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While working on #12 I added tests and came up with one to check if calibr8.core._get_hdi is doing a good job.
It does not.
I believe the scipy.optimize.fmin doesn't cope well with the switching inside the hdi_objective, or at least not in combination with the step-function like area calculation by _interval_prob.
Some starting points to fix this:
Make a detailed heatmap visualization of the objective function that's being optimized, based on a coarse x_cdf and cdf input. (Hypothesis: It's not smooth, but has step functions in one dimension.)
Adapt test_interval_prob to an interpolation that should give much more accurate results compared to the step-function. (Also nicer conceptually!)
Use the triangular example from test_get_hdi as a starting point, because it's HDI is easy to determine analytically (centerline of the triangle to its right flank).
The text was updated successfully, but these errors were encountered:
While working on #12 I added tests and came up with one to check if
calibr8.core._get_hdi
is doing a good job.It does not.
I believe the
scipy.optimize.fmin
doesn't cope well with the switching inside thehdi_objective
, or at least not in combination with the step-function like area calculation by_interval_prob
.Some starting points to fix this:
x_cdf
andcdf
input. (Hypothesis: It's not smooth, but has step functions in one dimension.)test_interval_prob
to an interpolation that should give much more accurate results compared to the step-function. (Also nicer conceptually!)test_get_hdi
as a starting point, because it's HDI is easy to determine analytically (centerline of the triangle to its right flank).The text was updated successfully, but these errors were encountered: