def test_save():
reg = Regressor(TwTi_RoRi())
save_model('test', reg)
load_reg = load_model('test')
assert id(reg) != id(load_reg)
for a, b in zip(reg.ss.parameters, load_reg.ss.parameters):
assert a == b
def test_check_model(data, ss):
reg = Regressor(ss=ss)
summary, corr = reg.fit(df=data, outputs='T_int',
inputs=['T_ext', 'P_hea'])
assert not check_model(reg, summary, corr, verbose=True)
* ((df['vent_SUA_VFR'] / 3600.0) * df['vent_SUA_AT']
- (df['vent_EHA_VFR'] / 3600.0) * df['vent_EHA_AT']))
y = df['south_T'][start_fit:stop_fit].values[np.newaxis, :]
y0 = y[0, 0] / 100.0
u = df[['Ambient temperature',
'north_T',
'Solar radiation: global horizontal',
'south_H',
'vent2_H']][start_fit:stop_fit].values.T
dt = 600
t = np.arange(0, dt * y.shape[1], dt)
reg = Regressor(TwTi_RwRbAwAicv())
reg.ss.parameters.set_parameter("Rw", value=1e-3,
transform="lowup",
bounds=(1e-7, 1.0))
reg.ss.parameters.set_parameter("Rb", value=1e-3,
transform="lowup",
bounds=(1e-7, 1.0))
reg.ss.parameters.set_parameter("Cw", value=1e-3,
transform="lowup",
bounds=(1e-7, 1.0))
reg.ss.parameters.set_parameter("Ci", value=1e-3,
transform="lowup",
bounds=(1e-7, 1.0))
reg.ss.parameters.set_parameter("Aw", value=10.0,
transform="lowup",
df['vent2_H'] = (1005.0 * 1.2 *
((df['vent_SUA_VFR'] / 3600.0) * df['vent_SUA_AT'] -
(df['vent_EHA_VFR'] / 3600.0) * df['vent_EHA_AT']))
y = df['south_T'][start_fit:stop_fit].values[np.newaxis, :]
y0 = y[0, 0] / 100.0
u = df[[
'Ambient temperature', 'north_T', 'Solar radiation: global horizontal',
'south_H', 'vent2_H'
]][start_fit:stop_fit].values.T
dt = 600
t = np.arange(0, dt * y.shape[1], dt)
reg = Regressor(TwTiTb_RoRiRbAwAicv())
reg.ss.parameters.set_parameter("Ro",
value=1.0,
transform="lower",
bounds=(1e-8, 1.0))
reg.ss.parameters.set_parameter("Ri",
value=5e-3,
transform="lowup",
bounds=(1e-8, 1.0))
reg.ss.parameters.set_parameter("Rb",
value=5e-3,
transform="lowup",
bounds=(1e-8, 1.0))
reg.ss.parameters.set_parameter("Cw",
value=5e-2,
dict(name="Ro", value=1e-2, transform="log"),
dict(name="Ri", value=1e-3, transform="log"),
dict(name="Cw", value=1e-2, transform="log"),
dict(name="Ci", value=1e-3, transform="log"),
dict(name="Aw", value=1.0, transform="log"),
dict(name="Ai", value=1.0, transform="log"),
dict(name="sigw_w", value=0.1, transform="log"),
dict(name="sigw_i", value=1e-8, transform="fixed"),
dict(name="sigv", value=0.1, transform="log"),
dict(name="x0_w", value=0.28, transform="log"),
dict(name="x0_i", value=y0, transform="fixed"),
dict(name="sigx0_w", value=1.0, transform="fixed"),
dict(name="sigx0_i", value=1.0, transform="fixed")
]
reg = Regressor(TwTi_RoRiAwAi(parameters, hold_order='foh'))
inputs = [
'Ambient temperature', 'Solar radiation: global horizontal', 'south_H'
]
outputs = 'south_T'
out = reg.fit(df=df[start_fit:stop_fit], inputs=inputs, outputs=outputs)
# compute log-likelihood on validation dataset
x, P = reg.estimate_states(df=df[start_fit:stop_fit],
inputs=inputs,
outputs=outputs)
x0v = x[-1, :, :]
P0v = np.linalg.cholesky(P[-1, :, :]).T
def regressor(statespace):
return Regressor(ss=statespace)
y0 = 0.2670106194217502
parameters = [
dict(name="Ro", value=0.1, transform="log"),
dict(name="Ri", value=0.01, transform="log"),
dict(name="Cw", value=0.1, transform="log"),
dict(name="Ci", value=0.01, transform="log"),
dict(name="sigw_w", value=0.01, transform="log"),
dict(name="sigw_i", value=0.0, transform="fixed"),
dict(name="sigv", value=0.01, transform="log"),
dict(name="x0_w", value=0.25, transform="log"),
dict(name="x0_i", value=y0, transform="fixed"),
dict(name="sigx0_w", value=1.0, transform="fixed"),
dict(name="sigx0_i", value=1.0, transform="fixed")
]
reg = Regressor(TwTi_RoRi(parameters, hold_order='foh'))
out = reg.fit(df=df, inputs=['T_ext', 'P_hea'], outputs='T_int')
dt = 60
tnew = np.arange(df.index[0], df.index[-1] + dt, dt)
y_mean_f, y_std_f = reg.predict(df=df, inputs=['T_ext', 'P_hea'], tpred=tnew)
y_mean_s, y_std_s = reg.predict(df=df,
outputs='T_int',
inputs=['T_ext', 'P_hea'],
tpred=tnew,
smooth=True)
# plot filtered and smoothed output
plt.close("all")
fig, axes = plt.subplots(nrows=1, ncols=1, sharex=True, sharey=True)
def regressor(parameters):
return Regressor(TwTi_RoRi(parameters))
# Generate df
np.random.seed(1)
N = 20
t = np.sort(np.random.rand(1, N), axis=1).flatten()
y = np.sin(12 * t) + 0.66 * np.cos(25 * t) + np.random.randn(1, N) * 0.01
y = y.flatten()
df = pd.DataFrame(index=t, data=y, columns=['y'])
parameters = [
dict(name="mscale", value=0.5, transform="log"),
dict(name="lscale", value=0.5, transform="log"),
dict(name="sigv", value=0.1, transform="log")
]
reg12 = Regressor(Matern12(parameters))
reg32 = Regressor(Matern32(parameters))
reg52 = Regressor(Matern52(parameters))
# fit
print("\nMatérn(1/2)")
print("-" * 11)
reg12.fit(df=df, outputs='y')
print("\nMatérn(3/2)")
print("-" * 11)
reg32.fit(df=df, outputs='y')
print("\nMatérn(5/2)")
print("-" * 11)
reg52.fit(df=df, outputs='y')
df = pd.read_csv('../data/armadillo/armadillo_data_H2.csv').set_index('Time')
y0 = 0.2670106194217502
parameters = [
dict(name="Ro", value=0.1, bounds=(1e-6, 0.3), prior=Normal(0.1, 0.04)),
dict(name="Ri", value=0.01, bounds=(1e-6, 0.3), prior=Normal(0.05, 0.02)),
dict(name="Cw", value=0.1, bounds=(1e-6, 0.3), prior=Normal(0.1, 0.04)),
dict(name="Ci", value=0.01, bounds=(1e-6, 0.3), prior=Normal(0.05, 0.02)),
dict(name="sigw_w",
value=0.01,
bounds=(1e-6, 0.3),
prior=Normal(0.05, 0.02)),
dict(name="sigw_i", value=0.0, transform="fixed"),
dict(name="sigv", value=0.01, bounds=(1e-6, 0.3), prior=Normal(0.05,
0.02)),
dict(name="x0_w", value=0.25, bounds=(0.1, 0.5), prior=Normal(0.25, 0.07)),
dict(name="x0_i", value=y0, transform="fixed"),
dict(name="sigx0_w", value=1.0, transform="fixed"),
dict(name="sigx0_i", value=1.0, transform="fixed")
]
reg = Regressor(TwTi_RoRi(parameters, hold_order='foh'))
mh = reg.fit(df=df,
inputs=['T_ext', 'P_hea'],
outputs='T_int',
options={
'method': 'sMMALA',
'n_chains': 6,
'n_samples': 2000
})
# Generate data
np.random.seed(1)
N = 20
t = np.sort(np.random.rand(1, N), axis=1).flatten()
y = np.sin(12 * t) + 0.66 * np.cos(25 * t) + np.random.randn(1, N) * 0.01
y = y.flatten()
df = pd.DataFrame(index=t, data=y, columns=['y'])
# Set Matern(3/2)
parameters = [
dict(name="mscale", value=0.5, transform="log"),
dict(name="lscale", value=0.5, transform="log"),
dict(name="sigv", value=0.1, transform="log")
]
reg = Regressor(Matern32(parameters))
results = reg.fit(df=df, outputs='y')
# new data
Nnew = 500
tnew = np.linspace(-0.1, 1.1, Nnew)
ym_f, ys_f = reg.predict(df=df, outputs='y', tpred=tnew, smooth=False)
ym_s, ys_s = reg.predict(df=df, outputs='y', tpred=tnew, smooth=True)
# plot filtered and smoothed output
plt.close("all")
fig, axes = plt.subplots(nrows=2, ncols=1, sharex=True, sharey=True)
fig.suptitle("filtered vs. smoothed state ")
plt.xlim(-0.1, 1.1)
par_Periodic = [
dict(name="period", value=1.5, transform="log"),
dict(name="mscale", value=1.0, transform="log"),
dict(name="lscale", value=1.0, transform="log"),
dict(name="sigv", value=0.1, transform="log")
]
par_Matern12 = [
dict(name="mscale", value=1.0, transform="log"),
dict(name="lscale", value=10.0, transform="log"),
dict(name="sigv", value=0.1, transform="log")
]
quasi_periodic = GPProduct(Periodic(par_Periodic), Matern12(par_Matern12))
reg = Regressor(quasi_periodic)
results = reg.fit(df=data, outputs='y')
Nnew = 500
tnew = np.linspace(xlim[0], xlim[1] + 3, Nnew)
y_mean_f, y_std_f = reg.predict(df=data, outputs='y', tpred=tnew, smooth=False)
y_mean_s, y_std_s = reg.predict(df=data, outputs='y', tpred=tnew, smooth=True)
# plot filtered and smoothed output
plt.close("all")
fig, axes = plt.subplots(nrows=2, ncols=1, sharex=True, sharey=False)
fig.suptitle("filtered vs. smoothed state ")
axes[0].set_title("filtered")
axes[0].plot(t, y, 'kx', mew=2)
axes[0].plot(tnew, y_mean_f, 'C0', lw=2)
def regressor(matern_statespace):
return Regressor(ss=matern_statespace)
period = 1
t = np.sort(xlim[0] + (xlim[1] - xlim[0]) * np.random.random(n))
amplitude = alim[0] + (alim[1] - alim[0]) * np.random.random()
noise = 0.2 * np.random.randn(len(t))
y = amplitude * np.sin(2.0 * np.pi / period * t) + noise
y[y <= 0] = 0.0
data = pd.DataFrame(index=t, data=y, columns=['y'])
parameters = [
dict(name="period", value=1.0, transform="fixed"),
dict(name="mscale", value=1.0, transform="log"),
dict(name="lscale", value=1.0, transform="log"),
dict(name="sigv", value=0.1, transform="log")
]
reg = Regressor(Periodic(parameters, J=6))
results = reg.fit(df=data, outputs='y')
Nnew = 500
tnew = np.linspace(xlim[0], xlim[1] + 3, Nnew)
y_mean_f, y_std_f = reg.predict(df=data, outputs='y', tpred=tnew, smooth=False)
y_mean_s, y_std_s = reg.predict(df=data, outputs='y', tpred=tnew, smooth=True)
# plot filtered and smoothed output
# plt.close("all")
# fig, axes = plt.subplots(nrows=2, ncols=1, sharex=True, sharey=False)
# fig.suptitle("filtered vs. smoothed state ")
# axes[0].set_title("filtered")
# axes[0].plot(t, y, 'kx', mew=2)
df = pd.read_csv('data/armadillo/armadillo_data_H2.csv').set_index('Time')
parameters = [
dict(name="Ro", value=0.1),
dict(name="Ri", value=0.01),
dict(name="Cw", value=0.1),
dict(name="Ci", value=0.01),
dict(name="sigw_w", value=0.01),
dict(name="sigw_i", value=0.0, transform="fixed"),
dict(name="sigv", value=0.01),
dict(name="x0_w", value=0.25),
dict(name="x0_i", value=0.2670106194217502, transform="fixed"),
dict(name="sigx0_w", value=1.0, transform="fixed"),
dict(name="sigx0_i", value=1.0, transform="fixed")
]
reg = Regressor(TwTi_RoRi(parameters, hold_order='foh'))
Nsamples = mh._N - mh.warmup
yhat = np.empty((Nsamples, df.index.shape[0]))
chains = np.empty((mh._Np + 1, Nsamples * mh._M))
for i in range(mh._Np + 1):
chains[i, :] = mh.trace[:, i, mh.warmup:].ravel()
# chains[-1, :] = np.abs(chains[-1, :])
# posterior = ( chains[-1, :] - chains[-1, :].min() ) / ( chains[-1, :].max() - chains[-1, :].min() )
ecdf = ECDF(chains[-1, :])
min_ecdf = ecdf.x[np.where(ecdf.y <= 0.025)[0][-1]]
max_ecdf = ecdf.x[np.where(ecdf.y >= 0.975)[0][0]]
for i in range(Nsamples):
parameters = [
dict(name="Ro", value=1e-2),
dict(name="Ri", value=1e-3),
dict(name="Cw", value=1e-2),
dict(name="Ci", value=1e-3),
dict(name="sigw_w", value=0.1),
dict(name="sigw_i", value=0.2),
dict(name="sigv", value=0.1),
dict(name="x0_w", value=0.28),
dict(name="x0_i", value=0.25),
dict(name="sigx0_w", value=1.0),
dict(name="sigx0_i", value=1.0)
]
reg = Regressor(TwTi_RoRi(parameters))
reg.ss.jacobian = False
reg.ss.update()
dt = 600
hold = 'foh'
Ad, B0d, B1d, Qd = reg.ss.discretization(dt, hold)
AA = np.zeros((reg.ss.Nx + reg.ss.Nu, reg.ss.Nx + reg.ss.Nu))
AA[:reg.ss.Nx, :reg.ss.Nx] = reg.ss.A
AA[:reg.ss.Nx, reg.ss.Nx:] = reg.ss.B
AAd = expm(AA * dt)
Ad2 = AAd[:reg.ss.Nx, :reg.ss.Nx]
B0d2 = AAd[:reg.ss.Nx, reg.ss.Nx:]
assert np.allclose(Ad, Ad2)