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#! /usr/bin/env python
import openturns as ot
import openturns.testing as ott
from math import sqrt
ot.TESTPREAMBLE()
def test_model(myModel, test_partial_grad=True, x1=None, x2=None):
inputDimension = myModel.getInputDimension()
dimension = myModel.getOutputDimension()
if x1 is None and x2 is None:
x1 = ot.Point(inputDimension)
x2 = ot.Point(inputDimension)
for j in range(inputDimension):
x1[j] = -1.0 - j
x2[j] = 3.0 + 2.0 * j
else:
x1 = ot.Point(x1)
x2 = ot.Point(x2)
if myModel.isStationary():
ott.assert_almost_equal(myModel(x1 - x2), myModel(x1, x2), 1e-14, 1e-14)
ott.assert_almost_equal(myModel(x2 - x1), myModel(x1, x2), 1e-14, 1e-14)
eps = 1e-3
mesh = ot.IntervalMesher([7] * inputDimension).build(
ot.Interval([-10] * inputDimension, [10] * inputDimension)
)
C = myModel.discretize(mesh)
if dimension == 1:
# Check that discretize & computeAsScalar provide the
# same values
vertices = mesh.getVertices()
for j in range(len(vertices)):
for i in range(j, len(vertices)):
ott.assert_almost_equal(
C[i, j],
myModel.computeAsScalar(vertices[i], vertices[j]),
1e-14,
1e-14,
)
else:
# Check that discretize & operator() provide the same values
vertices = mesh.getVertices()
localMatrix = ot.SquareMatrix(dimension)
for j in range(len(vertices)):
for i in range(j, len(vertices)):
for localJ in range(dimension):
for localI in range(dimension):
localMatrix[localI, localJ] = C[
i * dimension + localI, j * dimension + localJ
]
ott.assert_almost_equal(
localMatrix, myModel(vertices[i], vertices[j]), 1e-14, 1e-14
)
# Now we suppose that discretize is ok
# we look at crossCovariance of (vertices, vertices) which should return the same values
C.getImplementation().symmetrize()
crossCov = myModel.computeCrossCovariance(vertices, vertices)
ott.assert_almost_equal(
crossCov,
C,
1e-14,
1e-14,
"in " + myModel.getClassName() + "::computeCrossCovariance",
)
# Now crossCovariance(sample, sample) is ok
# Let us validate crossCovariance(Sample, point) with 1st column(s) of previous calculations
crossCovSamplePoint = myModel.computeCrossCovariance(vertices, vertices[0])
crossCovCol = crossCov.reshape(crossCov.getNbRows(), dimension)
ott.assert_almost_equal(
crossCovSamplePoint,
crossCovCol,
1e-14,
1e-14,
"in " + myModel.getClassName() + "::computeCrossCovarianceSamplePoint",
)
if test_partial_grad:
grad = myModel.partialGradient(x1, x2)
if dimension == 1:
gradfd = ot.Matrix(inputDimension, 1)
for j in range(inputDimension):
x1_g = ot.Point(x1)
x1_d = ot.Point(x1)
x1_g[j] = x1_d[j] + eps
x1_d[j] = x1_d[j] - eps
gradfd[j, 0] = (
myModel.computeAsScalar(x1_g, x2)
- myModel.computeAsScalar(x1_d, x2)
) / (2 * eps)
else:
gradfd = ot.Matrix(inputDimension, dimension * dimension)
covarianceX1X2 = myModel(x1, x2)
centralValue = ot.Point(covarianceX1X2.getImplementation())
# Loop over the shifted points
for i in range(inputDimension):
currentPoint = ot.Point(x1)
currentPoint[i] += eps
localCovariance = myModel(currentPoint, x2)
currentValue = ot.Point(localCovariance.getImplementation())
for j in range(currentValue.getSize()):
gradfd[i, j] = (currentValue[j] - centralValue[j]) / eps
ott.assert_almost_equal(
grad, gradfd, 1e-5, 1e-5, "in " + myModel.getClassName() + " grad"
)
def test_scalar_model(myModel, x1=None, x2=None):
if x1 is None and x2 is None:
x1 = 2.0
x2 = -3.0
# Check that computeAsScalar(Scalar) == computeAsScalar(Point)
ott.assert_almost_equal(
myModel.computeAsScalar([x1], [x2]),
myModel.computeAsScalar(x1, x2),
1.0e-14,
1.0e-14,
)
# Gradient testing
eps = 1e-5
grad = myModel.partialGradient([x1], [x2])[0, 0]
x1_g = x1 + eps
x1_d = x1 - eps
gradfd = (myModel.computeAsScalar(x1_g, x2) - myModel.computeAsScalar(x1_d, x2)) / (
2.0 * eps
)
ott.assert_almost_equal(gradfd, grad, 1e-5, 1e-5)
inputDimension = 2
# 1) SquaredExponential
myModel = ot.SquaredExponential([2.0], [3.0])
ott.assert_almost_equal(myModel.getScale(), [2], 0, 0)
ott.assert_almost_equal(myModel.getAmplitude(), [3], 0, 0)
test_model(myModel)
myModel = ot.SquaredExponential([2.0] * inputDimension, [3.0])
ott.assert_almost_equal(myModel.getScale(), [2, 2], 0, 0)
ott.assert_almost_equal(myModel.getAmplitude(), [3], 0, 0)
test_model(myModel)
# 2) GeneralizedExponential
myModel = ot.GeneralizedExponential([2.0], [3.0], 1.5)
ott.assert_almost_equal(myModel.getScale(), [2], 0, 0)
ott.assert_almost_equal(myModel.getAmplitude(), [3], 0, 0)
ott.assert_almost_equal(myModel.getP(), 1.5, 0, 0)
test_model(myModel)
myModel = ot.GeneralizedExponential([2.0] * inputDimension, [3.0], 1.5)
ott.assert_almost_equal(myModel.getScale(), [2, 2], 0, 0)
ott.assert_almost_equal(myModel.getAmplitude(), [3], 0, 0)
ott.assert_almost_equal(myModel.getP(), 1.5, 0, 0)
test_model(myModel)
# 3) AbsoluteExponential
myModel = ot.AbsoluteExponential([2.0], [3.0])
ott.assert_almost_equal(myModel.getScale(), [2], 0, 0)
ott.assert_almost_equal(myModel.getAmplitude(), [3], 0, 0)
test_model(myModel)
myModel = ot.AbsoluteExponential([2.0] * inputDimension, [3.0])
ott.assert_almost_equal(myModel.getScale(), [2, 2], 0, 0)
ott.assert_almost_equal(myModel.getAmplitude(), [3], 0, 0)
test_model(myModel)
# 4) MaternModel
myModel = ot.MaternModel([2.0], [3.0], 1.5)
ott.assert_almost_equal(myModel.getScale(), [2], 0, 0)
ott.assert_almost_equal(myModel.getAmplitude(), [3], 0, 0)
ott.assert_almost_equal(myModel.getNu(), 1.5, 0, 0)
test_model(myModel)
myModel = ot.MaternModel([2.0] * inputDimension, [3.0], 1.5)
ott.assert_almost_equal(myModel.getScale(), [2, 2], 0, 0)
ott.assert_almost_equal(myModel.getAmplitude(), [3], 0, 0)
ott.assert_almost_equal(myModel.getNu(), 1.5, 0, 0)
test_model(myModel)
# Retrieve a copy of the actual implementation from the interface class
myModelInterface = ot.CovarianceModel(myModel)
myModelImplementation = myModelInterface.getImplementation()
# Works because myModelImplementation is a MaternModel
myModelImplementation.setNu(2.5)
ott.assert_almost_equal(myModelImplementation.getNu(), 2.5, 0, 0)
# Original myModel still has the original nu because in Python
# getImplementation clones the underlying implementation
ott.assert_almost_equal(myModel.getNu(), 1.5, 0, 0)
# 5) ExponentiallyDampedCosineModel
myModel = ot.ExponentiallyDampedCosineModel([2.0], [3.0], 1)
ott.assert_almost_equal(myModel.getScale(), [2], 0, 0)
ott.assert_almost_equal(myModel.getAmplitude(), [3], 0, 0)
ott.assert_almost_equal(myModel.getFrequency(), 1, 0, 0)
test_model(myModel)
myModel.setFrequency(3)
ott.assert_almost_equal(myModel.getFrequency(), 3, 0, 0)
myModel = ot.ExponentiallyDampedCosineModel([2.0] * inputDimension, [3.0], 1)
ott.assert_almost_equal(myModel.getScale(), [2, 2], 0, 0)
ott.assert_almost_equal(myModel.getAmplitude(), [3], 0, 0)
ott.assert_almost_equal(myModel.getFrequency(), 1, 0, 0)
test_model(myModel)
# 6) SphericalModel
myModel = ot.SphericalModel([2.0], [3.0], 4.5)
ott.assert_almost_equal(myModel.getScale(), [2], 0, 0)
ott.assert_almost_equal(myModel.getAmplitude(), [3], 0, 0)
ott.assert_almost_equal(myModel.getRadius(), 4.5, 0, 0)
test_model(myModel)
myModel = ot.SphericalModel([2.0] * inputDimension, [3.0], 4.5)
ott.assert_almost_equal(myModel.getScale(), [2, 2], 0, 0)
ott.assert_almost_equal(myModel.getAmplitude(), [3], 0, 0)
ott.assert_almost_equal(myModel.getRadius(), 4.5, 0, 0)
test_model(myModel)
myModel.setRadius(1.5)
ott.assert_almost_equal(myModel.getRadius(), 1.5, 0, 0)
# 7) FractionalBrownianMotionModel
myModel = ot.FractionalBrownianMotionModel(2.0, 3.0, 0.25)
test_model(myModel)
# 8) DiracCovarianceModel
myModel = ot.DiracCovarianceModel()
# Should not check the partialGradient Dirac model
test_model(myModel, test_partial_grad=False)
amplitude = [1.5 + 2.0 * k for k in range(2)]
dimension = 2
spatialCorrelation = ot.CorrelationMatrix(dimension)
for j in range(dimension):
for i in range(j + 1, dimension):
spatialCorrelation[i, j] = (i + 1.0) / dimension - (j + 1.0) / dimension
myModel = ot.DiracCovarianceModel(inputDimension, amplitude, spatialCorrelation)
ott.assert_almost_equal(myModel.getScale(), [1, 1], 0, 0)
ott.assert_almost_equal(myModel.getAmplitude(), amplitude, 0, 0)
test_model(myModel, test_partial_grad=False, x1=[0.5, 0.0], x2=[0.5, 0.0])
# 9) StationaryFunctionalCovarianceModel
rho = ot.SymbolicFunction(["tau"], ["exp(-abs(tau))*cos(2*pi_*abs(tau))"])
myModel = ot.StationaryFunctionalCovarianceModel([1.0], [1.0], rho)
ott.assert_almost_equal(myModel.getScale(), [1], 0, 0)
ott.assert_almost_equal(myModel.getAmplitude(), [1], 0, 0)
test_model(myModel)
# 10) ProductCovarianceModel
myModel = ot.ProductCovarianceModel()
test_model(myModel)
cov1 = ot.AbsoluteExponential([2.0], [3.0])
cov2 = ot.SquaredExponential([2.0], [3.0])
myModel = ot.ProductCovarianceModel([cov1, cov2])
test_model(myModel)
ott.assert_almost_equal(myModel.getScale(), [2, 2], 0, 0)
ott.assert_almost_equal(myModel.getAmplitude(), [9], 0, 0)
point = [0.50, -6]
x = [point[0]]
y = [point[1]]
ott.assert_almost_equal(
myModel.computeAsScalar(point),
cov1.computeAsScalar(x) * cov2.computeAsScalar(y),
1.0e-15,
1.0e-15,
)
# 11) TensorizedCovarianceModel
# Collection ==> add covariance models
myAbsoluteExponential = ot.AbsoluteExponential([2.0] * inputDimension, [3.0])
mySquaredExponential = ot.SquaredExponential([2.0] * inputDimension, [3.0])
myGeneralizedExponential = ot.GeneralizedExponential([2.0] * inputDimension, [3.0], 1.5)
# Build TensorizedCovarianceModel with scale = [1,..,1]
# Tensorized ignore scales
myModel = ot.TensorizedCovarianceModel(
[myAbsoluteExponential, mySquaredExponential, myGeneralizedExponential]
)
ott.assert_almost_equal(myModel.getScale(), [1, 1], 0, 0)
ott.assert_almost_equal(myModel.getAmplitude(), [3, 3, 3], 0, 0)
test_model(myModel)
# Define new scale
scale = [2.5, 1.5]
myModel.setScale(scale)
ott.assert_almost_equal(myModel.getScale(), [2.5, 1.5], 0, 0)
ott.assert_almost_equal(myModel.getAmplitude(), [3, 3, 3], 0, 0)
test_model(myModel)
# new test for tensorized covariance model
output_dimension = 1 # 2 is ok
f = ot.SymbolicFunction(["x"], ["x * sin(x)"] * output_dimension)
sampleX = [[1.0], [2.0], [3.0], [4.0], [5.0], [6.0], [7.0], [8.0]]
sampleY = f(sampleX)
basis = ot.Basis(
[ot.SymbolicFunction(["x"], ["x"]), ot.SymbolicFunction(["x"], ["x^2"])]
)
covarianceModel = ot.TensorizedCovarianceModel(
[ot.SquaredExponential([1.0]) for _ in range(output_dimension)]
)
algo = ot.KrigingAlgorithm(sampleX, sampleY, covarianceModel, basis)
lh = algo.getReducedLogLikelihoodFunction()
# Using 1d graph we get the optimum around 1.5625
max_lh = lh([1.5625])
ott.assert_almost_equal(max_lh, [-14.1698], 1e-4, 1e-4)
# 12) Testing 1d in/out dimension & stationary
# Test scalar input models
coll = [ot.AbsoluteExponential(), ot.SquaredExponential(), ot.GeneralizedExponential()]
coll += [ot.MaternModel(), ot.SphericalModel(), ot.ExponentiallyDampedCosineModel()]
for model in coll:
test_scalar_model(model)
# 13) Isotropic covariance model
myIsotropicKernel = ot.IsotropicCovarianceModel()
test_model(myIsotropicKernel)
scale = 3.5
amplitude = 1.5
myOneDimensionalKernel = ot.SquaredExponential([scale], [amplitude])
myIsotropicKernel = ot.IsotropicCovarianceModel(myOneDimensionalKernel, inputDimension)
# Test consistency of isotropic model with underlying 1D kernel
ott.assert_almost_equal(myIsotropicKernel.getAmplitude()[0], amplitude, 1e-12, 0.0)
ott.assert_almost_equal(myIsotropicKernel.getScale()[0], scale, 1e-12, 0.0)
ott.assert_almost_equal(
myIsotropicKernel.getKernel().getAmplitude()[0], amplitude, 1e-12, 0.0
)
ott.assert_almost_equal(myIsotropicKernel.getKernel().getScale()[0], scale, 1e-12, 0.0)
# Standard tests applied
test_model(myIsotropicKernel)
# Test consistency of isotropic kernel's discretization
inputVector = ot.Point([0.3, 1.7])
inputVectorNorm = ot.Point([inputVector.norm()])
ott.assert_almost_equal(
myOneDimensionalKernel(inputVectorNorm)[0, 0], 1.992315565746, 1e-12, 0.0
)
ott.assert_almost_equal(
myIsotropicKernel(inputVector)[0, 0], 1.992315565746, 1e-12, 0.0
)
inputSample = ot.Sample([ot.Point(2), inputVector])
inputSampleNorm = ot.Sample([ot.Point(1), inputVectorNorm])
oneDimensionalCovMatrix = myOneDimensionalKernel.discretize(inputSampleNorm)
isotropicCovMatrix = myIsotropicKernel.discretize(inputSample)
ott.assert_almost_equal(oneDimensionalCovMatrix[0, 0], 2.250000000002, 1e-12, 0.0)
ott.assert_almost_equal(oneDimensionalCovMatrix[1, 1], 2.250000000002, 1e-12, 0.0)
ott.assert_almost_equal(isotropicCovMatrix[0, 0], 2.250000000002, 1e-12, 0.0)
ott.assert_almost_equal(isotropicCovMatrix[1, 1], 2.250000000002, 1e-12, 0.0)
ott.assert_almost_equal(oneDimensionalCovMatrix[0, 1], 1.992315565746, 1e-12, 0.0)
ott.assert_almost_equal(isotropicCovMatrix[0, 1], 1.992315565746, 1e-12, 0.0)
# Exponential covariance model
inputDimension = 2
scale = [4, 5]
spatialCovariance = ot.CovarianceMatrix(inputDimension)
spatialCovariance[0, 0] = 4
spatialCovariance[1, 1] = 5
spatialCovariance[1, 0] = 1.2
myModel = ot.ExponentialModel(scale, spatialCovariance)
test_model(myModel)
# assert that spatialCovariance is taken into account
checkDiag = spatialCovariance.isDiagonal() == myModel.isDiagonal()
if not checkDiag:
raise Exception("isDiagonal differ between spatial covariance & covariance model")
rho = spatialCovariance[1, 0] / sqrt(spatialCovariance[0, 0] * spatialCovariance[1, 1])
ott.assert_almost_equal(
myModel.getOutputCorrelation()[0, 1], rho, 0, 0, "in ExponentialModel correlation"
)
# Kronecker covariance model
# rho correlation
scale = [4, 5]
rho = ot.GeneralizedExponential(scale, 1)
# Amplitude values
amplitude = [1, 2]
myModel = ot.KroneckerCovarianceModel(rho, amplitude)
test_model(myModel)
outputCorrelation = ot.CorrelationMatrix(2)
outputCorrelation[0, 1] = 0.8
myModel = ot.KroneckerCovarianceModel(rho, amplitude, outputCorrelation)
test_model(myModel)
outputCovariance = ot.CovarianceMatrix(2)
outputCovariance[0, 0] = 4.0
outputCovariance[1, 1] = 5.0
outputCovariance[1, 0] = 1.2
myModel = ot.KroneckerCovarianceModel(rho, outputCovariance)
test_model(myModel)
# New kronecker model involving isotropic cov model
rho = ot.IsotropicCovarianceModel(ot.MaternModel(), 3)
outputCorrelation = ot.CorrelationMatrix(2)
outputCorrelation[0, 1] = 0.8
amplitude = [1, 2]
myModel = ot.KroneckerCovarianceModel(rho, amplitude, outputCorrelation)
test_model(myModel)
ott.assert_almost_equal(
myModel.getInputDimension(), 3, 0, 0, "in kronecker dimension check"
)
ott.assert_almost_equal(myModel.getScale(), [1], 0, 0, "in kronecker scale check")
# full param size = 6 (scale(1), nuggetFactor(1), amplitude(2), spatialCorrelation(1), Matern nu(1))
ott.assert_almost_equal(
myModel.getFullParameter(),
[1, 1e-12, 1, 2, 0.8, 1.5],
0,
0,
"in kronecker full param check",
)
ott.assert_almost_equal(
myModel.getFullParameter().getSize(), 6, 0, 0, "in kronecker param size check"
)
ott.assert_almost_equal(
myModel.getFullParameterDescription().getSize(),
6,
0,
0,
"in kronecker param description size check",
)
ott.assert_almost_equal(
myModel.getActiveParameter(), [0, 2, 3], "in kronecker active param check"
)
myModel.setFullParameter([2, 0.01, 1, 2, 0.5, 2.5])
ott.assert_almost_equal(
myModel.getFullParameter(),
[2, 0.01, 1, 2, 0.5, 2.5],
0,
0,
"in kronecker param check",
)
myModel.setActiveParameter([0, 1, 2, 3, 5])
ott.assert_almost_equal(
myModel.getActiveParameter(), [0, 1, 2, 3, 5], "in kronecker active param check"
)
# Now we should get all values except correlation
ott.assert_almost_equal(
myModel.getParameter(), [2, 0.01, 1, 2, 2.5], 0, 0, "in kronecker param check"
)
myModel.activateAmplitude(False)
ott.assert_almost_equal(
myModel.getParameter(),
[2, 0.01, 2.5],
0,
0,
"in kronecker deactivate amplitude check",
)
myModel.activateScale(False)
ott.assert_almost_equal(
myModel.getParameter(), [0.01, 2.5], 0, 0, "in kronecker deactivate scale check"
)
myModel.activateNuggetFactor(False)
ott.assert_almost_equal(
myModel.getParameter(), [2.5], 0, 0, "in kronecker deactivate nuggetFactor check"
)
myModel.activateScale(True)
ott.assert_almost_equal(
myModel.getParameter(), [2, 2.5], 0, 0, "in kronecker activate scale check"
)
myModel.activateNuggetFactor(True)
ott.assert_almost_equal(
myModel.getParameter(),
[2, 0.01, 2.5],
0,
0,
"in kronecker activate nuggetFactor check",
)
myModel.activateAmplitude(True)
ott.assert_almost_equal(
myModel.getParameter(),
[2, 0.01, 1, 2, 2.5],
0,
0,
"in kronecker activate amplitude check",
)
assert myModel.getFullParameterDescription() == [
"scale_0",
"nuggetFactor",
"amplitude_0",
"amplitude_1",
"R_1_0",
"nu",
]
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