Upodate presentation (CRPS Simulations)

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2025-05-25 15:18:45 +02:00
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@@ -956,20 +956,27 @@ for( t in 1:T ) {
## Simulation Study ## Simulation Study
::: {.panel-tabset}
## BOA
:::: {.columns} :::: {.columns}
::: {.column width="48%"} ::: {.column width="48%"}
Data Generating Process of the [simple probabilistic example](#simple_example) Data Generating Process of the [simple probabilistic example](#simple_example):
\begin{align*}
Y_t &\sim \mathcal{N}(0,\,1)\\
\widehat{X}_{t,1} &\sim \widehat{F}_{1}=\mathcal{N}(-1,\,1) \\
\widehat{X}_{t,2} &\sim \widehat{F}_{2}=\mathcal{N}(3,\,4)
\end{align*}
- Constant solution $\lambda \rightarrow \infty$ - Constant solution $\lambda \rightarrow \infty$
- Pointwise Solution of the proposed BOAG - Pointwise Solution of the proposed BOAG
- Smoothed Solution of the proposed BOAG - Smoothed Solution of the proposed BOAG
- Weights are smoothed during learning - Weights are smoothed during learning
- Smooth weights are used to calculate Regret, adjust weights, etc. - Smooth weights are used to calculate Regret, adjust weights, etc.
- Smooth ex-post solution
- Weights are smoothed after the learning
- Algorithm always uses non-smoothed weights
::: :::
@@ -983,6 +990,8 @@ Data Generating Process of the [simple probabilistic example](#simple_example)
## QL Deviation ## QL Deviation
Deviation from best attainable QL (1000 runs).
![](assets/crps_learning/pre_vs_post.gif) ![](assets/crps_learning/pre_vs_post.gif)
## CRPS vs. Lambda ## CRPS vs. Lambda
@@ -991,13 +1000,19 @@ CRPS Values for different $\lambda$ (1000 runs)
![](assets/crps_learning/pre_vs_post_lambda.gif) ![](assets/crps_learning/pre_vs_post_lambda.gif)
## Knots
CRPS for different number of knots (1000 runs)
![](assets/crps_learning/pre_vs_post_kstep.gif)
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## Simulation Study ## Comparison to EWA and ML-Poly
The same simulation carried out for different algorithms (1000 runs): The same simulation carried out for different algorithms (1000 runs):
@@ -1005,6 +1020,10 @@ The same simulation carried out for different algorithms (1000 runs):
<img src="assets/crps_learning/algos_constant.gif"> <img src="assets/crps_learning/algos_constant.gif">
</center> </center>
## Study Forget
::::
## Simulation Study ## Simulation Study
:::: {.columns} :::: {.columns}