def mean(self, grid, alpha, U, T):
r"""
Extraction of the expectation the given sparse grid function
interpolating the product of function value and pdf.
\int\limits_{[0, 1]^d} f_N(x) * pdf(x) dx
"""
# extract correct pdf for moment estimation
vol, W = self._extractPDFforMomentEstimation(U, T)
D = T.getTransformations()
# compute the integral of the product
gs = grid.getStorage()
acc = DataVector(gs.size())
acc.setAll(1.)
tmp = DataVector(gs.size())
err = 0
# run over all dimensions
for i, dims in enumerate(W.getTupleIndices()):
dist = W[i]
trans = D[i]
# get the objects needed for integration the current dimensions
gpsi, basisi = project(grid, dims)
if isinstance(dist, SGDEdist):
# if the distribution is given as a sparse grid function we
# need to compute the bilinear form of the grids
# accumulate objects needed for computing the bilinear form
gpsj, basisj = project(dist.grid, range(len(dims)))
# compute the bilinear form
bf = BilinearGaussQuadratureStrategy()
A, erri = bf.computeBilinearFormByList(gpsi, basisi,
gpsj, basisj)
# weight it with the coefficient of the density function
self.mult(A, dist.alpha, tmp)
else:
# the distribution is given analytically, handle them
# analytically in the integration of the basis functions
if isinstance(dist, Dist) and len(dims) > 1:
raise AttributeError('analytic quadrature not supported for multivariate distributions')
if isinstance(dist, Dist):
dist = [dist]
trans = [trans]
lf = LinearGaussQuadratureStrategy(dist, trans)
tmp, erri = lf.computeLinearFormByList(gpsi, basisi)
# print error stats
# print "%s: %g -> %g" % (str(dims), err, err + D[i].vol() * erri)
# import ipdb; ipdb.set_trace()
# accumulate the error
err += D[i].vol() * erri
# accumulate the result
acc.componentwise_mult(tmp)
moment = alpha.dotProduct(acc)
return vol * moment, err
def estimate(self, vol, grid, alpha, f, U, T):
r"""
Extraction of the expectation the given sparse grid function
interpolating the product of function value and pdf.
\int\limits_{[0, 1]^d} f(x) * pdf(x) dx
"""
# first: discretize f
fgrid, falpha, discError = discretize(grid, alpha, f, self.__epsilon,
self.__refnums, self.__pointsNum,
self.level, self.__deg, True)
# extract correct pdf for moment estimation
vol, W, pdfError = self.__extractDiscretePDFforMomentEstimation(U, T)
D = T.getTransformations()
# compute the integral of the product
gs = fgrid.getStorage()
acc = DataVector(gs.size())
acc.setAll(1.)
tmp = DataVector(gs.size())
for i, dims in enumerate(W.getTupleIndices()):
sgdeDist = W[i]
# accumulate objects needed for computing the bilinear form
gpsi, basisi = project(fgrid, dims)
gpsj, basisj = project(sgdeDist.grid, range(len(dims)))
A = self.__computeMassMatrix(gpsi, basisi, gpsj, basisj, W, D)
# A = ScipyQuadratureStrategy(W, D).computeBilinearForm(fgrid)
self.mult(A, sgdeDist.alpha, tmp)
acc.componentwise_mult(tmp)
moment = falpha.dotProduct(acc)
return vol * moment, discError[1] + pdfError
def computeSystemMatrixForVarianceProjected(self, gs, gpsi, basisi, gpsj,
basisj, dist, trans, dims):
if isinstance(dist, SGDEdist):
# project distribution on desired dimensions
# get the objects needed for integrating
# the current dimensions
gpsk, basisk = project(dist.grid, list(range(len(dims))))
# compute the bilinear form
# -> the measure needs to be uniform, since it is already
# encoded in the sparse grid density
self.trilinearForm.setDistributionAndTransformation(
[Uniform(0, 1)] * gs.getDimension(), None)
A_idim, erri = self.trilinearForm.computeTrilinearFormByList(
gs, gpsk, basisk, dist.alpha, gpsi, basisi, gpsj, basisj)
else:
# the distribution is given analytically, handle them
# analytically in the integration of the basis functions
if isinstance(dist, Dist) and len(dims) > 1:
# print "WARNINING: results are just approximated -> not independent random variables"
# marginalize the densities and continue
marg_dists = [None] * len(dims)
for i, idim in enumerate(dims):
marg_dists[i] = dist.marginalizeToDimX(idim)
dist = marg_dists
trans = trans.getTransformations()
if isinstance(dist, Dist):
dist = [dist]
trans = [trans]
self.bilinearForm.setDistributionAndTransformation(dist, trans)
A_idim, erri = self.bilinearForm.computeBilinearFormByList(
gs, gpsi, basisi, gpsj, basisj)
return A_idim, erri
def computeSystemMatrixForMeanProjected(self, gs, gpsi, basisi, dist,
trans, dims):
if isinstance(dist, SGDEdist):
# if the distribution is given as a sparse grid function we
# need to compute the bilinear form of the grids
# accumulate objects needed for computing the bilinear form
assert len(dims) == dist.grid.getStorage().getDimension()
gpsj, basisj = project(dist.grid, list(range(len(dims))))
# compute the bilinear form
# -> the measure needs to be uniform, since it is already
# encoded in the sparse grid density
self.bilinearForm.setDistributionAndTransformation(
[Uniform(0, 1)] * gs.getDimension(), None)
A, erri = self.bilinearForm.computeBilinearFormByList(
gs, gpsi, basisi, gpsj, basisj)
# weight it with the coefficient of the density function
tmp = A.dot(dist.alpha)
else:
# the distribution is given analytically, handle them
# analytically in the integration of the basis functions
if isinstance(dist, Dist) and len(dims) > 1:
# print "WARNINING: results are just approximated -> not independent random variables"
# marginalize the densities and continue
marg_dists = [None] * len(dims)
for i, idim in enumerate(dims):
marg_dists[i] = dist.marginalizeToDimX(idim)
dist = marg_dists
trans = trans.getTransformations()
if isinstance(dist, Dist):
dist = [dist]
trans = [trans]
self.linearForm.setDistributionAndTransformation(dist, trans)
tmp, erri = self.linearForm.computeLinearFormByList(
gs, gpsi, basisi)
return tmp, erri
def var(self, grid, alpha, U, T, mean):
r"""
Extraction of the expectation the given sparse grid function
interpolating the product of function value and pdf.
\int\limits_{[0, 1]^d} (f(x) - E(f))^2 * pdf(x) dx
"""
# extract correct pdf for moment estimation
vol, W = self._extractPDFforMomentEstimation(U, T)
D = T.getTransformations()
# copy the grid, and add a trapezoidal boundary
# ngrid = GridDescriptor().fromGrid(grid)\
# .withBorder(BorderTypes.TRAPEZOIDBOUNDARY)\
# .createGrid()
# compute nodalValues
# ngs = ngrid.getStorage()
# nodalValues = DataVector(ngs.size())
# p = DataVector(ngs.dim())
# for i in xrange(ngs.size()):
# ngs.get(i).getCoords(p)
# nodalValues[i] = evalSGFunction(grid, alpha, p) - mean
#
# # hierarchize the new function
# nalpha = hierarchize(ngrid, nodalValues)
ngs = grid.getStorage()
ngrid, nalpha = grid, alpha
# compute the integral of the product times the pdf
acc = DataMatrix(ngs.size(), ngs.size())
acc.setAll(1.)
err = 0
for i, dims in enumerate(W.getTupleIndices()):
dist = W[i]
trans = D[i]
# get the objects needed for integrating
# the current dimensions
gpsi, basisi = project(ngrid, dims)
if isinstance(dist, SGDEdist):
# project distribution on desired dimensions
# get the objects needed for integrating
# the current dimensions
gpsk, basisk = project(dist.grid, range(len(dims)))
# compute the bilinear form
tf = TrilinearGaussQuadratureStrategy([dist], trans)
A, erri = tf.computeTrilinearFormByList(gpsk, basisk, dist.alpha,
gpsi, basisi,
gpsi, basisi)
else:
# we compute the bilinear form of the grids
# compute the bilinear form
if len(dims) == 1:
dist = [dist]
trans = [trans]
bf = BilinearGaussQuadratureStrategy(dist, trans)
A, erri = bf.computeBilinearFormByList(gpsi, basisi,
gpsi, basisi)
# accumulate the results
acc.componentwise_mult(A)
# accumulate the error
err += acc.sum() / (acc.getNrows() * acc.getNcols()) * erri
# compute the variance
tmp = DataVector(acc.getNrows())
self.mult(acc, nalpha, tmp)
moment = vol * nalpha.dotProduct(tmp)
moment = moment - mean ** 2
return moment, err
def var(self, grid, alpha, U, T, mean):
r"""
Extraction of the expectation the given sparse grid function
interpolating the product of function value and pdf.
\int\limits_{[0, 1]^d} (f(x) - E(f))^2 * pdf(x) dx
"""
# extract correct pdf for moment estimation
vol, W = self._extractPDFforMomentEstimation(U, T)
D = T.getTransformations()
# copy the grid, and add a trapezoidal boundary
# ngrid = GridDescriptor().fromGrid(grid)\
# .withBorder(BorderTypes.TRAPEZOIDBOUNDARY)\
# .createGrid()
# compute nodalValues
# ngs = ngrid.getStorage()
# nodalValues = DataVector(ngs.size())
# p = DataVector(ngs.dim())
# for i in xrange(ngs.size()):
# ngs.get(i).getCoords(p)
# nodalValues[i] = evalSGFunction(grid, alpha, p) - mean
#
# # hierarchize the new function
# nalpha = hierarchize(ngrid, nodalValues)
ngs = grid.getStorage()
ngrid, nalpha = grid, alpha
# compute the integral of the product times the pdf
acc = DataMatrix(ngs.size(), ngs.size())
acc.setAll(1.)
err = 0
for i, dims in enumerate(W.getTupleIndices()):
dist = W[i]
trans = D[i]
# get the objects needed for integrating
# the current dimensions
gpsi, basisi = project(ngrid, dims)
if isinstance(dist, SGDEdist):
# project distribution on desired dimensions
# get the objects needed for integrating
# the current dimensions
gpsk, basisk = project(dist.grid, range(len(dims)))
# compute the bilinear form
tf = TrilinearGaussQuadratureStrategy([dist], trans)
A, erri = tf.computeTrilinearFormByList(
gpsk, basisk, dist.alpha, gpsi, basisi, gpsi, basisi)
else:
# we compute the bilinear form of the grids
# compute the bilinear form
if len(dims) == 1:
dist = [dist]
trans = [trans]
bf = BilinearGaussQuadratureStrategy(dist, trans)
A, erri = bf.computeBilinearFormByList(gpsi, basisi, gpsi,
basisi)
# accumulate the results
acc.componentwise_mult(A)
# accumulate the error
err += acc.sum() / (acc.getNrows() * acc.getNcols()) * erri
# compute the variance
tmp = DataVector(acc.getNrows())
self.mult(acc, nalpha, tmp)
moment = vol * nalpha.dotProduct(tmp)
moment = moment - mean**2
return moment, err
def mean(self, grid, alpha, U, T):
r"""
Extraction of the expectation the given sparse grid function
interpolating the product of function value and pdf.
\int\limits_{[0, 1]^d} f_N(x) * pdf(x) dx
"""
# extract correct pdf for moment estimation
vol, W = self._extractPDFforMomentEstimation(U, T)
D = T.getTransformations()
# compute the integral of the product
gs = grid.getStorage()
acc = DataVector(gs.size())
acc.setAll(1.)
tmp = DataVector(gs.size())
err = 0
# run over all dimensions
for i, dims in enumerate(W.getTupleIndices()):
dist = W[i]
trans = D[i]
# get the objects needed for integration the current dimensions
gpsi, basisi = project(grid, dims)
if isinstance(dist, SGDEdist):
# if the distribution is given as a sparse grid function we
# need to compute the bilinear form of the grids
# accumulate objects needed for computing the bilinear form
gpsj, basisj = project(dist.grid, range(len(dims)))
# compute the bilinear form
bf = BilinearGaussQuadratureStrategy()
A, erri = bf.computeBilinearFormByList(gpsi, basisi, gpsj,
basisj)
# weight it with the coefficient of the density function
self.mult(A, dist.alpha, tmp)
else:
# the distribution is given analytically, handle them
# analytically in the integration of the basis functions
if isinstance(dist, Dist) and len(dims) > 1:
raise AttributeError(
'analytic quadrature not supported for multivariate distributions'
)
if isinstance(dist, Dist):
dist = [dist]
trans = [trans]
lf = LinearGaussQuadratureStrategy(dist, trans)
tmp, erri = lf.computeLinearFormByList(gpsi, basisi)
# print error stats
# print "%s: %g -> %g" % (str(dims), err, err + D[i].vol() * erri)
# import ipdb; ipdb.set_trace()
# accumulate the error
err += D[i].vol() * erri
# accumulate the result
acc.componentwise_mult(tmp)
moment = alpha.dotProduct(acc)
return vol * moment, err
