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Various integration methods
Calculation of a simple integral using numerical integration and Monte-Carlo integration with various types of draws, including Halton draws base 13. It illustrates how to use draws that are not directly available in Biogeme.
- author:
Michel Bierlaire, EPFL
- date:
Thu Apr 13 20:46:01 2023
import numpy as np
import pandas as pd
import biogeme.database as db
import biogeme.biogeme as bio
from biogeme import draws
from biogeme.expressions import exp, bioDraws, MonteCarlo
We create a fake database with one entry, as it is required to store the draws.
df = pd.DataFrame()
df['FakeColumn'] = [1.0]
database = db.Database('fakeDatabase', df)
def halton13(sample_size: int, number_of_draws: int) -> np.array:
"""
The user can define new draws. For example, Halton draws
with base 13, skipping the first 10 draws.
:param sample_size: number of observations for which draws must be
generated.
:param number_of_draws: number of draws to generate.
"""
return draws.getHaltonDraws(sample_size, number_of_draws, base=13, skip=10)
mydraws = {'HALTON13': (halton13, 'Halton draws, base 13, skipping 10')}
database.setRandomNumberGenerators(mydraws)
Integrate with pseudo-random number generator.
integrand = exp(bioDraws('U', 'UNIFORM'))
simulatedI = MonteCarlo(integrand)
Integrate with Halton draws, base 2.
integrand_halton = exp(bioDraws('U_halton', 'UNIFORM_HALTON2'))
simulatedI_halton = MonteCarlo(integrand_halton)
Integrate with Halton draws, base 13.
integrand_halton13 = exp(bioDraws('U_halton13', 'HALTON13'))
simulatedI_halton13 = MonteCarlo(integrand_halton13)
Integrate with MLHS.
integrand_mlhs = exp(bioDraws('U_mlhs', 'UNIFORM_MLHS'))
simulatedI_mlhs = MonteCarlo(integrand_mlhs)
True value
trueI = exp(1.0) - 1.0
Number of draws.
R = 20000
sampleVariance = MonteCarlo(integrand * integrand) - simulatedI * simulatedI
stderr = (sampleVariance / R) ** 0.5
error = simulatedI - trueI
sampleVariance_halton = (
MonteCarlo(integrand_halton * integrand_halton)
- simulatedI_halton * simulatedI_halton
)
stderr_halton = (sampleVariance_halton / R) ** 0.5
error_halton = simulatedI_halton - trueI
sampleVariance_halton13 = (
MonteCarlo(integrand_halton13 * integrand_halton13)
- simulatedI_halton13 * simulatedI_halton13
)
stderr_halton13 = (sampleVariance_halton13 / R) ** 0.5
error_halton13 = simulatedI_halton13 - trueI
sampleVariance_mlhs = (
MonteCarlo(integrand_mlhs * integrand_mlhs) - simulatedI_mlhs * simulatedI_mlhs
)
stderr_mlhs = (sampleVariance_mlhs / R) ** 0.5
error_mlhs = simulatedI_mlhs - trueI
simulate = {
'Analytical Integral': trueI,
'Simulated Integral': simulatedI,
'Sample variance ': sampleVariance,
'Std Error ': stderr,
'Error ': error,
'Simulated Integral (Halton)': simulatedI_halton,
'Sample variance (Halton) ': sampleVariance_halton,
'Std Error (Halton) ': stderr_halton,
'Error (Halton) ': error_halton,
'Simulated Integral (Halton13)': simulatedI_halton13,
'Sample variance (Halton13) ': sampleVariance_halton13,
'Std Error (Halton13) ': stderr_halton13,
'Error (Halton13) ': error_halton13,
'Simulated Integral (MLHS)': simulatedI_mlhs,
'Sample variance (MLHS) ': sampleVariance_mlhs,
'Std Error (MLHS) ': stderr_mlhs,
'Error (MLHS) ': error_mlhs,
}
biosim = bio.BIOGEME(database, simulate)
biosim.modelName = 'b02simple_integral'
results = biosim.simulate(theBetaValues={})
results
Reorganize the results.
print(f'Analytical integral: {results.iloc[0]["Analytical Integral"]:.6g}')
print(f" \t{'Uniform':>15}\t{'Halton':>15}\t{'Halton13':>15}\t{'MLHS':>15}")
print(
f'Simulated\t{results.iloc[0]["Simulated Integral"]:>15.6g}\t'
f'{results.iloc[0]["Simulated Integral (Halton)"]:>15.6g}\t'
f'{results.iloc[0]["Simulated Integral (Halton13)"]:>15.6g}\t'
f'{results.iloc[0]["Simulated Integral (MLHS)"]:>15.6g}'
)
print(
f'Sample var.\t{results.iloc[0]["Sample variance "]:>15.6g}\t'
f'{results.iloc[0]["Sample variance (Halton) "]:>15.6g}\t'
f'{results.iloc[0]["Sample variance (Halton13) "]:>15.6g}\t'
f'{results.iloc[0]["Sample variance (MLHS) "]:>15.6g}'
)
print(
f'Std error\t{results.iloc[0]["Std Error "]:>15.6g}\t'
f'{results.iloc[0]["Std Error (Halton) "]:>15.6g}\t'
f'{results.iloc[0]["Std Error (Halton13) "]:>15.6g}\t'
f'{results.iloc[0]["Std Error (MLHS) "]:>15.6g}'
)
print(
f'Error\t\t{results.iloc[0]["Error "]:>15.6g}\t'
f'{results.iloc[0]["Error (Halton) "]:>15.6g}\t'
f'{results.iloc[0]["Error (Halton13) "]:>15.6g}\t'
f'{results.iloc[0]["Error (MLHS) "]:>15.6g}'
)
Analytical integral: 1.71828
Uniform Halton Halton13 MLHS
Simulated 1.71831 1.71828 1.71828 1.71828
Sample var. 0.242098 0.242036 0.242035 0.242036
Std error 0.00347921 0.00347876 0.00347876 0.00347876
Error 2.71241e-05 -2.44244e-07 -6.10394e-07 -4.16422e-12
Total running time of the script: (0 minutes 48.422 seconds)