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Merge pull request #289 from quantified-uncertainty/audit-2022-04-14-SymbolicDist.res

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fix: std of lognormal symbolic division
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Ozzie Gooen 2022-04-15 14:57:49 -04:00 committed by GitHub
commit b682a2702b
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2 changed files with 4 additions and 4 deletions
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4
packages/squiggle-lang/__tests__/ReducerInterface/ReducerInterface_Distribution_test.res
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@ -63,8 +63,8 @@ describe("eval on distribution functions", () => {
testEval("lognormal(5, 2) * 2", "Ok(Lognormal(5.693147180559945,2))")
})
describe("division", () => {
testEval("lognormal(5,2) / lognormal(10,2)", "Ok(Lognormal(-5,4))")
testEval("lognormal(10,2) / lognormal(5,2)", "Ok(Lognormal(5,4))")
testEval("lognormal(5,2) / lognormal(10,2)", "Ok(Lognormal(-5,2.8284271247461903))")
testEval("lognormal(10,2) / lognormal(5,2)", "Ok(Lognormal(5,2.8284271247461903))")
testEval("lognormal(5, 2) / 2", "Ok(Lognormal(4.306852819440055,2))")
testEval("2 / lognormal(5, 2)", "Ok(Lognormal(-4.306852819440055,2))")
testEval("2 / normal(10, 2)", "Ok(Point Set Distribution)")

4
packages/squiggle-lang/src/rescript/Distributions/SymbolicDist/SymbolicDist.res
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@ -160,14 +160,14 @@ module Lognormal = {
let multiply = (l1, l2) => {
// https://wikiless.org/wiki/Log-normal_distribution?lang=en#Multiplication_and_division_of_independent,_log-normal_random_variables
let mu = l1.mu +. l2.mu
let sigma = Js.Math.sqrt(l1.sigma ** 2. +. l2.sigma ** 2.) // m
let sigma = Js.Math.sqrt(l1.sigma ** 2. +. l2.sigma ** 2.)
#Lognormal({mu: mu, sigma: sigma})
}
let divide = (l1, l2) => {
let mu = l1.mu -. l2.mu
// We believe the ratiands will have covariance zero.
// See here https://stats.stackexchange.com/questions/21735/what-are-the-mean-and-variance-of-the-ratio-of-two-lognormal-variables for details
let sigma = l1.sigma +. l2.sigma
let sigma = Js.Math.sqrt(l1.sigma ** 2. +. l2.sigma ** 2.)
#Lognormal({mu: mu, sigma: sigma})
}
let operate = (operation: Operation.Algebraic.t, n1: t, n2: t) =>