Quintiq file version 2.0
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#parent: #root
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Method TestScriptComputeMeanVarianceUsingQuantileBySampling (
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ProbabilityDistribution distr,
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String node_r,
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String period_r,
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String functionname
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)
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{
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TextBody:
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[*
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timestart := OS::PrecisionCounter()
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nrsamples := 100;
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xsum_Q := 0.0;
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xsqrsum_Q := 0.0;
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for ( i := 1; i <= nrsamples; i++ )
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{
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u := Real::Random( 0.0, 1.0);
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fromquant := distr.Quantile( u );
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xsum_Q := xsum_Q + fromquant;
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xsqrsum_Q := xsqrsum_Q + (fromquant * fromquant );
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}
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timeend := OS::PrecisionCounter();
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timeusedsec := (timeend - timestart) / OS::PrecisionCounterFrequency()
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info( 'time used to compute from samples = ', timeusedsec, 's' );
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sample_mean_Q := xsum_Q / nrsamples
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sample_sqr_mean_Q := xsqrsum_Q / nrsamples;
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info( 'Q sample mean', sample_mean_Q );
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info( 'Q sample ^2 mean', sample_sqr_mean_Q);
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info( 'Q sample variance ', sample_sqr_mean_Q - (sample_mean_Q*sample_mean_Q) );
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*]
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}
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