Fuzzy calculus

Simple implementation of interval and fuzzy calculus.

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open System

let min (xs : double list) = Seq.fold (fun (acc : double) x -> Math.Min(acc,x)) Double.MaxValue xs
let max (xs : double list) = Seq.fold (fun (acc : double) x -> Math.Max(acc,x)) Double.MinValue xs

type Interval = 
    { a:double; b:double }
    static member (*) (x : Interval, y : Interval) = 
        let list = [x.a * y.a; x.a * y.b; x.b * y.a; x.b * y.b]
        { a =  min list; b = max list}
    static member (/) (x : Interval, y : Interval) = { a = x.a / y.b; b = x.b / y.a}
    static member (+) (x : Interval, y : Interval) = { a = x.a + y.a; b = x.b + y.b}
    static member (-) (x : Interval, y : Interval) = { a = x.a - y.b; b = x.b - y.a}
    static member (*) (x : Interval, y : double) = { a = x.a * y; b = x.b * y}
    static member (/) (x : Interval, y : double) = { a = x.a / y; b = x.b / y}
    static member (+) (x : Interval, y : double) = { a = x.a + y; b = x.b + y}
    static member (-) (x : Interval, y : double) = { a = x.a - y; b = x.b - y}
    static member (*) (x : double, y : Interval) = { a = x * y.a; b = x * y.b}
    static member (/) (x : double, y : Interval) = { a = x / y.b; b = x / y.a}
    static member (+) (x : double, y : Interval) = { a = x + y.a; b = x + y.b}
    static member (-) (x : double, y : Interval) = { a = x - y.b; b = x - y.a}
    static member pow (x : Interval, p : double) = { a =  Math.Pow(x.a, p); b = Math.Pow(x.b, p)}
let zeroLengthInterval(x : double) = {a=x; b=x}

type Fuzzy =
    { Top : Interval; Bottom : Interval }
    static member (*) (x : Fuzzy, y : Fuzzy) = { Top = x.Top * y.Top; Bottom = x.Bottom * y.Bottom }
    static member (/) (x : Fuzzy, y : Fuzzy) = { Top = x.Top / y.Top; Bottom = x.Bottom / y.Bottom }
    static member (+) (x : Fuzzy, y : Fuzzy) = { Top = x.Top + y.Top; Bottom = x.Bottom + y.Bottom }
    static member (-) (x : Fuzzy, y : Fuzzy) = { Top = x.Top - y.Top; Bottom = x.Bottom - y.Bottom }
    static member (*) (x : Fuzzy, y : double) = { Top = x.Top * y; Bottom = x.Bottom * y }
    static member (/) (x : Fuzzy, y : double) = { Top = x.Top / y; Bottom = x.Bottom / y }
    static member (+) (x : Fuzzy, y : double) = { Top = x.Top + y; Bottom = x.Bottom + y }
    static member (-) (x : Fuzzy, y : double) = { Top = x.Top - y; Bottom = x.Bottom - y }
    static member (*) (x : double, y : Fuzzy) = { Top = x * y.Top; Bottom = x * y.Bottom }
    static member (/) (x : double, y : Fuzzy) = { Top = x / y.Top; Bottom = x / y.Bottom }
    static member (+) (x : double, y : Fuzzy) = { Top = x + y.Top; Bottom = x + y.Bottom }
    static member (-) (x : double, y : Fuzzy) = { Top = x - y.Top; Bottom = x - y.Bottom }
    static member pow (x : Fuzzy, p : double) = 
      { 
        Top = Interval.pow(x.Top, p)
        Bottom = Interval.pow(x.Bottom, p)
      }
let number(a,b,c) = { Top = zeroLengthInterval(b); Bottom = { a=a; b=c } }        
//Example - fuzzy bond valuation
let i1 = number(0.11,0.12,0.14)
let i2 = number(0.08,0.11,0.16)
let M = 1000.
let couponRate = 0.1

let coupon = M * couponRate
let presentValue = coupon/(1.+i1)+(coupon + M)/Fuzzy.pow(1.+i2, 2.)

namespace System

val min : xs:double list -> double

Full name: Script.min

val xs : double list

Multiple items
val double : value:'T -> float (requires member op_Explicit)

Full name: Microsoft.FSharp.Core.ExtraTopLevelOperators.double

--------------------
type double = Double

Full name: Microsoft.FSharp.Core.double

type 'T list = List<'T>

Full name: Microsoft.FSharp.Collections.list<_>

module Seq

from Microsoft.FSharp.Collections

val fold : folder:('State -> 'T -> 'State) -> state:'State -> source:seq<'T> -> 'State

Full name: Microsoft.FSharp.Collections.Seq.fold

val acc : double

val x : float

type Math =
  static val PI : float
  static val E : float
  static member Abs : value:sbyte -> sbyte + 6 overloads
  static member Acos : d:float -> float
  static member Asin : d:float -> float
  static member Atan : d:float -> float
  static member Atan2 : y:float * x:float -> float
  static member BigMul : a:int * b:int -> int64
  static member Ceiling : d:decimal -> decimal + 1 overload
  static member Cos : d:float -> float
  ...

Full name: System.Math

Math.Min(val1: decimal, val2: decimal) : decimal
   (+0 other overloads)
Math.Min(val1: float, val2: float) : float
   (+0 other overloads)
Math.Min(val1: float32, val2: float32) : float32
   (+0 other overloads)
Math.Min(val1: uint64, val2: uint64) : uint64
   (+0 other overloads)
Math.Min(val1: int64, val2: int64) : int64
   (+0 other overloads)
Math.Min(val1: uint32, val2: uint32) : uint32
   (+0 other overloads)
Math.Min(val1: int, val2: int) : int
   (+0 other overloads)
Math.Min(val1: uint16, val2: uint16) : uint16
   (+0 other overloads)
Math.Min(val1: int16, val2: int16) : int16
   (+0 other overloads)
Math.Min(val1: byte, val2: byte) : byte
   (+0 other overloads)

type Double =
  struct
    member CompareTo : value:obj -> int + 1 overload
    member Equals : obj:obj -> bool + 1 overload
    member GetHashCode : unit -> int
    member GetTypeCode : unit -> TypeCode
    member ToString : unit -> string + 3 overloads
    static val MinValue : float
    static val MaxValue : float
    static val Epsilon : float
    static val NegativeInfinity : float
    static val PositiveInfinity : float
    ...
  end

Full name: System.Double

field float.MaxValue = 1.79769313486e+308

val max : xs:double list -> double

Full name: Script.max

Math.Max(val1: decimal, val2: decimal) : decimal
   (+0 other overloads)
Math.Max(val1: float, val2: float) : float
   (+0 other overloads)
Math.Max(val1: float32, val2: float32) : float32
   (+0 other overloads)
Math.Max(val1: uint64, val2: uint64) : uint64
   (+0 other overloads)
Math.Max(val1: int64, val2: int64) : int64
   (+0 other overloads)
Math.Max(val1: uint32, val2: uint32) : uint32
   (+0 other overloads)
Math.Max(val1: int, val2: int) : int
   (+0 other overloads)
Math.Max(val1: uint16, val2: uint16) : uint16
   (+0 other overloads)
Math.Max(val1: int16, val2: int16) : int16
   (+0 other overloads)
Math.Max(val1: byte, val2: byte) : byte
   (+0 other overloads)

field float.MinValue = -1.79769313486e+308

type Interval =
  {a: double;
   b: double;}
  static member ( + ) : x:Interval * y:Interval -> Interval
  static member ( + ) : x:Interval * y:double -> Interval
  static member ( + ) : x:double * y:Interval -> Interval
  static member ( / ) : x:Interval * y:Interval -> Interval
  static member ( / ) : x:Interval * y:double -> Interval
  static member ( / ) : x:double * y:Interval -> Interval
  static member ( * ) : x:Interval * y:Interval -> Interval
  static member ( * ) : x:Interval * y:double -> Interval
  static member ( * ) : x:double * y:Interval -> Interval
  static member ( - ) : x:Interval * y:Interval -> Interval
  static member ( - ) : x:Interval * y:double -> Interval
  static member ( - ) : x:double * y:Interval -> Interval
  static member pow : x:Interval * p:double -> Interval

Full name: Script.Interval

Interval.a: double

Interval.b: double

val x : Interval

val y : Interval

Multiple items
val list : double list

--------------------
type 'T list = List<'T>

Full name: Microsoft.FSharp.Collections.list<_>

val y : double

val x : double

static member Interval.pow : x:Interval * p:double -> Interval

Full name: Script.Interval.pow

val p : double

Math.Pow(x: float, y: float) : float

val zeroLengthInterval : x:double -> Interval

Full name: Script.zeroLengthInterval

type Fuzzy =
  {Top: Interval;
   Bottom: Interval;}
  static member ( + ) : x:Fuzzy * y:Fuzzy -> Fuzzy
  static member ( + ) : x:Fuzzy * y:double -> Fuzzy
  static member ( + ) : x:double * y:Fuzzy -> Fuzzy
  static member ( / ) : x:Fuzzy * y:Fuzzy -> Fuzzy
  static member ( / ) : x:Fuzzy * y:double -> Fuzzy
  static member ( / ) : x:double * y:Fuzzy -> Fuzzy
  static member ( * ) : x:Fuzzy * y:Fuzzy -> Fuzzy
  static member ( * ) : x:Fuzzy * y:double -> Fuzzy
  static member ( * ) : x:double * y:Fuzzy -> Fuzzy
  static member ( - ) : x:Fuzzy * y:Fuzzy -> Fuzzy
  static member ( - ) : x:Fuzzy * y:double -> Fuzzy
  static member ( - ) : x:double * y:Fuzzy -> Fuzzy
  static member pow : x:Fuzzy * p:double -> Fuzzy

Full name: Script.Fuzzy

Fuzzy.Top: Interval

Fuzzy.Bottom: Interval

val x : Fuzzy

val y : Fuzzy

static member Fuzzy.pow : x:Fuzzy * p:double -> Fuzzy

Full name: Script.Fuzzy.pow

static member Interval.pow : x:Interval * p:double -> Interval

val number : a:double * b:double * c:double -> Fuzzy

Full name: Script.number

val a : double

val b : double

val c : double

val i1 : Fuzzy

Full name: Script.i1

val i2 : Fuzzy

Full name: Script.i2

val M : float

Full name: Script.M

val couponRate : float

Full name: Script.couponRate

val coupon : float

Full name: Script.coupon

val presentValue : Fuzzy

Full name: Script.presentValue

static member Fuzzy.pow : x:Fuzzy * p:double -> Fuzzy

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More information

Link:	http://fssnip.net/kX
Posted:	11 years ago
Author:	Dmitry Sevastianov
Tags:	fuzzy , interval