I want to find out how many samples are needed at minimum to more or less correctly fit a probability distribution (In my case the Generalized Extreme Value Distribution from scipy.stats).
In order to evaluate the matched function, I want to compute the KL-divergence between the original function and the fitted one.
Unfortunately, all implementations I found (e.g. scipy.stats.entropy) only take discrete arrays as input. So obviously I thought of approximating the pdf by a discrete array, but I just can't seem to figure it out.
Does anyone have experience with something similar? I would be thankful for hints relating directly to my question, but also for better alternatives to determine a distance between two functions in python, if there are any.
I have a dataset with numerical values. Those values are used alongside constants to calculate different factors. Based on these factors decisions are made which ultimately lead to a single numerical value.
My goal is to find the maximum (or minimum when multiplied by -1) of this numerical value by changing those constants.
I have been looking at the library SciPy Hyperparamater optimization (machine learning) and minimize(). But after reading through several tutorials I am a little bit lost on which one to use and how to implement it.
Is there someone who would be so kind and guide me onto the right track?
Is there any place with a brief description of each of the algorithms for the parameter method in the minimize function of the lmfit package? Both there and in the documentation of SciPy there is no explanation about the details of each algorithm. Right now I know I can choose between them but I don't know which one to choose...
My current problem
I am using lmfit in Python to minimize a function. I want to minimize the function within a finite and predefined range where the function has the following characteristics:
It is almost zero everywhere, which makes it to be numerically identical to zero almost everywhere.
It has a very, very sharp peak in some point.
The peak can be anywhere within the region.
This makes many minimization algorithms to not work. Right now I am using a combination of the brute force method (method="brute") to find a point close to the peak and then feed this value to the Nelder-Mead algorithm (method="nelder") to finally perform the minimization. It is working approximately 50 % of the times, and the other 50 % of the times it fails to find the minimum. I wonder if there are better algorithms for cases like this one...
I think it is a fair point that docs for lmfit (such as https://lmfit.github.io/lmfit-py/fitting.html#fit-methods-table) and scipy.optimize (such as https://docs.scipy.org/doc/scipy/reference/tutorial/optimize.html#optimization-scipy-optimize) do not give detailed mathematical descriptions of the algorithms.
Then again, most of the docs for scipy, numpy, and related libraries describe how to use the methods, but do not describe in much mathematical detail how the algorithms work.
In fairness, the different optimization algorithms share many features and the differences between them can get pretty technical. All of these methods try to minimize some metric (often called "cost" or "residual") by changing the values of parameters for the supplied function.
It sort of takes a text book (or at least a Wikipedia page) to establish the concepts and mathematical terms used for these methods, and then a paper (or at least a Wikipedia page) to describe how each method differs from the others. So, I think the basic answer would be to look up the different methods.
I have some points that I need to classify. Given the collection of these points, I need to say which other (known) distribution they match best. For example, given the points in the top left distribution, my algorithm would have to say whether they are a better match to the 2nd, 3rd, or 4th distribution. (Here the bottom-left would be correct due to the similar orientations)
I have some background in Machine Learning, but I am no expert. I was thinking of using Gaussian Mixture Models, or perhaps Hidden Markov Models (as I have previously classified signatures with these- similar problem).
I would appreciate any help as to which approach to use for this problem. As background information, I am working with OpenCV and Python, so I would most likely not have to implement the chosen algorithm from scratch, I just want a pointer to know which algorithms would be applicable to this problem.
Disclaimer: I originally wanted to post this on the Mathematics section of StackExchange, but I lacked the necessary reputation to post images. I felt that my point could not be made clear without showing some images, so I posted it here instead. I believe that it is still relevant to Computer Vision and Machine Learning, as it will eventually be used for object identification.
EDIT:
I read and considered some of the answers given below, and would now like to add some new information. My main reason for not wanting to model these distributions as a single Gaussian is that eventually I will also have to be able to discriminate between distributions. That is, there might be two different and separate distributions representing two different objects, and then my algorithm should be aware that only one of the two distributions represents the object that we are interested in.
I think this depends on where exactly the data comes from and what sort of assumptions you would like to make as to its distribution. The points above can easily be drawn even from a single Gaussian distribution, in which case the estimation of parameters for each one and then the selection of the closest match are pretty simple.
Alternatively you could go for the discriminative option, i.e. calculate whatever statistics you think may be helpful in determining the class a set of points belongs to and perform classification using SVM or something similar. This can be viewed as embedding these samples (sets of 2d points) in a higher-dimensional space to get a single vector.
Also, if the data is actually as simple as in this example, you could just do the principle component analysis and match by the first eigenvector.
You should just fit the distributions to the data, determine the chi^2 deviation for each one, look at F-Test. See for instance these notes on model fitting etc
You might want to consider also non-parametric techniques (e.g. multivariate kernel density estimation on each of your new data set) in order to compare the statistics or distances of the estimated distributions. In Python stats.kde is an implementation in SciPy.Stats.
I have a list of many float numbers, representing the length of an operation made several times.
For each type of operation, I have a different trend in numbers.
I'm aware of many random generators presented in some python modules, like in numpy.random
For example, I have binomial, exponencial, normal, weibul, and so on...
I'd like to know if there's a way to find the best random generator, given a list of values, that best fit each list of numbers that I have.
I.e, the generator (with its params) that best fit the trend of the numbers on the list
That's because I'd like to automatize the generation of time lengths, of each operation, so that I can simulate it during n years, without having to find by hand what method fits best what list of numbers.
EDIT: In other words, trying to clarify the problem:
I have a list of numbers. I'm trying to find the probability distribution that best fit the array of numbers I already have. The only problem I see is that each probability distribution has input params that may interfer on the result. So I'll have to figure out how to enter this params automatically, trying to best fit the list.
Any idea?
You might find it better to think about this in terms of probability distributions, rather than thinking about random number generators. You can then think in terms of testing goodness of fit for your different distributions.
As a starting point, you might try constructing probability plots for your samples. Probably the easiest in terms of the math behind it would be to consider a Q-Q plot. Using the random number generators, create a sample of the same size as your data. Sort both of these, and plot them against one another. If the distributions are the same, then you should get a straight line.
Edit: To find appropriate parameters for a statistical model, maximum likelihood estimation is a standard approach. Depending on how many samples of numbers you have and the precision you require, you may well find that just playing with the parameters by hand will give you a "good enough" solution.
Why using random numbers for this is a bad idea has already been explained. It seems to me that what you really need is to fit the distributions you mentioned to your points (for example, with a least squares fit), then check which one fits the points best (for example, with a chi-squared test).
EDIT Adding reference to numpy least squares fitting example
Given a parameterized univariate distirbution (e.g. exponential depends on lambda, or gamma depends on theta and k), the way to find the parameter values that best fit a given sample of numbers is called the Maximum Likelyhood procedure. It is not a least squares procedure, which would require binning and thus loosing information! Some Wikipedia distribution articles give expressions for the maximum likelyhood estimates of parameters, but many do not, and even the ones that do are missing expressions for error bars and covarainces. If you know calculus, you can derive these results by expressing the log likeyhood of your data set in terms of the parameters, setting the second derivative to zero to maximize it, and using the inverse of the curvature matrix at the minimum as the covariance matrix of your parameters.
Given two different fits to two different parameterized distributions, the way to compare them is called the likelyhood ratio test. Basically, you just pick the one with the larger log likelyhood.
Gabriel, if you have access to Mathematica, parameter estimation is built in:
In[43]:= data = RandomReal[ExponentialDistribution[1], 10]
Out[43]= {1.55598, 0.375999, 0.0878202, 1.58705, 0.874423, 2.17905, \
0.247473, 0.599993, 0.404341, 0.31505}
In[44]:= EstimatedDistribution[data, ExponentialDistribution[la],
ParameterEstimator -> "MaximumLikelihood"]
Out[44]= ExponentialDistribution[1.21548]
In[45]:= EstimatedDistribution[data, ExponentialDistribution[la],
ParameterEstimator -> "MethodOfMoments"]
Out[45]= ExponentialDistribution[1.21548]
However, it might be easy to figure what maximum likelihood method commands the parameter to be.
In[48]:= Simplify[
D[LogLikelihood[ExponentialDistribution[la], {x}], la], x > 0]
Out[48]= 1/la - x
Hence the estimated parameter for exponential distribution is sum (1/la -x_i) from where la = 1/Mean[data]. Similar equations can be worked out for other distribution families and coded in the language of your choice.