Re: [Quantlib-dev] incremental statistics

[Ferdinando M. A. <fer...@am...>]

Statistics, random numbers, and distributions! I might even suggest that
stats and distributions should be boostified at the same time.

Wouldn't this be a good student assignement? Too bad Google summer of code
is just over...
On Aug 29, 2015 2:34 PM, "Luigi Ballabio" <lui...@gm...> wrote:

> 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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>> >>> > <http://implementingquantlib.com>
>> >>> > <http://twitter.com/lballabio>
>> >>
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>> >> <http://implementingquantlib.com>
>> >> <http://twitter.com/lballabio>
>> >>
>> >>
>> >>
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