probability   10798

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platt scaling | Daniel Nee
platt scaling for probability calibration . includes r code
r  stats  statistics  prediction  probability  classification 
4 days ago by w1nt3rmut3
Darts, dice, and coins
An explanation of the method for simulating categorical distributions.
sampling  probability  math  statistics 
7 days ago by lucastheis
If you are making an RPG, you need to know the Sigmoid function.
Also important for any game dealing with probability, or any game where you want to scale something in relation to something else.
gamedev  math  probability  sigmoid 
13 days ago by jakobb
[1808.07105] Non-asymptotic bounds for sampling algorithms without log-concavity
Discrete time analogues of ergodic stochastic differential equations (SDEs) are one of the most popular and flexible tools for sampling high-dimensional probability measures. Non-asymptotic analysis in the $L^2$ Wasserstein distance of sampling algorithms based on Euler discretisations of SDEs has been recently developed by several authors for log-concave probability distributions. In this work we replace the log-concavity assumption with a log-concavity at infinity condition. We provide novel $L^2$ convergence rates for Euler schemes, expressed explicitly in terms of problem parameters. From there we derive non-asymptotic bounds on the distance between the laws induced by Euler schemes and the invariant laws of SDEs, both for schemes with standard and with randomised (inaccurate) drifts. We also obtain bounds for the hierarchy of discretisation, which enables us to deploy a multi-level Monte Carlo estimator. Our proof relies on a novel construction of a coupling for the Markov chains that can be used to control both the $L^1$ and $L^2$ Wasserstein distances simultaneously. Finally, we provide a weak convergence analysis that covers both the standard and the randomised (inaccurate) drift case. In particular, we reveal that the variance of the randomised drift does not influence the rate of weak convergence of the Euler scheme to the SDE.
papers  to-read  SDEs  sampling  probability  stochastic-analysis 
14 days ago by mraginsky
Hypergeometric Obama - All this
The SciPy library for Python has a sublibrary called stats with a set of functions for handling the hypergeometric distribution.
mathematics  Probability  python  statistics 
14 days ago by soto97

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