def __init__(
self,
pst,
parcov=None,
obscov=None,
num_workers=0,
use_approx_prior=True,
submit_file=None,
verbose=False,
port=4004,
worker_dir="template",
):
self.logger = Logger(verbose)
if verbose is not False:
self.logger.echo = True
self.num_workers = int(num_workers)
if submit_file is not None:
if not os.path.exists(submit_file):
self.logger.lraise(
"submit_file {0} not found".format(submit_file))
elif num_workers > 0:
if not os.path.exists(worker_dir):
self.logger.lraise(
"template dir {0} not found".format(worker_dir))
self.worker_dir = worker_dir
self.submit_file = submit_file
self.port = int(port)
self.paren_prefix = ".parensemble.{0:04d}.csv"
self.obsen_prefix = ".obsensemble.{0:04d}.csv"
if isinstance(pst, str):
pst = Pst(pst)
assert isinstance(pst, Pst)
self.pst = pst
self.sweep_in_csv = pst.pestpp_options.get("sweep_parameter_csv_file",
"sweep_in.csv")
self.sweep_out_csv = pst.pestpp_options.get("sweep_output_csv_file",
"sweep_out.csv")
if parcov is not None:
assert isinstance(parcov, Cov)
else:
parcov = Cov.from_parameter_data(self.pst)
if obscov is not None:
assert isinstance(obscov, Cov)
else:
obscov = Cov.from_observation_data(pst)
self.parcov = parcov
self.obscov = obscov
self._initialized = False
self.iter_num = 0
self.total_runs = 0
self.raw_sweep_out = None
def __init__(self,
pst,
parcov=None,
obscov=None,
num_slaves=0,
use_approx=True,
restart_iter=0,
submit_file=None):
self.num_slaves = int(num_slaves)
self.submit_file = submit_file
self.use_approx = bool(use_approx)
self.paren_prefix = ".parensemble.{0:04d}.csv"
self.obsen_prefix = ".obsensemble.{0:04d}.csv"
if isinstance(pst, str):
pst = Pst(pst)
assert isinstance(pst, Pst)
self.pst = pst
self.sweep_in_csv = pst.pestpp_options.get("sweep_parameter_csv_file",
"sweep_in.csv")
self.sweep_out_csv = pst.pestpp_options.get("sweep_output_csv_file",
"sweep_out.csv")
if parcov is not None:
assert isinstance(parcov, Cov)
else:
parcov = Cov.from_parameter_data(self.pst)
if obscov is not None:
assert isinstance(obscov, Cov)
else:
obscov = Cov.from_observation_data(pst)
self.parcov = parcov
self.obscov = obscov
self.restart = False
if restart_iter > 0:
self.restart_iter = restart_iter
paren = self.pst.filename + self.paren_prefix.format(restart_iter)
assert os.path.exists(paren),\
"could not find restart par ensemble {0}".format(paren)
obsen0 = self.pst.filename + self.obsen_prefix.format(0)
assert os.path.exists(obsen0),\
"could not find restart obs ensemble 0 {0}".format(obsen0)
obsen = self.pst.filename + self.obsen_prefix.format(restart_iter)
assert os.path.exists(obsen),\
"could not find restart obs ensemble {0}".format(obsen)
self.restart = True
self.__initialized = False
self.num_reals = 0
self.half_parcov_diag = None
self.half_obscov_diag = None
self.delta_par_prior = None
self.iter_num = 0
def update(self):
if not self.__initialized:
raise Exception("must call initialize() before update()")
self._calc_obs()
delta_obs = self._calc_delta_obs()
u,s,v = delta_obs.pseudo_inv_components()
#print(v)
#print(s)
#print(v)
diff = self.obsensemble.as_pyemu_matrix() - self.obsensemble_0.as_pyemu_matrix()
#print(diff)
x1 = u.T * self.obscov.inv.sqrt * diff.T
x1.autoalign = False
#print(x1)
x2 = (Cov.identity_like(s) + s**2).inv * x1
#print(x2)
x3 = v * s * x2
#print(x3)
upgrade_1 = (self.half_parcov_diag * self._calc_delta_par() * x3).to_dataframe()
upgrade_1.index.name = "parnme"
print(upgrade_1)
self.parensemble += upgrade_1.T
print(self.parensemble)
if self.iter_num > 0:
raise NotImplementedError()
print(upgrade_1.shape)
def posterior_parameter(self):
"""get the posterior parameter covariance matrix
"""
if self.__posterior_parameter is not None:
return self.__posterior_parameter
else:
self.clean()
self.log("Schur's complement")
try:
pinv = self.parcov.inv
r = self.xtqx + pinv
r = r.inv
except Exception as e:
self.xtqx.to_binary("xtqx.err.jcb")
pinv.to_ascii("parcov_inv.err.cov")
self.logger.warn("error forming schur's complement: {0}".
format(str(e)))
self.logger.warn("problemtic xtqx saved to xtqx.err.jcb")
self.logger.warn("problematic inverse parcov saved to parcov_inv.err.cov")
raise Exception("error forming schur's complement: {0}".
format(str(e)))
assert r.row_names == r.col_names
self.__posterior_parameter = Cov(r.x, row_names=r.row_names,
col_names=r.col_names)
self.log("Schur's complement")
return self.__posterior_parameter
def initialize(self, num_reals):
'''
(re)initialize the process
'''
self.num_reals = int(num_reals)
self.parensemble = ParameterEnsemble(self.pst)
self.parensemble.draw(cov=self.parcov, num_reals=num_reals)
self.obsensemble_0 = ObservationEnsemble(self.pst)
self.obsensemble_0.draw(cov=self.obscov, num_reals=num_reals)
self.obsensemble = self.obsensemble_0.copy()
if self.parcov.isdiagonal:
self.half_parcov_diag = self.parcov.inv.sqrt
else:
self.half_parcov_diag = Cov(x=np.diag(self.parcov.x),
names=self.parcov.col_names,
isdiagonal=True).inv.sqrt
#if self.obscov.isdiagonal:
#self.half_obscov_inv = self.obscov.inv.sqrt
# else:
# self.half_obscov_diag = Cov(x=np.diag(self.obscov.x),
# names=self.obscov.col_names,
# isdiagonal=True)
self.delta_par_prior = self._calc_delta_par()
self.__initialized = True
def update(self):
if not self.__initialized:
raise Exception("must call initialize() before update()")
self._calc_obs()
delta_obs = self._calc_delta_obs()
u, s, v = delta_obs.pseudo_inv_components()
#print(v)
#print(s)
#print(v)
diff = self.obsensemble.as_pyemu_matrix(
) - self.obsensemble_0.as_pyemu_matrix()
#print(diff)
x1 = u.T * self.obscov.inv.sqrt * diff.T
x1.autoalign = False
#print(x1)
x2 = (Cov.identity_like(s) + s**2).inv * x1
#print(x2)
x3 = v * s * x2
#print(x3)
upgrade_1 = (self.half_parcov_diag * self._calc_delta_par() *
x3).to_dataframe()
upgrade_1.index.name = "parnme"
print(upgrade_1)
self.parensemble += upgrade_1.T
print(self.parensemble)
if self.iter_num > 0:
raise NotImplementedError()
print(upgrade_1.shape)
def __init__(self,pst,parcov=None,obscov=None):
assert isinstance(pst,Pst)
self.pst = pst
if parcov is not None:
assert isinstance(parcov,Cov)
else:
parcov = Cov.from_parameter_data(self.pst)
if obscov is not None:
assert isinstance(obscov,Cov)
else:
obscov = Cov.from_observation_data(pst)
self.parcov = parcov
self.obscov = obscov
self.__initialized = False
self.num_reals = 0
self.half_parcov_diag = None
self.half_obscov_diag = None
self.delta_par_prior = None
self.iter_num = 0
def __init__(self, pst, parcov=None, obscov=None):
assert isinstance(pst, Pst)
self.pst = pst
if parcov is not None:
assert isinstance(parcov, Cov)
else:
parcov = Cov.from_parameter_data(self.pst)
if obscov is not None:
assert isinstance(obscov, Cov)
else:
obscov = Cov.from_observation_data(pst)
self.parcov = parcov
self.obscov = obscov
self.__initialized = False
self.num_reals = 0
self.half_parcov_diag = None
self.half_obscov_diag = None
self.delta_par_prior = None
self.iter_num = 0
def posterior_parameter(self):
"""get the posterior parameter covariance matrix. If Schur.__posterior_parameter
is None, the posterior parameter covariance matrix is calculated via
Schur compliment before returning
Returns
-------
posterior_parameter : pyemu.Cov
the posterior parameter covariance matrix
Note
----
returns a reference
Example
-------
``>>>import pyemu``
``>>>sc = pyemu.Schur(jco="pest.jcb")``
``>>>post_cov = sc.posterior_parameter``
``>>>post_cov.to_ascii("post.cov")``
"""
if self.__posterior_parameter is not None:
return self.__posterior_parameter
else:
self.clean()
self.log("Schur's complement")
try:
pinv = self.parcov.inv
r = self.xtqx + pinv
r = r.inv
except Exception as e:
self.xtqx.to_binary("xtqx.err.jcb")
pinv.to_ascii("parcov_inv.err.cov")
self.logger.warn(
"error forming schur's complement: {0}".format(str(e)))
self.logger.warn("problemtic xtqx saved to xtqx.err.jcb")
self.logger.warn(
"problematic inverse parcov saved to parcov_inv.err.cov")
raise Exception("error forming schur's complement: {0}".format(
str(e)))
assert r.row_names == r.col_names
self.__posterior_parameter = Cov(r.x,
row_names=r.row_names,
col_names=r.col_names)
self.log("Schur's complement")
return self.__posterior_parameter
def posterior_parameter(self):
"""get the posterior parameter covariance matrix
"""
if self.__posterior_parameter is not None:
return self.__posterior_parameter
else:
self.clean()
self.log("Schur's complement")
r = (self.xtqx + self.parcov.inv).inv
assert r.row_names == r.col_names
self.__posterior_parameter = Cov(r.x,
row_names=r.row_names,
col_names=r.col_names)
self.log("Schur's complement")
return self.__posterior_parameter
def update(self):
if not self.__initialized:
raise Exception("must call initialize() before update()")
self._calc_obs()
self.iter_num += 1
self.obsensemble.to_csv("obsensemble.{0}.csv".format(self.iter_num))
delta_obs = self._calc_delta_obs()
u,s,v = delta_obs.pseudo_inv_components()
scaled_par_diff = self._calc_delta_par()
scaled_obs_diff = self.obsensemble.as_pyemu_matrix() -\
self.obsensemble_0.as_pyemu_matrix()
scaled_ident = (self.current_lambda*Cov.identity_like(s) + s**2).inv
x1 = u.T * self.obscov.inv.sqrt * scaled_obs_diff.T
x1.autoalign = False
x2 = scaled_ident * x1
x3 = v * s * x2
upgrade_1 = -1.0 * (self.half_parcov_diag * scaled_par_diff *\
x3).to_dataframe()
upgrade_1.index.name = "parnme"
upgrade_1.T.to_csv("upgrade_1.{0}.csv".format(self.iter_num))
self.parensemble += upgrade_1.T
if self.iter_num > 1:
par_diff = (self.parensemble - self.parensemble_0).\
as_pyemu_matrix().T
x4 = self.Am.T * self.half_parcov_diag * par_diff
x5 = self.Am * x4
x6 = scaled_par_diff.T * x5
x7 = v * scaled_ident * v.T * x6
upgrade_2 = -1.0 * (self.half_parcov_diag *
scaled_par_diff * x7).to_dataframe()
upgrade_2.index.name = "parnme"
upgrade_2.T.to_csv("upgrade_2.{0}.csv".format(self.iter_num))
self.parensemble += upgrade_2.T
self.parensemble.to_csv("parensemble.{0}.csv".format(self.iter_num))
def mat_test():
import os
import numpy as np
from pyemu.mat import Jco,Cov,concat
test_dir = os.path.join("mat")
if not os.path.exists(test_dir):
os.mkdir(test_dir)
arr = np.arange(0,12)
arr.resize(4,3)
first = Jco(x=arr,col_names=["p1","p2","p3"],row_names=["o1","o2","o3","o4"])
first.to_binary(os.path.join(test_dir,"test.bin"))
first.from_binary(os.path.join(test_dir,"test.bin"))
first = Jco(x=np.ones((4,3)),col_names=["p1","p2","p3"],row_names=["o1","o2","o3","o4"])
second = Cov(x=np.ones((3,3))+1.0,names=["p1","p2","p3"],isdiagonal=False)
third = Cov(x=np.ones((4,1))+2.0,names=["o1","o2","o3","o4"],isdiagonal=True)
third.to_uncfile(os.path.join(test_dir,"test.unc"),
covmat_file=os.path.join(test_dir,"cov.mat"))
third.from_uncfile(os.path.join(test_dir,"test.unc"))
si = second.identity
result = second - second.identity
# add and sub
newfirst = first.get(row_names=["o1"],col_names="p1")
result = newfirst - first
result = first - newfirst
result = newfirst + first
result = first + newfirst
newfirst = first.get(row_names=["o1","o2"],col_names="p1")
result = newfirst - first
result = first - newfirst
result = newfirst + first
result = first + newfirst
newfirst = first.get(row_names=["o1","o2"],col_names=["p1","p3"])
result = newfirst - first
result = first - newfirst
result = newfirst + first
result = first + newfirst
# mul test
result = first.T * third * first
result = first * second
result = first.T.x * third
result = 2.0 * third
newfirst = first.get(col_names="p1")
result = newfirst * second
result = second * newfirst.T
newfirst = first.get(col_names=["p1","p2"])
result = newfirst * second
result = second * newfirst.T
newfirst = first.get(row_names=["o1"])
result = newfirst * second
result = second * newfirst.T
newfirst = first.get(row_names=["o1","o2"])
result = newfirst * second
result = second * newfirst.T
result = newfirst.T * third * newfirst
newthird = third.get(row_names=["o1"])
result = first.T * newthird * first
result.to_sparse()
# drop testing
second.drop("p2",axis=0)
assert second.shape == (2, 2)
third.drop("o1",axis=1)
assert third.shape == (3, 3)
first.drop("p1",axis=1)
assert first.shape == (4,2)
first.drop("o4",axis=0)
assert first.shape == (3,2)
try:
concat([first,third])
except:
pass
else:
raise Exception()
def update(self,
lambda_mults=[1.0],
localizer=None,
run_subset=None,
use_approx=True,
calc_only=False):
"""update the iES one GLM cycle
Parameters
----------
lambda_mults : list
a list of lambda multipliers to test. Each lambda mult value will require
evaluating (a subset of) the parameter ensemble.
localizer : pyemu.Matrix
a jacobian localizing matrix
run_subset : int
the number of realizations to test for each lambda_mult value. For example,
if run_subset = 30 and num_reals=100, the first 30 realizations will be run (in
parallel) for each lambda_mult value. Then the best lambda_mult is selected and the
remaining 70 realizations for that lambda_mult value are run (in parallel).
use_approx : bool
a flag to use the MLE or MAP upgrade solution. True indicates use MLE solution
calc_only : bool
a flag to calculate the upgrade matrix only (not run the ensemble). This is mostly for
debugging and testing on travis. Default is False
Example
-------
``>>>import pyemu``
``>>>es = pyemu.EnsembleSmoother(pst="pest.pst")``
``>>>es.initialize(num_reals=100)``
``>>>es.update(lambda_mults=[0.1,1.0,10.0],run_subset=30)``
"""
if run_subset is not None:
if run_subset >= self.obsensemble.shape[0]:
self.logger.warn("run_subset ({0}) >= num of active reals ({1})...ignoring ".\
format(run_subset,self.obsensemble.shape[0]))
run_subset = None
self.iter_num += 1
self.logger.log("iteration {0}".format(self.iter_num))
self.logger.statement("{0} active realizations".format(
self.obsensemble.shape[0]))
if self.obsensemble.shape[0] < 2:
self.logger.lraise(
"at least active 2 realizations (really like 300) are needed to update"
)
if not self.__initialized:
#raise Exception("must call initialize() before update()")
self.logger.lraise("must call initialize() before update()")
self.logger.log("calculate scaled delta obs")
scaled_delta_obs = self._calc_delta_obs(self.obsensemble)
self.logger.log("calculate scaled delta obs")
self.logger.log("calculate scaled delta par")
scaled_delta_par = self._calc_delta_par(self.parensemble)
self.logger.log("calculate scaled delta par")
self.logger.log("calculate pseudo inv comps")
u, s, v = scaled_delta_obs.pseudo_inv_components()
self.logger.log("calculate pseudo inv comps")
self.logger.log("calculate obs diff matrix")
obs_diff = self.obscov_inv_sqrt * self._get_residual_matrix(
self.obsensemble).T
self.logger.log("calculate obs diff matrix")
# here is the math part...calculate upgrade matrices
mean_lam, std_lam, paren_lam, obsen_lam = [], [], [], []
lam_vals = []
for ilam, cur_lam_mult in enumerate(lambda_mults):
parensemble_cur_lam = self.parensemble.copy()
#print(parensemble_cur_lam.isnull().values.any())
cur_lam = self.current_lambda * cur_lam_mult
lam_vals.append(cur_lam)
self.logger.log("calcs for lambda {0}".format(cur_lam_mult))
scaled_ident = Cov.identity_like(s) * (cur_lam + 1.0)
scaled_ident += s**2
scaled_ident = scaled_ident.inv
# build up this matrix as a single element so we can apply
# localization
self.logger.log("building upgrade_1 matrix")
upgrade_1 = -1.0 * (self.half_parcov_diag * scaled_delta_par) *\
v * s * scaled_ident * u.T
self.logger.log("building upgrade_1 matrix")
# apply localization
if localizer is not None:
self.logger.log("applying localization")
upgrade_1.hadamard_product(localizer)
self.logger.log("applying localization")
# apply residual information
self.logger.log("applying residuals")
upgrade_1 *= obs_diff
self.logger.log("applying residuals")
self.logger.log("processing upgrade_1")
upgrade_1 = upgrade_1.to_dataframe()
upgrade_1.index.name = "parnme"
upgrade_1 = upgrade_1.T
upgrade_1.index = [int(i) for i in upgrade_1.index]
upgrade_1.to_csv(self.pst.filename+".upgrade_1.{0:04d}.csv".\
format(self.iter_num))
if upgrade_1.isnull().values.any():
self.logger.lraise("NaNs in upgrade_1")
self.logger.log("processing upgrade_1")
#print(upgrade_1.isnull().values.any())
#print(parensemble_cur_lam.index)
#print(upgrade_1.index)
parensemble_cur_lam += upgrade_1
# parameter-based upgrade portion
if not use_approx and self.iter_num > 1:
self.logger.log("building upgrade_2 matrix")
par_diff = (self.parensemble - self.parensemble_0.loc[self.parensemble.index,:]).\
as_pyemu_matrix().T
x4 = self.Am.T * self.half_parcov_diag * par_diff
x5 = self.Am * x4
x6 = scaled_delta_par.T * x5
x7 = v * scaled_ident * v.T * x6
upgrade_2 = -1.0 * (self.half_parcov_diag * scaled_delta_par *
x7).to_dataframe()
upgrade_2.index.name = "parnme"
upgrade_2 = upgrade_2.T
upgrade_2.to_csv(self.pst.filename+".upgrade_2.{0:04d}.csv".\
format(self.iter_num))
upgrade_2.index = [int(i) for i in upgrade_2.index]
if upgrade_2.isnull().values.any():
self.logger.lraise("NaNs in upgrade_2")
parensemble_cur_lam += upgrade_2
self.logger.log("building upgrade_2 matrix")
parensemble_cur_lam.enforce(self.enforce_bounds)
# this is for testing failed runs on upgrade testing
# works with the 10par_xsec smoother test
#parensemble_cur_lam.iloc[:,:] = -1000000.0
paren_lam.append(pd.DataFrame(parensemble_cur_lam.loc[:, :]))
self.logger.log("calcs for lambda {0}".format(cur_lam_mult))
if calc_only:
return
# subset if needed
# and combine lambda par ensembles into one par ensemble for evaluation
if run_subset is not None and run_subset < self.parensemble.shape[0]:
#subset_idx = ["{0:d}".format(i) for i in np.random.randint(0,self.parensemble.shape[0]-1,run_subset)]
subset_idx = self.parensemble.iloc[:run_subset, :].index.values
self.logger.statement("subset idxs: " +
','.join([str(s) for s in subset_idx]))
paren_lam_subset = [pe.loc[subset_idx, :] for pe in paren_lam]
paren_combine = pd.concat(paren_lam_subset, ignore_index=True)
paren_lam_subset = None
else:
subset_idx = self.parensemble.index.values
paren_combine = pd.concat(paren_lam, ignore_index=True)
self.logger.log("evaluating ensembles for lambdas : {0}".\
format(','.join(["{0:8.3E}".format(l) for l in lam_vals])))
failed_runs, obsen_combine = self._calc_obs(paren_combine)
#if failed_runs is not None:
# obsen_combine.loc[failed_runs,:] = np.NaN
self.logger.log("evaluating ensembles for lambdas : {0}".\
format(','.join(["{0:8.3E}".format(l) for l in lam_vals])))
paren_combine = None
if failed_runs is not None and len(
failed_runs) == obsen_combine.shape[0]:
self.logger.lraise("all runs failed - cannot continue")
# unpack lambda obs ensembles from combined obs ensemble
nrun_per_lam = self.obsensemble.shape[0]
if run_subset is not None:
nrun_per_lam = run_subset
obsen_lam = []
for i in range(len(lam_vals)):
sidx = i * nrun_per_lam
eidx = sidx + nrun_per_lam
oe = ObservationEnsemble.from_dataframe(
df=obsen_combine.iloc[sidx:eidx, :].copy(), pst=self.pst)
oe.index = subset_idx
# check for failed runs in this set - drop failed runs from obs ensembles
if failed_runs is not None:
failed_runs_this = np.array(
[f for f in failed_runs if f >= sidx and f < eidx]) - sidx
if len(failed_runs_this) > 0:
if len(failed_runs_this) == oe.shape[0]:
self.logger.warn(
"all runs failed for lambda {0}".format(
lam_vals[i]))
else:
self.logger.warn("{0} run failed for lambda {1}".\
format(len(failed_runs_this),lam_vals[i]))
oe.iloc[failed_runs_this, :] = np.NaN
oe = oe.dropna()
# don't drop bad reals here, instead, mask bad reals in the lambda
# selection and drop later
# if self.drop_bad_reals is not None:
# assert isinstance(drop_bad_reals, float)
# drop_idx = np.argwhere(self.current_phi_vec > self.drop_bad_reals).flatten()
# run_ids = self.obsensemble.index.values
# drop_idx = run_ids[drop_idx]
# if len(drop_idx) == self.obsensemble.shape[0]:
# raise Exception("dropped all realizations as 'bad'")
# if len(drop_idx) > 0:
# self.logger.warn("{0} realizations dropped as 'bad' (indices :{1})". \
# format(len(drop_idx), ','.join([str(d) for d in drop_idx])))
# self.parensemble.loc[drop_idx, :] = np.NaN
# self.parensemble = self.parensemble.dropna()
# self.obsensemble.loc[drop_idx, :] = np.NaN
# self.obsensemble = self.obsensemble.dropna()
#
# self.current_phi_vec = self._calc_phi_vec(self.obsensemble)
obsen_lam.append(oe)
obsen_combine = None
# here is where we need to select out the "best" lambda par and obs
# ensembles
self.logger.statement("\n**************************")
self.logger.statement(str(datetime.now()))
self.logger.statement("total runs:{0}".format(self.total_runs))
self.logger.statement("iteration: {0}".format(self.iter_num))
self.logger.statement("current lambda:{0:15.6G}, mean:{1:15.6G}, std:{2:15.6G}".\
format(self.current_lambda,
self.last_best_mean,self.last_best_std))
phi_vecs = [self._calc_phi_vec(obsen) for obsen in obsen_lam]
if self.drop_bad_reals is not None:
for i, pv in enumerate(phi_vecs):
#for testing the drop_bad_reals functionality
#pv[[0,3,7]] = self.drop_bad_reals + 1.0
pv[pv > self.drop_bad_reals] = np.NaN
pv = pv[~np.isnan(pv)]
if len(pv) == 0:
raise Exception("all realization for lambda {0} dropped as 'bad'".\
format(lam_vals[i]))
phi_vecs[i] = pv
mean_std = [(pv.mean(), pv.std()) for pv in phi_vecs]
update_pars = False
update_lambda = False
# accept a new best if its within 10%
best_mean = self.last_best_mean * 1.1
best_std = self.last_best_std * 1.1
best_i = 0
for i, (m, s) in enumerate(mean_std):
self.logger.statement(" tested lambda:{0:15.6G}, mean:{1:15.6G}, std:{2:15.6G}".\
format(self.current_lambda * lambda_mults[i],m,s))
if m < best_mean:
update_pars = True
best_mean = m
best_i = i
if s < best_std:
update_lambda = True
best_std = s
if np.isnan(best_mean):
self.logger.lraise("best mean = NaN")
if np.isnan(best_std):
self.logger.lraise("best std = NaN")
if not update_pars:
self.current_lambda *= max(lambda_mults) * 10.0
self.current_lambda = min(self.current_lambda, 100000)
self.logger.statement("not accepting iteration, increased lambda:{0}".\
format(self.current_lambda))
else:
self.parensemble = ParameterEnsemble.from_dataframe(
df=paren_lam[best_i], pst=self.pst)
if run_subset is not None:
failed_runs, self.obsensemble = self._calc_obs(
self.parensemble)
if failed_runs is not None:
self.logger.warn("dropping failed realizations")
self.parensemble.loc[failed_runs, :] = np.NaN
self.parensemble = self.parensemble.dropna()
self.obsensemble.loc[failed_runs, :] = np.NaN
self.obsensemble = self.obsensemble.dropna()
self.current_phi_vec = self._calc_phi_vec(self.obsensemble)
#self._phi_report(self.current_phi_vec,self.current_lambda * lambda_mults[best_i])
best_mean = self.current_phi_vec.mean()
best_std = self.current_phi_vec.std()
else:
self.obsensemble = obsen_lam[best_i]
# reindex parensemble in case failed runs
self.parensemble = ParameterEnsemble.from_dataframe(
df=self.parensemble.loc[self.obsensemble.index],
pst=self.pst)
self.current_phi_vec = phi_vecs[best_i]
if self.drop_bad_reals is not None:
# for testing drop_bad_reals functionality
# self.current_phi_vec[::2] = self.drop_bad_reals + 1.0
drop_idx = np.argwhere(
self.current_phi_vec > self.drop_bad_reals).flatten()
run_ids = self.obsensemble.index.values
drop_idx = run_ids[drop_idx]
if len(drop_idx) > self.obsensemble.shape[0] - 3:
raise Exception("dropped too many realizations as 'bad'")
if len(drop_idx) > 0:
self.logger.warn("{0} realizations dropped as 'bad' (indices :{1})". \
format(len(drop_idx), ','.join([str(d) for d in drop_idx])))
self.parensemble.loc[drop_idx, :] = np.NaN
self.parensemble = self.parensemble.dropna()
self.obsensemble.loc[drop_idx, :] = np.NaN
self.obsensemble = self.obsensemble.dropna()
self.current_phi_vec = self._calc_phi_vec(self.obsensemble)
best_mean = self.current_phi_vec.mean()
best_std = self.current_phi_vec.std()
self._phi_report(self.phi_csv, self.current_phi_vec,
self.current_lambda * lambda_mults[best_i])
self._phi_report(self.phi_act_csv,
self.obsensemble.phi_vector.values,
self.current_lambda * lambda_mults[best_i])
self.logger.statement(" best lambda:{0:15.6G}, mean:{1:15.6G}, std:{2:15.6G}".\
format(self.current_lambda*lambda_mults[best_i],
best_mean,best_std))
self.logger.statement(" actual mean phi: {0:15.6G}".format(
float(self.current_actual_phi.mean())))
self.last_best_mean = best_mean
self.last_best_std = best_std
if update_lambda:
# be aggressive
self.current_lambda *= (lambda_mults[best_i] * 0.75)
# but don't let lambda get too small
self.current_lambda = max(self.current_lambda, 0.00001)
self.logger.statement("updating lambda: {0:15.6G}".\
format(self.current_lambda ))
self.logger.statement("**************************\n")
self.parensemble.to_csv(self.pst.filename+self.paren_prefix.\
format(self.iter_num))
self.obsensemble.to_csv(self.pst.filename+self.obsen_prefix.\
format(self.iter_num))
if self.raw_sweep_out is not None:
self.raw_sweep_out.to_csv(self.pst.filename+"_raw{0}".\
format(self.iter_num))
self.logger.log("iteration {0}".format(self.iter_num))
def update(self,
lambda_mults=[1.0],
localizer=None,
run_subset=None,
use_approx=True):
if run_subset is not None:
if run_subset >= self.obsensemble.shape[0]:
self.logger.warn("run_subset ({0}) >= num of active reals ({1})...ignoring ".\
format(run_subset,self.obsensemble.shape[0]))
run_subset = None
self.iter_num += 1
self.logger.log("iteration {0}".format(self.iter_num))
self.logger.statement("{0} active realizations".format(
self.obsensemble.shape[0]))
if self.obsensemble.shape[0] < 2:
self.logger.lraise(
"at least active 2 realizations (really like 300) are needed to update"
)
if not self.__initialized:
#raise Exception("must call initialize() before update()")
self.logger.lraise("must call initialize() before update()")
self.logger.log("calculate scaled delta obs")
scaled_delta_obs = self._calc_delta_obs(self.obsensemble)
self.logger.log("calculate scaled delta obs")
self.logger.log("calculate scaled delta par")
scaled_delta_par = self._calc_delta_par(self.parensemble)
self.logger.log("calculate scaled delta par")
self.logger.log("calculate pseudo inv comps")
u, s, v = scaled_delta_obs.pseudo_inv_components()
self.logger.log("calculate pseudo inv comps")
self.logger.log("calculate obs diff matrix")
obs_diff = self.obscov_inv_sqrt * self._get_residual_matrix(
self.obsensemble).T
self.logger.log("calculate obs diff matrix")
# here is the math part...calculate upgrade matrices
mean_lam, std_lam, paren_lam, obsen_lam = [], [], [], []
lam_vals = []
for ilam, cur_lam_mult in enumerate(lambda_mults):
parensemble_cur_lam = self.parensemble.copy()
#print(parensemble_cur_lam.isnull().values.any())
cur_lam = self.current_lambda * cur_lam_mult
lam_vals.append(cur_lam)
self.logger.log("calcs for lambda {0}".format(cur_lam_mult))
scaled_ident = Cov.identity_like(s) * (cur_lam + 1.0)
scaled_ident += s**2
scaled_ident = scaled_ident.inv
# build up this matrix as a single element so we can apply
# localization
self.logger.log("building upgrade_1 matrix")
upgrade_1 = -1.0 * (self.half_parcov_diag * scaled_delta_par) *\
v * s * scaled_ident * u.T
self.logger.log("building upgrade_1 matrix")
# apply localization
if localizer is not None:
self.logger.log("applying localization")
upgrade_1.hadamard_product(localizer)
self.logger.log("applying localization")
# apply residual information
self.logger.log("applying residuals")
upgrade_1 *= obs_diff
self.logger.log("applying residuals")
self.logger.log("processing upgrade_1")
upgrade_1 = upgrade_1.to_dataframe()
upgrade_1.index.name = "parnme"
upgrade_1 = upgrade_1.T
upgrade_1.index = [int(i) for i in upgrade_1.index]
upgrade_1.to_csv(self.pst.filename+".upgrade_1.{0:04d}.csv".\
format(self.iter_num))
if upgrade_1.isnull().values.any():
self.logger.lraise("NaNs in upgrade_1")
self.logger.log("processing upgrade_1")
#print(upgrade_1.isnull().values.any())
#print(parensemble_cur_lam.index)
#print(upgrade_1.index)
parensemble_cur_lam += upgrade_1
# parameter-based upgrade portion
if not use_approx and self.iter_num > 1:
self.logger.log("building upgrade_2 matrix")
par_diff = (self.parensemble - self.parensemble_0.loc[self.parensemble.index,:]).\
as_pyemu_matrix().T
x4 = self.Am.T * self.half_parcov_diag * par_diff
x5 = self.Am * x4
x6 = scaled_delta_par.T * x5
x7 = v * scaled_ident * v.T * x6
upgrade_2 = -1.0 * (self.half_parcov_diag * scaled_delta_par *
x7).to_dataframe()
upgrade_2.index.name = "parnme"
upgrade_2 = upgrade_2.T
upgrade_2.to_csv(self.pst.filename+".upgrade_2.{0:04d}.csv".\
format(self.iter_num))
upgrade_2.index = [int(i) for i in upgrade_2.index]
if upgrade_2.isnull().values.any():
self.logger.lraise("NaNs in upgrade_2")
parensemble_cur_lam += upgrade_2
self.logger.log("building upgrade_2 matrix")
parensemble_cur_lam.enforce(self.enforce_bounds)
# this is for testing failed runs on upgrade testing
# works with the 10par_xsec smoother test
#parensemble_cur_lam.iloc[:,:] = -1000000.0
paren_lam.append(pd.DataFrame(parensemble_cur_lam.loc[:, :]))
self.logger.log("calcs for lambda {0}".format(cur_lam_mult))
# subset if needed
# and combine lambda par ensembles into one par ensemble for evaluation
if run_subset is not None and run_subset < self.parensemble.shape[0]:
#subset_idx = ["{0:d}".format(i) for i in np.random.randint(0,self.parensemble.shape[0]-1,run_subset)]
subset_idx = self.parensemble.iloc[:run_subset, :].index.values
self.logger.statement("subset idxs: " +
','.join([str(s) for s in subset_idx]))
paren_lam_subset = [pe.loc[subset_idx, :] for pe in paren_lam]
paren_combine = pd.concat(paren_lam_subset, ignore_index=True)
paren_lam_subset = None
else:
subset_idx = self.parensemble.index.values
paren_combine = pd.concat(paren_lam, ignore_index=True)
self.logger.log("evaluating ensembles for lambdas : {0}".\
format(','.join(["{0:8.3E}".format(l) for l in lam_vals])))
failed_runs, obsen_combine = self._calc_obs(paren_combine)
#if failed_runs is not None:
# obsen_combine.loc[failed_runs,:] = np.NaN
self.logger.log("evaluating ensembles for lambdas : {0}".\
format(','.join(["{0:8.3E}".format(l) for l in lam_vals])))
paren_combine = None
if failed_runs is not None and len(
failed_runs) == obsen_combine.shape[0]:
self.logger.lraise("all runs failed - cannot continue")
# unpack lambda obs ensembles from combined obs ensemble
nrun_per_lam = self.obsensemble.shape[0]
if run_subset is not None:
nrun_per_lam = run_subset
obsen_lam = []
for i in range(len(lam_vals)):
sidx = i * nrun_per_lam
eidx = sidx + nrun_per_lam
oe = ObservationEnsemble.from_dataframe(
df=obsen_combine.iloc[sidx:eidx, :].copy(), pst=self.pst)
oe.index = subset_idx
# check for failed runs in this set - drop failed runs from obs ensembles
if failed_runs is not None:
failed_runs_this = np.array(
[f for f in failed_runs if f >= sidx and f < eidx]) - sidx
if len(failed_runs_this) > 0:
if len(failed_runs_this) == oe.shape[0]:
self.logger.warn(
"all runs failed for lambda {0}".format(
lam_vals[i]))
else:
self.logger.warn("{0} run failed for lambda {1}".\
format(len(failed_runs_this),lam_vals[i]))
oe.iloc[failed_runs_this, :] = np.NaN
oe = oe.dropna()
obsen_lam.append(oe)
obsen_combine = None
# here is where we need to select out the "best" lambda par and obs
# ensembles
self.logger.statement("\n**************************")
self.logger.statement(str(datetime.now()))
self.logger.statement("total runs:{0}".format(self.total_runs))
self.logger.statement("iteration: {0}".format(self.iter_num))
self.logger.statement("current lambda:{0:15.6G}, mean:{1:15.6G}, std:{2:15.6G}".\
format(self.current_lambda,
self.last_best_mean,self.last_best_std))
phi_vecs = [self._calc_phi_vec(obsen) for obsen in obsen_lam]
mean_std = [(pv.mean(), pv.std()) for pv in phi_vecs]
update_pars = False
update_lambda = False
# accept a new best if its within 10%
best_mean = self.last_best_mean * 1.1
best_std = self.last_best_std * 1.1
best_i = 0
for i, (m, s) in enumerate(mean_std):
self.logger.statement(" tested lambda:{0:15.6G}, mean:{1:15.6G}, std:{2:15.6G}".\
format(self.current_lambda * lambda_mults[i],m,s))
if m < best_mean:
update_pars = True
best_mean = m
best_i = i
if s < best_std:
update_lambda = True
best_std = s
if np.isnan(best_mean):
self.logger.lraise("best mean = NaN")
if np.isnan(best_std):
self.logger.lraise("best std = NaN")
if not update_pars:
self.current_lambda *= max(lambda_mults) * 10.0
self.current_lambda = min(self.current_lambda, 100000)
self.logger.statement("not accepting iteration, increased lambda:{0}".\
format(self.current_lambda))
else:
self.parensemble = ParameterEnsemble.from_dataframe(
df=paren_lam[best_i], pst=self.pst)
if run_subset is not None:
failed_runs, self.obsensemble = self._calc_obs(
self.parensemble)
if failed_runs is not None:
self.logger.warn("dropping failed realizations")
self.parensemble = self.parensemble.drop(failed_runs)
self.obsensemble = self.obsensemble.drop(failed_runs)
self.current_phi_vec = self._calc_phi_vec(self.obsensemble)
self._phi_report(self.current_phi_vec,
self.current_lambda * lambda_mults[best_i])
best_mean = self.current_phi_vec.mean()
best_std = self.current_phi_vec.std()
else:
self.obsensemble = obsen_lam[best_i]
# reindex parensemble in case failed runs
self.parensemble = ParameterEnsemble.from_dataframe(
df=self.parensemble.loc[self.obsensemble.index],
pst=self.pst)
self._phi_report(phi_vecs[best_i],
self.current_lambda * lambda_mults[best_i])
self.current_phi_vec = phi_vecs[best_i]
self.logger.statement(" best lambda:{0:15.6G}, mean:{1:15.6G}, std:{2:15.6G}".\
format(self.current_lambda*lambda_mults[best_i],
best_mean,best_std))
self.last_best_mean = best_mean
self.last_best_std = best_std
if update_lambda:
# be aggressive
self.current_lambda *= (lambda_mults[best_i] * 0.75)
# but don't let lambda get too small
self.current_lambda = max(self.current_lambda, 0.001)
self.logger.statement("updating lambda: {0:15.6G}".\
format(self.current_lambda ))
self.logger.statement("**************************\n")
self.parensemble.to_csv(self.pst.filename+self.paren_prefix.\
format(self.iter_num))
self.obsensemble.to_csv(self.pst.filename+self.obsen_prefix.\
format(self.iter_num))
if self.raw_sweep_out is not None:
self.raw_sweep_out.to_csv(self.pst.filename+"_raw{0}".\
format(self.iter_num))
self.logger.log("iteration {0}".format(self.iter_num))
def update(self,
lambda_mults=[1.0],
localizer=None,
run_subset=None,
use_approx=True,
calc_only=False):
"""update the iES one GLM cycle
Parameters
----------
lambda_mults : list
a list of lambda multipliers to test. Each lambda mult value will require
evaluating (a subset of) the parameter ensemble.
localizer : pyemu.Matrix
a jacobian localizing matrix
run_subset : int
the number of realizations to test for each lambda_mult value. For example,
if run_subset = 30 and num_reals=100, the first 30 realizations will be run (in
parallel) for each lambda_mult value. Then the best lambda_mult is selected and the
remaining 70 realizations for that lambda_mult value are run (in parallel).
use_approx : bool
a flag to use the MLE or MAP upgrade solution. True indicates use MLE solution
calc_only : bool
a flag to calculate the upgrade matrix only (not run the ensemble). This is mostly for
debugging and testing on travis. Default is False
Example
-------
``>>>import pyemu``
``>>>es = pyemu.EnsembleSmoother(pst="pest.pst")``
``>>>es.initialize(num_reals=100)``
``>>>es.update(lambda_mults=[0.1,1.0,10.0],run_subset=30)``
"""
#if not self.parensemble.istransformed:
# self.parensemble._transform(inplace=False)
if run_subset is not None:
if run_subset >= self.obsensemble.shape[0]:
self.logger.warn("run_subset ({0}) >= num of active reals ({1})...ignoring ".\
format(run_subset,self.obsensemble.shape[0]))
run_subset = None
self.iter_num += 1
mat_prefix = self.pst.filename.replace('.pst', '') + ".{0}".format(
self.iter_num)
self.logger.log("iteration {0}".format(self.iter_num))
self.logger.statement("{0} active realizations".format(
self.obsensemble.shape[0]))
if self.obsensemble.shape[0] < 2:
self.logger.lraise(
"at least active 2 realizations (really like 300) are needed to update"
)
if not self._initialized:
#raise Exception("must call initialize() before update()")
self.logger.lraise("must call initialize() before update()")
self.logger.log("calculate scaled delta obs")
scaled_delta_obs = self._calc_delta_obs(self.obsensemble)
self.logger.log("calculate scaled delta obs")
self.logger.log("calculate scaled delta par")
scaled_delta_par = self._calc_delta_par(self.parensemble)
self.logger.log("calculate scaled delta par")
self.logger.log("calculate pseudo inv comps")
u, s, v = scaled_delta_obs.pseudo_inv_components(
eigthresh=self.pst.svd_data.eigthresh)
s.col_names = s.row_names
self.logger.log("calculate pseudo inv comps")
self.logger.log("calculate obs diff matrix")
#obs_diff = self.obscov_inv_sqrt * self._get_residual_obs_matrix(self.obsensemble).T
obs_diff = self.obscov_inv_sqrt * self.phi.get_residual_obs_matrix(
self.obsensemble).T
self.logger.log("calculate obs diff matrix")
if self.save_mats:
np.savetxt(mat_prefix + ".obs_diff.dat",
scaled_delta_obs.x,
fmt="%15.6e")
np.savetxt(mat_prefix + ".par_diff.dat",
scaled_delta_par.x,
fmt="%15.6e")
np.savetxt(mat_prefix + ".u.dat", u.x, fmt="%15.6e")
np.savetxt(mat_prefix + ".s.dat", s.x, fmt="%15.6e")
np.savetxt(mat_prefix + ".v.dat", v.x, fmt="%15.6e")
# here is the math part...calculate upgrade matrices
mean_lam, std_lam, paren_lam, obsen_lam = [], [], [], []
lam_vals = []
for ilam, cur_lam_mult in enumerate(lambda_mults):
parensemble_cur_lam = self.parensemble.copy()
#print(parensemble_cur_lam.isnull().values.any())
cur_lam = self.current_lambda * cur_lam_mult
lam_vals.append(cur_lam)
self.logger.log("calcs for lambda {0}".format(cur_lam_mult))
scaled_ident = Cov.identity_like(s) * (cur_lam + 1.0)
scaled_ident += s**2
scaled_ident = scaled_ident.inv
# build up this matrix as a single element so we can apply
# localization
self.logger.log("building upgrade_1 matrix")
upgrade_1 = -1.0 * (self.parcov_inv_sqrt * scaled_delta_par) *\
v * s * scaled_ident * u.T
if self.save_mats:
np.savetxt(mat_prefix + ".ivec.dat".format(self.iter_num),
scaled_ident.x,
fmt="%15.6e")
self.logger.log("building upgrade_1 matrix")
# apply localization
if localizer is not None:
self.logger.log("applying localization")
upgrade_1.hadamard_product(localizer)
self.logger.log("applying localization")
# apply residual information
self.logger.log("applying residuals")
upgrade_1 *= obs_diff
self.logger.log("applying residuals")
self.logger.log("processing upgrade_1")
if self.save_mats:
np.savetxt(mat_prefix + ".upgrade_1.dat",
upgrade_1.T.x,
fmt="%15.6e")
upgrade_1 = upgrade_1.to_dataframe()
upgrade_1.index.name = "parnme"
upgrade_1 = upgrade_1.T
upgrade_1.index = [int(i) for i in upgrade_1.index]
upgrade_1.to_csv(self.pst.filename+".upgrade_1.{0:04d}.csv".\
format(self.iter_num))
if upgrade_1.isnull().values.any():
self.logger.lraise("NaNs in upgrade_1")
self.logger.log("processing upgrade_1")
#print(upgrade_1.isnull().values.any())
#print(parensemble_cur_lam.index)
#print(upgrade_1.index)
parensemble_cur_lam += upgrade_1
# parameter-based upgrade portion
if not use_approx and self.iter_num > 1:
#if True:
self.logger.log("building upgrade_2 matrix")
par_diff = (self.parensemble - self.parensemble_0.loc[self.parensemble.index,:]).\
as_pyemu_matrix().T
x4 = self.Am.T * self.parcov_inv_sqrt * par_diff
x5 = self.Am * x4
x6 = scaled_delta_par.T * x5
x7 = v * scaled_ident * v.T * x6
ug2_mat = -1.0 * (self.parcov_inv_sqrt * scaled_delta_par * x7)
upgrade_2 = ug2_mat.to_dataframe()
upgrade_2.index.name = "parnme"
upgrade_2 = upgrade_2.T
upgrade_2.to_csv(self.pst.filename+".upgrade_2.{0:04d}.csv".\
format(self.iter_num))
upgrade_2.index = [int(i) for i in upgrade_2.index]
if self.save_mats:
np.savetxt(mat_prefix + ".scaled_par_resid.dat",
par_diff.x,
fmt="%15.6e")
np.savetxt(mat_prefix + ".x4.dat", x4.x, fmt="%15.6e")
np.savetxt(mat_prefix + ".x5.dat", x5.x, fmt="%15.6e")
np.savetxt(mat_prefix + ".x6.dat", x6.x, fmt="%15.6e")
np.savetxt(mat_prefix + ".x7.dat", x7.x, fmt="%15.6e")
np.savetxt(mat_prefix + ".upgrade_2.dat",
ug2_mat.T.x,
fmt="%15.6e")
if upgrade_2.isnull().values.any():
self.logger.lraise("NaNs in upgrade_2")
parensemble_cur_lam += upgrade_2
self.logger.log("building upgrade_2 matrix")
self.logger.log("enforcing bounds")
parensemble_cur_lam.enforce(self.enforce_bounds)
self.logger.log("enforcing bounds")
self.logger.log("filling fixed parameters")
#fill in fixed pars with initial values
fi = parensemble_cur_lam.fixed_indexer
li = parensemble_cur_lam.log_indexer
log_values = self.pst.parameter_data.loc[:, "parval1"].copy()
log_values.loc[li] = log_values.loc[li].apply(np.log10)
fixed_vals = log_values.loc[fi]
for fname, fval in zip(fixed_vals.index, fixed_vals.values):
# if fname not in df.columns:
# continue
# print(fname)
parensemble_cur_lam.loc[:, fname] = fval
self.logger.log("filling fixed parameters")
# this is for testing failed runs on upgrade testing
# works with the 10par_xsec smoother test
#parensemble_cur_lam.iloc[:,:] = -1000000.0
# some hackery - we lose track of the transform flag here, but just
# know it is transformed. Need to create dataframe here because
# pd.concat doesn't like par ensembles later
paren_lam.append(pd.DataFrame(parensemble_cur_lam.loc[:, :]))
self.logger.log("calcs for lambda {0}".format(cur_lam_mult))
if calc_only:
return
# subset if needed
# and combine lambda par ensembles into one par ensemble for evaluation
if run_subset is not None and run_subset < self.parensemble.shape[0]:
#subset_idx = ["{0:d}".format(i) for i in np.random.randint(0,self.parensemble.shape[0]-1,run_subset)]
subset_idx = self.parensemble.iloc[:run_subset, :].index.values
self.logger.statement("subset idxs: " +
','.join([str(s) for s in subset_idx]))
# more tracking of transformed - just know it! Creating dataframes...
paren_lam_subset = [pe.loc[subset_idx, :] for pe in paren_lam]
paren_combine = pd.concat(paren_lam_subset, ignore_index=True)
paren_lam_subset = None
else:
subset_idx = self.parensemble.index.values
paren_combine = pd.concat(paren_lam, ignore_index=True)
self.logger.log("evaluating ensembles for lambdas : {0}".\
format(','.join(["{0:8.3E}".format(l) for l in lam_vals])))
# back to par ensemble and know it is transformed
paren_combine = ParameterEnsemble.from_dataframe(df=paren_combine,
pst=self.pst,
istransformed=True)
failed_runs, obsen_combine = self._calc_obs(paren_combine)
self.logger.log("evaluating ensembles for lambdas : {0}".\
format(','.join(["{0:8.3E}".format(l) for l in lam_vals])))
paren_combine = None
if failed_runs is not None and len(
failed_runs) == obsen_combine.shape[0]:
self.logger.lraise("all runs failed - cannot continue")
# unpack lambda obs ensembles from combined obs ensemble
nrun_per_lam = self.obsensemble.shape[0]
if run_subset is not None:
nrun_per_lam = run_subset
obsen_lam = []
for i in range(len(lam_vals)):
sidx = i * nrun_per_lam
eidx = sidx + nrun_per_lam
oe = ObservationEnsemble.from_dataframe(
df=obsen_combine.iloc[sidx:eidx, :].copy(), pst=self.pst)
oe.index = subset_idx
# check for failed runs in this set - drop failed runs from obs ensembles
if failed_runs is not None:
failed_runs_this = np.array(
[f for f in failed_runs if f >= sidx and f < eidx]) - sidx
if len(failed_runs_this) > 0:
if len(failed_runs_this) == oe.shape[0]:
self.logger.warn(
"all runs failed for lambda {0}".format(
lam_vals[i]))
else:
self.logger.warn("{0} run failed for lambda {1}".\
format(len(failed_runs_this),lam_vals[i]))
oe.iloc[failed_runs_this, :] = np.NaN
oe = oe.dropna()
paren_lam[i].iloc[failed_runs_this, :] = np.NaN
paren_lam[i] = ParameterEnsemble.from_dataframe(
df=paren_lam[i].dropna(), pst=self.pst)
paren_lam[i].__instransformed = True
# don't drop bad reals here, instead, mask bad reals in the lambda
# selection and drop later
# if self.drop_bad_reals is not None:
# assert isinstance(drop_bad_reals, float)
# drop_idx = np.argwhere(self.current_phi_vec > self.drop_bad_reals).flatten()
# run_ids = self.obsensemble.index.values
# drop_idx = run_ids[drop_idx]
# if len(drop_idx) == self.obsensemble.shape[0]:
# raise Exception("dropped all realizations as 'bad'")
# if len(drop_idx) > 0:
# self.logger.warn("{0} realizations dropped as 'bad' (indices :{1})". \
# format(len(drop_idx), ','.join([str(d) for d in drop_idx])))
# self.parensemble.loc[drop_idx, :] = np.NaN
# self.parensemble = self.parensemble.dropna()
# self.obsensemble.loc[drop_idx, :] = np.NaN
# self.obsensemble = self.obsensemble.dropna()
#
# self.current_phi_vec = self._calc_phi_vec(self.obsensemble)
obsen_lam.append(oe)
obsen_combine = None
# here is where we need to select out the "best" lambda par and obs
# ensembles
#phi_vecs = [self._calc_phi_vec(obsen) for obsen in obsen_lam]
#phi_vecs_reg = [self._calc_regul_phi_vec(paren) for paren in paren_lam]
#if self.regul_factor > 0.0:
# for i,(pv,prv) in enumerate(zip(phi_vecs,phi_vecs_reg)):
# phi_vecs[i] = pv + (prv * self.regul_factor)
self.logger.log("calc lambda phi vectors")
phi_vecs = [
self.phi.get_meas_and_regul_phi(oe, pe.loc[oe.index, :])
for oe, pe in zip(obsen_lam, paren_lam)
]
self.logger.log("calc lambda phi vectors")
if self.drop_bad_reals is not None:
for i, (meas_pv, regul_pv) in enumerate(phi_vecs):
#for testing the drop_bad_reals functionality
#pv[[0,3,7]] = self.drop_bad_reals + 1.0
regul_pv = regul_pv.copy()
regul_pv[meas_pv > self.drop_bad_reals] = np.NaN
regul_pv = regul_pv[~np.isnan(regul_pv)]
meas_pv[meas_pv > self.drop_bad_reals] = np.NaN
meas_pv = meas_pv[~np.isnan(meas_pv)]
if len(meas_pv) == 0:
#raise Exception("all realization for lambda {0} dropped as 'bad'".\
# format(lam_vals[i]))
self.logger.warn(
"all realizations for lambda {0} marked as 'bad'")
meas_pv = np.zeros_like(obsen_lam[0].shape[0]) + 1.0e+30
regul_pv = np.zeros_like(obsen_lam[0].shape[0]) + 1.0e+30
phi_vecs[i] = (meas_pv, regul_pv)
mean_std_meas = [(pv[0].mean(), pv[0].std()) for pv in phi_vecs]
mean_std_regul = [(pv[1].mean(), pv[1].std()) for pv in phi_vecs]
update_pars = False
update_lambda = False
self.logger.statement("**************************")
# self.logger.statement(str(datetime.now()))
self.logger.statement("lambda testing summary")
self.logger.statement("total runs:{0}".format(self.total_runs))
self.logger.statement("iteration: {0}".format(self.iter_num))
self.logger.statement("current lambda:{0:15.6G}, mean:{1:15.6G}, std:{2:15.6G}". \
format(self.current_lambda,
self.last_best_mean, self.last_best_std))
# accept a new best if its within 10%
best_mean = self.last_best_mean * 1.1
best_std = self.last_best_std * 1.1
best_i = 0
for i, ((mm, ms),
(rm, rs)) in enumerate(zip(mean_std_meas, mean_std_regul)):
self.logger.statement(
" tested lambda:{0:15.6G}, meas mean:{1:15.6G}, meas std:{2:15.6G}"
.format(self.current_lambda * lambda_mults[i], mm, ms))
self.logger.statement("{0:30s}regul mean:{1:15.6G}, regul std:{2:15.6G}".\
format(' ',rm,rs))
m = mm + (self.regul_factor * rm)
s = ms + (self.regul_factor * rs)
if m < best_mean:
update_pars = True
best_mean = m
best_i = i
if s < best_std:
update_lambda = True
best_std = s
if np.isnan(best_mean):
self.logger.lraise("best mean = NaN")
if np.isnan(best_std):
self.logger.lraise("best std = NaN")
if not update_pars:
self.current_lambda *= max(lambda_mults) * 10.0
self.current_lambda = min(self.current_lambda, 100000)
self.logger.statement("not accepting iteration, increased lambda:{0}".\
format(self.current_lambda))
else:
#more transformation status hard coding - ugly
self.parensemble = ParameterEnsemble.from_dataframe(
df=paren_lam[best_i], pst=self.pst, istransformed=True)
if run_subset is not None:
failed_runs, self.obsensemble = self._calc_obs(
self.parensemble)
if failed_runs is not None:
self.logger.warn("dropping failed realizations")
self.parensemble.loc[failed_runs, :] = np.NaN
self.parensemble = self.parensemble.dropna()
self.obsensemble.loc[failed_runs, :] = np.NaN
self.obsensemble = self.obsensemble.dropna()
self.phi.update()
best_mean = self.phi.comp_phi.mean()
best_std = self.phi.comp_phi.std()
else:
self.obsensemble = obsen_lam[best_i]
# reindex parensemble in case failed runs
self.parensemble = ParameterEnsemble.from_dataframe(
df=self.parensemble.loc[self.obsensemble.index],
pst=self.pst,
istransformed=self.parensemble.istransformed)
self.phi.update()
if self.drop_bad_reals is not None:
# for testing drop_bad_reals functionality
# self.current_phi_vec[::2] = self.drop_bad_reals + 1.0
#drop_idx = np.argwhere(self.current_phi_vec > self.drop_bad_reals).flatten()
drop_idx = np.argwhere(
self.phi.comp_phi > self.drop_bad_reals).flatten()
run_ids = self.obsensemble.index.values
drop_idx = run_ids[drop_idx]
if len(drop_idx) > self.obsensemble.shape[0] - 3:
raise Exception("dropped too many realizations as 'bad'")
if len(drop_idx) > 0:
self.logger.warn("{0} realizations dropped as 'bad' (indices :{1})". \
format(len(drop_idx), ','.join([str(d) for d in drop_idx])))
self.parensemble.loc[drop_idx, :] = np.NaN
self.parensemble = self.parensemble.dropna()
self.obsensemble.loc[drop_idx, :] = np.NaN
self.obsensemble = self.obsensemble.dropna()
self.phi.update()
best_mean = self.phi.comp_phi.mean()
best_std = self.phi.comp_phi.std()
self.phi.report(cur_lam=self.current_lambda * lambda_mults[best_i])
self.logger.statement(" best lambda:{0:15.6G}, mean:{1:15.6G}, std:{2:15.6G}".\
format(self.current_lambda*lambda_mults[best_i],
best_mean,best_std))
#self.logger.statement(" actual mean phi: {0:15.6G}".format(float(self.current_actual_phi.mean())))
self.last_best_mean = best_mean
self.last_best_std = best_std
if update_lambda:
# be aggressive
self.current_lambda *= (lambda_mults[best_i] * 0.75)
# but don't let lambda get too small
self.current_lambda = max(self.current_lambda, 0.00001)
self.logger.statement("updating lambda: {0:15.6G}".\
format(self.current_lambda ))
self.logger.statement("**************************\n")
self.parensemble.to_csv(self.pst.filename+self.paren_prefix.\
format(self.iter_num))
self.obsensemble.to_csv(self.pst.filename+self.obsen_prefix.\
format(self.iter_num))
if self.raw_sweep_out is not None:
self.raw_sweep_out.to_csv(self.pst.filename+"_sweepraw{0}.csv".\
format(self.iter_num))
self.logger.log("iteration {0}".format(self.iter_num))
def update(self,lambda_mults=[1.0],localizer=None,run_subset=None):
self.iter_num += 1
if not self.__initialized:
raise Exception("must call initialize() before update()")
scaled_delta_obs = self._calc_delta_obs(self.obsensemble)
scaled_delta_par = self._calc_delta_par(self.parensemble)
u,s,v = scaled_delta_obs.pseudo_inv_components()
obs_diff = self._get_residual_matrix(self.obsensemble)
if run_subset is not None:
subset_idx = ["{0:d}".format(i) for i in np.random.randint(0,self.num_reals-1,run_subset)]
print("subset idxs: " + ','.join(subset_idx))
mean_lam,std_lam,paren_lam,obsen_lam = [],[],[],[]
for ilam,cur_lam_mult in enumerate(lambda_mults):
parensemble_cur_lam = self.parensemble.copy()
cur_lam = self.current_lambda * cur_lam_mult
scaled_ident = Cov.identity_like(s) * (cur_lam+1.0)
scaled_ident += s**2
scaled_ident = scaled_ident.inv
# build up this matrix as a single element so we can apply
# localization
upgrade_1 = -1.0 * (self.half_parcov_diag * scaled_delta_par) *\
v * s * scaled_ident * u.T
# apply localization
#print(cur_lam,upgrade_1)
if localizer is not None:
upgrade_1.hadamard_product(localizer)
# apply residual information
upgrade_1 *= (self.obscov_inv_sqrt * obs_diff.T)
upgrade_1 = upgrade_1.to_dataframe()
upgrade_1.index.name = "parnme"
upgrade_1 = upgrade_1.T
upgrade_1.to_csv(self.pst.filename+".upgrade_1.{0:04d}.csv".\
format(self.iter_num))
parensemble_cur_lam += upgrade_1
# parameter-based upgrade portion
if not self.use_approx and self.iter_num > 1:
par_diff = (self.parensemble - self.parensemble_0).\
as_pyemu_matrix().T
x4 = self.Am.T * self.half_parcov_diag * par_diff
x5 = self.Am * x4
x6 = scaled_delta_par.T * x5
x7 = v * scaled_ident * v.T * x6
upgrade_2 = -1.0 * (self.half_parcov_diag *
scaled_delta_par * x7).to_dataframe()
upgrade_2.index.name = "parnme"
upgrade_2.T.to_csv(self.pst.filename+".upgrade_2.{0:04d}.csv".\
format(self.iter_num))
parensemble_cur_lam += upgrade_2.T
parensemble_cur_lam.enforce()
paren_lam.append(parensemble_cur_lam)
if run_subset is not None:
#phi_series = pd.Series(data=self.current_phi_vec)
#phi_series.sort_values(inplace=True,ascending=False)
#subset_idx = ["{0:d}".format(i) for i in phi_series.index.values[:run_subset]]
parensemble_subset = parensemble_cur_lam.loc[subset_idx,:]
obsensemble_cur_lam = self._calc_obs(parensemble_subset)
else:
obsensemble_cur_lam = self._calc_obs(parensemble_cur_lam)
#print(obsensemble_cur_lam.head())
obsen_lam.append(obsensemble_cur_lam)
# here is where we need to select out the "best" lambda par and obs
# ensembles
print("\n**************************")
print(str(datetime.now()))
print("total runs:{0}".format(self.total_runs))
print("iteration: {0}".format(self.iter_num))
print("current lambda:{0:15.6G}, mean:{1:15.6G}, std:{2:15.6G}".\
format(self.current_lambda,
self.last_best_mean,self.last_best_std))
phi_vecs = [self._calc_phi_vec(obsen) for obsen in obsen_lam]
mean_std = [(pv.mean(),pv.std()) for pv in phi_vecs]
update_pars = False
update_lambda = False
# accept a new best if its within 10%
best_mean = self.last_best_mean * 1.1
best_std = self.last_best_std * 1.1
best_i = 0
for i,(m,s) in enumerate(mean_std):
print(" tested lambda:{0:15.6G}, mean:{1:15.6G}, std:{2:15.6G}".\
format(self.current_lambda * lambda_mults[i],m,s))
if m < best_mean:
update_pars = True
best_mean = m
best_i = i
if s < best_std:
update_lambda = True
best_std = s
if not update_pars:
self.current_lambda *= max(lambda_mults) * 3.0
self.current_lambda = min(self.current_lambda,100000)
print("not accepting iteration, increased lambda:{0}".\
format(self.current_lambda))
else:
self.parensemble = paren_lam[best_i]
if run_subset is not None:
self.obsensemble = self._calc_obs(self.parensemble)
self.current_phi_vec = self._calc_phi_vec(self.obsensemble)
self._phi_report(self.current_phi_vec,self.current_lambda * lambda_mults[best_i])
best_mean = self.current_phi_vec.mean()
best_std = self.current_phi_vec.std()
else:
self.obsensemble = obsen_lam[best_i]
self._phi_report(phi_vecs[best_i],self.current_lambda * lambda_mults[best_i])
self.current_phi_vec = phi_vecs[best_i]
print("\n" + " best lambda:{0:15.6G}, mean:{1:15.6G}, std:{2:15.6G}".\
format(self.current_lambda*lambda_mults[best_i],
best_mean,best_std))
self.last_best_mean = best_mean
self.last_best_std = best_std
if update_lambda:
# be aggressive - cut best lambda in half
self.current_lambda *= (lambda_mults[best_i] * 0.75)
# but don't let lambda get too small
self.current_lambda = max(self.current_lambda,0.001)
print("updating lambda: {0:15.6G}".\
format(self.current_lambda ))
print("**************************\n")
self.parensemble.to_csv(self.pst.filename+self.paren_prefix.\
format(self.iter_num))
self.obsensemble.to_csv(self.pst.filename+self.obsen_prefix.\
format(self.iter_num))
def mat_test():
import os
import numpy as np
from pyemu.mat import Jco, Cov
test_dir = os.path.join("mat")
if not os.path.exists(test_dir):
os.mkdir(test_dir)
arr = np.arange(0, 12)
arr.resize(4, 3)
first = Jco(x=arr,
col_names=["p1", "p2", "p3"],
row_names=["o1", "o2", "o3", "o4"])
first.to_binary(os.path.join(test_dir, "test.bin"))
first.from_binary(os.path.join(test_dir, "test.bin"))
first = Jco(x=np.ones((4, 3)),
col_names=["p1", "p2", "p3"],
row_names=["o1", "o2", "o3", "o4"])
second = Cov(x=np.ones((3, 3)) + 1.0,
names=["p1", "p2", "p3"],
isdiagonal=False)
third = Cov(x=np.ones((4, 1)) + 2.0,
names=["o1", "o2", "o3", "o4"],
isdiagonal=True)
third.to_uncfile(os.path.join(test_dir, "test.unc"),
covmat_file=os.path.join(test_dir, "cov.mat"))
third.from_uncfile(os.path.join(test_dir, "test.unc"))
si = second.identity
result = second - second.identity
# add and sub
newfirst = first.get(row_names=["o1"], col_names="p1")
result = newfirst - first
result = first - newfirst
result = newfirst + first
result = first + newfirst
newfirst = first.get(row_names=["o1", "o2"], col_names="p1")
result = newfirst - first
result = first - newfirst
result = newfirst + first
result = first + newfirst
newfirst = first.get(row_names=["o1", "o2"], col_names=["p1", "p3"])
result = newfirst - first
result = first - newfirst
result = newfirst + first
result = first + newfirst
# mul test
result = first.T * third * first
result = first * second
newfirst = first.get(col_names="p1")
result = newfirst * second
result = second * newfirst.T
newfirst = first.get(col_names=["p1", "p2"])
result = newfirst * second
result = second * newfirst.T
newfirst = first.get(row_names=["o1"])
result = newfirst * second
result = second * newfirst.T
newfirst = first.get(row_names=["o1", "o2"])
result = newfirst * second
result = second * newfirst.T
result = newfirst.T * third * newfirst
newthird = third.get(row_names=["o1"])
result = first.T * newthird * first
# drop testing
second.drop("p2", axis=0)
assert second.shape == (2, 2)
third.drop("o1", axis=1)
assert third.shape == (3, 3)
first.drop("p1", axis=1)
assert first.shape == (4, 2)
first.drop("o4", axis=0)
assert first.shape == (3, 2)
def __init__(self,
pst,
parcov=None,
obscov=None,
num_slaves=0,
use_approx_prior=True,
submit_file=None,
verbose=False,
port=4004,
slave_dir="template"):
self.logger = Logger(verbose)
if verbose is not False:
self.logger.echo = True
self.num_slaves = int(num_slaves)
if submit_file is not None:
if not os.path.exists(submit_file):
self.logger.lraise(
"submit_file {0} not found".format(submit_file))
elif num_slaves > 0:
if not os.path.exists(slave_dir):
self.logger.lraise(
"template dir {0} not found".format(slave_dir))
self.slave_dir = slave_dir
self.submit_file = submit_file
self.port = int(port)
self.paren_prefix = ".parensemble.{0:04d}.csv"
self.obsen_prefix = ".obsensemble.{0:04d}.csv"
if isinstance(pst, str):
pst = Pst(pst)
assert isinstance(pst, Pst)
self.pst = pst
self.sweep_in_csv = pst.pestpp_options.get("sweep_parameter_csv_file",
"sweep_in.csv")
self.sweep_out_csv = pst.pestpp_options.get("sweep_output_csv_file",
"sweep_out.csv")
if parcov is not None:
assert isinstance(parcov, Cov)
else:
parcov = Cov.from_parameter_data(self.pst)
if obscov is not None:
assert isinstance(obscov, Cov)
else:
obscov = Cov.from_observation_data(pst)
self.parcov = parcov
self.obscov = obscov
# if restart_iter > 0:
# self.restart_iter = restart_iter
# paren = self.pst.filename+self.paren_prefix.format(restart_iter)
# assert os.path.exists(paren),\
# "could not find restart par ensemble {0}".format(paren)
# obsen0 = self.pst.filename+self.obsen_prefix.format(0)
# assert os.path.exists(obsen0),\
# "could not find restart obs ensemble 0 {0}".format(obsen0)
# obsen = self.pst.filename+self.obsen_prefix.format(restart_iter)
# assert os.path.exists(obsen),\
# "could not find restart obs ensemble {0}".format(obsen)
# self.restart = True
self.__initialized = False
self.iter_num = 0
self.raw_sweep_out = None
