http://quantlib.414.s1.nabble.com/incremental-statistics-tp16828p16865.html
would fit into the general concept. Maybe it is better to just leave
etc. and the statistical computations separated in the respective
(variance, skewness, kurtosis, error estimate). The right way would
contribution to boost. I just placed appropriate factors in the
On 29 August 2015 at 14:52, Ferdinando M. Ametrano
> 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" <
[hidden email]> 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 <
[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
>>> >>> >>
>>> >>> >>
>>> >>> >>
>>> >>> >>
>>> >>> >> ------------------------------------------------------------------------------
>>> >>> >> _______________________________________________
>>> >>> >> QuantLib-dev mailing list
>>> >>> >>
[hidden email]
>>> >>> >>
https://lists.sourceforge.net/lists/listinfo/quantlib-dev>>> >>> >
>>> >>> > --
>>> >>> >
>>> >>> > <
http://leanpub.com/implementingquantlib/>
>>> >>> > <
http://implementingquantlib.com>
>>> >>> > <
http://twitter.com/lballabio>
>>> >>
>>> >> --
>>> >>
>>> >> <
http://leanpub.com/implementingquantlib/>
>>> >> <
http://implementingquantlib.com>
>>> >> <
http://twitter.com/lballabio>
>>> >>
>>> >>
>>> >>
>>> >>
>>> >> ------------------------------------------------------------------------------
>>> >>
>>> >> _______________________________________________
>>> >> QuantLib-dev mailing list
>>> >>
[hidden email]
>>> >>
https://lists.sourceforge.net/lists/listinfo/quantlib-dev>>> >>
>>> >
>>
>> --
>>
>> <
http://leanpub.com/implementingquantlib/>
>> <
http://implementingquantlib.com>
>> <
http://twitter.com/lballabio>