{ "cells": [ { "cell_type": "markdown", "metadata": {}, "source": [ "这一节开始介绍采样相关的内容，在介绍采样技术之前，我们首先需要弄清楚，为什么要采样？采样能用来干嘛？一般来说，采样用于对某个**已知定义的复杂概率分布**计算其相关指标，比如经验分布、均值、方差、以及函数期望等，这句话读起来可能还是有些抽象，下面直接介绍几个采样的应用" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "### 一.求经验分布\n", "对于某个已知的复杂分布，我们有时需要求解其经验分布，但是手头又没有样本，这时就可以通过采样的方式的求解了，流程如下，通过采样得到的少数样本，我们就可以大致还原原始的概率分布了，当然采的量越多，还原的越精准\n", "![avatar](./source/12_sampling_经验分布demo.png)" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "### 二.求数学期望\n", "由于能得到随机变量的经验分布，那我们接下来就可以对定义在随机变量空间上的函数求期望啦，假如我们在随机变量$X$上定义了一个函数$f(X)$，假如$X\\sim P(x)$，我们对$P(X)$采样了$n$个样本：$\\{x_1,x_2,...,x_n\\}$，那么就有： \n", "\n", "$$\n", "E_{X\\sim P(X)}[f(X)]=\\int_xp(x)f(x)dx\\approx \\frac{1}{n}\\sum_{i=1}^nf(x_i)\n", "$$" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "### 三.求积分\n", "从上面的应用进一步得到启发，推导一个对积分问题进行采样求解的一般方式，假如我们需要求任意一个积分问题： \n", "\n", "$$\n", "\\int_xh(x)dx\n", "$$ \n", "\n", "我们找一个与积分问题的定义域空间一样的比较简单的分布$X\\sim P(X)$，满足$\\int_xp(x)dx=1$，并采样$n$个样本点$\\{x_1,x_2,...,x_n\\}$，那么： \n", "\n", "$$\n", "\\int_xh(x)dx=\\int_x\\frac{h(x)}{p(x)}\\cdot p(x)dx \\approx \\frac{1}{n}\\sum_{i=1}^n\\frac{h(x_i)}{p(x_i)}\n", "$$ \n", "\n", "从上面的第一个等式我们也可以看出，任意一个求积分的问题其实都可以等价于一个求期望的问题" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "### 四.案例\n", "下面用统计学习书上的两个例子来实操一下\n", "\n", "#### 4.1案例一\n", "求积分\n", "$$\n", "\\int_0^1e^{-x^2/2}dx\n", "$$ \n", "\n", "我们可以令： \n", "\n", "$$\n", "p(x)=1\\\\\n", "x\\sim U(0,1)\n", "$$ \n", "\n", "这里，$x\\sim U(0,1)$表示随机变量服从$(0,1)$区间上的均匀分布，所以要求该积分只需要在$(0,1)$之间进行采样$\\{x_1,x_2,...,x_n\\}$，然后求： \n", "\n", "$$\n", "\\frac{1}{n}\\sum_{i=1}^n\\frac{h(x_i)}{p(x_i)}=\\frac{1}{n}\\sum_{i=1}^nh(x_i)=\\frac{1}{n}\\sum_{i=1}^ne^{-x_i^2/2}\n", "$$ \n", "\n", "即是我们需要的结果，那均匀分布如何采样呢？图方便的话，可以使用`np.random.random()`，但既然这一节是讲抽样，我们还是看看均匀分布的采样原理先" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "#### 均匀分布采样的简单实现：线性同余\n", "[内容参考自>>>](https://blog.csdn.net/fengying2016/article/details/80573287)，线性同余方法是目前应用广泛的伪随机数生成算法，其基本思想是通过对前一个数进行线性运算并取模从而得到下一个数，递归公式为： \n", "$$\n", "x_{n+1}=(ax_n+c) \\% m\\\\\n", "y_{n+1}=x_{n+1}/m\n", "$$ \n", "\n", "这里$\\%$表示取余的意思，其中$a$称为乘数，$c$称为增量，$m$称为模数，当$a=0$时为和同余法，当$c=0$时为乘同余法，$c\\neq 0$时为混合同余法。 乘数、增量和模数的选取可以多种多样，只要保证产生的随机数有较好的均匀性和随机性即可，一般采用$m=2^k$的混合同余法。线性同余法的最大周期是m，但一般情况下会小于$m$。要使周期达到最大，应该满足以下条件： \n", "\n", "(1) $c$和$m$互质； \n", "\n", "(2) $m$的所有质因子的积能整除$a-1$； \n", "\n", "(3) 若$m$是4的倍数，则$a-1$也是； \n", "\n", "(4) $a,c,x_0$（初值，一般即种子）都比$m$小； \n", "\n", "(5) $a,c$是正整数。 \n", "\n", "\n", "下面简单实现一下" ] }, { "cell_type": "code", "execution_count": 1, "metadata": {}, "outputs": [], "source": [ "# a,c,m可以自己随意设置，只要能满足上面的约束\n", "import numpy as np\n", "def random(size=None,a=9,c=3,m=1024,seed=0):\n", " rst=[]\n", " v=seed\n", " for _ in range(0,size):\n", " v=(a*v+c)%m\n", " rst.append(v/m)\n", " return np.asarray(rst)" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "看看效果，可以发现采样的量越大越符合均匀分布" ] }, { "cell_type": "code", "execution_count": 2, "metadata": {}, "outputs": [ { "data": { "image/png": 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\n", "text/plain": [ "" ] }, "metadata": {}, "output_type": "display_data" } ], "source": [ "import matplotlib.pyplot as plt\n", "%matplotlib inline\n", "plt.figure(figsize = (18,4))\n", "plt.subplot(1,3,1)\n", "plt.hist(random(100))\n", "plt.subplot(1,3,2)\n", "plt.hist(random(500))\n", "plt.subplot(1,3,3)\n", "plt.hist(random(2000))\n", "plt.show()" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "下面用我们自己的随机数采样去计算积分值，可以发现采样越多，结果越精准" ] }, { "cell_type": "code", "execution_count": 3, "metadata": {}, "outputs": [], "source": [ "def func1(x):\n", " return np.mean(np.exp(-0.5*x*x))" ] }, { "cell_type": "code", "execution_count": 4, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "(0.9035390412404333,\n", " 0.8724010595453379,\n", " 0.8636744903733047,\n", " 0.8557742330163529,\n", " 0.8559914695948042,\n", " 0.8560096265779689)" ] }, "execution_count": 4, "metadata": {}, "output_type": "execute_result" } ], "source": [ "func1(random(10)),func1(random(100)),func1(random(500)),func1(random(1000)),func1(random(5000)),func1(random(10000))" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "#### 4.2 案例二\n", "也是求积分，如下\n", "$$\n", "\\int_{-\\infty}^\\infty x\\frac{1}{\\sqrt{2\\pi}}exp(\\frac{-x^2}{2})dx\n", "$$ \n", "\n", "我们可以令： \n", "\n", "$$\n", "p(x)=\\frac{1}{\\sqrt{2\\pi}}exp(\\frac{-x^2}{2})\n", "$$ \n", "\n", "即$p(x)$刚好是一个标准正态分布的密度函数，那么我们可以对$p(x)$采样$n$个样本$\\{x_1,x_2,...,x_n\\}$，就可以计算其积分的近似值： \n", "\n", "$$\n", "\\frac{1}{n}\\sum_{i=1}^n\\frac{h(x_i)}{p(x_i)}=\\frac{1}{n}\\sum_{i=1}^nx_i\n", "$$ \n", "\n", "那么问题来了，如何采样呢？均匀分布我们可以使用线性同余的方法，那么标准正态分布勒，我们可以使用`np.random.randn`，哈哈哈~~~ ，接下来介绍一种标准正态分布的采样方式：Box Muller\n", "\n", "#### 标准正态分布采样：Box Muller\n", "推导过程见[参看>>>](https://blog.csdn.net/fengying2016/article/details/80570702)，下面直接说结论： \n", "\n", "如果$U_1\\sim U(0,1),U_2\\sim U(0,1)$，且两者独立，那么： \n", "\n", "$$\n", "X=\\sqrt{-2lnU_1}cos(2\\pi U_2)\\\\\n", "Y=\\sqrt{-2lnU_1}sin(2\\pi U_2)\n", "$$ \n", "\n", "$X,Y$相互独立，且均服从标准正态分布，下面简单实现一下" ] }, { "cell_type": "code", "execution_count": 5, "metadata": {}, "outputs": [], "source": [ "def randn(size=None):\n", " u1=random(size,seed=0)\n", " u2=random(size,seed=1)\n", " return np.sqrt(-2*np.log(u1+1e-12))*np.cos(2*np.pi*u2)" ] }, { "cell_type": "code", "execution_count": 6, "metadata": {}, "outputs": [ { "data": { "image/png": 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\n", "text/plain": [ "" ] }, "metadata": {}, "output_type": "display_data" } ], "source": [ "plt.figure(figsize = (18,4))\n", "plt.subplot(1,3,1)\n", "plt.hist(randn(100))\n", "plt.subplot(1,3,2)\n", "plt.hist(randn(500))\n", "plt.subplot(1,3,3)\n", "plt.hist(randn(2000))\n", "plt.show()" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "好的，接下里可以求我们的积分近似值了..." ] }, { "cell_type": "code", "execution_count": 7, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "(-0.18047523195450427,\n", " -0.067597124077273,\n", " -0.004227634117120701,\n", " 0.0027034258396782017,\n", " 0.005011583413871283,\n", " 0.004176713840559121)" ] }, "execution_count": 7, "metadata": {}, "output_type": "execute_result" } ], "source": [ "np.mean(randn(100)),np.mean(randn(500)),np.mean(randn(1000)),np.mean(randn(2000)),np.mean(randn(5000)),np.mean(randn(10000))" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "显然越接近于0越正确" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "### 五.分析\n", "从上面的例子也可以看出，决定结果是否精确的重要条件是：**样本能否很好的采样**，如果样本采样后的分布与它的真实分布越接近，那么结果也就越精确，对于均匀分布或者正态分布这样常见的分布，我们已经有成熟的方法进行采样，比如上面的线性同余以及Box Muller方法等，保证采样的结果是我们所期望的，但是对于那些更加一般的分布（比如本页的第一幅图），我们更想找到一个通用的采样方法，使得概率密度高的地方采样多，概率密度低的地方采样少，有的！这便是**蒙特卡洛法（Monte Carlo method,MC）**，见下一节~~~~ \n", "\n", "PS：另外，再补充一下，采样的分布是**已知**的~~~" ] }, { "cell_type": "code", "execution_count": null, "metadata": {}, "outputs": [], "source": [] } ], "metadata": { "kernelspec": { "display_name": "Python 3", "language": "python", "name": "python3" }, "language_info": { "codemirror_mode": { "name": "ipython", "version": 3 }, "file_extension": ".py", "mimetype": "text/x-python", "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython3", "version": "3.6.5" } }, "nbformat": 4, "nbformat_minor": 2 }