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Changed numpy quantile to percentile for older numpy versions #6

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Jul 6, 2023
Merged

Changed numpy quantile to percentile for older numpy versions #6

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7675768
switched from quantile to percentile to accommodate older numpy versions
dc-luo Jul 6, 2023
ee13891
changed numpy quantile to percentile in tests
dc-luo Jul 6, 2023
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4 changes: 2 additions & 2 deletions soupy/modeling/superquantileRiskMeasureSAA.py
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Original file line number Diff line number Diff line change
Expand Up @@ -32,15 +32,15 @@ def sampleSuperquantile(samples, beta):
"""
Evaluate superquantile from samples
"""
quantile = np.quantile(samples, beta)
quantile = np.percentile(samples, beta * 100)
return quantile + np.mean(np.maximum(samples - quantile, 0))/(1-beta)


def sampleSuperquantileByMinimization(samples, beta, epsilon=1e-2):
"""
Evaluate superquantile from samples
"""
quantile = np.quantile(samples, beta)
quantile = np.percentile(samples, beta * 100)
smoothPlus = SmoothPlusApproximationQuartic(epsilon=epsilon)
cvar_obj = lambda t : t + np.mean(smoothPlus(samples - t))/(1-beta)
minimum = scipy.optimize.fmin(cvar_obj, quantile)
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2 changes: 1 addition & 1 deletion soupy/test/test_superquantileSAA.py
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Expand Up @@ -279,7 +279,7 @@ def l2norm(u,m,z):
# z.set_local(np.random.randn(len(z.get_local())))

risk.computeComponents(zt, order=0)
quantile = np.quantile(risk.q_samples, beta)
quantile = np.percentile(risk.q_samples, beta * 100)
zt.set_scalar(quantile)

risk.computeComponents(zt, order=0)
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