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#!/usr/bin/env python
#
# Author: Mike McKerns (mmckerns @caltech and @uqfoundation)
# Copyright (c) 2009-2016 California Institute of Technology.
# Copyright (c) 2016-2024 The Uncertainty Quantification Foundation.
# License: 3-clause BSD. The full license text is available at:
# - https://github.com/uqfoundation/mystic/blob/master/LICENSE
DEBUG = False
PER_AI = True # if True, generate random_samples on each Ai
MCZERO = False # if True, McD[i] == 0 when STATUS[i] = SUCCESS
#######################################################################
# scaling and mpi info; also optimizer configuration parameters
# hard-wired: use DE solver, don't use mpi, F-F' calculation
# (similar to concentration.in)
#######################################################################
from TEST_surrogate_diam import * # model, limit
from mystic.math.stats import volume, prob_mass, mean, mcdiarmid_bound
from mystic.math.integrate import integrate as expectation_value
from mystic.math.samples import random_samples, sampled_pts, sampled_prob
from mystic.math.samples import alpha, _pof_given_samples as sampled_pof
from mystic.tools import wrap_bounds
def sampled_mean(pts,lb,ub):
from numpy import inf
f = wrap_bounds(model,lb,ub)
ave = 0; count = 0
for i in range(len(pts[0])):
Fx = f([pts[0][i],pts[1][i],pts[2][i]])
if Fx != -inf: # outside of bounds evaluates to -inf
ave += Fx
count += 1
if not count: return None #XXX: define 0/0 = None
ave = float(ave) / float(count)
return ave
def minF(x):
return scale * model(x)
def maxF(x):
return -scale * model(x)
#######################################################################
# the differential evolution optimizer
# (replaces the call to dakota)
#######################################################################
def optimize(cost,lb,ub):
from mystic.solvers import DifferentialEvolutionSolver2
from mystic.termination import CandidateRelativeTolerance as CRT
from mystic.strategy import Best1Exp
from mystic.monitors import VerboseMonitor, Monitor
from mystic.tools import random_seed
random_seed(123)
#stepmon = VerboseMonitor(100)
stepmon = Monitor()
evalmon = Monitor()
ndim = len(lb) # [(1 + RVend) - RVstart] + 1
solver = DifferentialEvolutionSolver2(ndim,npop)
solver.SetRandomInitialPoints(min=lb,max=ub)
solver.SetStrictRanges(min=lb,max=ub)
solver.SetEvaluationLimits(maxiter,maxfun)
solver.SetEvaluationMonitor(evalmon)
solver.SetGenerationMonitor(stepmon)
tol = convergence_tol
solver.Solve(cost,termination=CRT(tol,tol),strategy=Best1Exp, \
CrossProbability=crossover,ScalingFactor=percent_change)
solved = solver.bestSolution
#if DEBUG: print("solved: %s" % solved)
diameter_squared = -solver.bestEnergy / scale #XXX: scale != 0
func_evals = solver.evaluations
return solved, diameter_squared, func_evals
#######################################################################
# loop over model parameters to calculate concentration of measure
# (similar to main.cc)
#######################################################################
def UQ(start,end,lower,upper):
params = []
diameters = []
function_evaluations = []
total_func_evals = 0
total_diameter = 0.0
for i in range(start,end+1):
lb = lower + [lower[i]]
ub = upper + [upper[i]]
# construct cost function and run optimizer
cost = costFactory(i)
# optimize, using no initial conditions
solved, subdiameter, func_evals = optimize(cost,lb,ub)
function_evaluations.append(func_evals)
diameters.append(subdiameter)
params.append(solved)
total_func_evals += function_evaluations[-1]
total_diameter += diameters[-1]
if DEBUG:
for solved in params:
print("solved: %s" % solved)
print("subdiameters (squared): %s" % diameters)
print("diameter (squared): %s" % total_diameter)
print("func_evals: %s => %s" % (function_evaluations, total_func_evals))
return params, total_diameter, diameters
#######################################################################
# get solved_params, subdiameters, and prob_mass for a sliced cuboid
#######################################################################
PROBABILITY_MASS = []
SUB_DIAMETERS = []
TOTAL_DIAMETERS = []
SOLVED_PARAMETERS = []
NEW_SLICES = []
STATUS = [None]
TOTAL_CUTS = [0]
max_cuts = [9999]
SUCCESS = "S"
FAILURE = "F"
UNDERSAMPLED = "U"
def test_cuboids(lb,ub,RVstart,RVend,cuboid_volume):
probmass = []
subdiams = []
tot_diam = []
solved_p = []
# subdivisions
for i in range(len(lb)):
if DEBUG:
print("\n")
print(" lower bounds: %s" % lb[i])
print(" upper bounds: %s" % ub[i])
if i in NEW_SLICES or not NEW_SLICES:
subcuboid_volume = volume(lb[i],ub[i])
sub_prob_mass = prob_mass(subcuboid_volume,cuboid_volume)
probmass.append(sub_prob_mass)
if DEBUG: print(" probability mass: %s" % sub_prob_mass)
solved, diameter, subdiameters = UQ(RVstart,RVend,lb[i],ub[i])
solved_p.append(solved)
subdiams.append(subdiameters)
tot_diam.append(diameter)
else:
probmass.append(PROBABILITY_MASS[i])
if DEBUG: print(" probability mass: %s" % PROBABILITY_MASS[i])
solved_p.append(SOLVED_PARAMETERS[i])
subdiams.append(SUB_DIAMETERS[i])
tot_diam.append(TOTAL_DIAMETERS[i])
return solved_p, subdiams, tot_diam, probmass
#######################################################################
# slice the cuboid
#######################################################################
def make_cut(lb,ub,RVStart,RVend,vol):
global STATUS #XXX: warning! global variable...
params, subdiams, diam, probmass = test_cuboids(lb,ub,RVstart,RVend,vol)
SOLVED_PARAMETERS, SUB_DIAMETERS = params, subdiams
TOTAL_DIAMETERS, PROBABILITY_MASS = diam, probmass
if DEBUG: print("\nSTATUS = %s" % STATUS)
# get region with largest probability mass
# region = probmass.index(max(probmass))
# NEW_SLICES = [region,region+1]
newstatus = []
newslices = []
# find interesting regions (optimizer returns: solved, -Energy, f_evals)
for i in range(len(lb)):
if STATUS[i]: # status in [SUCCESS, FAILURE, UNDERSAMPLED]
newstatus.append(STATUS[i]) # previously determined to skip this region
elif not optimize(maxF,lb[i],ub[i])[1]: # if max A = 0, then 'failure'
newstatus.append(FAILURE) # mark as a failure region; skip
elif -(optimize(minF,lb[i],ub[i])[1]): # if min A > 0, then 'success'
newstatus.append(SUCCESS) # mark as a success region; skip
else:
newstatus.append(None) # each 'new' slice is a bisection
newstatus.append(None) # ... thus appends TWO indicatiors
newslices.append(i)
ncut = 0
NEW_SLICES = []
for i in newslices:
# get direction with largest subdiameter
direction = subdiams[i].index(max(subdiams[i]))
# adjust for ub,lb expanded by n slices
region = i + ncut
# get the midpoint
cutvalue = 0.5 * ( ub[region][direction] + lb[region][direction] )
# modify bounds to include cut plane
l = lb[:region+1]
l += [lb[region][:direction] + [cutvalue] + lb[region][direction+1:]]
lb = l + lb[region+1:]
u = ub[:region]
u += [ub[region][:direction] + [cutvalue] + ub[region][direction+1:]]
ub = u + ub[region:]
# bean counting...
NEW_SLICES.append(region)
NEW_SLICES.append(region+1)
ncut += 1
TOTAL_CUTS[0] += 1
if TOTAL_CUTS[0] >= max_cuts[0]:
print("\nmaximum number of cuts performed.")
max_cuts[0] = 0
STATUS = newstatus[:i+1+ncut] + STATUS[i+1:] # patially use 'old' status
return lb,ub
STATUS = newstatus[:]
return lb,ub
#######################################################################
# rank, bounds, and restart information
# (similar to concentration.variables)
#######################################################################
if __name__ == '__main__':
from math import sqrt
function_name = "marc_surr"
lower_bounds = [60.0, 0.0, 2.1]
upper_bounds = [105.0, 30.0, 2.8]
RVstart = 0; RVend = 2
max_cut_iterations = 4 #NOTE: number of resulting subcuboids = cuts + 1
max_cuts[0] = 1 # maximum number of cuts
num_sample_points = 5 #NOTE: number of sample data points
print("...SETTINGS...")
print("npop = %s" % npop)
print("maxiter = %s" % maxiter)
print("maxfun = %s" % maxfun)
print("convergence_tol = %s" % convergence_tol)
print("crossover = %s" % crossover)
print("percent_change = %s" % percent_change)
print("..............\n\n")
print(" model: f(x) = %s(x)" % function_name)
RVmax = len(lower_bounds)
param_string = "["
for i in range(RVmax):
param_string += "'x%s'" % str(i+1)
if i == (RVmax - 1):
param_string += "]"
else:
param_string += ", "
print(" parameters: %s" % param_string)
# get diameter for entire cuboid
lb,ub = [lower_bounds],[upper_bounds]
cuboid_volume = volume(lb[0],ub[0])
params0, subdiams0, diam0, probmass0 = test_cuboids(lb,ub,RVstart,RVend,\
cuboid_volume)
SOLVED_PARAMETERS, SUB_DIAMETERS = params0, subdiams0
TOTAL_DIAMETERS, PROBABILITY_MASS = diam0, probmass0
if DEBUG: print("\nSTATUS = %s" % STATUS)
if not DEBUG:
pts = random_samples(lb[0],ub[0])
pof = sampled_pof(model,pts)
print("Exact PoF: %s" % pof)
# prepare new set of random samples (across entire domain) as 'data'
if not PER_AI:
pts = random_samples(lb[0],ub[0],num_sample_points)
for i in range(len(lb)):
print("\n")
print(" lower bounds: %s" % lb[i])
print(" upper bounds: %s" % ub[i])
for solved in params0[0]:
print("solved: %s" % solved)
print("subdiameters (squared): %s" % subdiams0[0])
print("diameter (squared): %s" % diam0[0])
print(" probability mass: %s" % probmass0[0])
expectation = expectation_value(model,lower_bounds,upper_bounds)
#print(" expectation: %s" % expectation)
mean_value = mean(expectation,cuboid_volume)
print(" mean value: %s" % mean_value)
if STATUS[0] == SUCCESS and MCZERO: #XXX: should be false, or we are done
mcdiarmid = 0.0
else:
mcdiarmid = mcdiarmid_bound(mean_value,sqrt(diam0[0]))
print("McDiarmid bound: %s" % mcdiarmid)
# determine 'best' cuts to cuboid
for cut in range(max_cut_iterations):
if max_cuts[0]: #XXX: abort if max_cuts was set to zero
print("\n..... cut iteration #%s ....." % (cut+1))
lb,ub = make_cut(lb,ub,RVstart,RVend,cuboid_volume)
if DEBUG:
print("\n..... %s cuboids ....." % (cut+2)) #XXX: ?; was max_cut_iterations+1
# get diameter for each subcuboid
params, subdiams, diam, probmass = test_cuboids(lb,ub,RVstart,RVend,\
cuboid_volume)
SOLVED_PARAMETERS, SUB_DIAMETERS = params, subdiams
TOTAL_DIAMETERS, PROBABILITY_MASS = diam, probmass
print("\nSTATUS = %s" % STATUS)
if not DEBUG:
weighted_bound = []
sampled_bound = []
for i in range(len(lb)):
print("\n")
print(" lower bounds: %s" % lb[i])
print(" upper bounds: %s" % ub[i])
for solved in params[i]:
print("solved: %s" % solved)
print("subdiameters (squared): %s" % subdiams[i])
print("diameter (squared): %s" % diam[i])
print(" probability mass: %s" % probmass[i])
#calculate remainder of the statistics, McDiarmid for cube & subcuboids
subcuboid_volume = volume(lb[i],ub[i])
expect_value = expectation_value(model,lb[i],ub[i])
#print(" expectation: %s" % expect_value)
sub_mean_value = mean(expect_value,subcuboid_volume)
print(" mean value: %s" % sub_mean_value)
if STATUS[i] == SUCCESS and MCZERO:
sub_mcdiarmid = 0.0
else:
sub_mcdiarmid = mcdiarmid_bound(sub_mean_value,sqrt(diam[i]))
print("McDiarmid bound: %s" % sub_mcdiarmid)
weighted_bound.append(probmass[i] * sub_mcdiarmid)
print("weighted McDiarmid: %s" % weighted_bound[-1])
# prepare new set of random samples (on each subcuboid) as 'data'
if PER_AI:
pts = random_samples(lb[i],ub[i],num_sample_points)
npts_i = sampled_pts(pts,lb[i],ub[i])
print("Number of sample points: %s" % npts_i)
if not npts_i:
print("Warning, no sample points in bounded region")
alpha_i = 0.0 #FIXME: defining undefined alpha to be 0.0
else:
#alpha_i = alpha(npts_i,sub_mcdiarmid) #XXX: oops... was wrong
alpha_i = alpha(npts_i,sqrt(diam[i]))
print("alpha: %s" % alpha_i)
s_prob = sampled_prob(pts,lb[i],ub[i])
print("Sampled probability mass: %s" % s_prob)
s_mean = sampled_mean(pts,lb[i],ub[i])
if s_mean == None:
s_mean = 0.0 #FIXME: defining undefined means to be 0.0
print("Sampled mean value: %s" % s_mean)
if STATUS[i] == SUCCESS and MCZERO:
samp_mcdiarmid = 0.0
else:
samp_mcdiarmid = mcdiarmid_bound((s_mean-alpha_i),sqrt(diam[i]))
print("Sampled McDiarmid bound: %s" % samp_mcdiarmid)
if PER_AI: #XXX: 'cheat' by using probmass for uniform Ai
sampled_bound.append(probmass[i] * samp_mcdiarmid)
else:
sampled_bound.append(s_prob * samp_mcdiarmid)
print("weighted sampled McDiarmid: %s" % sampled_bound[-1])
# compare weighted to McDiarmid
print("\n\n..............")
p_mcdiarmid = probmass0[0] * mcdiarmid
print("McDiarmid: %s" % p_mcdiarmid)
weighted = sum(weighted_bound)
print("weighted McDiarmid: %s" % weighted)
try:
print("relative change: %s" % (weighted / p_mcdiarmid))
except ZeroDivisionError:
pass
#if not PER_AI:
sampled = sum(sampled_bound)
print("weighted sampled McDiarmid: %s" % sampled)
print("\n..............")
print(" sum probability mass: %s" % sum(probmass))
# EOF
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