def test_gq_modification_global(self):
""" gq_modification for a global integral
Testing of gq_modification on an interval [-1,1] with specified
integrand.
"""
alpha = -1. + 6 * np.random.rand()
beta = -1. + 6 * np.random.rand()
J = JacobiPolynomials(alpha=alpha, beta=beta)
delta = 1e-8
N = 10
G = np.zeros([N, N])
for n in range(N):
for m in range(N):
# Integrate the entire integrand
integrand = lambda x: J.eval(x, m).flatten() * J.eval(
x, n).flatten() * jacobi_weight_normalized(x, alpha, beta)
G[n, m] = quad.gq_modification(integrand,
-1,
1,
ceil(1 + (n + m) / 2.),
gamma=[alpha, beta])
errstr = 'Failed for (N,alpha,beta) = ({0:d}, {1:1.6f}, {2:1.6f})'.format(
N, alpha, beta)
self.assertAlmostEqual(np.linalg.norm(G - np.eye(N), ord=np.inf),
0,
delta=delta,
msg=errstr)
def test_ratio(self):
""" Evaluation of orthogonal polynomial ratios. """
alpha = -1. + 10*np.random.rand(1)[0]
beta = -1. + 10*np.random.rand(1)[0]
J = JacobiPolynomials(alpha=alpha, beta=beta)
N = int(np.ceil(60*np.random.rand(1)))
x = (1 + 5*np.random.rand(1)) * (1 + np.random.rand(50))
y = (1 + 5*np.random.rand(1)) * (-1 - np.random.rand(50))
x = np.concatenate([x, y])
P = J.eval(x, range(N+1))
rdirect = np.zeros([x.size, N+1])
rdirect[:, 0] = P[:, 0]
rdirect[:, 1:] = P[:, 1:]/P[:, :-1]
r = J.r_eval(x, range(N+1))
delta = 1e-6
errs = np.abs(r-rdirect)
i, j = np.where(errs > delta)[:2]
if i.size > 0:
errstr = 'Failed for alpha={0:1.3f}, beta={1:1.3f}, n={2:d}, x={3:1.6f}'.format(alpha, beta, j[0], x[i[0]])
else:
errstr = ''
self.assertAlmostEqual(np.linalg.norm(errs, ord=np.inf), 0, delta=delta, msg=errstr)
def __init__(self,
alpha=None,
beta=None,
mean=None,
stdev=None,
dim=None,
domain=None,
bounds=None):
# Convert mean/stdev inputs to alpha/beta
if mean is not None and stdev is not None:
if alpha is not None or beta is not None:
raise ValueError('Cannot simultaneously specify alpha/beta \
parameters and mean/stdev parameters')
alpha, beta = self._convert_meanstdev_to_alphabeta(mean, stdev)
alpha, beta = self._convert_alphabeta_to_iterable(alpha, beta)
if (domain is not None) and (bounds is not None):
raise ValueError(
"Inputs 'domain' and 'bounds' cannot both be given")
elif bounds is not None:
domain = bounds
# Sets self.dim, self.alpha, self.beta, self.domain
self._detect_dimension(alpha, beta, dim, domain)
for qd in range(self.dim):
assert self.alpha[qd] > 0 and self.beta[qd] > 0, \
"Parameter vectors alpha and beta must have strictly \
positive components"
assert self.dim > 0, "Dimension must be positive"
assert self.domain.shape == (2, self.dim)
# Construct affine map transformations
# Standard domain is [0,1]^dim
self.standard_domain = np.ones([2, self.dim])
self.standard_domain[0, :] = 0.
# Low-level routines use Jacobi Polynomials, which operate on [-1,1]
# instead of the standard Beta domain of [0,1]
self.poly_domain = np.ones([2, self.dim])
self.poly_domain[0, :] = -1.
self.transform_standard_dist_to_poly = AffineTransform(
domain=self.standard_domain, image=self.poly_domain)
self.transform_to_standard = AffineTransform(
domain=self.domain, image=self.standard_domain)
# Construct 1D polynomial families
Js = []
for qd in range(self.dim):
Js.append(
JacobiPolynomials(alpha=self.beta[qd] - 1.,
beta=self.alpha[qd] - 1.))
self.polys = TensorialPolynomials(polys1d=Js)
self.indices = None
def test_tensor_gauss_quadrature(self):
dim = 3
alpha = 10*np.random.rand(dim)[0]
beta = 10*np.random.rand(dim)[0]
N = np.random.randint(5, 10)
Inds = LpSet(dim=dim, order=N-1, p=np.Inf)
J = [None,]*dim
for q in range(dim):
J[q] = JacobiPolynomials(alpha=alpha, beta=beta)
P = TensorialPolynomials(polys1d=J)
x, w = P.tensor_gauss_quadrature(N)
V = P.eval(x, Inds.get_indices())
G = V.T @ np.diag(w) @ V
err = np.linalg.norm(G - np.eye(G.shape[0]), ord='fro')/G.shape[0]
msg = "Failed for (N, alpha, beta)=({0:d}, {1:1.6f}, {2:1.6f})".format(N, alpha, beta)
delta = 1e-8
self.assertAlmostEqual(err, 0, delta=delta, msg=msg)
def test_gq(self):
"""Gaussian quadrature integration accuracy"""
alpha = -1. + 10*np.random.rand(1)[0]
beta = -1. + 10*np.random.rand(1)[0]
J = JacobiPolynomials(alpha=alpha, beta=beta)
N = int(np.ceil(60*np.random.rand(1)))
x, w = J.gauss_quadrature(N)
w /= w.sum() # Force probability measure
V = J.eval(x, range(2*N))
integrals = np.dot(w, V)
integrals[0] -= V[0, 0] # Exact value
self.assertAlmostEqual(np.linalg.norm(integrals, ord=np.inf), 0.)
def test_idist_legendre(self):
"""Evaluation of Legendre induced distribution function."""
J = JacobiPolynomials(alpha=0., beta=0.)
n = int(np.ceil(25*np.random.rand(1))[0])
M = 25
x = -1. + 2*np.random.rand(M)
# JacobiPolynomials method
F1 = J.idist(x, n)
y, w = J.gauss_quadrature(n+1)
# Exact: integrate density
F2 = np.zeros(F1.shape)
for xind, xval in enumerate(x):
yquad = (y+1)/2.*(xval+1) - 1.
F2[xind] = np.dot(w, J.eval(yquad, n)**2) * (xval+1)/2
self.assertAlmostEqual(np.linalg.norm(F1-F2, ord=np.inf), 0.)
def test_n0(self):
alpha = -1. + 10 * np.random.rand(1)[0]
beta = -1. + 10 * np.random.rand(1)[0]
J = JacobiPolynomials(alpha=alpha, beta=beta)
n = np.random.randint(5)
u = np.random.rand(1)[0]
correct_x = J.idistinv(u, n)
x = J.fidistinv(u, n)
delta = 1e-2
errs = np.abs(x - correct_x)
errstr = 'Failed for alpha={0:1.3f}, beta={1:1.3f}, u={2:1.6f}, n = {3:d}'.format(
alpha, beta, u, n)
self.assertAlmostEqual(np.linalg.norm(errs, ord=np.inf),
0,
delta=delta,
msg=errstr)
def test_fidist_jacobi(self):
"""Fast induced sampling routine for Jacobi polynomials."""
alpha = np.random.random()*11 - 1.
beta = np.random.random()*11 - 1.
nmax = 4
M = 10
u = np.random.random(M)
J = JacobiPolynomials(alpha=alpha, beta=beta)
delta = 1e-2
for n in range(nmax)[::-1]:
x0 = J.idistinv(u, n)
x1 = J.fidistinv(u, n)
ind = np.where(np.abs(x0-x1) > delta)[:2][0]
if ind.size > 0:
errstr = 'Failed for alpha={0:1.3f}, beta={1:1.3f}, n={2:d}, u={3:1.6f}'.format(alpha, beta, n, u[ind[0]])
else:
errstr = ''
self.assertAlmostEqual(np.linalg.norm(x0-x1, ord=np.inf), 0., delta=delta, msg=errstr)
n = np.array(np.round(np.random.random(M)), dtype=int)
x0 = J.idistinv(u, n)
x1 = J.fidistinv(u, n)
ind = np.where(np.abs(x0-x1) > delta)[:2][0]
if ind.size > 0:
errstr = 'Failed for alpha={0:1.3f}, beta={1:1.3f}, n={2:d}, u={3:1.6f}'.format(alpha, beta, n[ind[0]], u[ind[0]])
else:
errstr = ''
self.assertAlmostEqual(np.linalg.norm(x0-x1, ord=np.inf), 0., delta=delta, msg=errstr)
def test_derivative_expansion(self):
"""
Expansion coefficients of derivatives.
"""
alpha = 10*np.random.rand(1)[0]
beta = 10*np.random.rand(1)[0]
J = JacobiPolynomials(alpha=alpha, beta=beta)
N = 13
K = 11
x, w = J.gauss_quadrature(2*N)
V = J.eval(x, range(K+1))
for s in range(4):
C = J.derivative_expansion(s, N, K)
Vd = J.eval(x, range(N+1), d=s)
C2 = Vd.T @ np.diag(w) @ V
reserror = np.linalg.norm(C-C2)
msg = "Failed for (s, alpha, beta)=({0:d}, {1:1.6f}, {2:1.6f})".format(s, alpha, beta)
delta = 1e-8
self.assertAlmostEqual(reserror, 0, delta=delta, msg=msg)
def test_idist_laguerre(self):
"""Evaluation of Laguerre induced distribution function."""
rho = 11 * np.random.random() - 1
L = LaguerrePolynomials(rho=rho)
n = int(np.ceil(10 * np.random.rand(1))[0])
M = 25
x = 4 * (n + 1) * np.random.rand(M)
# LaguerrePolynomials method
F1 = L.idist(x, n)
J = JacobiPolynomials(alpha=0., beta=rho, probability_measure=False)
y, w = J.gauss_quadrature(500)
# Exact: integrate density
F2 = np.zeros(F1.shape)
for xind, xval in enumerate(x):
yquad = (y + 1) / 2. * xval # Map [-1,1] to [0, xval]
wquad = w * (xval / 2)**(1 + rho)
F2[xind] = np.dot(
wquad,
np.exp(-yquad) / sp.gamma(1 + rho) *
L.eval(yquad, n).flatten()**2)
delta = 1e-3
ind = np.where(np.abs(F1 - F2) > delta)[:2][0]
if ind.size > 0:
errstr = 'Failed for rho={0:1.3f}, n={1:d}'.format(rho, n)
else:
errstr = ''
self.assertAlmostEqual(np.linalg.norm(F1 - F2, ord=np.inf),
0.,
delta=delta,
msg=errstr)
def test_gq(self):
"""
Tests construction of a bivariate Gauss quadrature rule.
"""
a1 = 10 * np.random.rand(1)[0]
b1 = 10 * np.random.rand(1)[0]
a2 = 10 * np.random.rand(1)[0]
b2 = 10 * np.random.rand(1)[0]
M1 = 1 + int(np.ceil(30 * np.random.random()))
M2 = 1 + int(np.ceil(30 * np.random.random()))
bounds1 = np.sort(np.random.randn(2))
bounds2 = np.sort(np.random.randn(2))
# First "manually" create Gauss quadrature grid
J1 = JacobiPolynomials(alpha=b1 - 1, beta=a1 - 1)
J2 = JacobiPolynomials(alpha=b2 - 1, beta=a2 - 1)
x1, w1 = J1.gauss_quadrature(M1)
x1 = (x1 + 1) / 2 * (bounds1[1] - bounds1[0]) + bounds1[0]
x2, w2 = J2.gauss_quadrature(M2)
x2 = (x2 + 1) / 2 * (bounds2[1] - bounds2[0]) + bounds2[0]
X = np.meshgrid(x1, x2)
x = np.vstack([X[0].flatten(), X[1].flatten()]).T
W = np.meshgrid(w1, w2)
w = W[0].flatten() * W[1].flatten()
p1 = BetaDistribution(alpha=a1, beta=b1, bounds=bounds1)
p2 = BetaDistribution(alpha=a2, beta=b2, bounds=bounds2)
# order is irrelevant
pce = PolynomialChaosExpansion(order=3,
distribution=[p1, p2],
sampling='gq',
M=[M1, M2])
pce.generate_samples()
xerr = np.linalg.norm(pce.samples - x)
werr = np.linalg.norm(pce.weights - w)
msg = 'Failed for (M1, alpha1, beta1)=({0:d}, '\
'{1:1.6f}, {2:1.6f}), (M2, alpha2, beta2)=({3:d}, '\
'{4:1.6f}, {5:1.6f})'.format(M1, a1, b1, M2, a2, b2)
delta = 1e-10
self.assertAlmostEqual(xerr, 0, delta=delta, msg=msg)
self.assertAlmostEqual(werr, 0, delta=delta, msg=msg)
def test_gq_modification_composite(self):
""" gq_modification using a composite strategy
Testing of gq_modification on an interval [-1,1] using a composite
quadrature rule over a partition of [-1,1].
"""
alpha = -1. + 6 * np.random.rand()
beta = -1. + 6 * np.random.rand()
J = JacobiPolynomials(alpha=alpha, beta=beta)
delta = 5e-6
N = 10
G = np.zeros([N, N])
# Integrate just the weight function. We'll use modifications for the polynomial part
integrand = lambda x: jacobi_weight_normalized(x, alpha, beta)
for n in range(N):
for m in range(N):
coeffs = J.leading_coefficient(max(n, m) + 1)
if n != m:
zeros = np.sort(
np.hstack((J.gauss_quadrature(n)[0],
J.gauss_quadrature(m)[0])))
quadzeros = np.zeros(0)
leading_coefficient = coeffs[n] * coeffs[m]
else:
zeros = np.zeros(0)
quadzeros = J.gauss_quadrature(n)[0]
leading_coefficient = coeffs[n]**2
demarcations = np.sort(zeros)
D = demarcations.size
subintervals = np.zeros([D + 1, 4])
if D == 0:
subintervals[0, :] = [-1, 1, beta, alpha]
else:
subintervals[0, :] = [-1, demarcations[0], beta, 0]
for q in range(D - 1):
subintervals[q + 1, :] = [
demarcations[q], demarcations[q + 1], 0, 0
]
subintervals[D, :] = [demarcations[-1], 1, 0, alpha]
G[n, m] = quad.gq_modification_composite(
integrand,
-1,
1,
20,
subintervals=subintervals,
roots=zeros,
quadroots=quadzeros,
leading_coefficient=leading_coefficient)
errstr = 'Failed for (N,alpha,beta) = ({0:d}, {1:1.6f}, {2:1.6f})'.format(
N, alpha, beta)
self.assertAlmostEqual(np.linalg.norm(G - np.eye(N), ord=np.inf),
0,
delta=delta,
msg=errstr)