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"""Tools for arithmetic error propagation.""" from itertools import repeat, combinations from sympy import S, Symbol, Add, Mul, simplify, Pow, exp from sympy.stats.symbolic_probability import RandomSymbol, Variance, Covariance from sympy.stats.rv import is_random _arg0_or_var = lambda var: var.args[0] if len(var.args) > 0 else var def variance_prop(expr, consts=(), include_covar=False): r"""Symbolically propagates variance (`\sigma^2`) for expressions. This is computed as as seen in [1]_. Parameters ========== expr : Expr A sympy expression to compute the variance for. consts : sequence of Symbols, optional Represents symbols that are known constants in the expr, and thus have zero variance. All symbols not in consts are assumed to be variant. include_covar : bool, optional Flag for whether or not to include covariances, default=False. Returns ======= var_expr : Expr An expression for the total variance of the expr. The variance for the original symbols (e.g. x) are represented via instance of the Variance symbol (e.g. Variance(x)). Examples ======== >>> from sympy import symbols, exp >>> from sympy.stats.error_prop import variance_prop >>> x, y = symbols('x y') >>> variance_prop(x + y) Variance(x) + Variance(y) >>> variance_prop(x * y) x**2*Variance(y) + y**2*Variance(x) >>> variance_prop(exp(2*x)) 4*exp(4*x)*Variance(x) References ========== .. [1] https://en.wikipedia.org/wiki/Propagation_of_uncertainty """ args = expr.args if len(args) == 0: if expr in consts: return S.Zero elif is_random(expr): return Variance(expr).doit() elif isinstance(expr, Symbol): return Variance(RandomSymbol(expr)).doit() else: return S.Zero nargs = len(args) var_args = list(map(variance_prop, args, repeat(consts, nargs), repeat(include_covar, nargs))) if isinstance(expr, Add): var_expr = Add(*var_args) if include_covar: terms = [2 * Covariance(_arg0_or_var(x), _arg0_or_var(y)).expand() \ for x, y in combinations(var_args, 2)] var_expr += Add(*terms) elif isinstance(expr, Mul): terms = [v/a**2 for a, v in zip(args, var_args)] var_expr = simplify(expr**2 * Add(*terms)) if include_covar: terms = [2*Covariance(_arg0_or_var(x), _arg0_or_var(y)).expand()/(a*b) \ for (a, b), (x, y) in zip(combinations(args, 2), combinations(var_args, 2))] var_expr += Add(*terms) elif isinstance(expr, Pow): b = args[1] v = var_args[0] * (expr * b / args[0])**2 var_expr = simplify(v) elif isinstance(expr, exp): var_expr = simplify(var_args[0] * expr**2) else: # unknown how to proceed, return variance of whole expr. var_expr = Variance(expr) return var_expr