def uniform_partition_uniform_distribution_rectangle_size(data_set,
Q_ref=None,
rect_size=None,
M=50,
num_d_emulate=1E6):
r"""
Creates a simple function approximation of :math:`\rho_{\mathcal{D}}`
where :math:`\rho_{\mathcal{D}}` is a uniform probability density on
a generalized rectangle centered at ``Q_ref`` or the ``reference_value``
of a sample set. If ``Q_ref`` is not given the reference value is used.
The support of this density is defined by ``rect_size``, which determines
the size of the generalized rectangle.
The simple function approximation is then defined by determining ``M``
Voronoi cells (i.e., "bins") partitioning :math:`\mathcal{D}`. These
bins are only implicitly defined by ``M`` samples in :math:`\mathcal{D}`.
Finally, the probabilities of each of these bins is computed by
sampling from :math:`\rho{\mathcal{D}}` and using nearest neighbor
searches to bin these samples in the ``M`` implicitly defined bins.
The result is the simple function approximation denoted by
:math:`\rho_{\mathcal{D},M}`.
.. note::
``data_set`` is only used to determine dimension.
Note that all computations in the measure-theoretic framework that
follow from this are for the fixed simple function approximation
:math:`\rho_{\mathcal{D},M}`.
:param int M: Defines number M samples in D used to define
:math:`\rho_{\mathcal{D},M}` The choice of M is something of an "art" -
play around with it and you can get reasonable results with a
relatively small number here like 50.
:param rect_size: Determines the size of the support of the
uniform distribution on a generalized rectangle
:type rect_size: double or list
:param int num_d_emulate: Number of samples used to emulate using an MC
assumption
:param data_set: Sample set that the probability measure is defined for.
:type data_set: :class:`~bet.sample.discretization`
or :class:`~bet.sample.sample_set` or :class:`~numpy.ndarray`
:param Q_ref: :math:`Q(`\lambda_{reference})`
:type Q_ref: :class:`~numpy.ndarray` of size (mdim,)
:rtype: :class:`~bet.sample.voronoi_sample_set`
:returns: sample_set object defininng simple function approximation
"""
(num, dim, values, Q_ref) = check_inputs(data_set, Q_ref)
if rect_size is None:
raise wrong_argument_type("Rectangle size required.")
elif not isinstance(rect_size, collections.Iterable):
rect_size = rect_size * np.ones((dim,))
if np.any(np.less_equal(rect_size, 0)):
msg = 'rect_size must be greater than 0'
raise wrong_argument_type(msg)
r'''
Create M samples defining M Voronoi cells (i.e., "bins") in D used to
define the simple function approximation :math:`\rho_{\mathcal{D},M}`.
This does not have to be random, but here we assume this to be the case.
We can choose these samples deterministically but that fails to scale with
dimension efficiently.
Note that these M samples are chosen for the sole purpose of determining
the bins used to create the approximation to :math:`rho_{\mathcal{D}}`.
We call these M samples "d_distr_samples" because they are samples on the
data space and the distr implies these samples are chosen to create the
approximation to the probability measure (distribution) on D.
Note that we create these samples in a set containing the hyperrectangle in
order to get output cells with zero probability. If all of the
d_dstr_samples were taken from within the support of
:math:`\rho_{\mathcal{D}}` then each of the M bins would have positive
probability. This would in turn imply that the support of
:math:`\rho_{\Lambda}` is all of :math:`\Lambda`.
'''
if comm.rank == 0:
d_distr_samples = 1.5 * rect_size * (np.random.random((M,
dim)) - 0.5) + Q_ref
else:
d_distr_samples = np.empty((M, dim))
comm.Bcast([d_distr_samples, MPI.DOUBLE], root=0)
# Initialize sample set object
s_set = samp.voronoi_sample_set(dim)
s_set.set_values(d_distr_samples)
s_set.set_kdtree()
r'''
Compute probabilities in the M bins used to define
:math:`\rho_{\mathcal{D},M}` by Monte Carlo approximations
that in this context amount to binning with nearest neighbor
approximations the num_d_emulate samples taken from
:math:`\rho_{\mathcal{D}}`.
'''
# Generate the samples from :math:`\rho_{\mathcal{D}}`
num_d_emulate_local = int((num_d_emulate/comm.size) + \
(comm.rank < num_d_emulate%comm.size))
d_distr_emulate = rect_size * (np.random.random((num_d_emulate_local,
dim)) - 0.5) + Q_ref
# Bin these samples using nearest neighbor searches
(_, k) = s_set.query(d_distr_emulate)
count_neighbors = np.zeros((M,), dtype=np.int)
for i in xrange(M):
count_neighbors[i] = np.sum(np.equal(k, i))
# Use the binning to define :math:`\rho_{\mathcal{D},M}`
ccount_neighbors = np.copy(count_neighbors)
comm.Allreduce([count_neighbors, MPI.INT], [ccount_neighbors, MPI.INT],
op=MPI.SUM)
count_neighbors = ccount_neighbors
rho_D_M = count_neighbors.astype(np.float64) / float(num_d_emulate)
s_set.set_probabilities(rho_D_M)
'''
NOTE: The computation of q_distr_prob, q_distr_emulate, q_distr_samples
above, while possibly informed by the sampling of the map Q, do not require
solving the model EVER! This can be done "offline" so to speak. The results
can then be stored and accessed later by the algorithm using a completely
different set of parameter samples and model solves.
'''
if isinstance(data_set, samp.discretization):
data_set._output_probability_set = s_set
return s_set
def normal_partition_normal_distribution(data_set, Q_ref=None, std=1, M=1,
num_d_emulate=1E6):
r"""
Creates a simple function approximation of :math:`\rho_{\mathcal{D},M}`
where :math:`\rho_{\mathcal{D},M}` is a multivariate normal probability
density centered at ``Q_ref`` with standard deviation ``std`` using
``M`` bins sampled from the given normal distribution.
:param data_set: Sample set that the probability measure is defined for.
:type data_set: :class:`~bet.sample.discretization` or
:class:`~bet.sample.sample_set` or :class:`~numpy.ndarray`
:param int M: Defines number M samples in D used to define
:math:`\rho_{\mathcal{D},M}` The choice of M is something of an "art" -
play around with it and you can get reasonable results with a
relatively small number here like 50.
:param int num_d_emulate: Number of samples used to emulate using an MC
assumption
:param Q_ref: :math:`Q(\lambda_{reference})`
:type Q_ref: :class:`~numpy.ndarray` of size (mdim,)
:param std: The standard deviation of each QoI
:type std: :class:`~numpy.ndarray` of size (mdim,)
:rtype: :class:`~bet.sample.voronoi_sample_set`
:returns: sample_set object defining simple function approximation
"""
if Q_ref is None:
Q_ref = infer_Q(data_set)
import scipy.stats as stats
r'''Create M smaples defining M bins in D used to define
:math:`\rho_{\mathcal{D},M}` rho_D is assumed to be a multi-variate normal
distribution with mean Q_ref and standard deviation std.'''
Q_ref = check_type(Q_ref, data_set)
std = check_type(std, data_set)
covariance = std ** 2
d_distr_samples = np.zeros((M, len(Q_ref)))
logging.info("d_distr_samples.shape "+str(d_distr_samples.shape))
logging.info("Q_ref.shape "+str(Q_ref.shape))
logging.info("std.shape "+str(std.shape))
if comm.rank == 0:
for i in range(len(Q_ref)):
d_distr_samples[:, i] = np.random.normal(Q_ref[i], std[i], M)
comm.Bcast([d_distr_samples, MPI.DOUBLE], root=0)
# Initialize sample set object
s_set = samp.voronoi_sample_set(len(Q_ref))
s_set.set_values(d_distr_samples)
s_set.set_kdtree()
r'''Now compute probabilities for :math:`\rho_{\mathcal{D},M}` by sampling
from rho_D First generate samples of rho_D - I sometimes call this
emulation'''
num_d_emulate_local = int((num_d_emulate/comm.size) +
(comm.rank < num_d_emulate % comm.size))
d_distr_emulate = np.zeros((num_d_emulate_local, len(Q_ref)))
for i in range(len(Q_ref)):
d_distr_emulate[:, i] = np.random.normal(Q_ref[i], std[i],
num_d_emulate_local)
# Now bin samples of rho_D in the M bins of D to compute rho_{D, M}
if len(d_distr_samples.shape) == 1:
d_distr_samples = np.expand_dims(d_distr_samples, axis=1)
(_, k) = s_set.query(d_distr_emulate)
count_neighbors = np.zeros((M,), dtype=np.int)
volumes = np.zeros((M,))
for i in range(M):
Itemp = np.equal(k, i)
count_neighbors[i] = np.sum(Itemp)
volumes[i] = np.sum(1.0 / stats.multivariate_normal.pdf
(d_distr_emulate[Itemp, :], Q_ref, covariance))
# Now define probability of the d_distr_samples
# This together with d_distr_samples defines :math:`\rho_{\mathcal{D},M}`
ccount_neighbors = np.copy(count_neighbors)
comm.Allreduce([count_neighbors, MPI.INT], [ccount_neighbors, MPI.INT],
op=MPI.SUM)
count_neighbors = ccount_neighbors
cvolumes = np.copy(volumes)
comm.Allreduce([volumes, MPI.DOUBLE], [cvolumes, MPI.DOUBLE], op=MPI.SUM)
volumes = cvolumes
rho_D_M = count_neighbors.astype(np.float64) * volumes
rho_D_M = rho_D_M / np.sum(rho_D_M)
s_set.set_probabilities(rho_D_M)
s_set.set_volumes(volumes)
# NOTE: The computation of q_distr_prob, q_distr_emulate, q_distr_samples
# above, while informed by the sampling of the map Q, do not require
# solving the model EVER! This can be done "offline" so to speak.
if isinstance(data_set, samp.discretization):
data_set._output_probability_set = s_set
data_set.set_io_ptr(globalize=False)
return s_set
def uniform_partition_normal_distribution(data_set, Q_ref, std, M,
num_d_emulate=1E6):
r"""
Creates a simple function approximation of :math:`\rho_{\mathcal{D},M}`
where :math:`\rho_{\mathcal{D},M}` is a multivariate normal probability
density centered at ``Q_ref`` with standard deviation ``std`` using
``M`` bins sampled from a uniform distribution with a size 4 standard
deviations in each direction.
:param data_set: Sample set that the probability measure is defined for.
:type data_set: :class:`~bet.sample.discretization` or
:class:`~bet.sample.sample_set` or :class:`~numpy.ndarray`
:param int M: Defines number M samples in D used to define
:math:`\rho_{\mathcal{D},M}` The choice of M is something of an "art" -
play around with it and you can get reasonable results with a
relatively small number here like 50.
:param int num_d_emulate: Number of samples used to emulate using an MC
assumption
:param Q_ref: :math:`Q(\lambda_{reference})`
:type Q_ref: :class:`~numpy.ndarray` of size (mdim,)
:param std: The standard deviation of each QoI
:type std: :class:`~numpy.ndarray` of size (mdim,)
:rtype: :class:`~bet.sample.voronoi_sample_set`
:returns: sample_set object defininng simple function approximation
"""
r'''Create M samples defining M bins in D used to define
:math:`\rho_{\mathcal{D},M}` rho_D is assumed to be a multi-variate normal
distribution with mean Q_ref and standard deviation std.'''
if not isinstance(Q_ref, collections.Iterable):
Q_ref = np.array([Q_ref])
if not isinstance(std, collections.Iterable):
std = np.array([std])
bin_size = 4.0 * std
d_distr_samples = np.zeros((M, len(Q_ref)))
if comm.rank == 0:
d_distr_samples = bin_size * (np.random.random((M,
len(Q_ref))) - 0.5) + Q_ref
comm.Bcast([d_distr_samples, MPI.DOUBLE], root=0)
# Initialize sample set object
s_set = samp.voronoi_sample_set(len(Q_ref))
s_set.set_values(d_distr_samples)
s_set.set_kdtree()
r'''Now compute probabilities for :math:`\rho_{\mathcal{D},M}` by sampling
from rho_D First generate samples of rho_D - I sometimes call this
emulation'''
num_d_emulate_local = int((num_d_emulate/comm.size) + \
(comm.rank < num_d_emulate%comm.size))
d_distr_emulate = np.zeros((num_d_emulate_local, len(Q_ref)))
for i in xrange(len(Q_ref)):
d_distr_emulate[:, i] = np.random.normal(Q_ref[i], std[i],
num_d_emulate_local)
# Now bin samples of rho_D in the M bins of D to compute rho_{D, M}
if len(d_distr_samples.shape) == 1:
d_distr_samples = np.expand_dims(d_distr_samples, axis=1)
(_, k) = s_set.query(d_distr_emulate)
count_neighbors = np.zeros((M,), dtype=np.int)
# volumes = np.zeros((M,))
for i in xrange(M):
Itemp = np.equal(k, i)
count_neighbors[i] = np.sum(Itemp)
r'''Now define probability of the d_distr_samples This together with
d_distr_samples defines :math:`\rho_{\mathcal{D},M}`'''
ccount_neighbors = np.copy(count_neighbors)
comm.Allreduce([count_neighbors, MPI.INT], [ccount_neighbors, MPI.INT],
op=MPI.SUM)
count_neighbors = ccount_neighbors
rho_D_M = count_neighbors.astype(np.float64) / float(num_d_emulate)
s_set.set_probabilities(rho_D_M)
# NOTE: The computation of q_distr_prob, q_distr_emulate, q_distr_samples
# above, while informed by the sampling of the map Q, do not require
# solving the model EVER! This can be done "offline" so to speak.
if isinstance(data_set, samp.discretization):
data_set._output_probability_set = s_set
return s_set
def normal_partition_normal_distribution(data_set, Q_ref=None, std=1, M=1,
num_d_emulate=1E6):
r"""
Creates a simple function approximation of :math:`\rho_{\mathcal{D},M}`
where :math:`\rho_{\mathcal{D},M}` is a multivariate normal probability
density centered at ``Q_ref`` with standard deviation ``std`` using
``M`` bins sampled from the given normal distribution.
:param data_set: Sample set that the probability measure is defined for.
:type data_set: :class:`~bet.sample.discretization` or
:class:`~bet.sample.sample_set` or :class:`~numpy.ndarray`
:param int M: Defines number M samples in D used to define
:math:`\rho_{\mathcal{D},M}` The choice of M is something of an "art" -
play around with it and you can get reasonable results with a
relatively small number here like 50.
:param int num_d_emulate: Number of samples used to emulate using an MC
assumption
:param Q_ref: :math:`Q(\lambda_{reference})`
:type Q_ref: :class:`~numpy.ndarray` of size (mdim,)
:param std: The standard deviation of each QoI
:type std: :class:`~numpy.ndarray` of size (mdim,)
:rtype: :class:`~bet.sample.voronoi_sample_set`
:returns: sample_set object defining simple function approximation
"""
if Q_ref is None:
Q_ref = infer_Q(data_set)
import scipy.stats as stats
r'''Create M samples defining M bins in D used to define
:math:`\rho_{\mathcal{D},M}` rho_D is assumed to be a multi-variate normal
distribution with mean Q_ref and standard deviation std.'''
Q_ref = check_type(Q_ref, data_set)
std = check_type(std, data_set)
covariance = std ** 2
d_distr_samples = np.zeros((M, len(Q_ref)))
logging.info("d_distr_samples.shape " + str(d_distr_samples.shape))
logging.info("Q_ref.shape " + str(Q_ref.shape))
logging.info("std.shape " + str(std.shape))
if comm.rank == 0:
for i in range(len(Q_ref)):
d_distr_samples[:, i] = np.random.normal(Q_ref[i], std[i], M)
comm.Bcast([d_distr_samples, MPI.DOUBLE], root=0)
# Initialize sample set object
s_set = samp.voronoi_sample_set(len(Q_ref))
s_set.set_values(d_distr_samples)
s_set.set_kdtree()
r'''Now compute probabilities for :math:`\rho_{\mathcal{D},M}` by sampling
from rho_D First generate samples of rho_D - I sometimes call this
emulation'''
num_d_emulate_local = int((num_d_emulate / comm.size) +
(comm.rank < num_d_emulate % comm.size))
d_distr_emulate = np.zeros((num_d_emulate_local, len(Q_ref)))
for i in range(len(Q_ref)):
d_distr_emulate[:, i] = np.random.normal(Q_ref[i], std[i],
num_d_emulate_local)
# Now bin samples of rho_D in the M bins of D to compute rho_{D, M}
if len(d_distr_samples.shape) == 1:
d_distr_samples = np.expand_dims(d_distr_samples, axis=1)
(_, k) = s_set.query(d_distr_emulate)
count_neighbors = np.zeros((M,), dtype=np.int)
volumes = np.zeros((M,))
for i in range(M):
Itemp = np.equal(k, i)
count_neighbors[i] = np.sum(Itemp)
volumes[i] = np.sum(1.0 / stats.multivariate_normal.pdf
(d_distr_emulate[Itemp, :], Q_ref, covariance))
# Now define probability of the d_distr_samples
# This together with d_distr_samples defines :math:`\rho_{\mathcal{D},M}`
ccount_neighbors = np.copy(count_neighbors)
comm.Allreduce([count_neighbors, MPI.INT], [ccount_neighbors, MPI.INT],
op=MPI.SUM)
count_neighbors = ccount_neighbors
cvolumes = np.copy(volumes)
comm.Allreduce([volumes, MPI.DOUBLE], [cvolumes, MPI.DOUBLE], op=MPI.SUM)
volumes = cvolumes
rho_D_M = count_neighbors.astype(np.float64) * volumes
rho_D_M = rho_D_M / np.sum(rho_D_M)
s_set.set_probabilities(rho_D_M)
s_set.set_volumes(volumes)
# NOTE: The computation of q_distr_prob, q_distr_emulate, q_distr_samples
# above, while informed by the sampling of the map Q, do not require
# solving the model EVER! This can be done "offline" so to speak.
if isinstance(data_set, samp.discretization):
data_set._output_probability_set = s_set
data_set.set_io_ptr(globalize=False)
return s_set