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#!/usr/bin/env python
#
# Author: Mike McKerns (mmckerns @uqfoundation)
# Copyright (c) 2020-2024 The Uncertainty Quantification Foundation.
# License: 3-clause BSD. The full license text is available at:
# - https://github.com/uqfoundation/mystic/blob/master/LICENSE
"""
calculate upper bound on expected value
Test function is y = F(x), where:
y0 = x0 + x1 * | x2 * x3**2 - (x4 / x1)**2 |**.5
y1 = x0 - x1 * | x2 * x3**2 + (x4 / x1)**2 |**.5
y2 = x0 - | x1 * x2 * x3 - x4 |
model = lambda x: F(x)[0]
Calculate upper bound on E|model(x)|, where:
x in [(0,1), (1,10), (0,10), (0,10), (0,10)]
wx in [(0,1), (1,1), (1,1), (1,1), (1,1)]
npts = [2, 1, 1, 1, 1] (i.e. two Dirac masses on x[0], one elsewhere)
sum(wx[i]_j) for j in [0,npts], for each i
mean(x[0]) = 5e-1 +/- 1e-3
var(x[0]) = 5e-3 +/- 1e-4
Solves for two scenarios of x that produce upper bound on E|model(x)|,
given the bounds, normalization, and moment constraints.
"""
if __name__ == '__main__':
from misc import *
from ouq import ExpectedValue
from mystic.bounds import MeasureBounds
from ouq_models import WrapModel
#from toys import cost5x3 as toy; nx = 5; ny = 3
#from toys import function5x3 as toy; nx = 5; ny = 3
#from toys import cost5x1 as toy; nx = 5; ny = 1
#from toys import function5x1 as toy; nx = 5; ny = 1
#from toys import cost5 as toy; nx = 5; ny = None
from toys import function5 as toy; nx = 5; ny = None
Ns = 25
# build a model representing 'truth'
nargs = dict(nx=nx, ny=ny, rnd=False)
model = WrapModel('model', toy, **nargs)
# set the bounds
bnd = MeasureBounds(xlb, xub, n=npts, wlb=wlb, wub=wub)
try: # parallel maps
from pathos.maps import Map
from pathos.pools import ProcessPool, ThreadPool, _ThreadPool
pmap = Map(ProcessPool) if Ns else Map() # for sampling
param['map'] = Map(ThreadPool) # for objective
if ny: param['axmap'] = Map(_ThreadPool, join=True) # for multi-axis
except ImportError:
pmap = None
# calculate upper bound on expected value, where x[0] has uncertainty
b = ExpectedValue(model, bnd, constraint=scons, cvalid=is_cons, samples=Ns, map=pmap)
b.upper_bound(axis=None, **param)
print("upper bound per axis:")
for axis,solver in b._upper.items():
print("%s: %s @ %s" % (axis, -solver.bestEnergy, solver.bestSolution))
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