Added Expectation operator for random variables

Author: mandar2812

dynaml-core/src/main/scala-2.11/io/github/mandar2812/dynaml/probability/package.scala

@@ -0,0 +1,29 @@
+package io.github.mandar2812.dynaml
+
+import scalaxy.streams.optimize
+import spire.algebra.InnerProductSpace
+
+/**
+  * Created by mandar on 11/01/2017.
+  */
+package object probability {
+
+  var candidates: Int = 10000
+
+  def E[@specialized(Double) I](rv: RandomVariable[I])(implicit f: InnerProductSpace[I, Double]): I = optimize {
+    f.divr(
+      rv.iid(candidates)
+        .sample()
+        .reduce(
+          (x, y) => f.plus(x,y)
+        ),
+      candidates.toDouble)
+  }
+
+
+  def E(rv: RandomVariable[Double]): Double = optimize {
+    rv.iid(candidates).sample().sum/candidates.toDouble
+  }
+
+
+}

scripts/randomvariables.sc

@@ -1,7 +1,7 @@
 import io.github.mandar2812.dynaml.DynaMLPipe._
 import io.github.mandar2812.dynaml.analysis.{DifferentiableMap, PushforwardMap}
 import io.github.mandar2812.dynaml.pipes.DataPipe
-import io.github.mandar2812.dynaml.probability.{GaussianRV, RandomVariable}
+import io.github.mandar2812.dynaml.probability.{E, GaussianRV, RandomVariable}
 import spire.implicits._
 import com.quantifind.charts.Highcharts._
 import io.github.mandar2812.dynaml.probability.distributions.SkewGaussian
@@ -34,3 +34,5 @@ spline(x.toIterable)
 unhold()
 legend(List("Log Skew Gaussian", "Log Gaussian"))
 title("Probability Density Functions")
+
+println("E[Q] = "+E(q))