class ValueFunctionSpline:
def __init__(self,X,y,k,sigma,beta):
self.sigma = sigma
self.beta = beta
if sigma == 1.0:
y = np.exp((1-beta)*y)
else:
y = ((1-beta)*(1.0-sigma)*y)**(1.0/(1.0-sigma))
self.f = Spline(X,y,k)
def fit(self,X,y,k):
if self.sigma == 1.0:
y = np.exp((1-self.beta)*y)
else:
y = ((1-self.beta)*(1.0-self.sigma)*y)**(1.0/(1.0-self.sigma))
self.f.fit(X,y,k)
def getCoeffs(self):
return self.f.getCoeffs()
def __call__(self,X,d = None):
if d==None:
if self.sigma == 1.0:
return np.log(self.f(X,d))/(1-self.beta)
else:
return (self.f(X,d)**(1.0-self.sigma))/((1.0-self.sigma)*(1-self.beta))
if sum(d)==1:
return self.f(X)**(-self.sigma) * self.f(X,d)/(1-self.beta)
raise Exception('Error: d must equal None or 1')
class posterioDistriubtion(object):
def __init__(self,p_d,pdf,d):
self.mu = Spline(p_d,pdf,d)
self.moments = {}
def fit(self,p_d,pdf,d):
self.mu.fit(p_d,pdf,d)
def __call__(self,p_d):
if isinstance(p_d,float) or len(p_d) ==1:
return self.mu.feval1d(float(p_d))
else:
return self.mu(p_d)
def getMoment(self,m):
if not self.moments.has_key(m):
if m == 1:
self.moments[1] = quad(lambda p_d: p_d*self(p_d),0.0,1.0,full_output=1)[0]
else:
Ep_d = self.getMoment(1)
mom = quad(lambda p_d: (p_d-Ep_d)**m*self(p_d),0.0,1.0,full_output=1)[0]
if mom < 0:
self.moments[m] = -(-mom)**(1.0/m)
else:
self.moments[m] = mom**(1.0/m)
return self.moments[m]
def getMoments(self,m = [1,2,3]):
return np.array(map(self.getMoment,m))
class posterioDistriubtion(object):
def __init__(self, p_d, pdf, d):
self.mu = Spline(p_d, pdf, d)
self.moments = {}
def fit(self, p_d, pdf, d):
self.mu.fit(p_d, pdf, d)
def __call__(self, p_d):
if isinstance(p_d, float) or len(p_d) == 1:
return self.mu.feval1d(float(p_d))
else:
return self.mu(p_d)
def getMoment(self, m):
if not self.moments.has_key(m):
if m == 1:
self.moments[1] = quad(lambda p_d: p_d * self(p_d),
0.0,
1.0,
full_output=1)[0]
else:
Ep_d = self.getMoment(1)
mom = quad(lambda p_d: (p_d - Ep_d)**m * self(p_d),
0.0,
1.0,
full_output=1)[0]
if mom < 0:
self.moments[m] = -(-mom)**(1.0 / m)
else:
self.moments[m] = mom**(1.0 / m)
return self.moments[m]
def getMoments(self, m=[1, 2, 3]):
return np.array(map(self.getMoment, m))
class ValueFunctionSpline:
def __init__(self, X, y, k, sigma, beta):
self.sigma = sigma
self.beta = beta
if sigma == 1.0:
y = np.exp((1 - beta) * y)
else:
y = ((1 - beta) * (1.0 - sigma) * y)**(1.0 / (1.0 - sigma))
self.f = Spline(X, y, k)
def fit(self, X, y, k):
if self.sigma == 1.0:
y = np.exp((1 - self.beta) * y)
else:
y = ((1 - self.beta) * (1.0 - self.sigma) *
y)**(1.0 / (1.0 - self.sigma))
self.f.fit(X, y, k)
def getCoeffs(self):
return self.f.getCoeffs()
def __call__(self, X, d=None):
if d == None:
if self.sigma == 1.0:
return np.log(self.f(X, d)) / (1 - self.beta)
else:
return (self.f(X, d)**(1.0 - self.sigma)) / (
(1.0 - self.sigma) * (1 - self.beta))
if d == 1:
return self.f(X)**(-self.sigma) * self.f(X, 1) / (1 - self.beta)
raise Exception('Error: d must equal None or 1')
