方差缩减——分层抽样

方差缩减——分层抽样

分成4个子区间

import numpy as np

n = 500
estimates = np.empty([100, 2])

def g(x):
    if x >= 0 and x <= 1:
        y = np.exp(-x) / (1 + x ** 2)
    else:
        y = 0
    return y

def get_mean(X):
    results = []
    for x in X:
        results.append(g(x))

    return np.mean(results)

for i in range(100):
    estimates[i, 0] = get_mean(np.random.uniform(0, 1, n))
    t2 = []
    t2.append(get_mean(np.random.uniform(0, 0.25, int(n / 4))))
    t2.append(get_mean(np.random.uniform(0.25, 0.5, int(n / 4))))
    t2.append(get_mean(np.random.uniform(0.5, 0.75, int(n / 4))))
    t2.append(get_mean(np.random.uniform(0.75, 1, int(n / 4))))
    estimates[i, 1] = np.mean(t2)

print(np.var(estimates, axis=0))

输出：[1.11658751e-04 8.00280336e-06]

分成100个子区间

import numpy as np

n = 500
estimates = np.empty([100, 2])

def g(x):
    if x >= 0 and x <= 1:
        y = np.exp(-x) / (1 + x ** 2)
    else:
        y = 0
    return y

def get_mean(X):
    results = []
    for x in X:
        results.append(g(x))

    return np.mean(results)

intervals = np.linspace(0, 1, 100)

for i in range(100):
    estimates[i, 0] = get_mean(np.random.uniform(0, 1, n))
    t2 = []
    for j in range(99):
        t2.append(get_mean(np.random.uniform(intervals[j], intervals[j + 1], int(n / 100))))
    estimates[i, 1] = np.mean(t2)

print(np.var(estimates, axis=0))

输出：[1.15212447e-04 1.57478224e-08]