Add double exponential (#36)

Author: lsbardel

Makefile

@@ -24,29 +24,6 @@ install-dev:			## Install development dependencies
 marimo:				## Run marimo for editing notebooks
 	@./dev/marimo edit
 
-.PHONY: notebook
-notebook:			## Run Jupyter notebook server
-	@poetry run ./dev/start-jupyter 9095
-
-
-.PHONY: book
-book:				## Build static jupyter {book}
-	poetry run jupyter-book build notebooks --all
-	@cp notebooks/CNAME notebooks/_build/html/CNAME
-
-
-.PHONY: nbconvert
-nbconvert:			## Convert notebooks to myst markdown
-	poetry run ./dev/nbconvert
-
-.PHONY: nbsync
-nbsync:				## Sync python myst notebooks to .ipynb files - needed for vs notebook development
-	poetry run ./dev/nbsync
-
-.PHONY: sphinx-config
-sphinx-config:			## Build sphinx config
-	poetry run jupyter-book config sphinx notebooks
-
 .PHONY: docs
 docs:				## build documentation
 	@cp docs/index.md readme.md
@@ -56,21 +33,10 @@ docs:				## build documentation
 docs-serve:			## serve documentation
 	@poetry run mkdocs serve --livereload --watch quantflow --watch docs
 
-.PHONY: sphinx
-sphinx:				## Build sphinx docs
-	poetry run sphinx-build notebooks path/to/book/_build/html -b html
-
-
 .PHONY: publish
 publish:			## Release to pypi
 	@poetry publish --build -u __token__ -p $(PYPI_TOKEN)
 
-
-.PHONY: publish-book
-publish-book:			## publish the book to github pages
-	poetry run ghp-import -n -p -f notebooks/_build/html
-
-
 .PHONY: tests
 tests:				## Unit tests
 	@./dev/test

app/double_exponential_sampling.py

@@ -0,0 +1,81 @@
+import marimo
+
+__generated_with = "0.19.7"
+app = marimo.App(width="medium")
+
+
+@app.cell
+def _():
+    import marimo as mo
+    from app.utils import nav_menu
+    nav_menu()
+    return (mo,)
+
+
+@app.cell
+def _(mo):
+    mo.md(r"""
+    # Double Exponential Sampling
+
+    Here we sample the Asymmetric Laplace distribution, a.k.a double exponential
+    We will set the mean to 0 and the variance to 1 so that the distribution is fully determined by the asymmetric parameter $\kappa$.
+
+    ```python
+    from quantflow.utils.distributions import DoubleExponential
+    ```
+    """)
+    return
+
+
+@app.cell
+def _():
+    from quantflow.utils.distributions import DoubleExponential
+    from quantflow.utils import bins
+    import numpy as np
+
+    def simulate_double_exponential(log_kappa: float, samples: int):
+        pr = DoubleExponential.from_moments(kappa=np.exp(log_kappa))
+        data = pr.sample(samples)
+        pdf = bins.pdf(data, num_bins=50, symmetric=0)
+        pdf["simulation"] = pdf["pdf"]
+        pdf["analytical"] = pr.pdf(pdf.index)
+        cha = pr.pdf_from_characteristic()
+        return pdf, cha
+    return (simulate_double_exponential,)
+
+
+@app.cell
+def _(mo):
+    samples = mo.ui.slider(start=100, stop=10000, step=100, value=1000, debounce=True, label="Samples")
+    log_kappa = mo.ui.slider(start=-2, stop=2, step=0.1, value=0.1, debounce=True, label="Asymmetry - $\log \kappa$")
+
+    controls = mo.hstack([samples, log_kappa], justify="start")
+    controls
+    return log_kappa, samples
+
+
+@app.cell
+def _(log_kappa, samples, simulate_double_exponential):
+    df, cha = simulate_double_exponential(log_kappa.value, samples.value)
+    return cha, df
+
+
+@app.cell
+def _(cha, df):
+    import plotly.graph_objects as go
+
+    simulation = go.Bar(x=df.index, y=df["simulation"], name="simulation")
+    analytical = go.Scatter(x=df.index, y=df["analytical"], name="analytical")
+    characteristic = go.Scatter(x=cha.x, y=cha.y, name="from characteristic", mode="markers")
+    fig = go.Figure(data=[simulation, characteristic, analytical])
+    fig
+    return
+
+
+@app.cell
+def _():
+    return
+
+
+if __name__ == "__main__":
+    app.run()

app/gaussian_sampling.py

@@ -8,7 +8,6 @@
 def _():
     import marimo as mo
     from app.utils import nav_menu
-
     nav_menu()
     return (mo,)
 

dev/marimo

@@ -2,5 +2,8 @@
 set -e
 
 export PYTHONPATH=${PWD}:${PYTHONPATH}
+ENV_FILE="${PWD}/.env"
+touch ${ENV_FILE}
+export $(grep -v '^#' ${ENV_FILE} | xargs)
 
 poetry run marimo "$@"

dev/nbconvert

@@ -57,6 +57,7 @@ nav:
   - Examples:
       - Gaussian Sampling: examples/gaussian-sampling
       - Poisson Sampling: examples/poisson-sampling
+      - Double Exponential Sampling: examples/double-exponential-sampling
       - Hurst: examples/hurst
       - Supersmoother: examples/supersmoother
   - API Reference: