error.estimate {FVDDPpkg}

Compare the performance of a Monte-Carlo estimate with respect to the exact result.

Description

Compare the performance of a Monte-Carlo estimate with respect to the exact result.

Usage

error.estimate(fvddp.exact, fvddp.approx, remove.unmatched = FALSE)

Arguments

fvddp.exact

An instance of class fvddp obtained via smoothing (smooth()) or propagation (propagate()).

fvddp.approx

An instance of class fvddp obtained using the approximating algorithms for smoothing or propagation, with the same input as fvddp.exact.

remove.unmatched

Choose whether the weights associated to multiplicities that are in fvddp.exact but not in fvddp.approx should be removed in the computation (TRUE) or considered to be 0 (FALSE).

Value

A vector whose j-th element is the difference (in absolute value) between the weight of the j-th row of the matrix M of fvddp.exact and the weight of the row of the matrix M of fvddp.approx equal to it. The length depends on the value of remove.unmathced.

Examples

#iniialize the process
FVDDP = initialize(3, function(x) rgamma(x, 2,2),
                   function(x) dgamma(x, 2,2), FALSE)
FVDDP = update(FVDDP, c(rep(abs(rnorm(2,1, 4)), 2), rexp(2, 0.5)))
#perform n exact propagation and an approximate one
EXACT = propagate(FVDDP, 0.7)
APPROX = approx.propagate(FVDDP, 0.7, 10000)
#measure the error with this function
error.estimate(fvddp.exact = EXACT, fvddp.approx = APPROX, TRUE)

#in order to smoot, create and propagate the signal from the past and from the future
FVDDP=initialize(3, function(x) rbinom(x, 10, 0.2),
                 function(x) dbinom(x, 10, 0.2), TRUE)
FVDDP.PAST = update(FVDDP, c(2,3))
FVDDP.FUTURE = update(FVDDP, c(4))
FVDDP.FUTURE = propagate(FVDDP.FUTURE, 0.5)
FVDDP.FUTURE = update(FVDDP.FUTURE, c(1))
#compute an exact and an approximate smoothing
EXACT = smooth(FVDDP.PAST, FVDDP.FUTURE, 0.4, 0.3, c(1,3))
APPROX = approx.smooth(FVDDP.PAST, FVDDP.FUTURE, 0.4, 0.3, c(1,3), 20000)
#compute the error again
error.estimate(fvddp.exact = EXACT, fvddp.approx = APPROX)