def loadDensity(setting, functionName):
stats = None
filename = os.path.join("data", setting,
"%s.%s.best.stats.pkl" % (setting, functionName))
if os.path.exists(filename) and \
(("moons" in functionName and (("sgde" in setting) or
"kde" in setting)) or
("beta" in functionName and (("sgde" in setting) or \
"nataf" in setting or \
"kde" in setting))):
print("-" * 80)
print("load setting: %s" % setting)
fd = open(filename, "r")
stats = pkl.load(fd)
fd.close()
for iteration, values in list(stats.items()):
jsonObject = None
if setting in ["sgde_zero", "sgde_boundaries"]:
jsonObject = json.loads(values['posSGDE_json'])
elif setting in ["kde_gaussian", "kde_epanechnikov"]:
jsonObject = json.loads(values['KDEDist_json'])
elif setting in ["nataf"]:
jsonObject = json.loads(values["NatafDist_json"])
if setting != "nataf" and jsonObject is not None:
stats[iteration]["dist"] = Dist.fromJson(jsonObject)
print("done")
return stats
def beta_marginals(cls,
lwr,
upr,
alpha,
beta,
covMatrix=None,
corrMatrix=None,
bounds=None):
range = upr - lwr
mean = lwr + alpha / (alpha + beta) * range
stddev = np.sqrt(alpha * beta /
(alpha + beta + 1.0)) / (alpha + beta) * range
if corrMatrix is None:
corrMatrix = Dist().corrcoeff(covMatrix=covMatrix)
num_dims = corrMatrix.shape[0]
nataf = NatafDensity()
nataf.initialize_random_variable_types([STD_BETA] * num_dims)
nataf.initialize_random_variable_parameters([mean] * num_dims,
[stddev] * num_dims,
[[alpha, beta]] * num_dims)
nataf.initialize_random_variable_correlations(corrMatrix)
return cls(nataf,
bounds=bounds,
params={
"name": "beta",
"lwr": lwr,
"upr": upr,
"alpha": alpha,
"beta": beta,
"corrMatrix": corrMatrix,
"covMatrix": covMatrix
})
def gamma_marginals(cls,
alpha,
beta,
covMatrix=None,
corrMatrix=None,
bounds=None):
mean = alpha * beta
stddev = np.sqrt(alpha) * beta
if corrMatrix is None:
corrMatrix = Dist().corrcoeff(covMatrix=covMatrix)
num_dims = corrMatrix.shape[0]
nataf = NatafDensity()
nataf.initialize_random_variable_types([GAMMA] * num_dims)
nataf.initialize_random_variable_parameters([mean] * num_dims,
[stddev] * num_dims,
[[alpha, beta]] * num_dims)
nataf.initialize_random_variable_correlations(corrMatrix)
return cls(nataf,
bounds=bounds,
params={
"name": "gamma",
"alpha": alpha,
"beta": beta,
"corrMatrix": corrMatrix,
"covMatrix": covMatrix
})
def normal_marginals(cls,
mean,
stddev,
covMatrix=None,
corrMatrix=None,
bounds=None):
if corrMatrix is None:
corrMatrix = Dist().corrcoeff(covMatrix=covMatrix)
num_dims = corrMatrix.shape[0]
nataf = NatafDensity()
nataf.initialize_random_variable_types([GAUSSIAN] * num_dims)
nataf.initialize_random_variable_parameters(
[mean] * num_dims, [stddev] * num_dims,
[[mean, stddev]] * num_dims)
nataf.initialize_random_variable_correlations(corrMatrix)
return cls(nataf,
bounds=bounds,
params={
"name": "normal",
"mean": mean,
"stddev": stddev,
"corrMatrix": corrMatrix,
"covMatrix": covMatrix
})
def fromJson(cls, jsonObject):
from pysgpp.extensions.datadriven.uq.dists.Dist import Dist
key = '_dist'
if key in jsonObject:
dist = Dist.fromJson(jsonObject[key])
return RosenblattTransformation(dist)
def fromJson(cls, jsonObject):
from pysgpp.extensions.datadriven.uq.dists.Dist import Dist
key = '_InverseCDFTransformation__dist'
if key in jsonObject:
dist = Dist.fromJson(jsonObject[key])
return InverseCDFTransformation(dist)
def fromJson(cls, jsonObject):
"""
Restores the Corr object from the json object with its
attributes.
@param jsonObject: json object
@return: the restored Corr object
"""
key = '_Corr__dists'
if key in jsonObject:
vals = jsonObject[key]
dists = [Dist.fromJson(vals[key]) for key in sorted(vals.keys())]
return Corr(dists)
def fromJson(cls, jsonObject):
"""
Restores the J object from the json object with its
attributes.
@param jsonObject: json object
@return: the restored J object
"""
key = '_J__dists'
if key in jsonObject:
vals = jsonObject[key]
dists = [Dist.fromJson(vals[key]) for key in sorted(vals.keys())]
else:
raise AttributeError(
"J: fromJson - the mandatory keyword '%s' does not exist" %
key)
return J(dists)
def test2DCovarianceMatrix(self):
# prepare data
np.random.seed(1234567)
C = np.array([[0.3, 0.09], [0.09, 0.3]]) / 10.
U = dists.MultivariateNormal([0.5, 0.5], C, 0, 1)
samples = U.rvs(2000)
kde = KDEDist(samples)
sgde = SGDEdist.byLearnerSGDEConfig(
samples,
bounds=U.getBounds(),
config={
"grid_level": 5,
"grid_type": "linear",
"grid_maxDegree": 1,
"refinement_numSteps": 0,
"refinement_numPoints": 10,
"solver_threshold": 1e-10,
"solver_verbose": False,
"regularization_type": "Laplace",
"crossValidation_lambda": 3.16228e-06,
"crossValidation_enable": False,
"crossValidation_kfold": 5,
"crossValidation_silent": False,
"sgde_makePositive": True,
"sgde_makePositive_candidateSearchAlgorithm": "joined",
"sgde_makePositive_interpolationAlgorithm": "setToZero",
"sgde_generateConsistentGrid": True,
"sgde_unitIntegrand": True
})
sgde_x1 = sgde.marginalizeToDimX(0)
sgde_x2 = sgde.marginalizeToDimX(1)
plt.figure()
plotDensity1d(sgde_x1, label="x1")
plotDensity1d(sgde_x2, label="x2")
plt.title(
"mean: x1=%g, x2=%g; var: x1=%g, x2=%g" %
(sgde_x1.mean(), sgde_x2.mean(), sgde_x1.var(), sgde_x2.var()))
plt.legend()
jsonStr = sgde.toJson()
jsonObject = json.loads(jsonStr)
sgde = Dist.fromJson(jsonObject)
fig = plt.figure()
plotDensity2d(U, addContour=True)
plt.title("analytic")
fig = plt.figure()
plotDensity2d(kde, addContour=True)
plt.title("kde")
fig = plt.figure()
plotDensity2d(sgde, addContour=True)
plt.title("sgde (I(f) = %g)" % (doQuadrature(sgde.grid, sgde.alpha), ))
# print the results
print("E(x) ~ %g ~ %g" % (kde.mean(), sgde.mean()))
print("V(x) ~ %g ~ %g" % (kde.var(), sgde.var()))
print("-" * 60)
print(kde.cov())
print(sgde.cov())
self.assertTrue(np.linalg.norm(C - kde.cov()) < 1e-2, "KDE cov wrong")
self.assertTrue(
np.linalg.norm(np.corrcoef(samples.T) - kde.corrcoeff()) < 1e-1,
"KDE corrcoef wrong")
plt.show()
