def _make_set_function(self):
return SetFunction(pspace=self.pspace,
data=dict(
(self.pspace.make_event(gamble), lprev)
for (gamble,
cond_event), (lprev,
uprev) in self.iteritems()),
number_type=self.number_type)
def _make_mobius(self):
"""Constructs basic belief assignment corresponding to the
assigned unconditional lower probabilities.
"""
# construct set function corresponding to this lower probability
return SetFunction(pspace=self.pspace,
data=dict(
(event, self.set_function.get_mobius(event))
for event in self.pspace.subsets()),
number_type=self.number_type)
def timeit(n=10, m=10):
k = 10000 // n # number of trials, for timing
gambles = [
dict((i, random.randint(1, m))
for i in xrange(n))
for j in xrange(k)]
pspace = PSpace(n)
s = SetFunction(
pspace=pspace,
number_type='fraction')
# hack so we do not need to fill the set function with data
# (this solves issues when testing for large n)
s._data = defaultdict(lambda: random.randint(-len(pspace), len(pspace)))
t = time.clock()
for gamble in gambles:
s.get_choquet(gamble)
return time.clock() - t
def get_outer_approx(self, algorithm=None):
"""Generate an outer approximation.
:parameter algorithm: a :class:`~string` denoting the algorithm used:
``None``, ``'linvac'``, ``'irm'``, ``'imrm'``, or ``'lpbelfunc'``
:rtype: :class:`~improb.lowprev.lowprob.LowProb`
This method replaces the lower probability :math:`\underline{P}` by
a lower probability :math:`\underline{R}` determined by the
``algorithm`` argument:
``None``
returns the original lower probability.
>>> pspace = PSpace('abc')
>>> lprob = LowProb(pspace,
... lprob={'ab': .5, 'ac': .5, 'bc': .5},
... number_type='fraction')
>>> lprob.extend()
>>> print(lprob)
: 0
a : 0
b : 0
c : 0
a b : 1/2
a c : 1/2
b c : 1/2
a b c : 1
>>> lprob == lprob.get_outer_approx()
True
``'linvac'``
replaces the imprecise part :math:`\underline{Q}` by the vacuous
lower probability :math:`\underline{R}=\min` to generate a simple
outer approximation.
``'irm'``
replaces :math:`\underline{P}` by a completely monotone lower
probability :math:`\underline{R}` that is obtained by using the
IRM algorithm of Hall & Lawry [#hall2004]_. The Moebius transform
of a lower probability that is not completely monotone contains
negative belief assignments. Consider such a lower probability and
an event with such a negative belief assignment. The approximation
consists of removing this negative assignment and compensating for
this by correspondingly reducing the positive masses for events
below it; for details, see the paper.
The following example illustrates the procedure:
>>> pspace = PSpace('abc')
>>> lprob = LowProb(pspace,
... lprob={'ab': .5, 'ac': .5, 'bc': .5},
... number_type='fraction')
>>> lprob.extend()
>>> print(lprob)
: 0
a : 0
b : 0
c : 0
a b : 1/2
a c : 1/2
b c : 1/2
a b c : 1
>>> lprob.is_completely_monotone()
False
>>> print(lprob.mobius)
: 0
a : 0
b : 0
c : 0
a b : 1/2
a c : 1/2
b c : 1/2
a b c : -1/2
>>> belfunc = lprob.get_outer_approx('irm')
>>> print(belfunc.mobius)
: 0
a : 0
b : 0
c : 0
a b : 1/3
a c : 1/3
b c : 1/3
a b c : 0
>>> print(belfunc)
: 0
a : 0
b : 0
c : 0
a b : 1/3
a c : 1/3
b c : 1/3
a b c : 1
>>> belfunc.is_completely_monotone()
True
The next is Example 2 from Hall & Lawry's 2004 paper [#hall2004]_:
>>> pspace = PSpace('ABCD')
>>> lprob = LowProb(pspace, lprob={'': 0, 'ABCD': 1,
... 'A': .0895, 'B': .2743,
... 'C': .2668, 'D': .1063,
... 'AB': .3947, 'AC': .4506,
... 'AD': .2959, 'BC': .5837,
... 'BD': .4835, 'CD': .4079,
... 'ABC': .7248, 'ABD': .6224,
... 'ACD': .6072, 'BCD': .7502})
>>> lprob.is_avoiding_sure_loss()
True
>>> lprob.is_coherent()
False
>>> lprob.is_completely_monotone()
False
>>> belfunc = lprob.get_outer_approx('irm')
>>> belfunc.is_completely_monotone()
True
>>> print(lprob)
: 0.0
A : 0.0895
B : 0.2743
C : 0.2668
D : 0.1063
A B : 0.3947
A C : 0.4506
A D : 0.2959
B C : 0.5837
B D : 0.4835
C D : 0.4079
A B C : 0.7248
A B D : 0.6224
A C D : 0.6072
B C D : 0.7502
A B C D : 1.0
>>> print(belfunc)
: 0.0
A : 0.0895
B : 0.2743
C : 0.2668
D : 0.1063
A B : 0.375789766751
A C : 0.405080300695
A D : 0.259553087227
B C : 0.560442004097
B D : 0.43812301076
C D : 0.399034985143
A B C : 0.710712071543
A B D : 0.603365864737
A C D : 0.601068373065
B C D : 0.7502
A B C D : 1.0
>>> print(lprob.mobius)
: 0.0
A : 0.0895
B : 0.2743
C : 0.2668
D : 0.1063
A B : 0.0309
A C : 0.0943
A D : 0.1001
B C : 0.0426
B D : 0.1029
C D : 0.0348
A B C : -0.0736
A B D : -0.0816
A C D : -0.0846
B C D : -0.0775
A B C D : 0.1748
>>> print(belfunc.mobius)
: 0.0
A : 0.0895
B : 0.2743
C : 0.2668
D : 0.1063
A B : 0.0119897667507
A C : 0.0487803006948
A D : 0.0637530872268
B C : 0.019342004097
B D : 0.0575230107598
C D : 0.0259349851432
A B C : 3.33066907388e-16
A B D : -1.11022302463e-16
A C D : -1.11022302463e-16
B C D : 0.0
A B C D : 0.0357768453276
>>> sum(lprev for (lprev, uprev)
... in (lprob - belfunc).itervalues())/(2 ** len(pspace))
0.013595658498933991
.. note::
This algorithm is *not* invariant under permutation of the
possibility space.
.. warning::
The lower probability must be defined for all events. If
needed, call :meth:`~improb.lowprev.lowpoly.LowPoly.extend`
first.
``'imrm'``
replaces :math:`\underline{P}` by a completely monotone lower
probability :math:`\underline{R}` that is obtained by using an
algorithm by Quaeghebeur that is as of yet unpublished.
We apply it to Example 2 from Hall & Lawry's 2004 paper
[#hall2004]_:
>>> pspace = PSpace('ABCD')
>>> lprob = LowProb(pspace, lprob={
... '': 0, 'ABCD': 1,
... 'A': .0895, 'B': .2743,
... 'C': .2668, 'D': .1063,
... 'AB': .3947, 'AC': .4506,
... 'AD': .2959, 'BC': .5837,
... 'BD': .4835, 'CD': .4079,
... 'ABC': .7248, 'ABD': .6224,
... 'ACD': .6072, 'BCD': .7502})
>>> belfunc = lprob.get_outer_approx('imrm')
>>> belfunc.is_completely_monotone()
True
>>> print(lprob)
: 0.0
A : 0.0895
B : 0.2743
C : 0.2668
D : 0.1063
A B : 0.3947
A C : 0.4506
A D : 0.2959
B C : 0.5837
B D : 0.4835
C D : 0.4079
A B C : 0.7248
A B D : 0.6224
A C D : 0.6072
B C D : 0.7502
A B C D : 1.0
>>> print(belfunc)
: 0.0
A : 0.0895
B : 0.2743
C : 0.2668
D : 0.1063
A B : 0.381007057096
A C : 0.411644226231
A D : 0.26007767078
B C : 0.562748716673
B D : 0.4404197271
C D : 0.394394926787
A B C : 0.7248
A B D : 0.6224
A C D : 0.6072
B C D : 0.7502
A B C D : 1.0
>>> print(lprob.mobius)
: 0.0
A : 0.0895
B : 0.2743
C : 0.2668
D : 0.1063
A B : 0.0309
A C : 0.0943
A D : 0.1001
B C : 0.0426
B D : 0.1029
C D : 0.0348
A B C : -0.0736
A B D : -0.0816
A C D : -0.0846
B C D : -0.0775
A B C D : 0.1748
>>> print(belfunc.mobius)
: 0.0
A : 0.0895
B : 0.2743
C : 0.2668
D : 0.1063
A B : 0.0172070570962
A C : 0.0553442262305
A D : 0.0642776707797
B C : 0.0216487166733
B D : 0.0598197271
C D : 0.0212949267869
A B C : 2.22044604925e-16
A B D : 0.0109955450242
A C D : 0.00368317620293
B C D : 3.66294398528e-05
A B C D : 0.00879232466651
>>> sum(lprev for (lprev, uprev)
... in (lprob - belfunc).itervalues())/(2 ** len(pspace))
0.010375479708342836
.. note::
This algorithm *is* invariant under permutation of the
possibility space.
.. warning::
The lower probability must be defined for all events. If
needed, call :meth:`~improb.lowprev.lowpoly.LowPoly.extend`
first.
``'lpbelfunc'``
replaces :math:`\underline{P}` by a completely monotone lower
probability :math:`\underline{R}_\mu` that is obtained via the zeta
transform of the basic belief assignment :math:`\mu`, a solution of
the following optimization (linear programming) problem:
.. math::
\min\{
\sum_{A\subseteq\Omega}(\underline{P}(A)-\underline{R}_\mu(A)):
\mu(A)\geq0, \sum_{B\subseteq\Omega}\mu(B)=1,
\underline{R}_\mu(A)\leq\underline{P}(A), A\subseteq\Omega
\},
which, because constants in the objective function do not influence
the solution and because
:math:`\underline{R}_\mu(A)=\sum_{B\subseteq A}\mu(B)`,
is equivalent to:
.. math::
\max\{
\sum_{B\subseteq\Omega}2^{|\Omega|-|B|}\mu(B):
\mu(A)\geq0, \sum_{B\subseteq\Omega}\mu(B)=1,
\sum_{B\subseteq A}\mu(B)
\leq\underline{P}(A), A\subseteq\Omega
\},
the version that is implemented.
We apply this to Example 2 from Hall & Lawry's 2004 paper
[#hall2004]_, which we also used for ``'irm'``:
>>> pspace = PSpace('ABCD')
>>> lprob = LowProb(pspace, lprob={'': 0, 'ABCD': 1,
... 'A': .0895, 'B': .2743,
... 'C': .2668, 'D': .1063,
... 'AB': .3947, 'AC': .4506,
... 'AD': .2959, 'BC': .5837,
... 'BD': .4835, 'CD': .4079,
... 'ABC': .7248, 'ABD': .6224,
... 'ACD': .6072, 'BCD': .7502})
>>> belfunc = lprob.get_outer_approx('lpbelfunc')
>>> belfunc.is_completely_monotone()
True
>>> print(lprob)
: 0.0
A : 0.0895
B : 0.2743
C : 0.2668
D : 0.1063
A B : 0.3947
A C : 0.4506
A D : 0.2959
B C : 0.5837
B D : 0.4835
C D : 0.4079
A B C : 0.7248
A B D : 0.6224
A C D : 0.6072
B C D : 0.7502
A B C D : 1.0
>>> print(belfunc)
: 0.0
A : 0.0895
B : 0.2743
C : 0.2668
D : 0.1063
A B : 0.3638
A C : 0.4079
A D : 0.28835
B C : 0.5837
B D : 0.44035
C D : 0.37355
A B C : 0.7248
A B D : 0.6224
A C D : 0.6072
B C D : 0.7502
A B C D : 1.0
>>> print(lprob.mobius)
: 0.0
A : 0.0895
B : 0.2743
C : 0.2668
D : 0.1063
A B : 0.0309
A C : 0.0943
A D : 0.1001
B C : 0.0426
B D : 0.1029
C D : 0.0348
A B C : -0.0736
A B D : -0.0816
A C D : -0.0846
B C D : -0.0775
A B C D : 0.1748
>>> print(belfunc.mobius)
: 0.0
A : 0.0895
B : 0.2743
C : 0.2668
D : 0.1063
A B : 0.0
A C : 0.0516
A D : 0.09255
B C : 0.0426
B D : 0.05975
C D : 0.00045
A B C : 0.0
A B D : 1.11022302463e-16
A C D : 0.0
B C D : 0.0
A B C D : 0.01615
>>> sum(lprev for (lprev, uprev)
... in (lprob - belfunc).itervalues())/(2 ** len(pspace)
... ) # doctest: +ELLIPSIS
0.00991562...
.. note::
This algorithm is *not* invariant under permutation of the
possibility space or changes in the LP-solver:
there may be a nontrivial convex set of optimal solutions.
.. warning::
The lower probability must be defined for all events. If
needed, call :meth:`~improb.lowprev.lowpoly.LowPoly.extend`
first.
"""
if algorithm is None:
return self
elif algorithm == 'linvac':
prob, coeff = self.get_precise_part()
return prob.get_linvac(1 - coeff)
elif algorithm == 'irm':
# Initialize the algorithm
pspace = self.pspace
bba = SetFunction(pspace, number_type=self.number_type)
bba[False] = 0
def mass_below(event):
subevents = pspace.subsets(event, full=False, empty=False)
return sum(bba[subevent] for subevent in subevents)
def basin_for_negmass(event):
mass = 0
index = len(event)
while bba[event] + mass < 0:
index -= 1
subevents = pspace.subsets(event, size=index)
mass += sum(bba[subevent] for subevent in subevents)
return (index, mass)
lprob = self.set_function
# The algoritm itself:
# we climb the algebra of events, calculating the belief assignment
# for each and compensate negative ones by proportionally reducing
# the assignments in the smallest basin of subevents needed
for cardinality in range(1, len(pspace) + 1):
for event in pspace.subsets(size=cardinality):
bba[event] = lprob[event] - mass_below(event)
if bba[event] < 0:
index, mass = basin_for_negmass(event)
subevents = chain.from_iterable(
pspace.subsets(event, size=k)
for k in range(index, cardinality))
for subevent in subevents:
bba[subevent] = (bba[subevent] *
(1 + (bba[event] / mass)))
bba[event] = 0
return LowProb(pspace,
lprob=dict((event, bba.get_zeta(event))
for event in bba.iterkeys()))
elif algorithm == 'imrm':
# Initialize the algorithm
pspace = self.pspace
number_type = self.number_type
bba = SetFunction(pspace, number_type=number_type)
bba[False] = 0
def mass_below(event, cardinality=None):
subevents = pspace.subsets(event,
full=False,
empty=False,
size=cardinality)
return sum(bba[subevent] for subevent in subevents)
def basin_for_negmass(event):
mass = 0
index = len(event)
while bba[event] + mass < 0:
index -= 1
subevents = pspace.subsets(event, size=index)
mass += sum(bba[subevent] for subevent in subevents)
return (index, mass)
lprob = self.set_function
# The algorithm itself:
cardinality = 1
while cardinality <= len(pspace):
temp_bba = SetFunction(pspace, number_type=number_type)
for event in pspace.subsets(size=cardinality):
bba[event] = lprob[event] - mass_below(event)
offenders = dict((event, basin_for_negmass(event))
for event in pspace.subsets(size=cardinality)
if bba[event] < 0)
if len(offenders) == 0:
cardinality += 1
else:
minindex = min(pair[0] for pair in offenders.itervalues())
for event in offenders:
if offenders[event][0] == minindex:
mass = mass_below(event, cardinality=minindex)
scalef = (offenders[event][1] + bba[event]) / mass
for subevent in pspace.subsets(event,
size=minindex):
if subevent not in temp_bba:
temp_bba[subevent] = 0
temp_bba[subevent] = max(
temp_bba[subevent], scalef * bba[subevent])
for event, value in temp_bba.iteritems():
bba[event] = value
cardinality = minindex + 1
return LowProb(pspace,
lprob=dict((event, bba.get_zeta(event))
for event in bba.iterkeys()))
elif algorithm == 'lpbelfunc':
# Initialize the algorithm
lprob = self.set_function
pspace = lprob.pspace
number_type = lprob.number_type
n = 2**len(pspace)
# Set up the linear program
mat = cdd.Matrix(list(
chain(
[[-1] + n * [1], [1] + n * [-1]],
[[0] + [int(event == other) for other in pspace.subsets()]
for event in pspace.subsets()],
[[lprob[event]] +
[-int(other <= event) for other in pspace.subsets()]
for event in pspace.subsets()])),
number_type=number_type)
mat.obj_type = cdd.LPObjType.MAX
mat.obj_func = (0, ) + tuple(2**(len(pspace) - len(event))
for event in pspace.subsets())
lp = cdd.LinProg(mat)
# Solve the linear program and check the solution
lp.solve()
if lp.status == cdd.LPStatusType.OPTIMAL:
bba = SetFunction(pspace,
data=dict(
izip(list(pspace.subsets()),
list(lp.primal_solution))),
number_type=number_type)
return LowProb(pspace,
lprob=dict((event, bba.get_zeta(event))
for event in bba.iterkeys()))
else:
raise RuntimeError('No optimal solution found.')
else:
raise NotImplementedError
def get_outer_approx(self, algorithm=None):
"""Generate an outer approximation.
:parameter algorithm: a :class:`~string` denoting the algorithm used:
``None``, ``'linvac'``, ``'irm'``, ``'imrm'``, or ``'lpbelfunc'``
:rtype: :class:`~improb.lowprev.lowprob.LowProb`
This method replaces the lower probability :math:`\underline{P}` by
a lower probability :math:`\underline{R}` determined by the
``algorithm`` argument:
``None``
returns the original lower probability.
>>> pspace = PSpace('abc')
>>> lprob = LowProb(pspace,
... lprob={'ab': .5, 'ac': .5, 'bc': .5},
... number_type='fraction')
>>> lprob.extend()
>>> print(lprob)
: 0
a : 0
b : 0
c : 0
a b : 1/2
a c : 1/2
b c : 1/2
a b c : 1
>>> lprob == lprob.get_outer_approx()
True
``'linvac'``
replaces the imprecise part :math:`\underline{Q}` by the vacuous
lower probability :math:`\underline{R}=\min` to generate a simple
outer approximation.
``'irm'``
replaces :math:`\underline{P}` by a completely monotone lower
probability :math:`\underline{R}` that is obtained by using the
IRM algorithm of Hall & Lawry [#hall2004]_. The Moebius transform
of a lower probability that is not completely monotone contains
negative belief assignments. Consider such a lower probability and
an event with such a negative belief assignment. The approximation
consists of removing this negative assignment and compensating for
this by correspondingly reducing the positive masses for events
below it; for details, see the paper.
The following example illustrates the procedure:
>>> pspace = PSpace('abc')
>>> lprob = LowProb(pspace,
... lprob={'ab': .5, 'ac': .5, 'bc': .5},
... number_type='fraction')
>>> lprob.extend()
>>> print(lprob)
: 0
a : 0
b : 0
c : 0
a b : 1/2
a c : 1/2
b c : 1/2
a b c : 1
>>> lprob.is_completely_monotone()
False
>>> print(lprob.mobius)
: 0
a : 0
b : 0
c : 0
a b : 1/2
a c : 1/2
b c : 1/2
a b c : -1/2
>>> belfunc = lprob.get_outer_approx('irm')
>>> print(belfunc.mobius)
: 0
a : 0
b : 0
c : 0
a b : 1/3
a c : 1/3
b c : 1/3
a b c : 0
>>> print(belfunc)
: 0
a : 0
b : 0
c : 0
a b : 1/3
a c : 1/3
b c : 1/3
a b c : 1
>>> belfunc.is_completely_monotone()
True
The next is Example 2 from Hall & Lawry's 2004 paper [#hall2004]_:
>>> pspace = PSpace('ABCD')
>>> lprob = LowProb(pspace, lprob={'': 0, 'ABCD': 1,
... 'A': .0895, 'B': .2743,
... 'C': .2668, 'D': .1063,
... 'AB': .3947, 'AC': .4506,
... 'AD': .2959, 'BC': .5837,
... 'BD': .4835, 'CD': .4079,
... 'ABC': .7248, 'ABD': .6224,
... 'ACD': .6072, 'BCD': .7502})
>>> lprob.is_avoiding_sure_loss()
True
>>> lprob.is_coherent()
False
>>> lprob.is_completely_monotone()
False
>>> belfunc = lprob.get_outer_approx('irm')
>>> belfunc.is_completely_monotone()
True
>>> print(lprob)
: 0.0
A : 0.0895
B : 0.2743
C : 0.2668
D : 0.1063
A B : 0.3947
A C : 0.4506
A D : 0.2959
B C : 0.5837
B D : 0.4835
C D : 0.4079
A B C : 0.7248
A B D : 0.6224
A C D : 0.6072
B C D : 0.7502
A B C D : 1.0
>>> print(belfunc)
: 0.0
A : 0.0895
B : 0.2743
C : 0.2668
D : 0.1063
A B : 0.375789766751
A C : 0.405080300695
A D : 0.259553087227
B C : 0.560442004097
B D : 0.43812301076
C D : 0.399034985143
A B C : 0.710712071543
A B D : 0.603365864737
A C D : 0.601068373065
B C D : 0.7502
A B C D : 1.0
>>> print(lprob.mobius)
: 0.0
A : 0.0895
B : 0.2743
C : 0.2668
D : 0.1063
A B : 0.0309
A C : 0.0943
A D : 0.1001
B C : 0.0426
B D : 0.1029
C D : 0.0348
A B C : -0.0736
A B D : -0.0816
A C D : -0.0846
B C D : -0.0775
A B C D : 0.1748
>>> print(belfunc.mobius)
: 0.0
A : 0.0895
B : 0.2743
C : 0.2668
D : 0.1063
A B : 0.0119897667507
A C : 0.0487803006948
A D : 0.0637530872268
B C : 0.019342004097
B D : 0.0575230107598
C D : 0.0259349851432
A B C : 3.33066907388e-16
A B D : -1.11022302463e-16
A C D : -1.11022302463e-16
B C D : 0.0
A B C D : 0.0357768453276
>>> sum(lprev for (lprev, uprev)
... in (lprob - belfunc).itervalues())/(2 ** len(pspace))
0.013595658498933991
.. note::
This algorithm is *not* invariant under permutation of the
possibility space.
.. warning::
The lower probability must be defined for all events. If
needed, call :meth:`~improb.lowprev.lowpoly.LowPoly.extend`
first.
``'imrm'``
replaces :math:`\underline{P}` by a completely monotone lower
probability :math:`\underline{R}` that is obtained by using an
algorithm by Quaeghebeur that is as of yet unpublished.
We apply it to Example 2 from Hall & Lawry's 2004 paper
[#hall2004]_:
>>> pspace = PSpace('ABCD')
>>> lprob = LowProb(pspace, lprob={
... '': 0, 'ABCD': 1,
... 'A': .0895, 'B': .2743,
... 'C': .2668, 'D': .1063,
... 'AB': .3947, 'AC': .4506,
... 'AD': .2959, 'BC': .5837,
... 'BD': .4835, 'CD': .4079,
... 'ABC': .7248, 'ABD': .6224,
... 'ACD': .6072, 'BCD': .7502})
>>> belfunc = lprob.get_outer_approx('imrm')
>>> belfunc.is_completely_monotone()
True
>>> print(lprob)
: 0.0
A : 0.0895
B : 0.2743
C : 0.2668
D : 0.1063
A B : 0.3947
A C : 0.4506
A D : 0.2959
B C : 0.5837
B D : 0.4835
C D : 0.4079
A B C : 0.7248
A B D : 0.6224
A C D : 0.6072
B C D : 0.7502
A B C D : 1.0
>>> print(belfunc)
: 0.0
A : 0.0895
B : 0.2743
C : 0.2668
D : 0.1063
A B : 0.381007057096
A C : 0.411644226231
A D : 0.26007767078
B C : 0.562748716673
B D : 0.4404197271
C D : 0.394394926787
A B C : 0.7248
A B D : 0.6224
A C D : 0.6072
B C D : 0.7502
A B C D : 1.0
>>> print(lprob.mobius)
: 0.0
A : 0.0895
B : 0.2743
C : 0.2668
D : 0.1063
A B : 0.0309
A C : 0.0943
A D : 0.1001
B C : 0.0426
B D : 0.1029
C D : 0.0348
A B C : -0.0736
A B D : -0.0816
A C D : -0.0846
B C D : -0.0775
A B C D : 0.1748
>>> print(belfunc.mobius)
: 0.0
A : 0.0895
B : 0.2743
C : 0.2668
D : 0.1063
A B : 0.0172070570962
A C : 0.0553442262305
A D : 0.0642776707797
B C : 0.0216487166733
B D : 0.0598197271
C D : 0.0212949267869
A B C : 2.22044604925e-16
A B D : 0.0109955450242
A C D : 0.00368317620293
B C D : 3.66294398528e-05
A B C D : 0.00879232466651
>>> sum(lprev for (lprev, uprev)
... in (lprob - belfunc).itervalues())/(2 ** len(pspace))
0.010375479708342836
.. note::
This algorithm *is* invariant under permutation of the
possibility space.
.. warning::
The lower probability must be defined for all events. If
needed, call :meth:`~improb.lowprev.lowpoly.LowPoly.extend`
first.
``'lpbelfunc'``
replaces :math:`\underline{P}` by a completely monotone lower
probability :math:`\underline{R}_\mu` that is obtained via the zeta
transform of the basic belief assignment :math:`\mu`, a solution of
the following optimization (linear programming) problem:
.. math::
\min\{
\sum_{A\subseteq\Omega}(\underline{P}(A)-\underline{R}_\mu(A)):
\mu(A)\geq0, \sum_{B\subseteq\Omega}\mu(B)=1,
\underline{R}_\mu(A)\leq\underline{P}(A), A\subseteq\Omega
\},
which, because constants in the objective function do not influence
the solution and because
:math:`\underline{R}_\mu(A)=\sum_{B\subseteq A}\mu(B)`,
is equivalent to:
.. math::
\max\{
\sum_{B\subseteq\Omega}2^{|\Omega|-|B|}\mu(B):
\mu(A)\geq0, \sum_{B\subseteq\Omega}\mu(B)=1,
\sum_{B\subseteq A}\mu(B)
\leq\underline{P}(A), A\subseteq\Omega
\},
the version that is implemented.
We apply this to Example 2 from Hall & Lawry's 2004 paper
[#hall2004]_, which we also used for ``'irm'``:
>>> pspace = PSpace('ABCD')
>>> lprob = LowProb(pspace, lprob={'': 0, 'ABCD': 1,
... 'A': .0895, 'B': .2743,
... 'C': .2668, 'D': .1063,
... 'AB': .3947, 'AC': .4506,
... 'AD': .2959, 'BC': .5837,
... 'BD': .4835, 'CD': .4079,
... 'ABC': .7248, 'ABD': .6224,
... 'ACD': .6072, 'BCD': .7502})
>>> belfunc = lprob.get_outer_approx('lpbelfunc')
>>> belfunc.is_completely_monotone()
True
>>> print(lprob)
: 0.0
A : 0.0895
B : 0.2743
C : 0.2668
D : 0.1063
A B : 0.3947
A C : 0.4506
A D : 0.2959
B C : 0.5837
B D : 0.4835
C D : 0.4079
A B C : 0.7248
A B D : 0.6224
A C D : 0.6072
B C D : 0.7502
A B C D : 1.0
>>> print(belfunc)
: 0.0
A : 0.0895
B : 0.2743
C : 0.2668
D : 0.1063
A B : 0.3638
A C : 0.4079
A D : 0.28835
B C : 0.5837
B D : 0.44035
C D : 0.37355
A B C : 0.7248
A B D : 0.6224
A C D : 0.6072
B C D : 0.7502
A B C D : 1.0
>>> print(lprob.mobius)
: 0.0
A : 0.0895
B : 0.2743
C : 0.2668
D : 0.1063
A B : 0.0309
A C : 0.0943
A D : 0.1001
B C : 0.0426
B D : 0.1029
C D : 0.0348
A B C : -0.0736
A B D : -0.0816
A C D : -0.0846
B C D : -0.0775
A B C D : 0.1748
>>> print(belfunc.mobius)
: 0.0
A : 0.0895
B : 0.2743
C : 0.2668
D : 0.1063
A B : 0.0
A C : 0.0516
A D : 0.09255
B C : 0.0426
B D : 0.05975
C D : 0.00045
A B C : 0.0
A B D : 1.11022302463e-16
A C D : 0.0
B C D : 0.0
A B C D : 0.01615
>>> sum(lprev for (lprev, uprev)
... in (lprob - belfunc).itervalues())/(2 ** len(pspace)
... ) # doctest: +ELLIPSIS
0.00991562...
.. note::
This algorithm is *not* invariant under permutation of the
possibility space or changes in the LP-solver:
there may be a nontrivial convex set of optimal solutions.
.. warning::
The lower probability must be defined for all events. If
needed, call :meth:`~improb.lowprev.lowpoly.LowPoly.extend`
first.
"""
if algorithm is None:
return self
elif algorithm == 'linvac':
prob, coeff = self.get_precise_part()
return prob.get_linvac(1 - coeff)
elif algorithm == 'irm':
# Initialize the algorithm
pspace = self.pspace
bba = SetFunction(pspace, number_type=self.number_type)
bba[False] = 0
def mass_below(event):
subevents = pspace.subsets(event, full=False, empty=False)
return sum(bba[subevent] for subevent in subevents)
def basin_for_negmass(event):
mass = 0
index = len(event)
while bba[event] + mass < 0:
index -= 1
subevents = pspace.subsets(event, size=index)
mass += sum(bba[subevent] for subevent in subevents)
return (index, mass)
lprob = self.set_function
# The algoritm itself:
# we climb the algebra of events, calculating the belief assignment
# for each and compensate negative ones by proportionally reducing
# the assignments in the smallest basin of subevents needed
for cardinality in range(1,len(pspace) + 1):
for event in pspace.subsets(size=cardinality):
bba[event] = lprob[event] - mass_below(event)
if bba[event] < 0:
index, mass = basin_for_negmass(event)
subevents = chain.from_iterable(
pspace.subsets(event, size=k)
for k in range(index, cardinality))
for subevent in subevents:
bba[subevent] = (bba[subevent]
* (1 + (bba[event] / mass)))
bba[event] = 0
return LowProb(pspace, lprob=dict((event, bba.get_zeta(event))
for event in bba.iterkeys()))
elif algorithm == 'imrm':
# Initialize the algorithm
pspace = self.pspace
number_type = self.number_type
bba = SetFunction(pspace, number_type=number_type)
bba[False] = 0
def mass_below(event, cardinality=None):
subevents = pspace.subsets(event, full=False, empty=False,
size=cardinality)
return sum(bba[subevent] for subevent in subevents)
def basin_for_negmass(event):
mass = 0
index = len(event)
while bba[event] + mass < 0:
index -= 1
subevents = pspace.subsets(event, size=index)
mass += sum(bba[subevent] for subevent in subevents)
return (index, mass)
lprob = self.set_function
# The algorithm itself:
cardinality = 1
while cardinality <= len(pspace):
temp_bba = SetFunction(pspace, number_type=number_type)
for event in pspace.subsets(size=cardinality):
bba[event] = lprob[event] - mass_below(event)
offenders = dict((event, basin_for_negmass(event))
for event in pspace.subsets(size=cardinality)
if bba[event] < 0)
if len(offenders) == 0:
cardinality += 1
else:
minindex = min(pair[0] for pair in offenders.itervalues())
for event in offenders:
if offenders[event][0] == minindex:
mass = mass_below(event, cardinality=minindex)
scalef = (offenders[event][1] + bba[event]) / mass
for subevent in pspace.subsets(event,
size=minindex):
if subevent not in temp_bba:
temp_bba[subevent] = 0
temp_bba[subevent] = max(temp_bba[subevent],
scalef * bba[subevent])
for event, value in temp_bba.iteritems():
bba[event] = value
cardinality = minindex + 1
return LowProb(pspace, lprob=dict((event, bba.get_zeta(event))
for event in bba.iterkeys()))
elif algorithm == 'lpbelfunc':
# Initialize the algorithm
lprob = self.set_function
pspace = lprob.pspace
number_type = lprob.number_type
n = 2 ** len(pspace)
# Set up the linear program
mat = cdd.Matrix(list(chain(
[[-1] + n * [1], [1] + n * [-1]],
[[0] + [int(event == other)
for other in pspace.subsets()]
for event in pspace.subsets()],
[[lprob[event]] + [-int(other <= event)
for other in pspace.subsets()]
for event in pspace.subsets()]
)), number_type=number_type)
mat.obj_type = cdd.LPObjType.MAX
mat.obj_func = (0,) + tuple(2 ** (len(pspace) - len(event))
for event in pspace.subsets())
lp = cdd.LinProg(mat)
# Solve the linear program and check the solution
lp.solve()
if lp.status == cdd.LPStatusType.OPTIMAL:
bba = SetFunction(pspace,
data=dict(izip(list(pspace.subsets()),
list(lp.primal_solution))),
number_type=number_type)
return LowProb(pspace, lprob=dict((event, bba.get_zeta(event))
for event in bba.iterkeys()))
else:
raise RuntimeError('No optimal solution found.')
else:
raise NotImplementedError
def __init__(self, pspace=None, mapping=None,
lprev=None, uprev=None, prev=None,
lprob=None, uprob=None, prob=None,
bba=None, credalset=None, number_type=None):
"""Construct a polyhedral lower prevision on *pspace*.
:param pspace: The possibility space.
:type pspace: |pspacetype|
:param mapping: Mapping from (gamble, event) to (lower prevision, upper prevision).
:type mapping: :class:`collections.Mapping`
:param lprev: Mapping from gamble to lower prevision.
:type lprev: :class:`collections.Mapping`
:param uprev: Mapping from gamble to upper prevision.
:type uprev: :class:`collections.Mapping`
:param prev: Mapping from gamble to precise prevision.
:type prev: :class:`collections.Mapping`
:param lprob: Mapping from event to lower probability.
:type lprob: :class:`collections.Mapping` or :class:`collections.Sequence`
:param uprob: Mapping from event to upper probability.
:type uprob: :class:`collections.Mapping` or :class:`collections.Sequence`
:param prob: Mapping from event to precise probability.
:type prob: :class:`collections.Mapping` or :class:`collections.Sequence`
:param bba: Mapping from event to basic belief assignment (useful for constructing belief functions).
:type bba: :class:`collections.Mapping`
:param credalset: Sequence of probability mass functions.
:type credalset: :class:`collections.Sequence`
:param number_type: The number type. If not specified, it is
determined using
:func:`~cdd.get_number_type_from_sequences` on all
values.
:type number_type: :class:`str`
Generally, you can pass a :class:`dict` as a keyword argument
in order to initialize the lower and upper previsions and/or
probabilities:
>>> print(LowPoly(pspace=3, mapping={
... ((3, 1, 2), True): (1.5, None),
... ((1, 0, -1), (1, 2)): (0.25, 0.3)})) # doctest: +NORMALIZE_WHITESPACE
0 1 2
3.0 1.0 2.0 | 0 1 2 : [1.5 , ]
1.0 0.0 -1.0 | 1 2 : [0.25, 0.3 ]
>>> print(LowPoly(pspace=3,
... lprev={(1, 3, 2): 1.5, (2, 0, -1): 1},
... uprev={(2, 0, -1): 1.9},
... prev={(9, 8, 20): 15},
... lprob={(1, 2): 0.2, (1,): 0.1},
... uprob={(1, 2): 0.3, (0,): 0.9},
... prob={(2,): '0.3'})) # doctest: +NORMALIZE_WHITESPACE
0 1 2
0.0 0.0 1.0 | 0 1 2 : [0.3 , 0.3 ]
0.0 1.0 0.0 | 0 1 2 : [0.1 , ]
0.0 1.0 1.0 | 0 1 2 : [0.2 , 0.3 ]
1.0 0.0 0.0 | 0 1 2 : [ , 0.9 ]
1.0 3.0 2.0 | 0 1 2 : [1.5 , ]
2.0 0.0 -1.0 | 0 1 2 : [1.0 , 1.9 ]
9.0 8.0 20.0 | 0 1 2 : [15.0, 15.0]
A credal set can be specified simply as a list:
>>> print(LowPoly(pspace=3,
... credalset=[['0.1', '0.45', '0.45'],
... ['0.4', '0.3', '0.3'],
... ['0.3', '0.2', '0.5']]))
0 1 2
-10 10 0 | 0 1 2 : [-1, ]
-1 -2 0 | 0 1 2 : [-1, ]
1 1 1 | 0 1 2 : [1 , 1 ]
50/23 40/23 0 | 0 1 2 : [1 , ]
As a special case, for lower/upper/precise probabilities, if
you need to set values on singletons, you can use a list
instead of a dictionary:
>>> print(LowPoly(pspace='abc', lprob=['0.1', '0.2', '0.3'])) # doctest: +NORMALIZE_WHITESPACE
a b c
0 0 1 | a b c : [3/10, ]
0 1 0 | a b c : [1/5 , ]
1 0 0 | a b c : [1/10, ]
If the first argument is a :class:`LowPoly` instance, then it
is copied. For example:
>>> from improb.lowprev.lowprob import LowProb
>>> lpr = LowPoly(pspace='abc', lprob=['0.1', '0.1', '0.1'])
>>> print(lpr)
a b c
0 0 1 | a b c : [1/10, ]
0 1 0 | a b c : [1/10, ]
1 0 0 | a b c : [1/10, ]
>>> lprob = LowProb(lpr)
>>> print(lprob)
a : 1/10
b : 1/10
c : 1/10
"""
def iter_items(obj):
"""Return an iterator over all items of the mapping or the
sequence.
"""
if isinstance(obj, collections.Mapping):
return obj.iteritems()
elif isinstance(obj, collections.Sequence):
if len(obj) < len(self.pspace):
raise ValueError('sequence too short')
return (((omega,), value)
for omega, value in itertools.izip(self.pspace, obj))
else:
raise TypeError(
'expected collections.Mapping or collections.Sequence')
def get_number_type(xprevs, xprobs):
"""Determine number type from arguments."""
# special case: nothing specified, defaults to float
if (all(xprev is None for xprev in xprevs)
and all(xprob is None for xprob in xprobs)):
return 'float'
# inspect all values
for xprev in xprevs:
if xprev is None:
continue
for key, value in xprev.iteritems():
# inspect gamble
if isinstance(key, Gamble):
if key.number_type == 'float':
return 'float'
elif isinstance(key, collections.Sequence):
if cdd.get_number_type_from_sequences(key) == 'float':
return 'float'
elif isinstance(key, collections.Mapping):
if cdd.get_number_type_from_sequences(key.itervalues()) == 'float':
return 'float'
# inspect value(s)
if isinstance(value, collections.Sequence):
if cdd.get_number_type_from_sequences(value) == 'float':
return 'float'
else:
if cdd.get_number_type_from_value(value) == 'float':
return 'float'
for xprob in xprobs:
if xprob is None:
continue
for key, value in iter_items(xprob):
if cdd.get_number_type_from_value(value) == 'float':
return 'float'
# everything is fraction
return 'fraction'
# if first argument is a LowPoly, then override all other arguments
if isinstance(pspace, LowPoly):
mapping = dict(pspace.iteritems())
number_type = pspace.number_type
pspace = pspace.pspace
# initialize everything
self._pspace = PSpace.make(pspace)
if number_type is None:
number_type = get_number_type(
[mapping, lprev, uprev, prev, bba],
[lprob, uprob, prob]
+ (credalset if credalset else []))
cdd.NumberTypeable.__init__(self, number_type)
self._mapping = {}
if mapping:
for key, value in mapping.iteritems():
self[key] = value
if lprev:
for gamble, value in lprev.iteritems():
self.set_lower(gamble, value)
if uprev:
for gamble, value in uprev.iteritems():
self.set_upper(gamble, value)
if prev:
for gamble, value in prev.iteritems():
self.set_precise(gamble, value)
if lprob:
for event, value in iter_items(lprob):
event = self.pspace.make_event(event)
self.set_lower(event, value)
if uprob:
for event, value in iter_items(uprob):
event = self.pspace.make_event(event)
self.set_upper(event, value)
if prob:
for event, value in iter_items(prob):
event = self.pspace.make_event(event)
self.set_precise(event, value)
if bba:
setfunc = SetFunction(
pspace=self.pspace,
data=bba,
number_type=self.number_type)
for event in self.pspace.subsets():
self.set_lower(event, setfunc.get_zeta(event))
if credalset:
# set up polyhedral representation
mat = cdd.Matrix([(['1'] + credalprob) for credalprob in credalset])
mat.rep_type = cdd.RepType.GENERATOR
poly = cdd.Polyhedron(mat)
dualmat = poly.get_inequalities()
#print(mat)
#print(dualmat)
for rownum, row in enumerate(dualmat):
if rownum in dualmat.lin_set:
self.set_precise(row[1:], -row[0])
else:
self.set_lower(row[1:], -row[0])
def __init__(self,
pspace=None,
mapping=None,
lprev=None,
uprev=None,
prev=None,
lprob=None,
uprob=None,
prob=None,
bba=None,
credalset=None,
number_type=None):
"""Construct a polyhedral lower prevision on *pspace*.
:param pspace: The possibility space.
:type pspace: |pspacetype|
:param mapping: Mapping from (gamble, event) to (lower prevision, upper prevision).
:type mapping: :class:`collections.Mapping`
:param lprev: Mapping from gamble to lower prevision.
:type lprev: :class:`collections.Mapping`
:param uprev: Mapping from gamble to upper prevision.
:type uprev: :class:`collections.Mapping`
:param prev: Mapping from gamble to precise prevision.
:type prev: :class:`collections.Mapping`
:param lprob: Mapping from event to lower probability.
:type lprob: :class:`collections.Mapping` or :class:`collections.Sequence`
:param uprob: Mapping from event to upper probability.
:type uprob: :class:`collections.Mapping` or :class:`collections.Sequence`
:param prob: Mapping from event to precise probability.
:type prob: :class:`collections.Mapping` or :class:`collections.Sequence`
:param bba: Mapping from event to basic belief assignment (useful for constructing belief functions).
:type bba: :class:`collections.Mapping`
:param credalset: Sequence of probability mass functions.
:type credalset: :class:`collections.Sequence`
:param number_type: The number type. If not specified, it is
determined using
:func:`~cdd.get_number_type_from_sequences` on all
values.
:type number_type: :class:`str`
Generally, you can pass a :class:`dict` as a keyword argument
in order to initialize the lower and upper previsions and/or
probabilities:
>>> print(LowPoly(pspace=3, mapping={
... ((3, 1, 2), True): (1.5, None),
... ((1, 0, -1), (1, 2)): (0.25, 0.3)})) # doctest: +NORMALIZE_WHITESPACE
0 1 2
3.0 1.0 2.0 | 0 1 2 : [1.5 , ]
1.0 0.0 -1.0 | 1 2 : [0.25, 0.3 ]
>>> print(LowPoly(pspace=3,
... lprev={(1, 3, 2): 1.5, (2, 0, -1): 1},
... uprev={(2, 0, -1): 1.9},
... prev={(9, 8, 20): 15},
... lprob={(1, 2): 0.2, (1,): 0.1},
... uprob={(1, 2): 0.3, (0,): 0.9},
... prob={(2,): '0.3'})) # doctest: +NORMALIZE_WHITESPACE
0 1 2
0.0 0.0 1.0 | 0 1 2 : [0.3 , 0.3 ]
0.0 1.0 0.0 | 0 1 2 : [0.1 , ]
0.0 1.0 1.0 | 0 1 2 : [0.2 , 0.3 ]
1.0 0.0 0.0 | 0 1 2 : [ , 0.9 ]
1.0 3.0 2.0 | 0 1 2 : [1.5 , ]
2.0 0.0 -1.0 | 0 1 2 : [1.0 , 1.9 ]
9.0 8.0 20.0 | 0 1 2 : [15.0, 15.0]
A credal set can be specified simply as a list:
>>> print(LowPoly(pspace=3,
... credalset=[['0.1', '0.45', '0.45'],
... ['0.4', '0.3', '0.3'],
... ['0.3', '0.2', '0.5']]))
0 1 2
-10 10 0 | 0 1 2 : [-1, ]
-1 -2 0 | 0 1 2 : [-1, ]
1 1 1 | 0 1 2 : [1 , 1 ]
50/23 40/23 0 | 0 1 2 : [1 , ]
As a special case, for lower/upper/precise probabilities, if
you need to set values on singletons, you can use a list
instead of a dictionary:
>>> print(LowPoly(pspace='abc', lprob=['0.1', '0.2', '0.3'])) # doctest: +NORMALIZE_WHITESPACE
a b c
0 0 1 | a b c : [3/10, ]
0 1 0 | a b c : [1/5 , ]
1 0 0 | a b c : [1/10, ]
If the first argument is a :class:`LowPoly` instance, then it
is copied. For example:
>>> from improb.lowprev.lowprob import LowProb
>>> lpr = LowPoly(pspace='abc', lprob=['0.1', '0.1', '0.1'])
>>> print(lpr)
a b c
0 0 1 | a b c : [1/10, ]
0 1 0 | a b c : [1/10, ]
1 0 0 | a b c : [1/10, ]
>>> lprob = LowProb(lpr)
>>> print(lprob)
a : 1/10
b : 1/10
c : 1/10
"""
def iter_items(obj):
"""Return an iterator over all items of the mapping or the
sequence.
"""
if isinstance(obj, collections.Mapping):
return obj.iteritems()
elif isinstance(obj, collections.Sequence):
if len(obj) < len(self.pspace):
raise ValueError('sequence too short')
return (((omega, ), value)
for omega, value in itertools.izip(self.pspace, obj))
else:
raise TypeError(
'expected collections.Mapping or collections.Sequence')
def get_number_type(xprevs, xprobs):
"""Determine number type from arguments."""
# special case: nothing specified, defaults to float
if (all(xprev is None for xprev in xprevs)
and all(xprob is None for xprob in xprobs)):
return 'float'
# inspect all values
for xprev in xprevs:
if xprev is None:
continue
for key, value in xprev.iteritems():
# inspect gamble
if isinstance(key, Gamble):
if key.number_type == 'float':
return 'float'
elif isinstance(key, collections.Sequence):
if cdd.get_number_type_from_sequences(key) == 'float':
return 'float'
elif isinstance(key, collections.Mapping):
if cdd.get_number_type_from_sequences(
key.itervalues()) == 'float':
return 'float'
# inspect value(s)
if isinstance(value, collections.Sequence):
if cdd.get_number_type_from_sequences(
value) == 'float':
return 'float'
else:
if cdd.get_number_type_from_value(value) == 'float':
return 'float'
for xprob in xprobs:
if xprob is None:
continue
for key, value in iter_items(xprob):
if cdd.get_number_type_from_value(value) == 'float':
return 'float'
# everything is fraction
return 'fraction'
# if first argument is a LowPoly, then override all other arguments
if isinstance(pspace, LowPoly):
mapping = dict(pspace.iteritems())
number_type = pspace.number_type
pspace = pspace.pspace
# initialize everything
self._pspace = PSpace.make(pspace)
if number_type is None:
number_type = get_number_type([mapping, lprev, uprev, prev, bba],
[lprob, uprob, prob] +
(credalset if credalset else []))
cdd.NumberTypeable.__init__(self, number_type)
self._mapping = {}
if mapping:
for key, value in mapping.iteritems():
self[key] = value
if lprev:
for gamble, value in lprev.iteritems():
self.set_lower(gamble, value)
if uprev:
for gamble, value in uprev.iteritems():
self.set_upper(gamble, value)
if prev:
for gamble, value in prev.iteritems():
self.set_precise(gamble, value)
if lprob:
for event, value in iter_items(lprob):
event = self.pspace.make_event(event)
self.set_lower(event, value)
if uprob:
for event, value in iter_items(uprob):
event = self.pspace.make_event(event)
self.set_upper(event, value)
if prob:
for event, value in iter_items(prob):
event = self.pspace.make_event(event)
self.set_precise(event, value)
if bba:
setfunc = SetFunction(pspace=self.pspace,
data=bba,
number_type=self.number_type)
for event in self.pspace.subsets():
self.set_lower(event, setfunc.get_zeta(event))
if credalset:
# set up polyhedral representation
mat = cdd.Matrix([(['1'] + credalprob)
for credalprob in credalset])
mat.rep_type = cdd.RepType.GENERATOR
poly = cdd.Polyhedron(mat)
dualmat = poly.get_inequalities()
#print(mat)
#print(dualmat)
for rownum, row in enumerate(dualmat):
if rownum in dualmat.lin_set:
self.set_precise(row[1:], -row[0])
else:
self.set_lower(row[1:], -row[0])