Commit 50c864ac authored by Médéric Boquien's avatar Médéric Boquien

Use a much more readable formula to compute the uncertainties. We use the fact...

Use a much more readable formula to compute the uncertainties. We use the fact that Var(X) = E(Var(X)) + Var(E(X)). At the same time, broadcast the weights array to the same shape as the other arrays in order to simplify the syntax for the computation.
parent a29c06f1
......@@ -72,7 +72,7 @@ class BayesResultsManager(object):
means = np.array([result.means for result in results])
errors = np.array([result.errors for result in results])
weights = np.array([result.weights for result in results])
weights = np.array([result.weights for result in results])[..., None]
merged = results[0]
merged._means = shared_array((merged.nobs, merged.nproperties))
......@@ -80,16 +80,16 @@ class BayesResultsManager(object):
merged._weights = None
sumweights = np.sum(weights, axis=0)
merged.means[:] = np.sum(means*weights[:, :, None], axis=0) / \
sumweights[:, None]
merged.means[:] = np.sum(means * weights, axis=0) / sumweights
# We compute the merged standard deviation by combining the standard
# deviations for each block. This is done using a parallel algorithm.
# See https://en.wikipedia.org/wiki/Algorithms_for_calculating_variance#Parallel_algorithm
# deviations for each block. See http://stats.stackexchange.com/a/10445
# where the number of datapoints has been substituted with the weights.
merged.errors[:] = np.sqrt((np.sum(errors**2.*weights[:, :, None], axis=0) +
np.sum((means[1:, :, :]-means[:1, :, :])**2 *
(weights[1:, :]*weights[:1, :] / sumweights)[:, :, None],
axis=0)) / sumweights[:, None])
# In short we exploit the fact that Var(X) = E(Var(X)) + Var(E(X)).
merged.errors[:] = np.sqrt(np.sum(weights * (errors**2 +
(means-merged.means)**2), axis=0) /
sumweights)
return merged
......
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