|
5 | 5 | "id": "3cacfcfd-d638-4181-9c16-ba050ab5e367", |
6 | 6 | "metadata": {}, |
7 | 7 | "source": [ |
8 | | - "# Differential Equation Example: Lotka-Volterra predetor prey dynamics\n", |
| 8 | + "# Rapid iteration with point estimation and expert statistics for Lotka-Volterra dynamics\n", |
9 | 9 | "\n", |
10 | 10 | "_Authors: Hans Olischläger_\n", |
11 | 11 | "\n", |
|
541 | 541 | "\n", |
542 | 542 | "* Here is a strictly proper scoring rule that is optimal if the estimate, $\\hat \\theta$, is the true **mean** of the posterior:\n", |
543 | 543 | "\n", |
544 | | - "\n", |
545 | 544 | " $$L(\\hat \\theta, \\theta; k) = | \\theta - \\hat \\theta |^2$$\n", |
546 | 545 | "\n", |
547 | 546 | " It is the well known squared error loss!\n", |
|
550 | 549 | "\n", |
551 | 550 | " $$L(\\hat \\theta, \\theta; k) = | \\theta - \\hat \\theta |$$\n", |
552 | 551 | "\n", |
553 | | - "\n", |
554 | | - "\n", |
555 | 552 | "* To estimate **quantiles**, the following is a strictly proper scoring rule:\n", |
556 | | - "$$L(\\hat \\theta, \\theta; \\tau) = (\\hat \\theta - \\theta)(\\mathbf{1}_{\\hat \\theta - \\theta > 0} - \\tau)$$\n", |
| 553 | + "\n", |
| 554 | + " $$L(\\hat \\theta, \\theta; \\tau) = (\\hat \\theta - \\theta)(\\mathbf{1}_{\\hat \\theta - \\theta > 0} - \\tau)$$\n", |
557 | 555 | "\n", |
558 | 556 | " Here we write an indicator function as $\\mathbf{1}_{\\hat \\theta - \\theta > 0}$ to evaluate to 1 for overestimation (positive $\\hat \\theta - \\theta$) and $0$ otherwise.\n", |
559 | 557 | "\n", |
|
563 | 561 | "\n", |
564 | 562 | "\n", |
565 | 563 | "* Note, that when approximating the full distribution in BayesFlow we score a **probability estimate** $\\hat p(\\theta|x)$ with the log-score,\n", |
566 | | - "$$L(\\hat p(\\theta|x), \\theta) = \\log (\\hat p(\\theta)) $$\n", |
567 | | - "which is also a strictly proper scoring rule.\n", |
| 564 | + "\n", |
| 565 | + " $$L(\\hat p(\\theta|x), \\theta) = \\log (\\hat p(\\theta))$$\n", |
| 566 | + "\n", |
| 567 | + " which is also a strictly proper scoring rule.\n", |
568 | 568 | "\n", |
569 | 569 | "\n", |
570 | 570 | "* What if you want to estimate something else? There might just be a loss function that corresponds to the estimator of exactly the quantity you are after.\n", |
|
1050 | 1050 | "In relation to $q_1$ and $q_2$, where is $x=0$ and $x=1$? These two correspond to location (mean) and scale (standard deviation) of the standard normal.\n", |
1051 | 1051 | "\n", |
1052 | 1052 | "So we solve the equations\n", |
| 1053 | + "\n", |
1053 | 1054 | "$$\n", |
1054 | 1055 | "\\begin{aligned}\n", |
1055 | 1056 | " 0 &= \\tilde q_1 (1-\\alpha) + \\tilde q_2 \\alpha,\\\\\n", |
|
0 commit comments