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...
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...)LuigiOn Fri, Aug 28, 2015 at 9:30 PM Peter Caspers <[hidden email]> 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
<[hidden email]> 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 <[hidden email]>
> 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 <[hidden email]>
>> 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 <[hidden email]>
>>> 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 <[hidden email]>
>>> > 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 <[hidden email]>
>>> >> 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://leanpub.com/implementingquantlib/>
>>> > <http://implementingquantlib.com>
>>> > <http://twitter.com/lballabio>
>>
>> --
>>
>> <http://leanpub.com/implementingquantlib/>
>> <http://implementingquantlib.com>
>> <http://twitter.com/lballabio>
>>
>>
>>
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>>
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