comment on

It looks as though what oakbox is after is the integral of the function:
min(p1(x),p2(x)) dx
where p1 and p2 are the two probability distributions. That is, he's trying to find the area under both curves. Now, this isn't actually all _that_ hard, though the answer will include some calls to erf.

Let's see.... (ten minutes of scribbling on paper later, accompanied by some looking up of things Mathworld)

Ok, well, it's ugly, but this _should_ get the same results as the given procedure:

use Math::Libm qw(erf erfc M_SQRT2);
sub compare_bell_curves {
  my ($self,$m1,$sd1,$m2,$sd2) = @_;
  if ($sd1 > $sd2) {
    ($m1,$sd1,$m2,$sd2)=($m2,$sd2,$m1,$sd1);
  } elsif ($sd1 == $sd2) {
    # stupid corner case
    my $dist = abs($m1-$m2)/$sd1;
    return erfc($dist/2/M_SQRT2);
  }
  $m2 -= $m1;
  $m1 = 0;
  # Some terms omitted since $m1 = 0
  my $sd2s= $sd2*$sd2;
  my $sd1s= $sd1*$sd1;
  my $A = ($sd2s - $sd1s);
  my $B = 2*($m2*$sd1s);
  my $C = 2*(log($sd1)-log($sd2))*$sd1s*$sd2s - $m2*$m2*$sd1s;
  my $disc = $B*$B - 4*$A*$C;
  my $rdisc = sqrt($disc);
  my $lower = (-$B - $rdisc)/(2*$A);
  my $upper = (-$B + $rdisc)/(2*$A);
  my $p1 = 0.5 + erf(($lower-$m2)/$sd2/M_SQRT2)/2;
  my $p2 = (erf($upper/$sd1/M_SQRT2)-erf($lower/$sd1/M_SQRT2))/2;
  my $p3 = erfc(($upper-$m2)/$sd2/M_SQRT2)/2;
  $p1+$p2+$p3;
}
[download]

Note that it took much, much longer to write this note and get the code working than to do the math. (Mostly, that was tracing down transcription errors in going from paper to code) The math itself was a matter of finding the intersections (which boils down to just solving a quadratic equation in x, albeit with messy coefficients), and then using the fact that the cumulative distribution function for a normal distribution is as given in equation 9 of http://mathworld.wolfram.com/NormalDistribution.html.

True, there are many problems which cannot be solved or even vaguely approached analytically, but this isn't one of them.

--
@/=map{[/./g]}qw/.h_nJ Xapou cets krht ele_ r_ra/;
map{y/X_/\n /;print}map{pop@$_}@/for@/
[download]

In reply to Re^2: Empirically solving complex problems by fizbin
in thread Empirically solving complex problems by oakbox

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