change_of_vars_demo1d.ipynb

Kernel: Python 3 (ipykernel)

Monte Carlo approximation on Uniform distribution

import jax.numpy as jnp
from jax import random


import matplotlib.pyplot as plt
import seaborn as sns

try:
    from probml_utils import savefig, latexify, is_latexify_enabled
except:
    %pip install git+https://github.com/probml/probml-utils.git
    from probml_utils import savefig, latexify, is_latexify_enabled

latexify(width_scale_factor=1, fig_height=2)

/home/rohit_khoiwal/.local/lib/python3.8/site-packages/probml_utils/plotting.py:26: UserWarning: LATEXIFY environment variable not set, not latexifying
  warnings.warn("LATEXIFY environment variable not set, not latexifying")

x_samples = jnp.linspace(-1, 1, 200)
lower_limit = -1
upper_limit = 1
px_uniform = 1 / (upper_limit - lower_limit) * jnp.ones(len(x_samples))

square_fn = lambda x: x**2
y = square_fn(x_samples)

# analytic
y_pdf = 1 / (2 * jnp.sqrt(y + 1e-2))

# monte carlo
n = 1000

key = random.PRNGKey(0)
uniform_samples = random.uniform(key, shape=(n, 1), minval=lower_limit, maxval=upper_limit)
fn_samples = square_fn(uniform_samples)


print(jnp.mean(fn_samples))

WARNING:absl:No GPU/TPU found, falling back to CPU. (Set TF_CPP_MIN_LOG_LEVEL=0 and rerun for more info.)

0.31545982

if not is_latexify_enabled():
    fig, ax = plt.subplots(nrows=1, ncols=3, figsize=(15, 3))
else:
    fig, ax = plt.subplots(nrows=1, ncols=3)

ax[0].set_title("Uniform distribution")
ax[0].plot(x_samples, px_uniform, "-")
ax[0].set_xlabel("$x$")
ax[0].set_ylabel("$p(x)$")


ax[1].set_title("Analytical p(y), $y(x)$ = $x^2$")
ax[1].plot(y, y_pdf, "-", linewidth=2)
ax[1].set_xlabel("$y$")
ax[1].set_ylabel("$p(y)$")

ax[2].set_title("Monte carlo approximation")
sns.distplot(fn_samples, kde=False, ax=ax[2], bins=20, norm_hist=True, hist_kws=dict(edgecolor="k", linewidth=1))
ax[2].set_xlabel("$y$")
ax[2].set_ylabel("$Frequency$")


sns.despine()
savefig("changeOfVars")
plt.show()

/home/rohit_khoiwal/.local/lib/python3.8/site-packages/seaborn/distributions.py:2619: FutureWarning: `distplot` is a deprecated function and will be removed in a future version. Please adapt your code to use either `displot` (a figure-level function with similar flexibility) or `histplot` (an axes-level function for histograms).
  warnings.warn(msg, FutureWarning)
/home/rohit_khoiwal/.local/lib/python3.8/site-packages/probml_utils/plotting.py:79: UserWarning: set FIG_DIR environment variable to save figures
  warnings.warn("set FIG_DIR environment variable to save figures")