weighted_quantile

gistfile1.txt

def weighted_quantile(weights, curves, quantile):                        
    """                                                                        
    :param weights:                                                            
        Array of weights, 1 for each input curve.                              
    :param curves:                                                             
        2D array of curve PoEs. Each row represents the PoEs for a single curve        
    :param quantile:                                                           
        Quantile value to calculate. Should in the range [0.0, 1.0].           
    """                                                                        
    # Each curve needs to be associated with a weight:                         
    assert len(weights) == len(curves)                                         
                                                                               
    result_curve = []                                                          
                                                                               
    for i, poes in enumerate(curves.transpose()):                              
        sorted_poe_idxs = numpy.argsort(poes)                                  
        sorted_weights = weights[sorted_poe_idxs]                              
        sorted_poes = poes[sorted_poe_idxs]                                    
                                                                               
        # cumulatative sum of weights:                                         
        cum_weights = numpy.cumsum(sorted_weights)                             
                                                                               
        result_curve.append(numpy.interp(quantile, cum_weights, sorted_poes))  
                                                                               
    return result_curve