Antithetic draws explicitly generated

Calculation of a simple integral using Monte-Carlo integration. It illustrates how to use antothetic draws, explicitly generared.

author:

Michel Bierlaire, EPFL

date:

Thu Apr 13 20:49:50 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

R = 10000

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('fake_database', 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)

my_draws = {'HALTON13': (halton13, 'Halton draws, base 13, skipping 10')}
database.setRandomNumberGenerators(my_draws)

U = bioDraws('U', 'UNIFORM')
integrand = exp(U) + exp(1 - U)
simulatedI = MonteCarlo(integrand) / 2.0

U_halton13 = bioDraws('U_halton13', 'HALTON13')
integrand_halton13 = exp(U_halton13) + exp(1 - U_halton13)
simulatedI_halton13 = MonteCarlo(integrand_halton13) / 2.0

U_mlhs = bioDraws('U_mlhs', 'UNIFORM_MLHS')
integrand_mlhs = exp(U_mlhs) + exp(1 - U_mlhs)
simulatedI_mlhs = MonteCarlo(integrand_mlhs) / 2.0

trueI = exp(1.0) - 1.0

error = simulatedI - trueI

error_halton13 = simulatedI_halton13 - trueI

error_mlhs = simulatedI_mlhs - trueI

simulate = {
    'Analytical Integral': trueI,
    'Simulated Integral': simulatedI,
    'Error             ': error,
    'Simulated Integral (Halton13)': simulatedI_halton13,
    'Error (Halton13)             ': error_halton13,
    'Simulated Integral (MLHS)': simulatedI_mlhs,
    'Error (MLHS)             ': error_mlhs,
}

biosim = bio.BIOGEME(database, simulate)
biosim.modelName = 'b03antithetic_explicit'

results = biosim.simulate(theBetaValues={})
results

	Analytical Integral	Simulated Integral	Error	Simulated Integral (Halton13)	Error (Halton13)	Simulated Integral (MLHS)	Error (MLHS)
0	1.718282	1.718282	3.982962e-07	1.718282	1.315155e-08	1.718282	4.733991e-13

print(f"Analytical integral: {results.iloc[0]['Analytical Integral']:.6f}")
print(
    f"         \t{'Uniform (Anti)':>15}\t{'Halton13 (Anti)':>15}\t{'MLHS (Anti)':>15}"
)
print(
    f"Simulated\t{results.iloc[0]['Simulated Integral']:>15.6g}\t"
    f"{results.iloc[0]['Simulated Integral (Halton13)']:>15.6g}\t"
    f"{results.iloc[0]['Simulated Integral (MLHS)']:>15.6g}"
)
print(
    f"Error\t\t{results.iloc[0]['Error             ']:>15.6g}\t"
    f"{results.iloc[0]['Error (Halton13)             ']:>15.6g}\t"
    f"{results.iloc[0]['Error (MLHS)             ']:>15.6g}"
)

Analytical integral: 1.718282
                 Uniform (Anti) Halton13 (Anti)     MLHS (Anti)
Simulated               1.71828         1.71828         1.71828
Error               3.98296e-07     1.31515e-08     4.73399e-13