From aeb08a74ad290542bbc178253d9574da8ac6e482 Mon Sep 17 00:00:00 2001
From: faridm69 <faridmohammadi69@gmail.com>
Date: Thu, 19 Nov 2020 16:01:09 +0100
Subject: [PATCH] [Bayesinference] clean up.
---
.../BayesInference/BayesInference.py | 45 ++++++++-----------
BayesValidRox/BayesInference/MCMC.py | 6 +--
BayesValidRox/surrogate_models/ExpDesigns.py | 8 ++--
.../surrogate_models/surrogate_models.py | 12 +----
4 files changed, 28 insertions(+), 43 deletions(-)
diff --git a/BayesValidRox/BayesInference/BayesInference.py b/BayesValidRox/BayesInference/BayesInference.py
index 70404e348..f5a122ed1 100644
--- a/BayesValidRox/BayesInference/BayesInference.py
+++ b/BayesValidRox/BayesInference/BayesInference.py
@@ -86,8 +86,17 @@ class BayesInference:
self.BootstrapNoise = 0.05
self.MultiProcessMCMC = None
- self.Corner_title_fmt = '.3f' #'.4e'
-
+ self.Corner_title_fmt = '.3f'
+
+ #--------------------------------------------------------------------------------------------------------
+ def _logpdf(self, x, mean, cov):
+ n = len(mean)
+ L = spla.cholesky(cov, lower=True)
+ beta = np.sum(np.log(np.diag(L)))
+ dev = x - mean
+ alpha = dev.dot(spla.cho_solve((L, True), dev))
+ return -0.5 * alpha - beta - n / 2. * np.log(2 * np.pi)
+
#--------------------------------------------------------------------------------------------------------
def get_Sample(self):
@@ -144,14 +153,12 @@ class BayesInference:
#--------------------------------------------------------------------------------------------------------
def normpdf(self, Outputs, Data, TotalSigma2s, Sigma2=None):
-
+
Model = self.PCEModel.ModelObj
- NofMeasurements = TotalSigma2s.shape[0]
# Covariance Matrix
- covMatrix = np.zeros((NofMeasurements, NofMeasurements), float)
- np.fill_diagonal(covMatrix, TotalSigma2s)
-
+ covMatrix = np.diag(TotalSigma2s)
+
# Extract the requested model outputs for likelihood calulation
if self.ReqOutputType is None: OutputType = Model.Output.Names
else:
@@ -161,30 +168,22 @@ class BayesInference:
# Flatten the Output
TotalOutputs = np.empty((SampleSize,0))
- biasSigma2s = np.empty((0))
+ if Sigma2 is not None: biasSigma2s = np.empty((0))
for idx, outputType in enumerate(OutputType):
TotalOutputs = np.hstack((TotalOutputs, Outputs[outputType]))
if Sigma2 is not None:
biasSigma2s = np.hstack((biasSigma2s, Sigma2[idx] * np.ones(shape=Outputs[outputType].shape[1])))
# Add Sigma2 to covMatrix
- if Sigma2 is not None:
- covBias = np.zeros((NofMeasurements, NofMeasurements), float)
- np.fill_diagonal(covBias, biasSigma2s)
- covMatrix += covBias
-
+ if Sigma2 is not None: covMatrix += np.diag(biasSigma2s)
+
# Add the std of the PCE is chosen as emulator.
if self.emulator:
- covMatrix_PCE = np.zeros((NofMeasurements, NofMeasurements), float)
stdPCE = np.empty((SampleSize,0))
for outputType in OutputType:
stdPCE = np.hstack((stdPCE, self.stdPCEPriorPred[outputType]))
-
# Expected value of variance (Assump: i.i.d stds)
- varPCE = np.mean(stdPCE**2, axis=0)
- # varPCE = np.var(stdPCE, axis=1)
- np.fill_diagonal(covMatrix_PCE, varPCE)
- covMatrix += covMatrix_PCE
+ covMatrix += np.diag(np.mean(stdPCE**2, axis=0))
# Select the data points to compare
if self.selectedIndices is not None:
@@ -197,14 +196,6 @@ class BayesInference:
return self._logpdf(TotalOutputs[0], Data, covMatrix)
else:
return np.array([self._logpdf(output, Data, covMatrix) for output in TotalOutputs])
-
- def _logpdf(self, x, mean, cov):
- n = len(mean)
- L = spla.cholesky(cov, lower=True)
- beta = np.sum(np.log(np.diag(L)))
- dev = x - mean
- alpha = dev.dot(spla.cho_solve((L, True), dev))
- return -0.5 * alpha - beta - n / 2. * np.log(2 * np.pi)
#--------------------------------------------------------------------------------------------------------
diff --git a/BayesValidRox/BayesInference/MCMC.py b/BayesValidRox/BayesInference/MCMC.py
index 7dc0d8804..a297ccef8 100755
--- a/BayesValidRox/BayesInference/MCMC.py
+++ b/BayesValidRox/BayesInference/MCMC.py
@@ -27,14 +27,14 @@ class MCMC():
ntemps = 20
"""
def __init__(self, BayesOpts, initsamples = None, nwalkers = 100, nburn = 100,
- nsteps = 100000, moves = emcee.moves.KDEMove(), multiprocessing=False, verbose = False):
+ nsteps = 100000, moves = None, multiprocessing=False, verbose = False):
self.BayesOpts = BayesOpts
self.initsamples = initsamples
self.nwalkers = nwalkers
self.nburn = nburn
self.nsteps = nsteps
- self.moves = moves
+ self.moves = [(emcee.moves.KDEMove(), 1.0)] if moves is None else moves
self.mp = multiprocessing
self.verbose = verbose
@@ -292,11 +292,11 @@ class MCMC():
ndimTheta = theta.ndim
theta = theta if ndimTheta != 1 else theta.reshape((1,-1))
nsamples = theta.shape[0]
-
logprior = -np.inf*np.ones(nsamples)
for i in range(nsamples):
if self.check_ranges(theta[i], params_range):
+
logprior[i] = np.log(priorDist.pdf(theta[i,:-nSigma2]))
# Check if bias term needs to be inferred
diff --git a/BayesValidRox/surrogate_models/ExpDesigns.py b/BayesValidRox/surrogate_models/ExpDesigns.py
index e2c47c3bf..8df252bf2 100644
--- a/BayesValidRox/surrogate_models/ExpDesigns.py
+++ b/BayesValidRox/surrogate_models/ExpDesigns.py
@@ -67,7 +67,8 @@ class ExpDesigns:
"""
Inputs = self.InputObj
- NofPa = len(Inputs.Marginals)
+ NofPa = len(Inputs.Marginals)
+ self.ndim = NofPa
self.SamplingMethod = SamplingMethod
NrSamples = int(NrSamples)
self.arbitrary = False if len(Inputs.Marginals[0].InputValues) == 0 else True
@@ -76,7 +77,6 @@ class ExpDesigns:
for i in range(NofPa):
Inputs.Marginals[i].Parameters = [np.min(Inputs.Marginals[i].InputValues),np.max(Inputs.Marginals[i].InputValues)]
-
## Create a multivariate probability distribution
self.JDist, self.Polytypes = self.DistConstructor()
@@ -166,7 +166,9 @@ class ExpDesigns:
elif DistType is None:
polytype = 'arbitrary'
Dist = None
-
+ data = Inputs.Marginals[parIdx].InputValues
+ result = st.kstest(data, st.uniform(loc=np.min(data), scale=np.max(data)-np.min(data)).pdf)
+ if result[0] > 0.75: Inputs.Marginals[parIdx].Dist = 'unif'
else:
raise ValueError('DistType %s for parameter %s is not available.'%(DistType,parIdx+1))
diff --git a/BayesValidRox/surrogate_models/surrogate_models.py b/BayesValidRox/surrogate_models/surrogate_models.py
index a8bc70145..3ddb358fe 100644
--- a/BayesValidRox/surrogate_models/surrogate_models.py
+++ b/BayesValidRox/surrogate_models/surrogate_models.py
@@ -410,7 +410,7 @@ class Metamodel:
return univ_vals
#--------------------------------------------------------------------------------------------------------
- def PCE_create_Psi(self,BasisIndices,univ_p_val, active=None):
+ def PCE_create_Psi(self,BasisIndices,univ_p_val):
"""
This function assemble the design matrix Psi from the given basis index
set INDICES and the univariate polynomial evaluations univ_p_val.
@@ -439,7 +439,6 @@ class Metamodel:
# Assemble the Psi matrix
for m in range(BasisIndices.shape[1]):
aa = np.where(BasisIndices[:,m]>0)[0]
- if active is not None: aa = list(set(aa).intersection(active)) # Take active terms
try:
basisIdx = BasisIndices[aa,m]
Psi[:,aa] = np.multiply(Psi[:,aa] , np.reshape(univ_p_val[:, m, basisIdx], Psi[:,aa].shape))
@@ -2178,15 +2177,8 @@ class Metamodel:
y_mean, y_std = gp.predict(self.Samples, return_std=True)
else: # Perdiction with PCE or pcekriging
- # Find active terms
- try:
- active_terms = np.nonzero(self.clf_poly[Outkey][Inkey].coef_)[0]
- except:
- active_terms = np.nonzero(self.CoeffsDict[Outkey][Inkey].coef_)[0]
-
# Assemble Psi matrix
- PSI_Val = self.PCE_create_Psi(self.BasisDict[Outkey][Inkey], univ_p_val,
- active=active_terms)
+ PSI_Val = self.PCE_create_Psi(self.BasisDict[Outkey][Inkey], univ_p_val)
# Perdiction
try: # with error bar
--
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