def clopper_pearson_binomial(passed, total, sigma=1, CL=None):
"""
Estimate the exact binomial from the clopper-pearson method
- paramters -
passed: int or array
counts of passed elements
total: int or array
total elements
sigma: float [default: 1]
to estimate the CL automatically from the normal distribution at <sigma> sigmas
CL: None or float [default: None]
to specify a confidence level for the clopper-pearson. If None, it will be automatically estimated by <sigma>
- return -
eff: float or array:
efficiency (<passed>/<total>). If <passed> and <total> are arrays, <eff> is an array
uncertainties: 1d or 2d array
array of the uncentainties: <uncertainties>[0] is the lower boundary, <uncertainties>[1] the upper one.
If <passed> and <total> are arrays, <uncertainties>[0] and <uncertainties>[1] are arrays
"""
eff, notpassed = np.float_(passed)/total, total-passed
if CL is None:
ybeta_low, ybeta_up = 1-norm.cdf(sigma,0,1), norm.cdf(sigma,0,1)
else:
ybeta_low, ybeta_up = (1-CL)/2, (1+CL)/2
el, eu = eff-betaincinv(passed,notpassed+1,ybeta_low),betaincinv(passed+1,notpassed,ybeta_up)-eff
if isiterable(el):
el[np.isnan(el)] = eu[np.isnan(eu)] = 0.
else:
if np.isnan(el):
el = 0.
if np.isnan(eu):
eu = 0.
return eff, np.atleast_2d([el,eu])
def logistic_fidelity(self):
#group data and assign state labels
gnd_features = np.hstack([np.real(self.ground_data.T),
np.imag(self.ground_data.T)])
ex_features = np.hstack([np.real(self.excited_data.T),
np.imag(self.excited_data.T)])
#liblinear wants arrays in C order
features = np.ascontiguousarray(np.vstack([gnd_features, ex_features]))
state = np.ascontiguousarray(np.hstack([np.zeros(self.ground_data.shape[1]),
np.ones(self.excited_data.shape[1])]))
#Set up logistic regression with cross-validation using liblinear.
#Cs sets the inverse of the regularization strength, which will be optimized
#through cross-validation. Uses the default Stratified K-Folds
#CV generator, with 3 folds.
#This is set up to be as consistent with the MATLAB implementation
#as I can make it. --GJR
Cs = np.logspace(-1,2,5)
logreg = LogisticRegressionCV(Cs, cv=3, solver='liblinear')
logreg.fit(features, state) #fit the model
predictions = logreg.predict(features) #in-place classification
score = logreg.score(features,state) #mean accuracy of classification
N = len(predictions)
S = np.sum(predictions == state) #how many we got right
#now calculate confidence intervals
c = 0.95
flo = betaincinv(S+1, N-S+1, (1-c)/2., )
fhi = betaincinv(S+1, N-S+1, (1+c)/2., )
logger.info(("In-place logistic regression fidelity: " +
"{:.2f}% ({:.2f}, {:.2f})".format(100*score, 100*flo, 100*fhi)))
def _get_confidence_int(self, Y):
beta = 5.0
Y = np.array(Y)
Z = (1 - Y)
W = Y * beta
alpha = W / Z
L = sc.betaincinv(alpha, beta, .075)
U = sc.betaincinv(alpha, beta, .925)
index = Y > .9
L[index] = .95 * Y[index]
U[index] = 1.05 * Y[index]
L[Y < 0.00009] = 0.00009
index = U < Y
U[index] = 1.05 * Y[index]
index = Y < L
L[index] = 0.95 * Y[index]
return L, U
def credible_interval(outcomes, c=0.95): """ Calculate the credible interval for a fidelity estimate. """ from scipy.special import betaincinv N = outcomes.size S = np.count_nonzero(outcomes) xlo = betaincinv(S+1,N-S+1,(1-c)/2.) xup = betaincinv(S+1,N-S+1,(1+c)/2.) return xlo, xup
def credible_interval(outcomes, c=0.95):
"""
Calculate the credible interval for a fidelity estimate.
"""
from scipy.special import betaincinv
N = outcomes.size
S = np.count_nonzero(outcomes)
xlo = betaincinv(S + 1, N - S + 1, (1 - c) / 2.)
xup = betaincinv(S + 1, N - S + 1, (1 + c) / 2.)
return xlo, xup
def betacred(k, n, j, p):
"""
Returns the upper and lower bounds of the credible interval based on a beta
distribution.
"""
r = (1.0 - p / 100) / 2
a = 1
if j:
a = 0.5
l = betaincinv(k + a, n - k + a, r)
u = betaincinv(k + a, n - k + a, 1.0 - r)
return (l, u)
def _rank_confidence_band(nranks):
alpha = 0.01
n = nranks
k0 = np.arange(1, n + 1)
k1 = np.flipud(k0).copy()
top = betaincinv(k0, k1, 1 - alpha)
mean = k0 / (n + 1)
bottom = betaincinv(k0, k1, alpha)
return (bottom, mean, top)
def binomial_conf_interval(x, n, conf=0.95):
if n == 0:
left = random.random()*(1 - conf)
return left, left + conf
b = special.beta(x+1, n-x+1)
def f(left_a):
left, right = max(1e-8, special.betaincinv(x+1, n-x+1, left_a)), min(1-1e-8, special.betaincinv(x+1, n-x+1, left_a + conf))
top = right**(x+1) * (1-right)**(n-x+1) * left*(1-left) - left**(x+1) * (1-left)**(n-x+1) * right * (1-right)
bottom = (x - n*right)*left*(1-left) - (x - n*left)*right*(1-right)
return top/bottom/b
left_a = find_root(f, (1-conf)/2, bounds=(0, 1-conf))
return special.betaincinv(x+1, n-x+1, left_a), special.betaincinv(x+1, n-x+1, left_a + conf)
def binomial_conf_interval(x, n, conf=0.95):
assert 0 <= x <= n and 0 <= conf < 1
if n == 0:
left = random.random()*(1 - conf)
return left, left + conf
bl = float(special.betaln(x+1, n-x+1))
def f(left_a):
left, right = max(1e-8, float(special.betaincinv(x+1, n-x+1, left_a))), min(1-1e-8, float(special.betaincinv(x+1, n-x+1, left_a + conf)))
top = math.exp(math.log(right)*(x+1) + math.log(1-right)*(n-x+1) + math.log(left) + math.log(1-left) - bl) - math.exp(math.log(left)*(x+1) + math.log(1-left)*(n-x+1) + math.log(right) + math.log(1-right) - bl)
bottom = (x - n*right)*left*(1-left) - (x - n*left)*right*(1-right)
return top/bottom
left_a = find_root(f, (1-conf)/2, bounds=(0, 1-conf))
return float(special.betaincinv(x+1, n-x+1, left_a)), float(special.betaincinv(x+1, n-x+1, left_a + conf))
def mPERT_sample(mu, a=0.0, b=1.0, gamma=4.0, var=None):
"""Provide a vectorized Modified PERT distribution.
Parameters
----------
mu : float or ndarray
Mean value for the PERT distribution.
a : float or ndarray
Lower bound for the distribution.
b : float or ndarray
Upper bound for the distribution.
gamma : float or ndarray
Shape paramter.
var : float, ndarray or None
Variance of the distribution. If var != None,
gamma will be calcuated to meet the desired variance.
Returns
-------
out : float or ndarray
Samples drawn from the specified mPERT distribution.
Shape is the broadcasted shape of the the input parameters.
"""
mu, a, b = np.atleast_1d(mu, a, b)
if var is not None:
gamma = (mu - a) * (b - mu) / var - 3.0
alp1 = 1.0 + gamma * ((mu - a) / (b - a))
alp2 = 1.0 + gamma * ((b - mu) / (b - a))
u = np.random.random_sample(mu.shape)
alp3 = sc.betaincinv(alp1, alp2, u)
return (b - a) * alp3 + a
def generate_thresholds_SMV(self):
# this function generate thresholds for SMV scenario
nsamples=self.nsamples;
nfeatures=self.nfeatures;
kmax=self.kmax;
alpha_list=self.alpha_list;
threshold_dict={}; # place to save the set of thresholds used for residual ratio thresholding
for alpha in alpha_list:
# we compare the residual ratios with a sequence of threshold defined using the given value of alpha.
# however, if that thresholding scheme fails which happens only at low signal to noise ratio,
# we gradually increase the value of alpha until we get a succesful thresholding. alphas_to_use is this set of thresholds
# gradually increasing.
alphas_to_use = 10 ** (np.linspace(np.log10(alpha), np.log10(nfeatures* kmax), 100));
threshold_alpha = {};
threshold_alpha['when_rrt_fails'] = []
for alpha_t in alphas_to_use:
thres = np.zeros(kmax);
for k in np.arange(kmax):
j = k + 1;
a = (nsamples - j)/ 2;
b = 1/ 2;
npossibilities = nfeatures- j + 1
val = alpha_t / (npossibilities * kmax)
thres[k] = np.sqrt(special.betaincinv(a, b, val))
if alpha_t == alpha:
threshold_alpha['direct'] = thres;
else:
threshold_alpha['when_rrt_fails'].append(thres)
threshold_alpha['alphas_to_use'] = alphas_to_use
threshold_dict[alpha] = threshold_alpha
self.threshold_dict = threshold_dict
return None
def inverse_binom_cdf_prob(k, N, F):
"""Calculate the trial probability that gives the CDF.
This gets the trial probability that gives an overall cumulative
probability for Pr(X <= k; N, p) = F
Parameters
----------
k : int
Maximum number of successes.
N : int
Total number of trials.
F : float
The cumulative probability for (k, N).
Returns
-------
p : float
The trial probability.
"""
# This uses the result that we can write the cumulative probability of a
# binomial in terms of an incomplete beta function
import scipy.special as sp
return sp.betaincinv(k + 1, N - k, 1 - F)
def qf(self, p, alpha, beta):
r"""
Quantile function for the Beta Distribution:
Parameters
----------
p : numpy array or scalar
The percentiles at which the quantile will be calculated
alpha : numpy array or scalar
One shape parameter for the Beta distribution
beta : numpy array or scalar
Another scale parameter for the Beta distribution
Returns
-------
q : scalar or numpy array
The quantiles for the Beta distribution at each value p.
Examples
--------
>>> import numpy as np
>>> from surpyval import Beta
>>> p = np.array([.1, .2, .3, .4, .5])
>>> Beta.qf(p, 3, 4)
array([0.20090888, 0.26864915, 0.32332388, 0.37307973, 0.42140719])
"""
return betaincinv(alpha, beta, p)
def generate_thresholds_robust_regression(self):
# this function generate thresholds for robust regression
nsamples=self.nsamples;
nfeatures=self.nfeatures;
kmax=self.kmax;
alpha_list=self.alpha_list;
if nfeatures>nsamples:
raise Exception('Must satisfy nfeatures<nsamples. This technique is for low dimensional dense regression with sparse outliers. High dimensional regression with sparse outliers can be posed as a compressive sensing problem')
threshold_dict={}; # place to save the set of thresholds used for residual ratio thresholding
for alpha in alpha_list:
# we compare the residual ratios with a sequence of threshold defined using the given value of alpha.
# however, if that thresholding scheme fails which happens only at low signal to noise ratio,
# we gradually increase the value of alpha until we get a succesful thresholding. alphas_to_use is this set of thresholds
# gradually increasing.
alphas_to_use=10**(np.linspace(np.log10(alpha),np.log10(nsamples*kmax),100));
threshold_alpha={}; threshold_alpha['when_rrt_fails']=[]
for alpha_t in alphas_to_use:
thres=np.zeros(kmax);
for k in np.arange(kmax):
# definition of RRT thresholds.
j=k+1+nfeatures;a=(nsamples-j)/2;b=1/2
npossibilities=(nsamples-j+1)
val=alpha_t/(npossibilities*kmax)
thres[k]=np.sqrt(special.betaincinv(a,b,val))
if alpha_t==alpha:
threshold_alpha['direct']=thres; # save the threshold related to given alpha seperately.
else:
threshold_alpha['when_rrt_fails'].append(thres) # save the thresholds to be used when RRT fails
threshold_alpha['alphas_to_use']=alphas_to_use
threshold_dict[alpha]=threshold_alpha
self.threshold_dict=threshold_dict
return None
def Percentile(self, ps):
"""Returns the given percentiles from this distribution.
ps: scalar, array, or list of [0-100]
"""
ps = np.asarray(ps) / 100
xs = special.betaincinv(self.alpha, self.beta, ps)
return xs
def mPERT_sample(mu, a=0.0, b=1.0, gamma=4.0, var=None):
mu, a, b = np.atleast_1d(mu, a, b)
if var is not None:
gamma = (mu - a) * (b - mu) / var - 3.0
alp1 = 1.0 + gamma * ((mu - a) / (b - a))
alp2 = 1.0 + gamma * ((b - mu) / (b - a))
u = np.random.random_sample(mu.shape)
alp3 = sc.betaincinv(alp1, alp2, u)
return (b - a) * alp3 + a
def get_ortho_haar_theta(
units: int, num_layers: int, hadamard: bool
) -> Union[Tuple[np.ndarray, np.ndarray], Tuple[tf.Variable, tf.Variable],
tf.Variable]:
alpha_checkerboard = get_alpha_checkerboard_general(units, num_layers)
theta_0_root = alpha_checkerboard.T[::2, ::2] - 1
theta_1_root = alpha_checkerboard.T[1::2, 1::2] - 1
theta_0_init = 2 * np.arcsin(
betaincinv(0.5 * theta_0_root, 0.5,
np.random.rand(*theta_0_root.shape)))
theta_1_init = 2 * np.arcsin(
betaincinv(0.5 * theta_1_root, 0.5,
np.random.rand(*theta_1_root.shape)))
if not hadamard:
theta_0_init = np.pi - theta_0_init
theta_1_init = np.pi - theta_1_init
return theta_0_init.astype(dtype=NP_FLOAT), theta_1_init.astype(
dtype=NP_FLOAT)
def _rank_confidence_band(nranks, significance_level, ok):
from numpy import arange, flipud, ascontiguousarray
from scipy.special import betaincinv
alpha = significance_level
k0 = arange(1, nranks + 1)
k1 = flipud(k0).copy()
k0 = ascontiguousarray(k0[ok])
k1 = ascontiguousarray(k1[ok])
my_ok = k1 / k0 / (k1[0] / k0[0]) > 1e-4
k0 = ascontiguousarray(k0[my_ok])
k1 = ascontiguousarray(k1[my_ok])
top = betaincinv(k0, k1, 1 - alpha)
bottom = betaincinv(k0, k1, alpha)
return (my_ok, bottom, top)
def main():
VRP_cost = 0
VRP_Route = []
for k in range(nber_of_vehicles):
n = len(Repartition[1][k])
res = str(Repartition[1][k])[1:-1]
Intres = [int(u) for u in res if u.isdigit()]
Intres.insert(0, depot)
ResCity = [cityList[int(u)] for u in res if u.isdigit()]
ResCity.insert(0, cityList[depot])
for k in range(3):
bestRoute = geneticAlgorithmPlot(population=ResCity,
popSize=100,
eliteSize=20,
mutationRate=0.01,
generations=500)
bestRouteList = []
sX = []
sY = []
IndexRoute = []
for j in range(len(bestRoute)):
bestRouteList.append((bestRoute[j].x, bestRoute[j].y))
sX.append(bestRoute[j].x)
sY.append(bestRoute[j].y)
IndexRoute.append(key_list[val_list.index(bestRouteList[j])])
sX.append(bestRoute[0].x)
sY.append(bestRoute[0].y)
#plotPath(sX, sY)
#print(IndexRoute)
crowd.append(IndexRoute)
#print(agg_matrix(crowd))
agg = agg_matrix(crowd)
Inv_Agg = np.zeros((n, n))
for k in range(n):
for j in range(n):
Inv_Agg[k, j] = 1 - sc.betaincinv(2.8, 3.2, agg[k, j] / n)
r = range(n)
dist = {(i, j): Inv_Agg[i, j] for i in r for j in r}
aggRoute = tsp.tsp(r, dist)[1]
sortedaggRoute = [Intres[i] for i in aggRoute]
#import pdb; pdb.set_trace()
cost = 0
for u in range(n - 1):
cost += City.distance(ResCity[u], ResCity[u + 1])
cost += City.distance(ResCity[n - 1], ResCity[0])
#import pdb; pdb.set_trace()
VRP_cost += cost
VRP_Route.append(sortedaggRoute)
print(VRP_Route, VRP_cost)
'''
def predictRecallMedian(prior, tnow, percentile=0.5):
"""Median (or percentile) of the immediate recall probability.
Same arguments as `ebisu.predictRecall`, see that docstring for details.
An extra keyword argument, `percentile`, is a float between 0 and 1, and
specifies the percentile rather than 50% (median).
"""
# [1] `Integrate[p**((a-t)/t) * (1-p**(1/t))**(b-1) / t / Beta[a,b], p]`
# and see "Alternate form assuming a, b, p, and t are positive".
from scipy.special import betaincinv
alpha, beta, t = prior
dt = tnow / t
return betaincinv(alpha, beta, percentile)**dt
def binom_conf_interval(k, n, conf=0.68269):
"""Binomial proportion confidence interval given k successes,
n trials, adopting Bayesian approach with Jeffreys prior."""
if conf < 0.0 or conf > 1.0:
raise ValueError("conf must be between 0. and 1.")
alpha = 1.0 - conf
k = np.asarray(k).astype(int)
n = np.asarray(n).astype(int)
if (n <= 0).any():
log.warning("%(funcName)s: n must be positive")
return 0, 0
if (k < 0).any() or (k > n).any():
log.warning("%(funcName)s: k must be in {0, 1, .., n}")
return 0, 0
lowerbound = betaincinv(k + 0.5, n - k + 0.5, 0.5 * alpha)
upperbound = betaincinv(k + 0.5, n - k + 0.5, 1.0 - 0.5 * alpha)
# Set lower or upper bound to k/n when k/n = 0 or 1
# We have to treat the special case of k/n being scalars,
# which is an ugly kludge
if lowerbound.ndim == 0:
if k == 0:
lowerbound = 0.0
elif k == n:
upperbound = 1.0
else:
lowerbound[k == 0] = 0
upperbound[k == n] = 1
conf_interval = np.array([lowerbound, upperbound])
return conf_interval
def vangel_approx(self, n=None, i=None, j=None, p=None, g=None):
if n is None:
n = self.n
if i is None:
i = 1
if j is None:
j = self.j + 1
if p is None:
p = self.p
if g is None:
g = self.g
betatmp = betainc(j, n - j + 1, p)
a = g - betatmp
b = 1.0 - betatmp
q = betaincinv(i, j - i, a / b)
return np.log(((p) * (n + 1)) / j) / np.log(q)
def ppf(self, y):
"""Percent point function (inverse cumulative distribution).
Requires Scipy.
Parameters
----------
y : ndarray
Cumulative probabilities in [0, 1].
Returns
-------
ndarray
Evaluation points `x` in [0, 1] such that `P(X <= x) = y`.
"""
from scipy.special import betaincinv
sq_x = betaincinv(self.m / 2.0, self.n / 2.0, y)
return np.sqrt(sq_x)
def ppf(self, y):
"""Percent point function (inverse cumulative distribution).
.. note:: Requires SciPy.
Parameters
----------
y : array_like
Cumulative probabilities in [0, 1].
Returns
-------
ppf : array_like
Evaluation points ``x`` in [0, 1] such that ``P(X <= x) = y``.
"""
from scipy.special import betaincinv
sq_x = betaincinv(self.m / 2.0, self.n / 2.0, y)
return np.sqrt(sq_x)
def main():
for k in range(2):
bestRoute = geneticAlgorithmPlot(population=cityList,
popSize=100,
eliteSize=20,
mutationRate=0.01,
generations=500)
bestRouteList = []
sX = []
sY = []
IndexRoute = []
for j in range(len(bestRoute)):
bestRouteList.append((bestRoute[j].x, bestRoute[j].y))
sX.append(bestRoute[j].x)
sY.append(bestRoute[j].y)
#import pdb; pdb.set_trace()
IndexRoute.append(key_list[val_list.index(bestRouteList[j])])
sX.append(bestRoute[0].x)
sY.append(bestRoute[0].y)
#plotPath(sX, sY)
#print(IndexRoute)
crowd.append(IndexRoute)
#print(agg_matrix(crowd))
#import pdb; pdb.set_trace()
agg = agg_matrix(crowd)
Inv_Agg = np.zeros((n, n))
for k in range(n):
for j in range(n):
Inv_Agg[k, j] = 1 - sc.betaincinv(2.8, 3.2, agg[k, j] / n)
r = range(n)
dist = {(i, j): Inv_Agg[i, j] for i in r for j in r}
aggRoute = tsp.tsp(r, dist)[1]
cost = 0
for u in range(n - 1):
cost += R_D[aggRoute[u], aggRoute[u + 1]]
cost += R_D[n - 1, 0]
print(aggRoute, cost)
'''
def f(left_a):
left, right = max(1e-8, special.betaincinv(x+1, n-x+1, left_a)), min(1-1e-8, special.betaincinv(x+1, n-x+1, left_a + conf))
top = right**(x+1) * (1-right)**(n-x+1) * left*(1-left) - left**(x+1) * (1-left)**(n-x+1) * right * (1-right)
bottom = (x - n*right)*left*(1-left) - (x - n*left)*right*(1-right)
return top/bottom/b
def ppf(self, y):
from scipy.special import betaincinv
y_reflect = np.where(y < 0.5, y, 1 - y)
z_sq = betaincinv(self.m / 2.0, 0.5, 2 * y_reflect)
x = np.arcsin(np.sqrt(z_sq)) / np.pi
return np.where(y < 0.5, x, 1 - x)
def get_invBeta(self) -> None:
self.invBeta = sc.betaincinv(0.5 * self.nu, 0.5,
1 - self.confidence_level)
def binom_conf_interval(k, n, conf=0.68269, interval='wilson'):
r"""Binomial proportion confidence interval given k successes,
n trials.
Parameters
----------
k : int or numpy.ndarray
Number of successes (0 <= ``k`` <= ``n``).
n : int or numpy.ndarray
Number of trials (``n`` > 0). If both ``k`` and ``n`` are arrays,
they must have the same shape.
conf : float in [0, 1], optional
Desired probability content of interval. Default is 0.68269,
corresponding to 1 sigma in a 1-dimensional Gaussian distribution.
interval : {'wilson', 'jeffreys', 'flat', 'wald'}, optional
Formula used for confidence interval. See notes for details. The
``'wilson'`` and ``'jeffreys'`` intervals generally give similar
results, while 'flat' is somewhat different, especially for small
values of ``n``. ``'wilson'`` should be somewhat faster than
``'flat'`` or ``'jeffreys'``. The 'wald' interval is generally not
recommended. It is provided for comparison purposes. Default is
``'wilson'``.
Returns
-------
conf_interval : numpy.ndarray
``conf_interval[0]`` and ``conf_interval[1]`` correspond to the lower
and upper limits, respectively, for each element in ``k``, ``n``.
Notes
-----
In situations where a probability of success is not known, it can
be estimated from a number of trials (N) and number of
observed successes (k). For example, this is done in Monte
Carlo experiments designed to estimate a detection efficiency. It
is simple to take the sample proportion of successes (k/N)
as a reasonable best estimate of the true probability
:math:`\epsilon`. However, deriving an accurate confidence
interval on :math:`\epsilon` is non-trivial. There are several
formulas for this interval (see [1]_). Four intervals are implemented
here:
**1. The Wilson Interval.** This interval, attributed to Wilson [2]_,
is given by
.. math::
CI_{\rm Wilson} = \frac{k + \kappa^2/2}{N + \kappa^2}
\pm \frac{\kappa n^{1/2}}{n + \kappa^2}
((\hat{\epsilon}(1 - \hat{\epsilon}) + \kappa^2/(4n))^{1/2}
where :math:`\hat{\epsilon} = k / N` and :math:`\kappa` is the
number of standard deviations corresponding to the desired
confidence interval for a *normal* distribution (for example,
1.0 for a confidence interval of 68.269%). For a
confidence interval of 100(1 - :math:`\alpha`)%,
.. math::
\kappa = \Phi^{-1}(1-\alpha/2) = \sqrt{2}{\rm erf}^{-1}(1-\alpha).
**2. The Jeffreys Interval.** This interval is derived by applying
Bayes' theorem to the binomial distribution with the
noninformative Jeffreys prior [3]_, [4]_. The noninformative Jeffreys
prior is the Beta distribution, Beta(1/2, 1/2), which has the density
function
.. math::
f(\epsilon) = \pi^{-1} \epsilon^{-1/2}(1-\epsilon)^{-1/2}.
The justification for this prior is that it is invariant under
reparameterizations of the binomial proportion.
The posterior density function is also a Beta distribution: Beta(k
+ 1/2, N - k + 1/2). The interval is then chosen so that it is
*equal-tailed*: Each tail (outside the interval) contains
:math:`\alpha`/2 of the posterior probability, and the interval
itself contains 1 - :math:`\alpha`. This interval must be
calculated numerically. Additionally, when k = 0 the lower limit
is set to 0 and when k = N the upper limit is set to 1, so that in
these cases, there is only one tail containing :math:`\alpha`/2
and the interval itself contains 1 - :math:`\alpha`/2 rather than
the nominal 1 - :math:`\alpha`.
**3. A Flat prior.** This is similar to the Jeffreys interval,
but uses a flat (uniform) prior on the binomial proportion
over the range 0 to 1 rather than the reparametrization-invariant
Jeffreys prior. The posterior density function is a Beta distribution:
Beta(k + 1, N - k + 1). The same comments about the nature of the
interval (equal-tailed, etc.) also apply to this option.
**4. The Wald Interval.** This interval is given by
.. math::
CI_{\rm Wald} = \hat{\epsilon} \pm
\kappa \sqrt{\frac{\hat{\epsilon}(1-\hat{\epsilon})}{N}}
The Wald interval gives acceptable results in some limiting
cases. Particularly, when N is very large, and the true proportion
:math:`\epsilon` is not "too close" to 0 or 1. However, as the
later is not verifiable when trying to estimate :math:`\epsilon`,
this is not very helpful. Its use is not recommended, but it is
provided here for comparison purposes due to its prevalence in
everyday practical statistics.
References
----------
.. [1] Brown, Lawrence D.; Cai, T. Tony; DasGupta, Anirban (2001).
"Interval Estimation for a Binomial Proportion". Statistical
Science 16 (2): 101-133. doi:10.1214/ss/1009213286
.. [2] Wilson, E. B. (1927). "Probable inference, the law of
succession, and statistical inference". Journal of the American
Statistical Association 22: 209-212.
.. [3] Jeffreys, Harold (1946). "An Invariant Form for the Prior
Probability in Estimation Problems". Proc. R. Soc. Lond.. A 24 186
(1007): 453-461. doi:10.1098/rspa.1946.0056
.. [4] Jeffreys, Harold (1998). Theory of Probability. Oxford
University Press, 3rd edition. ISBN 978-0198503682
Examples
--------
Integer inputs return an array with shape (2,):
>>> binom_conf_interval(4, 5, interval='wilson')
array([ 0.57921724, 0.92078259])
Arrays of arbitrary dimension are supported. The Wilson and Jeffreys
intervals give similar results, even for small k, N:
>>> binom_conf_interval([0, 1, 2, 5], 5, interval='wilson')
array([[ 0. , 0.07921741, 0.21597328, 0.83333304],
[ 0.16666696, 0.42078276, 0.61736012, 1. ]])
>>> binom_conf_interval([0, 1, 2, 5], 5, interval='jeffreys')
array([[ 0. , 0.0842525 , 0.21789949, 0.82788246],
[ 0.17211754, 0.42218001, 0.61753691, 1. ]])
>>> binom_conf_interval([0, 1, 2, 5], 5, interval='flat')
array([[ 0. , 0.12139799, 0.24309021, 0.73577037],
[ 0.26422963, 0.45401727, 0.61535699, 1. ]])
In contrast, the Wald interval gives poor results for small k, N.
For k = 0 or k = N, the interval always has zero length.
>>> binom_conf_interval([0, 1, 2, 5], 5, interval='wald')
array([[ 0. , 0.02111437, 0.18091075, 1. ],
[ 0. , 0.37888563, 0.61908925, 1. ]])
For confidence intervals approaching 1, the Wald interval for
0 < k < N can give intervals that extend outside [0, 1]:
>>> binom_conf_interval([0, 1, 2, 5], 5, interval='wald', conf=0.99)
array([[ 0. , -0.26077835, -0.16433593, 1. ],
[ 0. , 0.66077835, 0.96433593, 1. ]])
"""
if conf < 0. or conf > 1.:
raise ValueError('conf must be between 0. and 1.')
alpha = 1. - conf
k = np.asarray(k).astype(np.int)
n = np.asarray(n).astype(np.int)
if (n <= 0).any():
raise ValueError('n must be positive')
if (k < 0).any() or (k > n).any():
raise ValueError('k must be in {0, 1, .., n}')
if interval == 'wilson' or interval == 'wald':
from scipy.special import erfinv
kappa = np.sqrt(2.) * min(erfinv(conf), 1.e10) # Avoid overflows.
k = k.astype(np.float)
n = n.astype(np.float)
p = k / n
if interval == 'wilson':
midpoint = (k + kappa**2 / 2.) / (n + kappa**2)
halflength = (kappa * np.sqrt(n)) / (n + kappa ** 2) * \
np.sqrt(p * (1 - p) + kappa ** 2 / (4 * n))
conf_interval = np.array(
[midpoint - halflength, midpoint + halflength])
# Correct intervals out of range due to floating point errors.
conf_interval[conf_interval < 0.] = 0.
conf_interval[conf_interval > 1.] = 1.
else:
midpoint = p
halflength = kappa * np.sqrt(p * (1. - p) / n)
conf_interval = np.array(
[midpoint - halflength, midpoint + halflength])
elif interval == 'jeffreys' or interval == 'flat':
from scipy.special import betaincinv
if interval == 'jeffreys':
lowerbound = betaincinv(k + 0.5, n - k + 0.5, 0.5 * alpha)
upperbound = betaincinv(k + 0.5, n - k + 0.5, 1. - 0.5 * alpha)
else:
lowerbound = betaincinv(k + 1, n - k + 1, 0.5 * alpha)
upperbound = betaincinv(k + 1, n - k + 1, 1. - 0.5 * alpha)
# Set lower or upper bound to k/n when k/n = 0 or 1
# We have to treat the special case of k/n being scalars,
# which is an ugly kludge
if lowerbound.ndim == 0:
if k == 0:
lowerbound = 0.
elif k == n:
upperbound = 1.
else:
lowerbound[k == 0] = 0
upperbound[k == n] = 1
conf_interval = np.array([lowerbound, upperbound])
else:
raise ValueError('Unrecognized interval: {0:s}'.format(interval))
return conf_interval
def ppf(self, y):
"""Evaluates the inverse CDF along the values ``x``."""
y_reflect = np.where(y < 0.5, y, 1 - y)
z_sq = betaincinv(self.m / 2.0, 0.5, 2 * y_reflect)
x = np.arcsin(np.sqrt(z_sq)) / np.pi
return np.where(y < 0.5, x, 1 - x)
def get_quantile(self, q, X=None):
a, b = self._get_alphabeta(X)
return special.betaincinv(a, b, q)
def bernoulli_trial_probability(m, n):
c = 0.95
x1 = betaincinv(m + 1, n - m + 1, (1 - c) / 2)
x2 = betaincinv(m + 1, n - m + 1, (1 + c) / 2)
return x1, x2
def ppf(self, y):
y_reflect = np.where(y < 0.5, y, 1 - y)
z_sq = betaincinv(self.m / 2.0, 0.5, 2 * y_reflect)
x = np.arcsin(np.sqrt(z_sq)) / np.pi
return np.where(y < 0.5, x, 1 - x)
def median(aa, bb):
if (aa <= 0 or bb <= 0):
raise ValueError("aa and bb must be bigger than 0")
return sp.betaincinv(aa, bb, 1 / 2)
def get_quantile(self, q, X=None):
a, b = self._get_alphabeta(X)
return special.betaincinv(a, b, q)
np.sqrt(p * (1 - p) + kappa ** 2 / (4 * n))
conf_interval = np.array([midpoint - halflength, midpoint + halflength])
conf_interval[conf_interval < 0.] = 0.
conf_interval[conf_interval > 1.] = 1.
return conf_interval
else:
midpoint = p
halflength = kappa * np.sqrt(p * (1. - p) / n)
return np.array([midpoint - halflength, midpoint + halflength])
elif interval == 'jeffreys':
from scipy.special import betaincinv
lowerbound = betaincinv(k + 0.5, n - k + 0.5, alpha / 2.)
upperbound = betaincinv(k + 0.5, n - k + 0.5, 1. - alpha / 2.)
lowerbound[k == 0] = 0.
upperbound[k == n] = 1.
return np.array([lowerbound, upperbound])
else:
raise ValueError('Unrecognized interval: {0:s}'.format(interval))
def binned_binom_proportion(x, success, bins=10, range=None, conf=0.68269, interval='wilson'):
"""Binomial proportion and confidence interval in bins of a continuous
variable `x`.
Given a set of datapoint pairs where the `x` values are
continuously distributed and the `success` values are binomial
subs1 = np.array([0, 1, 4, 5, 6, 9, 11, 12, 13, 14, 15, 16, 18, 19, 20, 21]) nans1 = np.isnan(responses[subs1, :]).sum(axis=0) p1 = np.nan_to_num(responses[subs1, :]).sum(axis=0) #edhmm group subs2 = np.array([2, 3, 7, 8, 10, 17]) nans2 = np.isnan(responses[subs2, :]).sum(axis=0) p2 = np.nan_to_num(responses[subs2, :]).sum(axis=0) trials = np.arange(126, 161, 1) #compute 90% Jeffreys interval n1 = len(subs1) u1 = betaincinv(p1 + 1 / 2, n1 - nans1 - p1 + 1 / 2, .95) l1 = betaincinv(p1 + 1 / 2, n1 - nans1 - p1 + 1 / 2, .05) n2 = len(subs2) u2 = betaincinv(p2 + 1 / 2, n2 - nans2 - p2 + 1 / 2, .95) l2 = betaincinv(p2 + 1 / 2, n2 - nans2 - p2 + 1 / 2, .05) #compute the mean response m1 = p1 / (n1 - nans1 + 1) m2 = p2 / (n2 - nans2 + 1) #make the figure fig, ax = plt.subplots(1, 2, figsize=(12, 5), sharex=True) ax[0].plot(trials, m1, label='DU-RW group', color='r') ax[0].fill_between(trials, u1, l1, color='r', alpha=.2) ax[0].plot(trials, m2, color='b', label='ED-HMM group')
def binom_conf_interval(k, n, conf=0.68269, interval='wilson'):
r"""Binomial proportion confidence interval given k successes,
n trials.
Parameters
----------
k : int or numpy.ndarray
Number of successes (0 <= ``k`` <= ``n``).
n : int or numpy.ndarray
Number of trials (``n`` > 0). If both ``k`` and ``n`` are arrays,
they must have the same shape.
conf : float in [0, 1], optional
Desired probability content of interval. Default is 0.68269,
corresponding to 1 sigma in a 1-dimensional Gaussian distribution.
interval : {'wilson', 'jeffreys', 'flat', 'wald'}, optional
Formula used for confidence interval. See notes for details. The
``'wilson'`` and ``'jeffreys'`` intervals generally give similar
results, while 'flat' is somewhat different, especially for small
values of ``n``. ``'wilson'`` should be somewhat faster than
``'flat'`` or ``'jeffreys'``. The 'wald' interval is generally not
recommended. It is provided for comparison purposes. Default is
``'wilson'``.
Returns
-------
conf_interval : numpy.ndarray
``conf_interval[0]`` and ``conf_interval[1]`` correspond to the lower
and upper limits, respectively, for each element in ``k``, ``n``.
Notes
-----
In situations where a probability of success is not known, it can
be estimated from a number of trials (N) and number of
observed successes (k). For example, this is done in Monte
Carlo experiments designed to estimate a detection efficiency. It
is simple to take the sample proportion of successes (k/N)
as a reasonable best estimate of the true probability
:math:`\epsilon`. However, deriving an accurate confidence
interval on :math:`\epsilon` is non-trivial. There are several
formulas for this interval (see [1]_). Four intervals are implemented
here:
**1. The Wilson Interval.** This interval, attributed to Wilson [2]_,
is given by
.. math::
CI_{\rm Wilson} = \frac{k + \kappa^2/2}{N + \kappa^2}
\pm \frac{\kappa n^{1/2}}{n + \kappa^2}
((\hat{\epsilon}(1 - \hat{\epsilon}) + \kappa^2/(4n))^{1/2}
where :math:`\hat{\epsilon} = k / N` and :math:`\kappa` is the
number of standard deviations corresponding to the desired
confidence interval for a *normal* distribution (for example,
1.0 for a confidence interval of 68.269%). For a
confidence interval of 100(1 - :math:`\alpha`)%,
.. math::
\kappa = \Phi^{-1}(1-\alpha/2) = \sqrt{2}{\rm erf}^{-1}(1-\alpha).
**2. The Jeffreys Interval.** This interval is derived by applying
Bayes' theorem to the binomial distribution with the
noninformative Jeffreys prior [3]_, [4]_. The noninformative Jeffreys
prior is the Beta distribution, Beta(1/2, 1/2), which has the density
function
.. math::
f(\epsilon) = \pi^{-1} \epsilon^{-1/2}(1-\epsilon)^{-1/2}.
The justification for this prior is that it is invariant under
reparameterizations of the binomial proportion.
The posterior density function is also a Beta distribution: Beta(k
+ 1/2, N - k + 1/2). The interval is then chosen so that it is
*equal-tailed*: Each tail (outside the interval) contains
:math:`\alpha`/2 of the posterior probability, and the interval
itself contains 1 - :math:`\alpha`. This interval must be
calculated numerically. Additionally, when k = 0 the lower limit
is set to 0 and when k = N the upper limit is set to 1, so that in
these cases, there is only one tail containing :math:`\alpha`/2
and the interval itself contains 1 - :math:`\alpha`/2 rather than
the nominal 1 - :math:`\alpha`.
**3. A Flat prior.** This is similar to the Jeffreys interval,
but uses a flat (uniform) prior on the binomial proportion
over the range 0 to 1 rather than the reparametrization-invariant
Jeffreys prior. The posterior density function is a Beta distribution:
Beta(k + 1, N - k + 1). The same comments about the nature of the
interval (equal-tailed, etc.) also apply to this option.
**4. The Wald Interval.** This interval is given by
.. math::
CI_{\rm Wald} = \hat{\epsilon} \pm
\kappa \sqrt{\frac{\hat{\epsilon}(1-\hat{\epsilon})}{N}}
The Wald interval gives acceptable results in some limiting
cases. Particularly, when N is very large, and the true proportion
:math:`\epsilon` is not "too close" to 0 or 1. However, as the
later is not verifiable when trying to estimate :math:`\epsilon`,
this is not very helpful. Its use is not recommended, but it is
provided here for comparison purposes due to its prevalence in
everyday practical statistics.
References
----------
.. [1] Brown, Lawrence D.; Cai, T. Tony; DasGupta, Anirban (2001).
"Interval Estimation for a Binomial Proportion". Statistical
Science 16 (2): 101-133. doi:10.1214/ss/1009213286
.. [2] Wilson, E. B. (1927). "Probable inference, the law of
succession, and statistical inference". Journal of the American
Statistical Association 22: 209-212.
.. [3] Jeffreys, Harold (1946). "An Invariant Form for the Prior
Probability in Estimation Problems". Proc. R. Soc. Lond.. A 24 186
(1007): 453-461. doi:10.1098/rspa.1946.0056
.. [4] Jeffreys, Harold (1998). Theory of Probability. Oxford
University Press, 3rd edition. ISBN 978-0198503682
Examples
--------
Integer inputs return an array with shape (2,):
>>> binom_conf_interval(4, 5, interval='wilson')
array([ 0.57921724, 0.92078259])
Arrays of arbitrary dimension are supported. The Wilson and Jeffreys
intervals give similar results, even for small k, N:
>>> binom_conf_interval([0, 1, 2, 5], 5, interval='wilson')
array([[ 0. , 0.07921741, 0.21597328, 0.83333304],
[ 0.16666696, 0.42078276, 0.61736012, 1. ]])
>>> binom_conf_interval([0, 1, 2, 5], 5, interval='jeffreys')
array([[ 0. , 0.0842525 , 0.21789949, 0.82788246],
[ 0.17211754, 0.42218001, 0.61753691, 1. ]])
>>> binom_conf_interval([0, 1, 2, 5], 5, interval='flat')
array([[ 0. , 0.12139799, 0.24309021, 0.73577037],
[ 0.26422963, 0.45401727, 0.61535699, 1. ]])
In contrast, the Wald interval gives poor results for small k, N.
For k = 0 or k = N, the interval always has zero length.
>>> binom_conf_interval([0, 1, 2, 5], 5, interval='wald')
array([[ 0. , 0.02111437, 0.18091075, 1. ],
[ 0. , 0.37888563, 0.61908925, 1. ]])
For confidence intervals approaching 1, the Wald interval for
0 < k < N can give intervals that extend outside [0, 1]:
>>> binom_conf_interval([0, 1, 2, 5], 5, interval='wald', conf=0.99)
array([[ 0. , -0.26077835, -0.16433593, 1. ],
[ 0. , 0.66077835, 0.96433593, 1. ]])
"""
if conf < 0. or conf > 1.:
raise ValueError('conf must be between 0. and 1.')
alpha = 1. - conf
k = np.asarray(k).astype(np.int)
n = np.asarray(n).astype(np.int)
if (n <= 0).any():
raise ValueError('n must be positive')
if (k < 0).any() or (k > n).any():
raise ValueError('k must be in {0, 1, .., n}')
if interval == 'wilson' or interval == 'wald':
from scipy.special import erfinv
kappa = np.sqrt(2.) * min(erfinv(conf), 1.e10) # Avoid overflows.
k = k.astype(np.float)
n = n.astype(np.float)
p = k / n
if interval == 'wilson':
midpoint = (k + kappa ** 2 / 2.) / (n + kappa ** 2)
halflength = (kappa * np.sqrt(n)) / (n + kappa ** 2) * \
np.sqrt(p * (1 - p) + kappa ** 2 / (4 * n))
conf_interval = np.array([midpoint - halflength,
midpoint + halflength])
# Correct intervals out of range due to floating point errors.
conf_interval[conf_interval < 0.] = 0.
conf_interval[conf_interval > 1.] = 1.
else:
midpoint = p
halflength = kappa * np.sqrt(p * (1. - p) / n)
conf_interval = np.array([midpoint - halflength,
midpoint + halflength])
elif interval == 'jeffreys' or interval == 'flat':
from scipy.special import betaincinv
if interval == 'jeffreys':
lowerbound = betaincinv(k + 0.5, n - k + 0.5, 0.5 * alpha)
upperbound = betaincinv(k + 0.5, n - k + 0.5, 1. - 0.5 * alpha)
else:
lowerbound = betaincinv(k + 1, n - k + 1, 0.5 * alpha)
upperbound = betaincinv(k + 1, n - k + 1, 1. - 0.5 * alpha)
# Set lower or upper bound to k/n when k/n = 0 or 1
# We have to treat the special case of k/n being scalars,
# which is an ugly kludge
if lowerbound.ndim == 0:
if k == 0:
lowerbound = 0.
elif k == n:
upperbound = 1.
else:
lowerbound[k == 0] = 0
upperbound[k == n] = 1
conf_interval = np.array([lowerbound, upperbound])
else:
raise ValueError('Unrecognized interval: {0:s}'.format(interval))
return conf_interval
def f(left_a):
left, right = max(1e-8, float(special.betaincinv(x+1, n-x+1, left_a))), min(1-1e-8, float(special.betaincinv(x+1, n-x+1, left_a + conf)))
top = math.exp(math.log(right)*(x+1) + math.log(1-right)*(n-x+1) + math.log(left) + math.log(1-left) - bl) - math.exp(math.log(left)*(x+1) + math.log(1-left)*(n-x+1) + math.log(right) + math.log(1-right) - bl)
bottom = (x - n*right)*left*(1-left) - (x - n*left)*right*(1-right)
return top/bottom
valArray1, valArray2 = np.meshgrid(valVect, valVect)
valArray = np.array([valArray1.flatten(), valArray2.flatten()])
print(valArray.shape)
tempss = valArray[0, 1]
print(tempss)
# initial drawing scheme
numChoices = np.size(valArray, 1)
probArray = np.ones((numChoices, 1)) * (1 / numChoices)
# correct vs incorrect counts
correctAndIncorrectCounts = np.ones((numChoices, 2))
for k in np.arange(50):
drawInd = np.random.choice(numChoices, 1, p=probArray.flatten())
# update count array depending on response
correctFlag = 1
if correctFlag:
correctAndIncorrectCounts[drawInd, 0] += 1
else:
correctAndIncorrectCounts[drawInd, 1] += 1
# update probabilities based on counts
probArray = 1 - betaincinv(correctAndIncorrectCounts[:, 0],
correctAndIncorrectCounts[:, 1], 1 / (1 + 2))
probArray = probArray / sum(probArray)
print(probArray)