Re: [Quantlib-dev] incremental statistics

[Luigi B. <lui...@gm...>]

I suppose there's a Boost accumulator that can replace GeneralStatistics,
too? (That is, one that stores and can return the whole set of samples?)

As for switching: I'm all for it, but the switch itself is going to need
some thinking if we're to let the two interfaces coexist for a release or
two. MonteCarloModel<MC, RNG, Statistics> and MonteCarloModel<MC, RNG,
Boost.Whatever> should both work. I guess we could use traits of enable_if
underneath...

(The second leg of this would be to give our random-number generators the
same interface as the ones in Boost and the C++11 standard so that we can
eventually replace those, too. Performance would be more of a sensitive
issue in this case, though...)

Luigi


On Fri, Aug 28, 2015 at 9:30 PM Peter Caspers <pca...@gm...>
wrote:

> Yes sure, I kept the interface as is and just replaced the
> implementation for now. Since the member variables are protected this
> is not 100% backward compatible because classes might derive from
> IncrementalStatistics using these variables. But this is not done in
> QuantLib itself, so I would say we just ignore this.
>
> On 28 August 2015 at 20:42, Ferdinando M. Ametrano
> <fer...@am...> wrote:
> > I'm all in favor of replacing the implementation of QL statistics classes
> > with boost. Then deprecate QL interfaces and switch to boost
> altogether.We
> > might just have some finance related risk measures to keep. It has always
> > been a dream pet project of mine... if i only had time...
> >
> > On Thu, Aug 27, 2015 at 10:48 AM, Luigi Ballabio <
> lui...@gm...>
> > wrote:
> >>
> >> Ok, thanks. (The reason I asked is that the small memory footprint is
> the
> >> very reason IncrementalStatistics is there in the first place.
> Otherwise,
> >> one would just use GeneralStatistics instead.)
> >>
> >>
> >> On Thu, Aug 27, 2015 at 10:45 AM Peter Caspers <pca...@gm...>
> >> wrote:
> >>>
> >>> This will in general depend on the specific accumulator, but I would
> >>> assume so for the ones we need here. The documentation isn't overly
> >>> explicit about that, the only hint seems to be
> >>>
> >>> "This works, but some accumulators are not cheap to copy. For example,
> >>> the tail andtail_variate<> accumulators must store a std::vector<>, so
> >>> copying these accumulators involves a dynamic allocation."
> >>>
> >>>  I will test the memory usage though, to be sure.
> >>>
> >>> Peter
> >>>
> >>>
> >>> On 27 August 2015 at 09:58, Luigi Ballabio <lui...@gm...>
> >>> wrote:
> >>> > Do they have the same behavior? (That is, keep the statistics but
> >>> > discard
> >>> > the data?) If so, yes, it would probably make the code simpler.
> >>> >
> >>> > Luigi
> >>> >
> >>> > On Thu, Aug 27, 2015 at 9:17 AM Peter Caspers <
> pca...@gm...>
> >>> > wrote:
> >>> >>
> >>> >> ... another idea would be to remove the core from
> >>> >> IncrementalStatistics and replace it with boost accumulators (they
> are
> >>> >> present since 1.36, so it should be ok), just leaving the interface
> in
> >>> >> place. Shall I do that ?
> >>> >> Peter
> >>> >>
> >>> >> On 20 August 2015 at 17:56, Peter Caspers <pca...@gm...>
> >>> >> wrote:
> >>> >> > Hi,
> >>> >> >
> >>> >> > here
> >>> >> >
> >>> >> >
> >>> >> >
> >>> >> >
> https://github.com/lballabio/quantlib/blob/master/QuantLib/ql/math/statistics/incrementalstatistics.cpp#L56
> >>> >> >
> >>> >> > is a check for a negative variance estimation. Indeed I observe
> this
> >>> >> > happens due to numerical issues sometimes. However, if this is the
> >>> >> > only source for the exception to be thrown, couldn't we just omit
> >>> >> > the
> >>> >> > check and return the value or if you want max ( v, 0.0 ) ?
> >>> >> >
> >>> >> > In applications it is somewhat unexpected to get an exception when
> >>> >> > just asking for a variance estimation on valid data.
> >>> >> >
> >>> >> > Thank you
> >>> >> > Peter
> >>> >>
> >>> >>
> >>> >>
> >>> >>
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> >>
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> >>
> >>
> >>
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