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I have a function that typically takes in constant args and calculates volatility. I want to pass in a vector of different C's and K's to get an array of volatilities each associated with C[i], K[i]
def vol_calc(S, T, C, K, r, q, sigma):
d1 = (np.log(S / K) + (r - q + 0.5 * sigma ** 2) * T) / (sigma * np.sqrt(T))
vega = (1 / np.sqrt(2 * np.pi)) * np.exp(-q * T) * np.sqrt(T) * np.exp((-si.norm.cdf(d1, 0.0, 1.0) ** 2) * 0.5)
tolerance = 0.000001
x0 = sigma
xnew = x0
xold = x0 - 1
while abs(xnew - xold) > tolerance:
xold = xnew
xnew = (xnew - fx - C) / vega
return abs(xnew)
but if I want to pass two arrays without turning into a nested loop, I thought I could just do:
def myfunction(S, T, r, q, sigma):
for x in K,C:
return same size as K,C
but I can't get it to work
How about this?
def vol_calc(S, T, C, K, r, q, sigma):
import numpy as np
output = np.zeros(len(C))
for num, (c, k) in enumerate(zip(C, K)):
d1 = (np.log(S / k) + (r - q + 0.5 * sigma ** 2) * T) / (sigma * np.sqrt(T))
vega = (1 / np.sqrt(2 * np.pi)) * np.exp(-q * T) * np.sqrt(T) * np.exp((-si.norm.cdf(d1, 0.0, 1.0) ** 2) * 0.5)
tolerance = 0.000001
x0 = sigma
xnew = x0
xold = x0 - 1
while abs(xnew - xold) > tolerance:
xold = xnew
xnew = (xnew - fx - c) / vega
output[num] = abs(xnew)
return output
I explain briefly what the attached program code should do. We give a number of passes before runs = 100. and we give I = 10.
For example we set the area_factor = 1. Then the function HH_model(I,area_factor) does the following:
run 100 times with this I and this area_factor and return the number of times the barrier 60 is broken -- this is checked in the if max(v[:]-v_Rest) > 60 query.
Now I want to do the following: Determine that area_factor so that the number of count matches observations as well as possible.
For example, I know from measurements
HH_model(2*I,area_factor) = 70
HH_model(I,area_factor)=50
HH_model(0.5*I,area_factor) = 30
...
how can I find the area_factor for a given I, so that the difference to the observations becomes minimal.
import matplotlib.pyplot as py
import numpy as np
import scipy.optimize as optimize
# HH parameters
v_Rest = -65 # in mV
gNa = 120 # in mS/cm^2
gK = 36 # in mS/cm^2
gL = 0.3 # in mS/cm^2
vNa = 115 # in mV
vK = -12 # in mV
vL = 10.6 # in mV
#Number of runs
runs = 30
c = 1 # in uF/cm^2
#performing bisection-procedure
ROOT = True
def HH_model(I,area_factor):
count = 0
t_end = 10 # in ms
delay = 1 # in ms
duration = 0.3 # in ms
dt = 0.01 # in ms
I = I
area_factor = area_factor
#geometry
d = 2 # diameter in um
r = d/2 # Radius in um
l = 10 # Length of the compartment in um
A = (2 * np.pi * r * l * 1e-8)*area_factor # surface [cm^2]
C = c * A # uF
for j in range(0,runs):
# Introduction of equations and channels
def alphaM(v): return 12 * ((2.5 - 0.1 * (v)) / (np.exp(2.5 - 0.1 * (v)) - 1))
def betaM(v): return 12 * (4 * np.exp(-(v) / 18))
def betaH(v): return 12 * (1 / (np.exp(3 - 0.1 * (v)) + 1))
def alphaH(v): return 12 * (0.07 * np.exp(-(v) / 20))
def alphaN(v): return 12 * ((1 - 0.1 * (v)) / (10 * (np.exp(1 - 0.1 * (v)) - 1)))
def betaN(v): return 12 * (0.125 * np.exp(-(v) / 80))
# compute the timesteps
t_steps= t_end/dt+1
# Compute the initial values
v0 = 0
m0 = alphaM(v0)/(alphaM(v0)+betaM(v0))
h0 = alphaH(v0)/(alphaH(v0)+betaH(v0))
n0 = alphaN(v0)/(alphaN(v0)+betaN(v0))
# Allocate memory for v, m, h, n
v = np.zeros((int(t_steps), 1))
m = np.zeros((int(t_steps), 1))
h = np.zeros((int(t_steps), 1))
n = np.zeros((int(t_steps), 1))
# Set Initial values
v[:, 0] = v0
m[:, 0] = m0
h[:, 0] = h0
n[:, 0] = n0
### Noise component
knoise= 0.003 #uA/(mS)^1/2
### --------- Step3: SOLVE
for i in range(0, int(t_steps)-1, 1):
# Get current states
vT = v[i]
mT = m[i]
hT = h[i]
nT = n[i]
# Stimulus current
IStim = 0
if delay / dt <= i <= (delay + duration) / dt:
IStim = I * A # in uA
else:
IStim = 0
# Compute change of m, h and n
m[i + 1] = (mT + dt * alphaM(vT)) / (1 + dt * (alphaM(vT) + betaM(vT)))
h[i + 1] = (hT + dt * alphaH(vT)) / (1 + dt * (alphaH(vT) + betaH(vT)))
n[i + 1] = (nT + dt * alphaN(vT)) / (1 + dt * (alphaN(vT) + betaN(vT)))
# Ionic currents
iNa = gNa * m[i + 1] ** 3. * h[i + 1] * (vT - vNa)
iK = gK * n[i + 1] ** 4. * (vT - vK)
iL = gL * (vT-vL)
Inoise = (np.random.normal(0, 1) * knoise * np.sqrt(gNa * A))
IIon = ((iNa + iK + iL) * A) + Inoise #
# Compute change of voltage
v[i + 1] = vT + ((-IIon + IStim) / C) * dt # in ((uA / cm ^ 2) / (uF / cm ^ 2)) * ms == mV
# adjust the voltage to the resting potential
v = v + v_Rest
# test if there was a spike
if max(v[:]-v_Rest) > 60:
count += 1
return count
Ich habe folgendes versucht:
I = 30
xdata = np.array([0.92*I,I,1.05*I])
ydata = np.array([28,100,110])
y0=np.array([1,1,1])
def g(y,xdata,ydata):
return ydata - HH_model(xdata,y)
fit = optimize.leastsq(g, y0, args=(xdata, ydata))
File "", line
126, in HH_model
v[i + 1] = vT + ((-IIon + IStim) / C) * dt
ValueError: could not broadcast input array from shape (3) into shape
(1)
how can I get around this and make the input in the correct format?
The result of your line 126 is a three dimensional array with three times the same value. This size-3 array does not fit into an element of v, which has size-1 elements as you initialized them this way.
Therefore, you could add a [0]:
v[i + 1] = (vT + ((-IIon + IStim) / C) * dt)[0]
Furthermore, I think you do not need to allocate memory. You could for example use numpy.append in line 126.
I'm trying to plot an airfoil from the formula as described on this wikipedia page.
This Jupyter notebook can be viewed on this github page.
%matplotlib inline
import math
import matplotlib.pyplot as pyplot
def frange( start, stop, step ):
yield start
while start <= stop:
start += step
yield start
#https://en.wikipedia.org/wiki/NACA_airfoil#Equation_for_a_cambered_4-digit_NACA_airfoil
def camber_line( x, m, p, c ):
if 0 <= x <= c * p:
yc = m * (x / math.pow(p,2)) * (2 * p - (x / c))
#elif p * c <= x <= c:
else:
yc = m * ((c - x) / math.pow(1-p,2)) * (1 + (x / c) - 2 * p )
return yc
def dyc_over_dx( x, m, p, c ):
if 0 <= x <= c * p:
dyc_dx = ((2 * m) / math.pow(p,2)) * (p - x / c)
#elif p * c <= x <= c:
else:
dyc_dx = ((2 * m ) / math.pow(1-p,2)) * (p - x / c )
return dyc_dx
def thickness( x, t, c ):
term1 = 0.2969 * (math.sqrt(x/c))
term2 = -0.1260 * (x/c)
term3 = -0.3516 * math.pow(x/c,2)
term4 = 0.2843 * math.pow(x/c,3)
term5 = -0.1015 * math.pow(x/c,4)
return 5 * t * c * (term1 + term2 + term3 + term4 + term5)
def naca4( m, p, t, c=1 ):
for x in frange( 0, 1.0, 0.01 ):
dyc_dx = dyc_over_dx( x, m, p, c )
th = math.atan( dyc_dx )
yt = thickness( x, t, c )
yc = camber_line( x, m, p, c )
xu = x - yt * math.sin(th)
xl = x + yt * math.sin(th)
yu = yc + yt * math.cos(th)
yl = yc - yt * math.cos(th)
yield (xu, yu), (xl, yl)
#naca2412
m = 0.02
p = 0.4
t = 12
naca4points = naca4( m, p, t )
for (xu,yu),(xl,yl) in naca4points:
pyplot.plot( xu, yu, 'r,')
pyplot.plot( xl, yl, 'r,')
pyplot.ylabel('y')
pyplot.xlabel('x')
pyplot.axis('equal')
figure = pyplot.gcf()
figure.set_size_inches(16,16,forward=True)
The result looks like .
I expected it to look more like .
Questions: Why is the line not completely smooth? There seems to be a discontinuity where the beginning and end meet. Why does it not look like the diagram on wikipedia? How do I remove the extra loop at the trailing edge? How do I fix the chord so that it runs from 0.0 to 1.0?
First, t should be 0.12 not 12. Second, to make a smoother plot, increase the sample points.
It is also a good idea to use vectorize method in numpy:
%matplotlib inline
import math
import matplotlib.pyplot as plt
import numpy as np
#https://en.wikipedia.org/wiki/NACA_airfoil#Equation_for_a_cambered_4-digit_NACA_airfoil
def camber_line( x, m, p, c ):
return np.where((x>=0)&(x<=(c*p)),
m * (x / np.power(p,2)) * (2.0 * p - (x / c)),
m * ((c - x) / np.power(1-p,2)) * (1.0 + (x / c) - 2.0 * p ))
def dyc_over_dx( x, m, p, c ):
return np.where((x>=0)&(x<=(c*p)),
((2.0 * m) / np.power(p,2)) * (p - x / c),
((2.0 * m ) / np.power(1-p,2)) * (p - x / c ))
def thickness( x, t, c ):
term1 = 0.2969 * (np.sqrt(x/c))
term2 = -0.1260 * (x/c)
term3 = -0.3516 * np.power(x/c,2)
term4 = 0.2843 * np.power(x/c,3)
term5 = -0.1015 * np.power(x/c,4)
return 5 * t * c * (term1 + term2 + term3 + term4 + term5)
def naca4(x, m, p, t, c=1):
dyc_dx = dyc_over_dx(x, m, p, c)
th = np.arctan(dyc_dx)
yt = thickness(x, t, c)
yc = camber_line(x, m, p, c)
return ((x - yt*np.sin(th), yc + yt*np.cos(th)),
(x + yt*np.sin(th), yc - yt*np.cos(th)))
#naca2412
m = 0.02
p = 0.4
t = 0.12
c = 1.0
x = np.linspace(0,1,200)
for item in naca4(x, m, p, t, c):
plt.plot(item[0], item[1], 'b')
plt.plot(x, camber_line(x, m, p, c), 'r')
plt.axis('equal')
plt.xlim((-0.05, 1.05))
# figure.set_size_inches(16,16,forward=True)
Thanks for the code.
I have modified the code for symmetrical airfoils:
def naca4s(x, t, c=1):
yt = thickness(x, t, c)
return ((x, yt),
(x, -yt))
I've searched far and wide but have yet to find a suitable answer to this problem. Given two lines on a sphere, each defined by their start and end points, determine whether or not and where they intersect. I've found this site (http://mathforum.org/library/drmath/view/62205.html) which runs through a good algorithm for the intersections of two great circles, although I'm stuck on determining whether the given point lies along the finite section of the great circles.
I've found several sites which claim they've implemented this, Including some questions here and on stackexchange, but they always seem to reduce back to the intersections of two great circles.
The python class I'm writing is as follows and seems to almost work:
class Geodesic(Boundary):
def _SecondaryInitialization(self):
self.theta_1 = self.point1.theta
self.theta_2 = self.point2.theta
self.phi_1 = self.point1.phi
self.phi_2 = self.point2.phi
sines = math.sin(self.phi_1) * math.sin(self.phi_2)
cosines = math.cos(self.phi_1) * math.cos(self.phi_2)
self.d = math.acos(sines - cosines * math.cos(self.theta_2 - self.theta_1))
self.x_1 = math.cos(self.theta_1) * math.cos(self.phi_1)
self.x_2 = math.cos(self.theta_2) * math.cos(self.phi_2)
self.y_1 = math.sin(self.theta_1) * math.cos(self.phi_1)
self.y_2 = math.sin(self.theta_2) * math.cos(self.phi_2)
self.z_1 = math.sin(self.phi_1)
self.z_2 = math.sin(self.phi_2)
self.theta_wraps = (self.theta_2 - self.theta_1 > PI)
self.phi_wraps = ((self.phi_1 < self.GetParametrizedCoords(0.01).phi and
self.phi_2 < self.GetParametrizedCoords(0.99).phi) or (
self.phi_1 > self.GetParametrizedCoords(0.01).phi) and
self.phi_2 > self.GetParametrizedCoords(0.99))
def Intersects(self, boundary):
A = self.y_1 * self.z_2 - self.z_1 * self.y_2
B = self.z_1 * self.x_2 - self.x_1 * self.z_2
C = self.x_1 * self.y_2 - self.y_1 * self.x_2
D = boundary.y_1 * boundary.z_2 - boundary.z_1 * boundary.y_2
E = boundary.z_1 * boundary.x_2 - boundary.x_1 * boundary.z_2
F = boundary.x_1 * boundary.y_2 - boundary.y_1 * boundary.x_2
try:
z = 1 / math.sqrt(((B * F - C * E) ** 2 / (A * E - B * D) ** 2)
+ ((A * F - C * D) ** 2 / (B * D - A * E) ** 2) + 1)
except ZeroDivisionError:
return self._DealWithZeroZ(A, B, C, D, E, F, boundary)
x = ((B * F - C * E) / (A * E - B * D)) * z
y = ((A * F - C * D) / (B * D - A * E)) * z
theta = math.atan2(y, x)
phi = math.atan2(z, math.sqrt(x ** 2 + y ** 2))
if self._Contains(theta, phi):
return point.SPoint(theta, phi)
theta = (theta + 2* PI) % (2 * PI) - PI
phi = -phi
if self._Contains(theta, phi):
return spoint.SPoint(theta, phi)
return None
def _Contains(self, theta, phi):
contains_theta = False
contains_phi = False
if self.theta_wraps:
contains_theta = theta > self.theta_2 or theta < self.theta_1
else:
contains_theta = theta > self.theta_1 and theta < self.theta_2
phi_wrap_param = self._PhiWrapParam()
if phi_wrap_param <= 1.0 and phi_wrap_param >= 0.0:
extreme_phi = self.GetParametrizedCoords(phi_wrap_param).phi
if extreme_phi < self.phi_1:
contains_phi = (phi < max(self.phi_1, self.phi_2) and
phi > extreme_phi)
else:
contains_phi = (phi > min(self.phi_1, self.phi_2) and
phi < extreme_phi)
else:
contains_phi = (phi > min(self.phi_1, self.phi_2) and
phi < max(self.phi_1, self.phi_2))
return contains_phi and contains_theta
def _PhiWrapParam(self):
a = math.sin(self.d)
b = math.cos(self.d)
c = math.sin(self.phi_2) / math.sin(self.phi_1)
param = math.atan2(c - b, a) / self.d
return param
def _DealWithZeroZ(self, A, B, C, D, E, F, boundary):
if (A - D) is 0:
y = 0
x = 1
elif (E - B) is 0:
y = 1
x = 0
else:
y = 1 / math.sqrt(((E - B) / (A - D)) ** 2 + 1)
x = ((E - B) / (A - D)) * y
theta = (math.atan2(y, x) + PI) % (2 * PI) - PI
return point.SPoint(theta, 0)
def GetParametrizedCoords(self, param_value):
A = math.sin((1 - param_value) * self.d) / math.sin(self.d)
B = math.sin(param_value * self.d) / math.sin(self.d)
x = A * math.cos(self.phi_1) * math.cos(self.theta_1) + (
B * math.cos(self.phi_2) * math.cos(self.theta_2))
y = A * math.cos(self.phi_1) * math.sin(self.theta_1) + (
B * math.cos(self.phi_2) * math.sin(self.theta_2))
z = A * math.sin(self.phi_1) + B * math.sin(self.phi_2)
new_phi = math.atan2(z, math.sqrt(x**2 + y**2))
new_theta = math.atan2(y, x)
return point.SPoint(new_theta, new_phi)
EDIT: I forgot to specify that if two curves are determined to intersect, I then need to have the point of intersection.
A simpler approach is to express the problem in terms of geometric primitive operations like the dot product, the cross product, and the triple product. The sign of the determinant of u, v, and w tells you which side of the plane spanned by v and w contains u. This enables us to detect when two points are on opposite sites of a plane. That's equivalent to testing whether a great circle segment crosses another great circle. Performing this test twice tells us whether two great circle segments cross each other.
The implementation requires no trigonometric functions, no division, no comparisons with pi, and no special behavior around the poles!
class Vector:
def __init__(self, x, y, z):
self.x = x
self.y = y
self.z = z
def dot(v1, v2):
return v1.x * v2.x + v1.y * v2.y + v1.z * v2.z
def cross(v1, v2):
return Vector(v1.y * v2.z - v1.z * v2.y,
v1.z * v2.x - v1.x * v2.z,
v1.x * v2.y - v1.y * v2.x)
def det(v1, v2, v3):
return dot(v1, cross(v2, v3))
class Pair:
def __init__(self, v1, v2):
self.v1 = v1
self.v2 = v2
# Returns True if the great circle segment determined by s
# straddles the great circle determined by l
def straddles(s, l):
return det(s.v1, l.v1, l.v2) * det(s.v2, l.v1, l.v2) < 0
# Returns True if the great circle segments determined by a and b
# cross each other
def intersects(a, b):
return straddles(a, b) and straddles(b, a)
# Test. Note that we don't need to normalize the vectors.
print(intersects(Pair(Vector(1, 0, 1), Vector(-1, 0, 1)),
Pair(Vector(0, 1, 1), Vector(0, -1, 1))))
If you want to initialize unit vectors in terms of angles theta and phi, you can do that, but I recommend immediately converting to Cartesian (x, y, z) coordinates to perform all subsequent calculations.
Intersection using plane trig can be calculated using the below code in UBasic.
5 'interx.ub adapted from code at
6 'https://rosettacode.org
7 '/wiki/Find_the_intersection_of_two_linesSinclair_ZX81_BASIC
8 'In U Basic by yuji kida https://en.wikipedia.org/wiki/UBASIC
10 XA=48.7815144526:'669595.708
20 YA=-117.2847245001:'2495736.332
30 XB=48.7815093807:'669533.412
40 YB=-117.2901673467:'2494425.458
50 XC=48.7824947147:'669595.708
60 YC=-117.28751374:'2495736.332
70 XD=48.77996737:'669331.214
80 YD=-117.2922957:'2494260.804
90 print "THE TWO LINES ARE:"
100 print "YAB=";YA-XA*((YB-YA)/(XB-XA));"+X*";((YB-YA)/(XB-XA))
110 print "YCD=";YC-XC*((YD-YC)/(XD-XC));"+X*";((YD-YC)/(XD-XC))
120 X=((YC-XC*((YD-YC)/(XD-XC)))-(YA-XA*((YB-YA)/(XB-XA))))/(((YB-YA)/(XB-XA))-((YD-YC)/(XD-XC)))
130 print "Lat = ";X
140 Y=YA-XA*((YB-YA)/(XB-XA))+X*((YB-YA)/(XB-XA))
150 print "Lon = ";Y
160 'print "YCD=";YC-XC*((YD-YC)/(XD-XC))+X*((YD-YC)/(XD-XC))
I'm trying to put together a model of a dynamical system in PyMC3, to infer two parameters. The model is the basic SIR, commonly used in epidemiology :
dS/dt = - r0 * g * S * I
dI/dt = g * I ( r * S - 1 )
where r0 and g are parameters to be inferred. So far, I'm unable to get very far at all. The only examples I've seen of putting together a Markov chain like this yields errors about recursion being too deep. Here's my example code.
# Time
t = np.linspace(0, 8, 200)
# Simulated observation
def SIR(y, t, r0, gamma) :
S = - r0 * gamma * y[0] * y[1]
I = r0 * gamma * y[0] * y[1] - gamma * y[1]
return [S, I]
# Currently no noise, we just want to infer params r0 = 16 and g = 0.5
solution = odeint(SIR, [0.99, 0.01, 0], t, args=(16., 0.5))
with pymc.Model() as model :
r0 = pymc.Normal("r0", 15, sd=10)
gamma = pymc.Uniform("gamma", 0.3, 1.)
# Use forward Euler to solve
dt = t[1] - t[0]
# Initial conditions
S = [0.99]
I = [0.01]
for i in range(1, len(t)) :
S.append(pymc.Normal("S%i" % i, \
mu = S[-1] + dt * (-r0 * gamma * S[-1] * I[-1]), \
sd = solution[:, 0].std()))
I.append(pymc.Normal("I%i" % i, \
mu = I[-1] + dt * ( r0 * gamma * S[-1] * I[-1] - gamma * I[-1]), \
sd = solution[:, 1].std()))
Imcmc = pymc.Normal("Imcmc", mu = I, sd = solution[:, 1].std(), observed = solution[:, 1])
#start = pymc.find_MAP()
trace = pymc.sample(2000, pymc.NUTS())
Any help would be much appreciated. Thanks !
I would try defining a new distribution. Something like the following. However, this is not quite working, and I'm not quite sure what I did wrong.
class SIR(Distribution):
def __init__(self, gamma, r0,dt, std):
self.gamma = gamma
self.r0 = r0
self.std = std
self.dt = dt
def logp(self, SI):
r0 = self.r0
std = self.std
gamma = self.gamma
dt = self.dt
S=SI[:,0]
I=SI[:,1]
Si = S[1:]
Si_m1 = S[:-1]
Ii = I[1:]
Ii_m1 = I[:-1]
Sdelta = (Si - Si_m1)
Idelta = (Ii - Ii_m1)
Sexpected_delta = dt* (-r0 * gamma * Si_m1 * Ii_m1)
Iexpected_delta = dt * gamma * Ii_m1 *( r0 * Si_m1 - 1 )
return (Normal.dist(Sexpected_delta, sd=std).logp(Sdelta) +
Normal.dist(Iexpected_delta, sd=std).logp(Idelta))
with Model() as model:
r0 = pymc.Normal("r0", 15, sd=10)
gamma = pymc.Normal("gamma", 0.3, 1.)
std = .5
dt = t[1]-t[0]
SI = SIR('SI', gamma, r0, std,dt, observed=solution[:,:2])
#start = pymc.find_MAP(start={'gamma' : .45, 'r0' : 17})
trace = pymc.sample(2000, pymc.NUTS())