'q_target': 0.75,
'lambda': 2,
'r0_estimate': 5,
'delta_r0': 0.2
}
# set RPI size for visualization
rpi_min = 0.5
# set seed for reproducibility
np.random.seed(0)
# create model without mean value for better visualization
w0 = np.expand_dims(np.zeros(5), axis=1)
data = DataGeneration.linear_model(n_samples=10000,
feature_type='correlated',
noise_type='uniform',
x_spread=5,
w0=w0)
# calculate empiric estimator stability and maximize upper and lower bounds
x = np.linspace(-10, 10, 801)
alpha_est_max = np.zeros_like(x)
alpha_est_min = np.ones_like(x)
alpha_est_list = []
for idx in range(0, len(data.y_data) - hyperparam_QE['N'], 10):
alpha_est = np.zeros_like(x)
for x_idx in np.arange(len(x)):
alpha_est[x_idx] = np.sum(data.y_data[idx:idx + hyperparam_QE['N']] <
(x[x_idx])) / hyperparam_QE['N']
alpha_est_list.append(alpha_est)
plt.plot(steps, error_bound)
plt.plot(steps, diff_weight_log)
plt.grid()
plt.show()
return True
# create a test dataset
w0 = np.expand_dims(np.array([1]), axis=1)
datasets = []
for n in range(50):
datasets.append(
DataGeneration.linear_model(n_samples=300000,
feature_type='random',
noise_type='gaussian',
x_spread=4,
w0=w0))
param_UE = {'N': 3000, 'verbose': False}
hyperparam_LMS = {
'N': param_UE['N'],
'mu': 10,
'gamma': 0.001,
'model': datasets[0].gt_model,
'alpha_factor': 1.1
}
hyperparam_QE_upper = {
'N': param_UE['N'],
def dist_comparison():
# parameters
n_datasets = 20
n_samples = 60000
path = 'output/'
# set disturbance models
disturbances = ['gaussian', 'nongaussian']
# set seed for reproducibility
np.random.seed(0)
# create a data sets
datasets_all = []
# sample ground truth parameters and normalize parameter vector
w0 = np.expand_dims(np.array(np.random.rand(5) - 0.5), axis=1)
w0 = w0 / np.linalg.norm(w0)
# generate appropriate datasets
for disturbance_type in disturbances:
dataset_batch = []
for _ in range(n_datasets):
dataset_batch.append(
DataGeneration.linear_model(n_samples=n_samples,
feature_type='random',
noise_type=disturbance_type,
x_spread=10,
w0=w0))
datasets_all.append(dataset_batch)
# specify algorithm parameters
param_UE = {'N': 1000, 'verbose': False}
hyperparam_LMS = {
'N': param_UE['N'],
'mu': 10,
'gamma': 0.01,
'model': datasets_all[0][0].gt_model
}
hyperparam_QE_upper = {
'N': param_UE['N'],
'q_target': 0.9,
'lambda': 0.5,
'beta': 0.0,
'r0_estimate': 2
}
hyperparam_QE_lower = {
'N': param_UE['N'],
'q_target': 0.1,
'lambda': 0.5,
'beta': 0.0,
'r0_estimate': -2
}
hyperparam_RUMI = {
'lms': hyperparam_LMS,
'qe_upper': hyperparam_QE_upper,
'qe_lower': hyperparam_QE_lower
}
hyperparam_GPR = {
'N': param_UE['N'],
'q0': 0.9,
'target_percentage': 0.8,
'length_scale': 3
}
hyperparam_BLR = {
'N': param_UE['N'],
'sigma': 1.41,
'tau': 0.1,
'a0': 8000,
'n0': 4000,
'target_percentage': 0.8,
'model': datasets_all[0][0].gt_model
}
counter = 0
for dataset_batch, disturbance_type in zip(datasets_all, disturbances):
rumi_estimators = []
gpr_estimators = []
blr_estimators = []
for dataset in dataset_batch:
# create and train LMS estimator
rumi_estimators.append(
UncertaintyEstimator(RUMIEstimator(hyperparam_RUMI), dataset,
param_UE))
rumi_estimators[-1].learn()
# create and train GP estimators
gpr_estimators.append(
UncertaintyEstimator(GPREstimator(hyperparam_GPR), dataset,
param_UE))
gpr_estimators[-1].learn()
blr_estimators.append(
UncertaintyEstimator(BLREstimator(hyperparam_BLR), dataset,
param_UE))
blr_estimators[-1].learn()
counter += 1
print('Done with ' + str(counter) + ' datasets...')
full_data = [[gpr_estimators, 'GPR - ' + disturbance_type],
[blr_estimators, 'BLR - ' + disturbance_type],
[rumi_estimators, 'RUMI - ' + disturbance_type]]
pickle.dump(
full_data,
open(path + "disturbance_variation_" + disturbance_type + ".p",
"wb"))