ClosedFormExpectations.jl

ClosedFormExpectations.jl is a Julia package that provides closed-form expressions for computing the expectation of a function (e.g pdfs) with respect to another distribution, i.e., $E_q[f(x)].$

Installation

You can install ClosedFormExpectations.jl using the Julia package manager. From the Julia REPL, type ] to enter the Pkg REPL mode and run:

pkg> add ClosedFormExpectations

The package exports the following:

ClosedFormExpectation: A struct representing the closed-form expectation ClosedWilliamsProduct: A struct representing the closed-form expectation of the product of score function and a target function (the gradient of the ClosedFormExpectation)

Usage

using ClosedFormExpectations
using Distributions
mean(ClosedFormExpectation(), Exponetial(10), log)