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Statistics: Implement SampledDistribution variant to Distribution to support estimated distributions #14897

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ozankabak opened this issue Feb 26, 2025 · 1 comment
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enhancement New feature or request

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@ozankabak
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Is your feature request related to a problem or challenge?

The new low-level framework to evaluate expressions in a probabilistic context (#14699) supports various distribution types, but it doesn't yet support sampled distributions represented by historgrams.

Describe the solution you'd like

We can add a SampledDistribution variant to Distribution, which will store a histogram. All summary statistics (mean, variance and others) will be derived from the histogram. When combining SampledDistribution objects with binary operations, the statistics framework will construct the resulting histogram from histograms of operands. For example, when evaluate_statistics is invoked on a BinaryExpr that adds two expressions whose Distributions are SampledDistributions, the output histogram will be the convolution of the two histograms (due to the independence assumption in the framework).

Describe alternatives you've considered

N/A.

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No response

@ozankabak ozankabak added the enhancement New feature or request label Feb 26, 2025
@cj-zhukov
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take

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