulative binomial distributions for p=1./(1:10), then do a random lookup; but if you are just going to do this once, for 100,000 instances, it will run in under a minute; unless you intend to do it many times, I wouldn't bother. But if anyone wants to improve this code I'd be happy to hear from them.
Eventually I have solved this problem!
I found a paper by 2 academics at John Hopkins University "Sampling Uniformly From The Unit Simplex"
http://www.cs.cmu.edu/~nasmith/papers/smith+tromble.tr04.pdf
In the paper they outline how naive algorthms don't work, in a way very similar to woodchips answer to the Random numbers that add to 100 question. They then go on to show that the method suggested by David Schwartz can also be slightly biased and propose a modified algorithm which appear to work.
If you want x numbers that sum to y
Sample uniformly x-1 random numbers from the range 1 to x+y-1 without replacement
Sort them
Add a zero at the beginning & x+y at the end
difference them & subtract 1 from each value
If you want to scale them as I do, then divide by y
It took me a while to realise why this works when the original approach didn't and it come down to the probability of getting a zero weight (as highlighted by Floris in his answer). To get a zero weight in the original version for all but the 1st or last weights your random numbers had to have 2 values the same but for the 1st & last ones then a random number of zero or the maximum number would result in a zero weight which is more likely.
In the revised algorithm, zero & the maximum number are not in the set of random choices & a zero weight occurs only if you select two consecutive numbers which is equally likely for every position.
I coded it up in Matlab as follows
function weights = unbiased_monkey_weights(num_simulations,num_stocks,min_increment)
scaling=1/min_increment;
sample=NaN(num_simulations,num_stocks-1);
for i=1:num_simulations
allcomb=randperm(scaling+num_stocks-1);
sample(i,:)=allcomb(1:num_stocks-1);
end
temp = [zeros(num_simulations,1),sort(sample,2),ones(num_simulations,1)*(scaling+num_stocks)];
weights = (diff(temp,[],2)-1)/scaling;
end
Obviously the loop is a bit clunky and as I'm using the 2009 version the randperm function only allows you to generate permutations of the whole set, however despite this I can run 10,000 simulations for 1,000 numbers in 5 seconds on my clunky laptop which is fast enough.
The mean weights are now correct & as a quick test I replicated woodchips generating 3 numbers that sum to 1 with the minimum increment being 0.01% & it also look right
Thank you all for your help and I hope this solution is useful to somebody else in the future
The simple answer is to use the schemes that work well with NO minimum increment, then transform the problem. As always, be careful. Some methods do NOT yield uniform sets of numbers.
Thus, suppose I want 11 numbers that sum to 100, with a constraint of a minimum increment of 5. I would first find 11 numbers that sum to 45, with no lower bound on the samples (other than zero.) I could use a tool from the file exchange for this. Simplest is to simply sample 10 numbers in the interval [0,45]. Sort them, then find the differences.
X = diff([0,sort(rand(1,10)),1]*45);
The vector X is a sample of numbers that sums to 45. But the vector Y sums to 100, with a minimum value of 5.
Y = X + 5;
Of course, this is trivially vectorized if you wish to find multiple sets of numbers with the given constraint.
as i know to get zero mean vector from given vector,we should substract mean of given vector from each memeber of this vector.for example let us see following example
r=rand(1,6)
we get
0.8687 0.0844 0.3998 0.2599 0.8001 0.4314
let us create another vector s by following operation
s=r-mean(r(:));
after this we get
0.3947 -0.3896 -0.0743 -0.2142 0.3260 -0.0426
if we calculate mean of s by following formula
mean(s)
we get
ans =
-5.5511e-017
actually as i have checked this number is very small
-5.5511*exp(-017)
ans =
-2.2981e-007
so we should think that our vector has mean zero?so it means that that small deviation from 0 is because of round off error?for exmaple when we are creating white noise or such kind off random uncorrelated sequence of data,actually it is already supposed that even for such small data far from 0,it has zero mean and it is supposed in this case that for example for this case
-5.5511e-017 =0 ?
approximately of course
e-017 means 10 to the power of -17 (10^-17) but still the number is very small and hypothetically it is 0. And if you type
format long;
you will see the real precision used by Matlab
Actually you can refer to the eps command. Although matlab uses double that can encode numbers down to 2.2251e-308 the precission is determined size of the number.
Use it in the format eps(number) - it tell you the how large is the influence of the least significant bit.
on my machine eg. eps(0.3) returns 5.5511e-17 - exactly the number you report.
I have made an array of doubles and when I want to use the find command to search for the indices of specific values in the array, this yields an empty matrix which is not what I want. I assume the problem lies in the precision of the values and/or decimal places that are not shown in the readout of the array.
command:
peaks=find(y1==0.8236)
array readout:
y1 =
Columns 1 through 11
0.2000 0.5280 0.8224 0.4820 0.8239 0.4787 0.8235 0.4796 0.8236 0.4794 0.8236
Columns 12 through 20
0.4794 0.8236 0.4794 0.8236 0.4794 0.8236 0.4794 0.8236 0.4794
output:
peaks =
Empty matrix: 1-by-0
I tried using the command
format short
but I guess this only truncates the displayed values and not the actual values in the array.
How can I used the find command to give an array of indices?
By default, each element of a numerical matrix in Matlab is stored using floating point double precision. As you surmise in the question format short and format long merely alter the displayed format, rather than the actual format of the numbers.
So if y1 is created using something like y1 = rand(100, 1), and you want to find particular elements in y1 using find, you'll need to know the exact value of the element you're looking for to floating point double precision - which depending on your application is probably non-trivial. Certainly, peaks=find(y1==0.8236) will return the empty matrix if y1 only contains values like 0.823622378...
So, how to get around this problem? It depends on your application. One approach is to truncate all the values in y1 to a given precision that you want to work in. Funnily enough, a SO matlab question on exactly this topic attracted two good answers about 12 hours ago, see here for more.
If you do decide to go down this route, I would recommend something like this:
a = 1e-4 %# Define level of precision
y1Round = round((1/a) * y1); %# Round to appropriate precision, and leave y1 in integer form
Index = find(y1Round == SomeValue); %# Perform the find operation
Note that I use the find command with y1Round in integer form. This is because integers are stored exactly when using floating point double, so you won't need to worry about floating point precision.
An alternative approach to this problem would be to use find with some tolerance for error, for example:
Index = find(abs(y1 - SomeValue) < Tolerance);
Which path you choose is up to you. However, before adopting either of these approaches, I would have a good hard look at your application and see if it can be reformulated in some way such that you don't need to search for specific "real" numbers from among a set of "reals". That would be the most ideal outcome.
EDIT: The code advocated in the other two answers to this question is neater than my second approach - so I've altered it accordingly.
Testing for equality with floating-point numbers is almost always a bad idea. What you probably want to do is test to see which numbers are close enough to the target value:
peaks = find( abs( y - .8236 ) < .0001 );
The problem is indeed with the precision. The array that you see displayed is not the actual array, as the actual array has more digits for each of the numbers. Changing the format just changes the way in which the array is displayed, so it doesn't solve the problem.
You have two options, either modify the array or modify what you are looking for. It is probably better to modify what you are looking for, since then you are not changing the actual values.
So instead of looking for equality, you can look for proximity (so the difference between the number you are searching for and the number in the array is at most some small epsilon):
peaks = find( abs(y1-0.8236) < epsilon )
In general, when you are dealing with floats, always try to avoid exact comparisons and use some error thresholds, since the representation of these numbers is limited so they are often stored with small inaccuracies.