aa50234c0e3854567214a3109188ee9bedc33551,cde/BaseConditionalDensity.py,ConditionalDensity,_conditional_value_at_risk_mc_pdf,#ConditionalDensity#Any#Any#Any#Any#,221

Before Change

      p = self.pdf(x_cond_tiled, y_samples).flatten()
      q = exp_f.flatten()
      importance_weights = p / q
      cvar = np.mean(y_samples * importance_weights, axis=0) / alpha
      CVaRs[i] = cvar

    return CVaRs

After Change

  def _conditional_value_at_risk_mc_pdf(self, VaRs, x_cond, alpha=0.01, n_samples=10 ** 6):
    assert VaRs.shape[0] == x_cond.shape[0], "same number of x_cond must match the number of values_at_risk provided"
    assert self.ndim_y == 1, "this function only supports only ndim_y = 1"
    assert x_cond.ndim == 2

    n_samples_int, lower, _ = self._determine_integration_bounds()

Instances