def _estimKrigingTheta(self, algoKriging, lowerBound, upperBound, size):
"""
Estimate the kriging theta values with an initial random search using
a Sobol sequence of size samples.
"""
if size > 0:
# create uniform distribution of the parameters bounds
dim = len(lowerBound)
distBoundCol = []
for i in range(dim):
distBoundCol += [ot.Uniform(lowerBound[i], upperBound[i])]
distBound = ot.ComposedDistribution(distBoundCol)
# set the bounds
searchInterval = ot.Interval(lowerBound, upperBound)
algoKriging.setOptimizationBounds(searchInterval)
# Generate starting points with a low discrepancy sequence
startingPoint = ot.LowDiscrepancyExperiment(
ot.SobolSequence(), distBound, size).generate()
algoKriging.setOptimizationAlgorithm(
ot.MultiStart(ot.TNC(), startingPoint))
else:
algoKriging.setOptimizeParameters(False)
return algoKriging
def compute_roughness_sampling(distribution, size=500000):
"""
Sampling method for computing Roughness
This allows comparing sampling & integrating methods
"""
dimension = distribution.getDimension()
uniformNd = ot.ComposedDistribution([ot.Uniform(0, 1) for i in range(dimension)])
sequence = ot.SobolSequence(dimension)
experiment = ot.LowDiscrepancyExperiment(sequence, distribution, size, False)
sample = experiment.generate()
pdf = distribution.computePDF(sample)
return pdf.computeMean()[0]
def computeCrossingProbability_QMC(b, t, mu_S, covariance, R, delta_t, n_block,
n_iter, CoV):
X, event = getXEvent(b, t, mu_S, covariance, R, delta_t)
algo = ot.ProbabilitySimulationAlgorithm(
event,
ot.LowDiscrepancyExperiment(ot.SobolSequence(X.getDimension()),
n_block, False))
algo.setBlockSize(n_block)
algo.setMaximumOuterSampling(n_iter)
algo.setMaximumCoefficientOfVariation(CoV)
algo.run()
return algo.getResult().getProbabilityEstimate() / delta_t
def scrambled_sobol_generate(self):
"""Scrambled Sobol.
Scramble function as in Owen (1997).
"""
# Generate sobol sequence
samples = ot.LowDiscrepancyExperiment(ot.SobolSequence(),
self.distribution,
self.n_samples)
r = np.array(samples.generate())
# Scramble the sequence
for col in range(self.dim):
r[:, col] = self.scramble(r[:, col])
return r
def _generateSample(self, **kwargs):
"""Generation of two samples A and B using diverse methods
"""
distribution = self.composedDistribution
if 'method' in kwargs :
method = kwargs['method']
else :
method = 'MonteCarlo'
N2 = 2 * self.size
if method == 'MonteCarlo':
sample = distribution.getSample(N2)
elif method == 'LHS':
lhsExp = ot.LHSExperiment(distribution,
N2,
False, # alwaysShuffle
True) # randomShift
sample = lhsExp.generate()
elif method == 'QMC':
restart = True
if 'sequence' in kwargs:
if kwargs['sequence'] == 'Faure':
seq = ot.FaureSequence
if kwargs['sequence'] == 'Halton':
seq = ot.HaltonSequence
if kwargs['sequence'] == 'ReverseHalton':
seq = ot.ReverseHaltonSequence
if kwargs['sequence'] == 'Haselgrove':
seq = ot.HaselgroveSequence
if kwargs['sequence'] == 'Sobol':
seq = ot.SobolSequence
else:
print(
'sequence undefined for low discrepancy experiment, default: SobolSequence')
print(
"'sequence' arguments: 'Faure','Halton','ReverseHalton','Haselgrove','Sobol'")
seq = ot.SobolSequence
LDExperiment = ot.LowDiscrepancyExperiment(seq(),
distribution,
N2,
True)
LDExperiment.setRandomize(False)
sample = LDExperiment.generate()
sample = ot.Sample(sample)
self._sample_A = sample[:self.size, :]
self._sample_B = sample[self.size:, :]
def generateByLowDiscrepancy(distribution, size, computeSecondOrder=False):
'''
Generates the input DOE for the estimator of the Sobol' sensitivity
indices.
Uses a Low Discrepancy sequence.
'''
dimension = distribution.getDimension()
# Create a doubled distribution
marginalList = [distribution.getMarginal(p) for p in range(dimension)]
twiceDistribution = ot.ComposedDistribution(marginalList*2)
# Generates a low discrepancy sequence in twice the dimension
sequence = ot.SobolSequence(2*dimension)
experiment = ot.LowDiscrepancyExperiment(sequence, twiceDistribution, size)
fullDesign = experiment.generate()
# Split the A and B designs
A = fullDesign[:,0:dimension] # A
B = fullDesign[:,dimension:2*dimension] # B
# Uses the kernel to generate the sample
design = generateSampleKernel(A,B,computeSecondOrder)
return design
for j in range(i):
globalErrorCovariance[i, j] = 1.0 / (1.0 + i + j)
bootstrapSizes = [0, 100]
for bootstrapSize in bootstrapSizes:
algo = ot.GaussianNonLinearCalibration(modelX, x, y, candidate,
priorCovariance, errorCovariance)
algo.setBootstrapSize(bootstrapSize)
algo.run()
# To avoid discrepance between the plaforms with or without CMinpack
print("result (Auto)=", algo.getResult().getParameterMAP())
algo.setOptimizationAlgorithm(
ot.MultiStart(
ot.TNC(),
ot.LowDiscrepancyExperiment(
ot.SobolSequence(),
ot.Normal(
candidate,
ot.CovarianceMatrix(ot.Point(candidate).getDimension())),
ot.ResourceMap.GetAsUnsignedInteger(
"GaussianNonLinearCalibration-MultiStartSize")).generate())
)
algo.run()
# To avoid discrepance between the plaforms with or without CMinpack
print("result (TNC)=", algo.getResult().getParameterMAP())
algo = ot.GaussianNonLinearCalibration(modelX, x, y, candidate,
priorCovariance,
globalErrorCovariance)
algo.setBootstrapSize(bootstrapSize)
algo.run()
print("result (Global)=", algo.getResult().getParameterMAP())
def _estimKrigingTheta(self, algoKriging, lowerBound, upperBound, size):
"""
Estimate the kriging theta values with an initial random search using
a Sobol sequence of size samples.
"""
# get input parameters of the kriging algorithm
X = algoKriging.getInputSample()
Y = algoKriging.getOutputSample()
algoKriging.run()
krigingResult = algoKriging.getResult()
covarianceModel = krigingResult.getCovarianceModel()
basis = krigingResult.getBasisCollection()
if LooseVersion(ot.__version__) == '1.9':
llf = algoKriging.getReducedLogLikelihoodFunction()
else:
llf = algoKriging.getLogLikelihoodFunction()
# create uniform distribution of the parameters bounds
dim = len(lowerBound)
distBoundCol = []
for i in range(dim):
distBoundCol += [ot.Uniform(lowerBound[i], upperBound[i])]
distBound = ot.ComposedDistribution(distBoundCol)
if size > 0:
# Generate starting points with a low discrepancy sequence
thetaStart = ot.LowDiscrepancyExperiment(ot.SobolSequence(),
distBound,
size).generate()
# Get the best theta from the maximum llf value
llfValue = llf(thetaStart)
indexMax = int(np.argmax(llfValue))
bestTheta = thetaStart[indexMax]
# update theta after random search
if LooseVersion(ot.__version__) == '1.6':
covarianceModel.setScale(bestTheta)
elif LooseVersion(ot.__version__) > '1.6':
# optimize theta and sigma in ot 1.8
covarianceModel.setScale(bestTheta[:-1])
covarianceModel.setAmplitude([bestTheta[-1]])
# Now the KrigingAlgorithm is used to optimize the likelihood using a
# good starting point
if LooseVersion(ot.__version__) == "1.9":
algoKriging = ot.KrigingAlgorithm(X, Y, covarianceModel, basis)
else:
algoKriging = ot.KrigingAlgorithm(X, Y, basis, covarianceModel,
True)
# set TNC optim
searchInterval = ot.Interval(lowerBound, upperBound)
if LooseVersion(ot.__version__) == '1.6':
optimizer = ot.TNC()
optimizer.setBoundConstraints(searchInterval)
algoKriging.setOptimizer(optimizer)
elif LooseVersion(ot.__version__) in ['1.7', '1.8']:
optimizer = algoKriging.getOptimizationSolver()
problem = optimizer.getProblem()
problem.setBounds(searchInterval)
optimizer.setProblem(problem)
algoKriging.setOptimizationSolver(optimizer)
elif LooseVersion(ot.__version__) == '1.9':
algoKriging.setOptimizationBounds(searchInterval)
return algoKriging
# %% # Sobol' low discrepancy sequence # ------------------------------- # %% dim = 2 distribution = ot.ComposedDistribution([ot.Uniform()]*dim) bounds = distribution.getRange() # %% sequence = ot.SobolSequence(dim) # %% samplesize = 2**5 # Sobol' sequences are in base 2 experiment = ot.LowDiscrepancyExperiment(sequence, distribution, samplesize, False) sample = experiment.generate() # %% samplesize # %% subdivisions = [2**2, 2**1] fig = otv.PlotDesign(sample, bounds, subdivisions); fig.set_size_inches(6, 6) # %% # We have elementary intervals in 2 dimensions, each having a volume equal to 1/8. Since there are 32 points, the Sobol' sequence is so that each elementary interval contains exactly 32/8 = 4 points. Notice that each elementary interval is closed on the left (or bottom) and open on the right (or top). # %% # Halton low discrepancy sequence
def run(self):
"""
Launch the algorithm and build the POD models.
Notes
-----
This method launches the iterative algorithm. Once the algorithm stops,
it builds the POD models : Monte Carlo simulation are performed for each
defect sizes with the final classifier model. Eventually, the sample is
used to compute the mean POD and the POD at the confidence level.
"""
# Create an initial uniform distribution if not given
if self._distribution is None:
inputMin = self._input.getMin()
inputMin[0] = np.min(self._defectSizes)
inputMax = self._input.getMax()
inputMax[0] = np.max(self._defectSizes)
marginals = [
ot.Uniform(inputMin[i], inputMax[i]) for i in range(self._dim)
]
self._distribution = ot.ComposedDistribution(marginals)
# Create the design of experiments of the candidate points where the
# criterion is computed
if self._distribution.hasIndependentCopula():
# without copula use low discrepancy experiment as first doe
doeCandidate = ot.LowDiscrepancyExperiment(
ot.SobolSequence(), self._distribution,
self._candidateSize).generate()
else:
# else simple Monte Carlo distribution on Uniform distribution
doeCandidate = self._distribution.getSample(self._candidateSize)
doeCandidate = np.array(doeCandidate)
# build initial classifier model
# build the kriging model without optimization
if self._verbose:
print('Building the classifier')
n_ini = int(self._input.getSize())
self._input = np.array(self._input)
self._signals = np.hstack(self._signals)
n_added_points = 0
algo_iteration = 0
## Cas de la classif par svc
if self._classifierType == "svc":
algo_temp = list(
map(
lambda C, kernel, degree, probability: svm.SVC(
C=C,
kernel=kernel,
degree=degree,
probability=probability,
coef0=1,
), *self._ClassifierParameters))[0]
## Cas de la classif par fro
if self._classifierType == "rf":
algo_temp = list(
map(
lambda n_estimators, max_depth, min_samples_split,
random_state: ExtraTreesClassifier(
n_estimators=n_estimators,
max_depth=max_depth,
min_samples_split=min_samples_split,
random_state=random_state),
*self._ClassifierParameters))[0]
algo_temp.fit(self._input, self._signals)
list_classifiers = []
f_iter = algo_temp.predict_proba
list_classifiers.append(f_iter)
self._classifierModel = f_iter
plt.ion()
# Start the improvment loop
if self._verbose and self._nMorePoints > 0:
print('Start the improvement loop')
while n_added_points < self._nMorePoints:
# calcul de ce qu il y a dans l' exp de la proba
probs = f_iter(doeCandidate)[:, 1]
# recuperation des indices ou la p p_min < proba(x) < p_max
ind_p1 = np.where(probs < self._pmax)[0]
ind_p2 = np.where(probs >= self._pmin)[0]
ind_p = np.intersect1d(ind_p2, ind_p1)
ind = ind_p
# s'il n'a pas d indices on elargit p_min = 0.45, p_max=0.55
if len(ind) == 0:
ind_p1 = np.where(probs < 0.1)[0]
ind_p2 = np.where(probs >= 0.8)[0]
ind_p = np.intersect1d(ind_p2, ind_p1)
ind = ind_p
ind_rank = np.argsort(probs[ind])
quant = [
0,
int(len(ind) / 4.),
int(len(ind) / 2.),
int(3. * len(ind) / 4.),
len(ind) - 1
]
ind_bis = ind_rank[quant]
x_new = doeCandidate[ind[ind_bis], :]
z_new = np.hstack(self._physicalModel(x_new))
n_new_temp = len(self._input) + len(x_new)
# si on depasse le nombre de points, on s arrete
if n_new_temp > (n_ini + self._nMorePoints):
x_new = x_new[:self._nMorePoints + n_ini - len(self._input), :]
z_new = z_new[:self._nMorePoints + n_ini - len(self._input)]
self._input = np.vstack((self._input, x_new))
self._signals = np.hstack((self._signals, z_new))
n_added_points = n_new_temp - n_ini
algo_iteration = algo_iteration + 1
if self._classifierType == "svc":
algo_temp = list(
map(
lambda C, kernel, degree, probability: svm.SVC(
C=C,
kernel=kernel,
degree=degree,
probability=probability,
coef0=1), *self._ClassifierParameters))[0]
if self._classifierType == "rf":
algo_temp = list(
map(
lambda n_estimators, max_depth, min_samples_split,
random_state: ExtraTreesClassifier(
n_estimators=n_estimators,
max_depth=max_depth,
min_samples_split=min_samples_split,
random_state=random_state),
*self._ClassifierParameters))[0]
# Apprentissage avec self._input,self._signals
algo_temp.fit(self._input, self._signals)
self._confMat = np.zeros((2, 2))
for classifier in list_classifiers:
conf_temp = 1. * confusion_matrix(
self._signals,
classifier(self._input)[:, 1] >= 0.5)
conf_temp = 1. * conf_temp / conf_temp.sum(axis=0)
self._confMat = conf_temp + self._confMat
self._confMat = 1. * self._confMat / len(list_classifiers)
classif_algo_temp = algo_temp.predict_proba
p11 = self._confMat[1, 1]
p10 = self._confMat[1, 0]
def agg_classifier(x_in):
c = p11 - p10
p1_bayes = 1. / c * (classif_algo_temp(x_in)[:, 1] - p10)
p1_bayes = np.vstack(
np.min(np.array([
np.max(np.array([p1_bayes,
np.zeros(len(p1_bayes))]),
axis=0),
np.ones(len(p1_bayes))
]),
axis=0))
return (np.array([1 - p1_bayes, p1_bayes]).T)[0]
f_iter = agg_classifier
list_classifiers.append(f_iter)
self._classifierModel = f_iter
if self._verbose:
updateProgress(n_added_points - 1, self._nMorePoints,
'Adding points')
if self._graph:
self._PODPerDefect = self._computePOD(self._defectSizes,
agg_classifier)
# create the interpolate function of the POD model
meanPOD = self._PODPerDefect.computeMean()
interpModel = interp1d(self._defectSizes,
np.array(meanPOD),
kind='linear')
self._PODmodel = ot.PythonFunction(1, 1, interpModel)
# The POD at confidence level is built in getPODCLModel() directly
fig, ax = self.drawPOD(self._probabilityLevel,
self._confidenceLevel)
plt.draw()
plt.pause(0.001)
plt.show()
if self._graphDirectory is not None:
fig.savefig(os.path.join(self._graphDirectory,
'AdaptiveHitMissPOD_') +
str(algo_iteration),
bbox_inches='tight',
transparent=True)
self._input = ot.NumericalSample(self._input)
self._signals = ot.NumericalSample(np.vstack(self._signals))
# Compute the sample predicted for each defect sizes
self._PODPerDefect = self._computePOD(self._defectSizes,
self._classifierModel)
# compute the POD for all defect sizes
meanPOD = self._PODPerDefect.computeMean()
# create the interpolate function of the POD model
interpModel = interp1d(self._defectSizes,
np.array(meanPOD),
kind='linear')
self._PODmodel = ot.PythonFunction(1, 1, interpModel)
# The POD at confidence level is built in getPODCLModel() directly
# remove the interactive plotting
plt.ioff()
# %%
vect = ot.RandomVector(distribution)
G = ot.CompositeRandomVector(model, vect)
event = ot.ThresholdEvent(G, ot.Greater(), 0.3)
# %%
# Define the low discrepancy sequence.
# %%
sequence = ot.SobolSequence()
# %%
# Create a simulation algorithm.
# %%
experiment = ot.LowDiscrepancyExperiment(sequence, 1)
experiment.setRandomize(True)
algo = ot.ProbabilitySimulationAlgorithm(event, experiment)
algo.setMaximumCoefficientOfVariation(0.05)
algo.setMaximumOuterSampling(int(1e5))
algo.run()
# %%
# Retrieve results.
# %%
result = algo.getResult()
probability = result.getProbabilityEstimate()
print('Pf=', probability)
R = ot.IdentityMatrix(dim) myDistribution = ot.Normal(mean, sigma, R) # We create a 'usual' RandomVector from the Distribution vect = ot.RandomVector(myDistribution) # We create a composite random vector output = ot.CompositeRandomVector(myFunction, vect) # We create an Event from this RandomVector myEvent = ot.Event(output, ot.Less(), -3.0) # Monte Carlo experiments = [ot.MonteCarloExperiment()] # Quasi Monte Carlo experiments.append(ot.LowDiscrepancyExperiment()) # Randomized Quasi Monte Carlo experiment = ot.LowDiscrepancyExperiment() experiment.setRandomize(True) experiments.append(experiment) # Importance sampling mean[0] = 4.99689645939288809018e+01 mean[1] = 1.84194175946153282375e+00 mean[2] = 1.04454036676956398821e+01 mean[3] = 4.66776215562709406726e+00 myImportance = ot.Normal(mean, sigma, R) experiments.append(ot.ImportanceSamplingExperiment(myImportance)) # Randomized LHS experiment = ot.LHSExperiment() experiment.setAlwaysShuffle(True) experiments.append(experiment)
import math as m
import sys
ot.TESTPREAMBLE()
ot.PlatformInfo.SetNumericalPrecision(3)
m = 10
x = [[0.5 + i] for i in range(m)]
#ot.ResourceMap.SetAsUnsignedInteger( "OptimizationAlgorithm-DefaultMaximumEvaluationNumber", 100)
inVars = ["a", "b", "c", "x"]
formulas = ["a + b * exp(c * x)", "(a * x^2 + b) / (c + x^2)"]
model = ot.SymbolicFunction(inVars, formulas)
p_ref = [2.8, 1.2, 0.5]
params = [0, 1, 2]
modelX = ot.ParametricFunction(model, params, p_ref)
y = modelX(x)
y += ot.Normal([0.0]*2, [0.05]*2, ot.IdentityMatrix(2)).getSample(m)
candidate = [1.0]*3
bootstrapSizes = [0, 100]
for bootstrapSize in bootstrapSizes:
algo = ot.NonLinearLeastSquaresCalibration(modelX, x, y, candidate)
algo.setBootstrapSize(bootstrapSize)
algo.run()
# To avoid discrepance between the plaforms with or without CMinpack
print("result (Auto)=", algo.getResult().getParameterMAP())
algo.setAlgorithm(ot.MultiStart(ot.TNC(), ot.LowDiscrepancyExperiment(ot.SobolSequence(), ot.Normal(candidate, ot.CovarianceMatrix(ot.Point(candidate).getDimension())), ot.ResourceMap.GetAsUnsignedInteger("NonLinearLeastSquaresCalibration-MultiStartSize")).generate()))
algo.run()
# To avoid discrepance between the plaforms with or without CMinpack
print("result (TNC)=", algo.getResult().getParameterMAP())
def mySaltelliSobolRandomizedSequence(distribution, size, model):
sequence = ot.SobolSequence(distribution.getDimension())
experiment = ot.LowDiscrepancyExperiment(sequence, distribution, size)
experiment.setRandomize(True)
sensitivity_algorithm = ot.SaltelliSensitivityAlgorithm(experiment, model)
return sensitivity_algorithm
def myHaltonLowDiscrepancyExperiment(distribution, size, model):
sequence = ot.HaltonSequence(distribution.getDimension())
experiment = ot.LowDiscrepancyExperiment(sequence, distribution, size)
sensitivity_algorithm = ot.SaltelliSensitivityAlgorithm(experiment, model)
return sensitivity_algorithm
interval_fo_asymptotic = sensitivity_algorithm.getFirstOrderIndicesInterval(
)
interval_to_asymptotic = sensitivity_algorithm.getTotalOrderIndicesInterval(
)
print("asymptotic intervals:")
print("First order indices distribution = ",
sensitivity_algorithm.getFirstOrderIndicesDistribution())
print("Total order indices distribution = ",
sensitivity_algorithm.getTotalOrderIndicesDistribution())
print("First order indices interval = ", interval_fo_asymptotic)
print("Total order indices interval = ", interval_to_asymptotic)
# with experiment
sequence = ot.SobolSequence(input_dimension)
experiment = ot.LowDiscrepancyExperiment(
sequence,
ot.ComposedDistribution([ot.Uniform(0.0, 1.0)] * input_dimension), size)
sensitivity_algorithm = ot.SaltelliSensitivityAlgorithm(experiment, model)
print(sensitivity_algorithm.getFirstOrderIndices())
# multi variate model
model_aggregated = ot.SymbolicFunction(
['X1', 'X2', 'X3'],
['2*X1 + X2 - 3*X3 + 0.3*X1*X2', '-5*X1 + 4*X2 - 0.8*X2*X3 + 2*X3'])
distribution_aggregated = ot.ComposedDistribution([ot.Uniform()] * 3)
inputDesign = ot.SobolIndicesExperiment(distribution_aggregated,
size).generate()
outputDesign = model_aggregated(inputDesign)
# Case 1 : Estimation of sensitivity using estimator and no bootstrap
for method in methods:
sensitivity_algorithm = eval(
# %%
# Create the problem and set the optimization algorithm
# -----------------------------------------------------
# %%
problem = ot.OptimizationProblem(rastrigin)
# %%
# We use the :class:`~openturns.Cobyla` algorithm and run it from multiple starting points selected by a :class:`~openturns.LowDiscrepancyExperiment`.
# %%
size = 64
distribution = ot.ComposedDistribution(
[ot.Uniform(lowerbound[0], upperbound[0])] * dim)
experiment = ot.LowDiscrepancyExperiment(
ot.SobolSequence(), distribution, size)
solver = ot.MultiStart(ot.Cobyla(problem), experiment.generate())
# %%
# Visualize the starting points of the optimization algorithm
# -----------------------------------------------------------
# %%
startingPoints = solver.getStartingSample()
graph = rastrigin.draw(lowerbound, upperbound, [100]*dim)
graph.setTitle("Rastrigin function")
cloud = ot.Cloud(startingPoints)
cloud.setPointStyle("bullet")
cloud.setColor("black")
graph.add(cloud)
graph.setLegends([""])
def __init__(self, n_samples, bounds, kind, dists=None, discrete=None):
"""Initialize the DOE generation.
In case of :attr:`kind` is ``uniform``, :attr:`n_samples` is decimated
in order to have the same number of points in all dimensions.
If :attr:`kind` is ``discrete``, a join distribution between a discrete
uniform distribution is made with continuous distributions.
Another possibility is to set a list of PDF to sample from. Thus one
can do: `dists=['Uniform(15., 60.)', 'Normal(4035., 400.)']`. If not
set, uniform distributions are used.
:param int n_samples: number of samples.
:param array_like bounds: Space's corners [[min, n dim], [max, n dim]]
:param str kind: Sampling Method if string can be one of
['halton', 'sobol', 'faure', '[o]lhs[c]', 'sobolscramble', 'uniform',
'discrete'] otherwize can be a list of openturns distributions.
:param lst(str) dists: List of valid openturns distributions as string.
:param int discrete: Position of the discrete variable.
"""
self.n_samples = n_samples
self.bounds = np.asarray(bounds)
self.kind = kind
self.dim = self.bounds.shape[1]
self.scaler = preprocessing.MinMaxScaler()
self.scaler.fit(self.bounds)
if dists is None:
dists = [ot.Uniform(float(self.bounds[0][i]),
float(self.bounds[1][i]))
for i in range(self.dim)]
else:
dists = bat.space.dists_to_ot(dists)
if discrete is not None:
# Creating uniform discrete distribution for OT
disc_list = [[i] for i in range(int(self.bounds[0, discrete]),
int(self.bounds[1, discrete] + 1))]
disc_dist = ot.UserDefined(disc_list)
dists.pop(discrete)
dists.insert(discrete, disc_dist)
# Join distribution
self.distribution = ot.ComposedDistribution(dists)
if self.kind == 'halton':
self.sequence_type = ot.LowDiscrepancyExperiment(ot.HaltonSequence(),
self.distribution,
self.n_samples)
elif self.kind == 'sobol':
self.sequence_type = ot.LowDiscrepancyExperiment(ot.SobolSequence(),
self.distribution,
self.n_samples)
elif self.kind == 'faure':
self.sequence_type = ot.LowDiscrepancyExperiment(ot.FaureSequence(),
self.distribution,
self.n_samples)
elif (self.kind == 'lhs') or (self.kind == 'lhsc'):
self.sequence_type = ot.LHSExperiment(self.distribution, self.n_samples)
elif self.kind == 'olhs':
lhs = ot.LHSExperiment(self.distribution, self.n_samples)
self.sequence_type = ot.SimulatedAnnealingLHS(lhs, ot.GeometricProfile(),
ot.SpaceFillingC2())
elif self.kind == 'saltelli':
# Only relevant for computation of Sobol' indices
size = self.n_samples // (2 * self.dim + 2) # N(2*dim + 2)
self.sequence_type = ot.SobolIndicesExperiment(self.distribution,
size, True).generate()
def run(self):
"""
Launch the algorithm and build the POD models.
Notes
-----
This method launches the iterative algorithm. First the censored data
are filtered if needed. The Box Cox transformation is performed if it is
enabled. Then the enrichment of the design of experiments is performed.
Once the algorithm stops, it builds the POD models : conditional samples are
simulated for each defect size, then the distributions of the probability
estimator (for MC simulation) are built. Eventually, a sample of this
distribution is used to compute the mean POD and the POD at the confidence
level.
"""
# Create an initial uniform distribution if not given
if self._distribution is None:
inputMin = self._input.getMin()
inputMin[0] = np.min(self._defectSizes)
inputMax = self._input.getMax()
inputMax[0] = np.max(self._defectSizes)
marginals = [ot.Uniform(inputMin[i], inputMax[i]) for i in range(self._dim)]
self._distribution = ot.ComposedDistribution(marginals)
# Create the design of experiments of the candidate points where the
# criterion is computed
if self._distribution.hasIndependentCopula():
# without copula use low discrepancy experiment as first doe
doeCandidate = ot.LowDiscrepancyExperiment(ot.SobolSequence(),
self._distribution, self._candidateSize).generate()
else:
# else simple Monte Carlo distribution
doeCandidate = self._distribution.getSample(self._candidateSize)
# build initial kriging model
# build the kriging model without optimization
algoKriging = self._buildKrigingAlgo(self._input, self._signals)
if self._verbose:
print('Building the kriging model')
print('Optimization of the covariance model parameters...')
if LooseVersion(ot.__version__) == '1.9':
llDim = algoKriging.getReducedLogLikelihoodFunction().getInputDimension()
else:
llDim = algoKriging.getLogLikelihoodFunction().getInputDimension()
lowerBound = [0.001] * llDim
upperBound = [50] * llDim
algoKriging = self._estimKrigingTheta(algoKriging,
lowerBound, upperBound,
self._initialStartSize)
algoKriging.run()
# Get kriging results
self._krigingResult = algoKriging.getResult()
self._covarianceModel = self._krigingResult.getCovarianceModel()
self._basis = self._krigingResult.getBasisCollection()
metamodel = self._krigingResult.getMetaModel()
self._Q2 = self._computeQ2(self._input, self._signals, self._krigingResult)
if self._verbose:
print('Kriging validation Q2 (>0.9): {:0.4f}\n'.format(self._Q2))
plt.ion()
# Start the improvment loop
iteration = 0
while iteration < self._nIteration:
iteration += 1
if self._verbose:
print('Iteration : {}/{}'.format(iteration, self._nIteration))
# compute POD (ptrue = pn-1) for bias reducing in the criterion
# Monte Carlo for all defect sizes in a vectorized way.
# get Sample for all parameters except the defect size
samplePred = self._distribution.getSample(self._samplingSize)[:,1:]
fullSamplePred = ot.NumericalSample(self._samplingSize * self._defectNumber,
self._dim)
# Add the defect sizes as first value
for i, defect in enumerate(self._defectSizes):
fullSamplePred[self._samplingSize*i:self._samplingSize*(i+1), :] = \
self._mergeDefectInX(defect, samplePred)
meanPredictionSample = metamodel(fullSamplePred)
meanPredictionSample = np.reshape(meanPredictionSample, (self._samplingSize,
self._defectNumber), 'F')
# compute the POD for all defect sizes
currentPOD = np.mean(meanPredictionSample > self._detectionBoxCox, axis=0)
# Compute criterion for all candidate in the candidate doe
criterion = 1000000000
for icand, candidate in enumerate(doeCandidate):
# add the current candidate to the kriging doe
inputAugmented = self._input[:]
inputAugmented.add(candidate)
signalsAugmented = self._signals[:]
# predict the signal value of the candidate using the current
# kriging model
signalsAugmented.add(metamodel(candidate))
# create a temporary kriging model with the new doe and without
# updating the covariance model parameters
if LooseVersion(ot.__version__) == '1.9':
algoKrigingTemp = ot.KrigingAlgorithm(inputAugmented, signalsAugmented,
self._covarianceModel,
self._basis,
True)
else:
algoKrigingTemp = ot.KrigingAlgorithm(inputAugmented, signalsAugmented,
self._basis,
self._covarianceModel,
True)
if LooseVersion(ot.__version__) > '1.6':
optimizer = algoKrigingTemp.getOptimizationSolver()
optimizer.setMaximumIterationNumber(0)
algoKrigingTemp.setOptimizationSolver(optimizer)
algoKrigingTemp.run()
krigingResultTemp = algoKrigingTemp.getResult()
# compute the criterion for all defect size
crit = []
# save results, used to compute the PODModel et PODCLModel
PODPerDefect = ot.NumericalSample(self._simulationSize *
self._samplingSize, self._defectNumber)
for idef, defect in enumerate(self._defectSizes):
podSample = self._computePODSamplePerDefect(defect,
self._detectionBoxCox, krigingResultTemp,
self._distribution, self._simulationSize, self._samplingSize)
PODPerDefect[:, idef] = podSample
meanPOD = podSample.computeMean()[0]
varPOD = podSample.computeVariance()[0]
crit.append(varPOD + (meanPOD - currentPOD[idef])**2)
# compute the criterion aggregated for all defect sizes
newCriterion = np.sqrt(np.mean(crit))
# check if the result is better or not
if newCriterion < criterion:
self._PODPerDefect = PODPerDefect
criterion = newCriterion
indexOpt = icand
if self._verbose:
updateProgress(icand, int(doeCandidate.getSize()), 'Computing criterion')
# get the best candidate
candidateOpt = doeCandidate[indexOpt]
# add new point to DOE
self._input.add(candidateOpt)
# add the signal computed by the physical model
if self._boxCox:
self._signals.add(self._boxCoxTransform(self._physicalModel(candidateOpt)))
else:
self._signals.add(self._physicalModel(candidateOpt))
# remove added candidate from the doeCandidate
doeCandidate.erase(indexOpt)
if self._verbose:
print('Criterion value : {:0.4f}'.format(criterion))
print('Added point : {}'.format(candidateOpt))
print('Update the kriging model')
# update the kriging model without optimization
algoKriging = self._buildKrigingAlgo(self._input, self._signals)
if LooseVersion(ot.__version__) == '1.7':
optimizer = algoKriging.getOptimizationSolver()
optimizer.setMaximumIterationNumber(0)
algoKriging.setOptimizationSolver(optimizer)
elif LooseVersion(ot.__version__) == '1.8':
algoKriging.setOptimizeParameters(False)
algoKriging.run()
self._Q2 = self._computeQ2(self._input, self._signals, algoKriging.getResult())
# Check the quality of the kriging model if it needs optimization
if self._Q2 < 0.95:
if self._verbose:
print('Optimization of the covariance model parameters...')
if LooseVersion(ot.__version__) == '1.9':
llDim = algoKriging.getReducedLogLikelihoodFunction().getInputDimension()
else:
llDim = algoKriging.getLogLikelihoodFunction().getInputDimension()
lowerBound = [0.001] * llDim
upperBound = [50] * llDim
algoKriging = self._estimKrigingTheta(algoKriging,
lowerBound, upperBound,
self._initialStartSize)
algoKriging.run()
# Get kriging results
self._krigingResult = algoKriging.getResult()
self._covarianceModel = self._krigingResult.getCovarianceModel()
self._basis = self._krigingResult.getBasisCollection()
metamodel = self._krigingResult.getMetaModel()
self._Q2 = self._computeQ2(self._input, self._signals, self._krigingResult)
if self._verbose:
print('Kriging validation Q2 (>0.9): {:0.4f}'.format(self._Q2))
if self._graph:
# create the interpolate function of the POD model
meanPOD = self._PODPerDefect.computeMean()
interpModel = interp1d(self._defectSizes, np.array(meanPOD), kind='linear')
self._PODmodel = ot.PythonFunction(1, 1, interpModel)
# The POD at confidence level is built in getPODCLModel() directly
fig, ax = self.drawPOD(self._probabilityLevel, self._confidenceLevel)
plt.draw()
plt.pause(0.001)
plt.show()
if self._graphDirectory is not None:
fig.savefig(os.path.join(self._graphDirectory, 'AdaptiveSignalPOD_')+str(iteration),
bbox_inches='tight', transparent=True)
# Compute the final POD with the last updated kriging model
if self._verbose:
print('\nStart computing the POD with the last updated kriging model')
# compute the sample containing the POD values for all defect
self._PODPerDefect = ot.NumericalSample(self._simulationSize *
self._samplingSize, self._defectNumber)
for i, defect in enumerate(self._defectSizes):
self._PODPerDefect[:, i] = self._computePODSamplePerDefect(defect,
self._detectionBoxCox, self._krigingResult, self._distribution,
self._simulationSize, self._samplingSize)
if self._verbose:
updateProgress(i, self._defectNumber, 'Computing POD per defect')
# compute the mean POD
meanPOD = self._PODPerDefect.computeMean()
# create the interpolate function of the POD model
interpModel = interp1d(self._defectSizes, np.array(meanPOD), kind='linear')
self._PODmodel = ot.PythonFunction(1, 1, interpModel)
# The POD at confidence level is built in getPODCLModel() directly
# remove the interactive plotting
plt.ioff()
import openturns as ot
from openturns.viewer import View
# Sobol
d = ot.LowDiscrepancyExperiment(ot.SobolSequence(), ot.ComposedDistribution([ot.Uniform()]*3), 32)
s = d.generate()
s.setDescription(["X1", "X2", "X3"])
g = ot.Graph()
g.setTitle("Low discrepancy experiment")
g.setGridColor("black")
p = ot.Pairs(s)
g.add(p)
View(g)
