Upodate presentation (CRPS Simulations)
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index.qmd
29
index.qmd
@@ -956,20 +956,27 @@ for( t in 1:T ) {
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## Simulation Study
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::: {.panel-tabset}
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## BOA
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:::: {.columns}
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::: {.column width="48%"}
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Data Generating Process of the [simple probabilistic example](#simple_example)
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Data Generating Process of the [simple probabilistic example](#simple_example):
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\begin{align*}
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Y_t &\sim \mathcal{N}(0,\,1)\\
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\widehat{X}_{t,1} &\sim \widehat{F}_{1}=\mathcal{N}(-1,\,1) \\
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\widehat{X}_{t,2} &\sim \widehat{F}_{2}=\mathcal{N}(3,\,4)
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\end{align*}
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- Constant solution $\lambda \rightarrow \infty$
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- Pointwise Solution of the proposed BOAG
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- Smoothed Solution of the proposed BOAG
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- Weights are smoothed during learning
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- Smooth weights are used to calculate Regret, adjust weights, etc.
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- Smooth ex-post solution
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- Weights are smoothed after the learning
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- Algorithm always uses non-smoothed weights
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:::
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@@ -983,6 +990,8 @@ Data Generating Process of the [simple probabilistic example](#simple_example)
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## QL Deviation
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Deviation from best attainable QL (1000 runs).
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## CRPS vs. Lambda
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@@ -991,13 +1000,19 @@ CRPS Values for different $\lambda$ (1000 runs)
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## Knots
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CRPS for different number of knots (1000 runs)
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::::
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:::
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::::
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## Simulation Study
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## Comparison to EWA and ML-Poly
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The same simulation carried out for different algorithms (1000 runs):
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@@ -1005,6 +1020,10 @@ The same simulation carried out for different algorithms (1000 runs):
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<img src="assets/crps_learning/algos_constant.gif">
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</center>
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## Study Forget
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::::
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## Simulation Study
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:::: {.columns}
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