2020/01/21 by Fredrik Bagge Carlson, Carlson, Fredrik Bagge · 1 citation
Computer Science · Decision Sciences · Mathematics · #Advanced Statistical Methods and Models #Computation (stat.CO) #FOS: Computer and information sciences #Forecasting Techniques and Applications #Mathematical Software (cs.MS) #Other Statistics (stat.OT) #Statistics Education and Methodologies #cs.MS #stat.CO #stat.OT
paper · pdf · doi:10.48550/arxiv.2001.07625
5 pages, 4 figure, 5 code blocks, 2 tables
arxiv created 2020/01/21 · openalex publication_date 2020/01/21 · arxiv updated 2020/01/22 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
This manuscript outlines a software package that facilitates working with probability distributions by means of Monte-Carlo methods, in a way that allows for propagation of multivariate probability distributions through arbitrary functions. We provide a type that represents probability distributions by an internal vector of unweighted samples, Particles, which is a subtype of a Real number and behaves just like a regular real number in calculations by means of method overloading. This makes the software easy to work with and presents minimal friction for the user. We highlight how this design facilitates optimal usage of SIMD instructions and showcase the package for uncertainty propagation through an off-the-shelf ODE solver, as well as for robust probabilistic optimization with automatic differentiation.