stat-methods/notebooks/kotlin/CLT-Kotlin.ipynb

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"Plotly.jupyter.notebook()"
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"<div style=\"color: blue;\">Plotly notebook integration switch into the legacy mode.<\/div>\n"
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"source":[
"# Центральная предельная теорема\n",
"\n",
"[Центральная предельная теорема](https:\/\/ru.wikipedia.org\/wiki\/%D0%A6%D0%B5%D0%BD%D1%82%D1%80%D0%B0%D0%BB%D1%8C%D0%BD%D0%B0%D1%8F_%D0%BF%D1%80%D0%B5%D0%B4%D0%B5%D0%BB%D1%8C%D0%BD%D0%B0%D1%8F_%D1%82%D0%B5%D0%BE%D1%80%D0%B5%D0%BC%D0%B0) в вльной формулировке гласит, что сумма случайных величин, имеющих распределение с конечным средним и дисперсией, распределена по нормальному распределению со средним, равным сумме средних компонент и дисперсией, равно сумме дисперсий.\n",
"\n",
"На доказательство этой теоремы в общем виде обычно уходит львиная доля семестра в курсе теории вероятности. В данной задаче мы попробуем проверить эту теорему на практике.\n",
"\n",
"Для этого мы возьмем некоторое распределение и посчитаем численно распределение суммы.\n",
"\n",
"Для решения задачи нам потребуется:\n",
"\n",
"* Определить функцию плотности вероятности распределения\n",
"* Создать функцию для расчета распределения суммы двух случайных величин. Распределение суммы случайных величин вычисляется как свертка распределений (см. ниже).\n",
"* Последовательно посчитатать распределение суммы нескольких величин `a + a + a + a = (((a + a) + a) +a)`\n",
"* Сравнить результат с нормальным распределением.\n",
"\n",
"Для решения задачи может понадобится представление функции в виде набора точек при помощи процедуры [линейной интерпояции](https:\/\/ru.wikipedia.org\/wiki\/%D0%9B%D0%B8%D0%BD%D0%B5%D0%B9%D0%BD%D0%B0%D1%8F_%D0%B8%D0%BD%D1%82%D0%B5%D1%80%D0%BF%D0%BE%D0%BB%D1%8F%D1%86%D0%B8%D1%8F).\n",
"\n",
"## Свертка\n",
"\n",
"[Сверткой](https:\/\/ru.wikipedia.org\/wiki\/%D0%A1%D0%B2%D1%91%D1%80%D1%82%D0%BA%D0%B0_(%D0%BC%D0%B0%D1%82%D0%B5%D0%BC%D0%B0%D1%82%D0%B8%D1%87%D0%B5%D1%81%D0%BA%D0%B8%D0%B9_%D0%B0%D0%BD%D0%B0%D0%BB%D0%B8%D0%B7)) \n",
"двух функций называется следующее интегральное преобразование:\n",
"$$\n",
" h(x) = f(x) \\otimes g(x) = \\int {f(x-y) g(y) dy }\n",
"$$\n",
"Интегрирование ведется по всей области определения функций. Очевидно, что переменные под интегрированием можно менять местами. Для вычисления интеграла можно использовать [метод прямоугольников](https:\/\/ru.wikipedia.org\/wiki\/%D0%9C%D0%B5%D1%82%D0%BE%D0%B4_%D0%BF%D1%80%D1%8F%D0%BC%D0%BE%D1%83%D0%B3%D0%BE%D0%BB%D1%8C%D0%BD%D0%B8%D0%BA%D0%BE%D0%B2) или [метод трапеций](https:\/\/ru.wikipedia.org\/wiki\/%D0%9C%D0%B5%D1%82%D0%BE%D0%B4_%D1%82%D1%80%D0%B0%D0%BF%D0%B5%D1%86%D0%B8%D0%B9)."
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"\n",
"## Интерполяция\n",
"\n",
"Для помощи в решении задачи можно использовать готовую реализацию линейной интерполяции."
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"typealias Function = (Double) -> Double\n",
"\n",
"fun pointsFromRange(from: Double, to: Double, numPoints: Int = 100): List<Double>{\n",
" require( to > from)\n",
" require(numPoints > 2)\n",
" val step = (to - from)\/(numPoints - 1)\n",
" require(step>0)\n",
" return List(numPoints){i -> from + step * i}\n",
"}\n",
"\n",
"fun Function.interpolate(from: Double, to: Double, numPoints: Int = 100): Function{\n",
" \/\/compute xs\n",
" val xs = pointsFromRange(from, to, numPoints) \n",
" \/\/compute function values\n",
" val ys = xs.map{ invoke(it) }\n",
" \n",
" \/\/ return an anonimous function\n",
" return { x ->\n",
" \/\/ check interpolation region. Zerop outside the region\n",
" if(x < xs.first() || x > xs.last()) 0.0\n",
" \/\/ find section number\n",
" val num: Int = xs.indexOfFirst { it > x }\n",
" \/\/ num >=1\n",
" if(num <= 0){\n",
" 0.0\n",
" } else{\n",
" \/\/return the result as last expression\n",
" ys[num - 1] + (ys[num] - ys[num - 1])\/(xs[num] - xs[num - 1])*(x - xs[num - 1])\n",
" }\n",
" }\n",
"}"
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"source":[
"# Решение"
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"source":[
"### Проверка"
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"fun l2RelativeDiff(res: Function, order: Int, baseDispersion: Double): Double{\n",
" val numPointForDiff = 100\n",
" val dispersion = baseDispersion * order\n",
" val sigma = sqrt(dispersion)\n",
" val xs = ArrayList<Double>()\n",
" for(i in 0 until numPointForDiff){\n",
" xs.add(-3*sigma + i.toDouble()\/(numPointForDiff-1)*6*sigma)\n",
" }\n",
"\n",
" fun normal(x: Double): Double{\n",
" return 1.0\/sqrt(2* PI*dispersion)*exp(-x.pow(2)\/2.0\/dispersion)\n",
" }\n",
"\n",
" return xs.sumOf{ x-> \n",
" (res(x)\/normal(x) - 1.0).pow(2)\n",
" }\n",
"}"
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"\n",
"fun integrate(f: Function, from: Double, to: Double, numPoints: Int = 100): Double{\n",
" val xs = pointsFromRange(from, to, numPoints)\n",
" return xs.sumOf { f(it) } * (to - from) \/ numPoints\n",
"}\n",
"\n",
"fun convolve(f: Function, g: Function, from: Double, to: Double, numPoints: Int = 100): Function{\n",
" val res: Function = { x ->\n",
" val integrand: Function = { y -> f(x - y) * g(y)}\n",
" integrate(integrand, from, to, numPoints)\n",
" }\n",
"\n",
" \/\/We need interpolation here to limit complexity\n",
" \/\/With interpolation it linear, without it is exponential\n",
" return res.interpolate(from, to, numPoints)\n",
"}"
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"val f: Function = {x -> if(x in (-1.0..1.0)) 0.5 else 0.0}\n",
"\n",
"val from = -5.0\n",
"val to = 5.0\n",
"\n",
"val num = 300\n",
"\n",
"val first: Function = convolve(f, f, from, to, num)\n",
"val second: Function = convolve(first, f, from, to, num)\n",
"val third: Function = convolve(second, f, from, to, num)\n",
"val fourth: Function = convolve(third, f, from, to, num)\n",
"val fifth: Function = convolve(fourth, f, from, to, num)"
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"node_id":"81kNX1pA9p6s28xxrLf9cr",
"type":"CODE",
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{
"cell_type":"code",
"source":[
"val xs = pointsFromRange(from, to, num)\n",
"\n",
"Plotly.plot { \n",
"\n",
" scatter { \n",
" name = \"initial\"\n",
" x.numbers = xs\n",
" y.numbers = xs.map(f)\n",
" }\n",
"\n",
" scatter { \n",
" name = \"first\"\n",
" x.numbers = xs\n",
" y.numbers = xs.map(first)\n",
" }\n",
"\n",
" scatter { \n",
" name = \"second\"\n",
" x.numbers = xs\n",
" y.numbers = xs.map(second)\n",
" }\n",
"\n",
" scatter { \n",
" name = \"fifth\"\n",
" x.numbers = xs\n",
" y.numbers = xs.map(fifth)\n",
" }\n",
"\n",
" val d = 6.0\/3.0\n",
"\n",
"\n",
" scatter { \n",
" name = \"normal\"\n",
" x.numbers = xs\n",
" y.numbers = xs.map{1.0\/sqrt(2*PI*d) * exp(- it.pow(2)\/d\/2) }\n",
" }\n",
" }"
],
"execution_count":7,
"outputs":[
{
"data":{
"text\/html":[
"<html>\n",
" <head>\n",
" <meta charset=\"utf-8\">\n",
" <title>Plotly.kt<\/title>\n",
" <script type=\"text\/javascript\" src=\"https:\/\/cdn.plot.ly\/plotly-1.54.6.min.js\"><\/script>\n",
" <\/head>\n",
" <body>\n",
" <div id=\"space.kscience.plotly.Plot@7acaf8c6\">\n",
" <script>if(typeof Plotly !== \"undefined\"){\n",
" Plotly.react(\n",
" 'space.kscience.plotly.Plot@7acaf8c6',\n",
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" {},\n",
" {}\n",
" ); \n",
"} else {\n",
" console.error(\"Plotly not loaded\")\n",
"}<\/script>\n",
" <\/div>\n",
" <\/body>\n",
"<\/html>\n"
]
},
"metadata":{
},
"output_type":"display_data"
}
],
"metadata":{
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}
}
},
{
"cell_type":"code",
"source":[
"l2RelativeDiff(fifth, 5,1.0)"
],
"execution_count":8,
"outputs":[
{
"data":{
"text\/plain":[
"53.72510082115637"
]
},
"metadata":{
},
"output_type":"display_data"
}
],
"metadata":{
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}
},
{
"cell_type":"code",
"source":[
],
"execution_count":null,
"outputs":[
],
"metadata":{
"datalore":{
"node_id":"CUEoUJHnmZiaadKblP7Tyk",
"type":"CODE",
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"hide_output_from_viewers":true
}
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}
],
"metadata":{
"kernelspec":{
"display_name":"Kotlin",
"language":"kotlin",
"name":"kotlin"
},
"datalore":{
"computation_mode":"REACTIVE",
"package_manager":"pip",
"base_environment":"default",
"packages":[
],
"report_row_ids":[
],
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},
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"nbformat_minor":4
}