Subject: [Boost-commit] svn:boost r57321 - sandbox/statistics/importance_sampling/boost/statistics/detail/importance_sampling/weights
From: erwann.rogard_at_[hidden]
Date: 2009-11-03 11:39:57
Author: e_r
Date: 2009-11-03 11:39:57 EST (Tue, 03 Nov 2009)
New Revision: 57321
URL: http://svn.boost.org/trac/boost/changeset/57321
Log:
rm
Removed:
sandbox/statistics/importance_sampling/boost/statistics/detail/importance_sampling/weights/effective_sample_size.hpp
Deleted: sandbox/statistics/importance_sampling/boost/statistics/detail/importance_sampling/weights/effective_sample_size.hpp
==============================================================================
--- sandbox/statistics/importance_sampling/boost/statistics/detail/importance_sampling/weights/effective_sample_size.hpp 2009-11-03 11:39:57 EST (Tue, 03 Nov 2009)
+++ (empty file)
@@ -1,85 +0,0 @@
-///////////////////////////////////////////////////////////////////////////////
-// importance_sampling::effective_sample_size.hpp //
-// //
-// Copyright 2009 Erwann Rogard. Distributed under the Boost //
-// Software License, Version 1.0. (See accompanying file //
-// LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt) //
-///////////////////////////////////////////////////////////////////////////////
-#ifndef BOOST_STATISTICS_DETAIL_IMPORTANCE_SAMPLING_WEIGHTS_EFFECTIVE_SAMPLE_SIZE_HPP_ER_2009
-#define BOOST_STATISTICS_DETAIL_IMPORTANCE_SAMPLING_WEIGHTS_EFFECTIVE_SAMPLE_SIZE_HPP_ER_2009
-#include <algorithm>
-#include <numeric>
-#include <iterator>
-#include <boost/lambda/lambda.hpp>
-#include <boost/lambda/bind.hpp>
-#include <boost/ref.hpp>
-#include <boost/iterator/iterator_traits.hpp>
-#include <boost/accumulators/accumulators.hpp>
-#include <boost/accumulators/statistics/mean.hpp>
-#include <boost/accumulators/statistics/variance.hpp>
-#include <boost/accumulators/statistics/stats.hpp>
-
-namespace boost{
-namespace statistics{
-namespace detail{
-namespace importance_sampling{
-
- // Finds the number of iid observations whose standard error equates that
- // of the importance sample mean. The number is reported in proportion to
- // the input sample size (m). See sources [3] or [4].
- //
- // n = m / (1+Var(w)) where the w's are standardized weights
- // i.e. w[j]<- uw[j]/mean(uw[j]:j=1,...,m), solves A = B, where
- // A = V((1/n) sum{y[i],i=1,...,n}), y~p(y) (iid)
- // B = V(sum{y[j]uw[j],i=1,...,m}/sum{uw[j]:j=1,...,m}), y~q, uw propto p/q
- template<typename InIt>
- typename iterator_value<InIt>::type
- percentage_effective_sample_size(
- InIt b_w, // un-normalized weights
- InIt e_w
- );
-
- // Implementation //
-
- template<typename InIt>
- typename iterator_value<InIt>::type
- percentage_effective_sample_size(
- InIt b_w, // un-normalized weights
- InIt e_w
- ){
- typedef typename iterator_value<InIt>::type val_;
-
- typedef accumulators::stats<
- accumulators::tag::mean,
- accumulators::tag::variance
- > stat_;
- typedef accumulators::accumulator_set<val_,stat_> acc_;
-
- // Var(w/c) = Var(w) / c^2
-
- static val_ one = static_cast<val_>(1);
-
- acc_ acc;
- std::for_each(
- b_w,
- e_w,
- lambda::bind<void>(boost::ref(acc),lambda::_1)
- );
- val_ v = static_cast<val_>(
- boost::accumulators::variance(acc)
- );
- val_ c = static_cast<val_>(
- boost::accumulators::mean(acc)
- );
-
- v /= (c*c);
-
- return one / (one + v);
- }
-
-}// importance_weights
-}// detail
-}// statistics
-}// boost
-
-#endif
\ No newline at end of file