File: t_RandomMixture_std.py

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#! /usr/bin/env python

import openturns as ot
import openturns.testing as ott
from math import sqrt, pi, exp, log

ot.TESTPREAMBLE()

ot.ResourceMap.SetAsUnsignedInteger("RandomMixture-DefaultMaxSize", 4000000)
# Deactivate the simplification mechanism as we want to test the Poisson formula
# based algorithm here
ot.ResourceMap.SetAsBool("RandomMixture-SimplifyAtoms", False)

# Create a collection of test-cases and the associated references
numberOfTests = 3
testCases = list()
references = list()
testCases.append([ot.Uniform(-1.0, 3.0)] * 2)
references.append(ot.Triangular(-2.0, 2.0, 6.0))
testCases.append([ot.Normal(), ot.Normal(1.0, 2.0), ot.Normal(-2.0, 2.0)])
references.append(ot.Normal(-1.0, 3.0))
testCases.append([ot.Exponential()] * 3)
references.append(ot.Gamma(3.0, 1.0, 0.0))
print("testCases=", testCases)
print("references=", references)
for testIndex in range(len(testCases)):
    # Instantiate one distribution object
    distribution = ot.RandomMixture(testCases[testIndex])
    distribution.setBlockMin(5)
    distribution.setBlockMax(20)
    distributionReference = references[testIndex]
    print("Distribution ", repr(distribution))
    print("Distribution ", distribution)

    # Is this distribution elliptical ?
    print("Elliptical = ", distribution.isElliptical())

    # Is this distribution continuous ?
    print("Continuous = ", distribution.isContinuous())

    # Test for realization of distribution
    oneRealization = distribution.getRealization()
    print("oneRealization=", oneRealization)

    # Test for sampling
    size = 10000
    oneSample = distribution.getSample(size)
    print("oneSample first=", oneSample[0], " last=", oneSample[size - 1])
    print("mean=", oneSample.computeMean())
    print("covariance=", oneSample.computeCovariance())

    # Define a point
    point = ot.Point(distribution.getDimension(), 0.5)
    print("Point= ", point)

    # Show PDF and CDF of point
    DDF = distribution.computeDDF(point)[0]
    print("ddf      =%.5g" % DDF)
    print("ddf (ref)=", distributionReference.computeDDF(point))
    PDF = distribution.computePDF(point)
    print("pdf      =%.6f" % PDF)
    print("pdf (ref)=%.6f" % distributionReference.computePDF(point))
    CDF = distribution.computeCDF(point)
    print("cdf      =%.6f" % CDF)
    print("cdf (ref)=%.6f" % distributionReference.computeCDF(point))
    CF = distribution.computeCharacteristicFunction(point[0])
    print("characteristic function=%.6f + %.6fi" % (CF.real, CF.imag))
    LCF = distribution.computeLogCharacteristicFunction(point[0])
    print("log characteristic function=%.6f + %.6fi" % (LCF.real, LCF.imag))
    quantile = distribution.computeQuantile(0.95)
    print("quantile      =", quantile)
    print("quantile (ref)=", distributionReference.computeQuantile(0.95))
    print("cdf(quantile)=%.6f" % distribution.computeCDF(quantile))
    quantileComp = distribution.computeQuantile(0.95, True)
    print("quantile comp.=", quantileComp)
    print(
        "cdfComp(quantileComp)=%.6f"
        % distribution.computeComplementaryCDF(quantileComp)
    )
    # Get 95% survival function
    inverseSurvival = ot.Point(distribution.computeInverseSurvivalFunction(0.95))
    print("InverseSurvival=", repr(inverseSurvival))
    print(
        "Survival(inverseSurvival)=%.6f"
        % distribution.computeSurvivalFunction(inverseSurvival)
    )
    # Entropy: too expansive for now...
    if False:
        print("entropy=%.6f" % distribution.computeEntropy())

    # Confidence regions: too expansive for now...
    if False:
        print("dimension=", distribution.getDimension(), "test case=", testIndex)
        (
            interval,
            threshold,
        ) = distribution.computeMinimumVolumeIntervalWithMarginalProbability(0.95)
        print("Minimum volume interval=", interval)
        print("threshold=", ot.Point(1, threshold))
        levelSet, beta = distribution.computeMinimumVolumeLevelSetWithThreshold(0.95)
        print("Minimum volume level set=", levelSet)
        print("beta=", ot.Point(1, beta))
        (
            interval,
            beta,
        ) = distribution.computeBilateralConfidenceIntervalWithMarginalProbability(0.95)
        print("Bilateral confidence interval=", interval)
        print("beta=", ot.Point(1, beta))
        (
            interval,
            beta,
        ) = distribution.computeUnilateralConfidenceIntervalWithMarginalProbability(
            0.95, False
        )
        print("Unilateral confidence interval (lower tail)=", interval)
        print("beta=", ot.Point(1, beta))
        (
            interval,
            beta,
        ) = distribution.computeUnilateralConfidenceIntervalWithMarginalProbability(
            0.95, True
        )
        print("Unilateral confidence interval (upper tail)=", interval)
        print("beta=", ot.Point(1, beta))

    mean = distribution.getMean()
    print("mean      =", mean)
    print("mean (ref)=", distributionReference.getMean())
    standardDeviation = distribution.getStandardDeviation()
    print("standard deviation      =", standardDeviation)
    print("standard deviation (ref)=", distributionReference.getStandardDeviation())
    skewness = distribution.getSkewness()
    print("skewness      =", skewness)
    print("skewness (ref)=", distributionReference.getSkewness())
    kurtosis = distribution.getKurtosis()
    print("kurtosis      =", kurtosis)
    print("kurtosis (ref)=", distributionReference.getKurtosis())
    covariance = distribution.getCovariance()
    print("covariance      =", covariance)
    print("covariance (ref)=", distributionReference.getCovariance())
    parameters = distribution.getParametersCollection()
    print("parameters=", parameters)
    print("Standard representative=", distribution.getStandardRepresentative())
    print("blockMin=", distribution.getBlockMin())
    print("blockMax=", distribution.getBlockMax())
    print("maxSize=", distribution.getMaxSize())
    print("alpha=", distribution.getAlpha())
    print("beta=", distribution.getBeta())

    ot.Log.Show(ot.Log.TRACE)
    validation = ott.DistributionValidation(distribution)
    validation.skipEntropy()  # slow
    validation.skipMinimumVolumeLevelSet()  # slow
    validation.skipTransformation()  # transformation accuracy is a bit low
    validation.run()

# Tests of the simplification mechanism
weights = ot.Point(0)
coll = ot.DistributionCollection(0)
coll.add(ot.Dirac(0.5))
weights.add(1.0)
coll.add(ot.Normal(1.0, 2.0))
weights.add(2.0)
coll.add(ot.Normal(2.0, 1.0))
weights.add(-3.0)
coll.add(ot.Uniform(-2.0, 2.0))
weights.add(-1.0)
coll.add(ot.Uniform(2.0, 4.0))
weights.add(2.0)
coll.add(ot.Exponential(2.0, -3.0))
weights.add(1.5)
rm = ot.RandomMixture(coll, weights)
coll.add(rm)
weights.add(-2.5)
coll.add(ot.Gamma(3.0, 4.0, -2.0))
weights.add(2.5)
distribution = ot.RandomMixture(coll, weights)
print("distribution=", repr(distribution))
print("distribution=", distribution)
mu = distribution.getMean()[0]
sigma = distribution.getStandardDeviation()[0]
for i in range(10):
    x = mu + (-3.0 + 6.0 * i / 9.0) * sigma
    print("pdf( %.6f )=%.6f" % (x, distribution.computePDF(x)))

# Tests of the projection mechanism
collFactories = [
    ot.UniformFactory(),
    ot.NormalFactory(),
    ot.TriangularFactory(),
    ot.ExponentialFactory(),
    ot.GammaFactory(),
]
# , TrapezoidalFactory()
result, norms = distribution.project(collFactories)
print("projections=", result)
print("norms=", norms)
# ------------------------------ Multivariate tests ------------------------------#
# 2D RandomMixture
collection = [ot.Normal(0.0, 1.0)] * 3

weightMatrix = ot.Matrix(2, 3)
weightMatrix[0, 0] = 1.0
weightMatrix[0, 1] = -2.0
weightMatrix[0, 2] = 1.0
weightMatrix[1, 0] = 1.0
weightMatrix[1, 1] = 1.0
weightMatrix[1, 2] = -3.0

# Build the RandomMixture
distribution2D = ot.RandomMixture(collection, weightMatrix)
print("distribution = ", distribution2D)
print("range = ", distribution2D.getRange())
print("mean = ", distribution2D.getMean())
print("cov = ", distribution2D.getCovariance())
print("sigma = ", distribution2D.getStandardDeviation())
distribution2D.setBlockMin(3)
distribution2D.setBlockMax(10)

# Build a grid for validation
xMin = distribution2D.getRange().getLowerBound()[0]
xMax = distribution2D.getRange().getUpperBound()[0]
yMin = distribution2D.getRange().getLowerBound()[1]
yMax = distribution2D.getRange().getUpperBound()[1]
# Number of points of discretization
nx = 4
ny = 4
boxParameters = [nx, ny]
boxGrid = ot.Box(boxParameters)
grid = boxGrid.generate()
# scaling box grid
scaleFactor = [0.25 * (xMax - xMin), 0.25 * (yMax - yMin)]
grid *= scaleFactor
# translating
translateFactor = distribution2D.getMean()[0:2]
grid += translateFactor
# Compute PDF
# parameters for theoritical PDF, obtained thanks to Maple
factor = sqrt(2) / (20 * pi)
for index in range(grid.getSize()):
    point = grid[index]
    PDF = distribution2D.computePDF(point)
    # Very small values are not very accurate on x86, skip them
    if PDF < 1.0e-12:
        continue
    print("pdf      = %.6g" % PDF)
    x, y = tuple(point)
    pdf_ref = factor * exp(-3.0 / 50.0 * y * y - 2.0 / 25 * x * y - 11.0 / 100 * x * x)
    print("pdf (ref)= %.6g" % pdf_ref)

# 2D test, but too much CPU consuming
collUniforme = [ot.Uniform(0, 1)] * 3
# Build the RandomMixture
dist_2D = ot.RandomMixture(collUniforme, weightMatrix)
dist_2D.setBlockMin(3)
dist_2D.setBlockMax(8)

print("new distribution = ", dist_2D)
print("range = ", dist_2D.getRange())
print("mean = ", dist_2D.getMean())
print("cov = ", dist_2D.getCovariance())
print("sigma = ", dist_2D.getStandardDeviation())

# Discretization on grid mu, mu + \sigma
newGrid = boxGrid.generate()
# scaling box grid
newGrid *= dist_2D.getStandardDeviation()
# translating
newGrid += dist_2D.getMean()
# Compute PDF
for index in range(newGrid.getSize()):
    point = newGrid[index]
    PDF = dist_2D.computePDF(point)
    print("pdf      = %.6g" % PDF)

# 3D test
ot.ResourceMap.SetAsUnsignedInteger("RandomMixture-DefaultMaxSize", 8290688)
mixture = ot.Mixture([ot.Normal(2, 1), ot.Normal(-2, 1)])
collection = [ot.Normal(0.0, 1.0), mixture, ot.Uniform(0, 1), ot.Uniform(0, 1)]
matrix = ot.Matrix([[1, -0.05, 1, -0.5], [0.5, 1, -0.05, 0.3], [-0.5, -0.1, 1.2, -0.8]])
dist_3D = ot.RandomMixture(collection, matrix)
dist_3D.setBlockMin(3)
dist_3D.setBlockMax(6)

print("3D distribution = ", dist_3D)
print("range = ", dist_3D.getRange())
print("mean = ", dist_3D.getMean())
print("cov = ", dist_3D.getCovariance())
print("sigma = ", dist_3D.getStandardDeviation())
# Total number of points (is (2+2)**3)
# Test is CPU consuming
N = 2
b = ot.Box([N, N, N])
# Grid ==> (mu, mu+sigma)
grid3D = b.generate() * dist_3D.getStandardDeviation() + dist_3D.getMean()

for i in range(grid3D.getSize() // 4):
    point = grid3D[4 * i]
    PDF = dist_3D.computePDF(point)
    print("pdf      = %.6g" % PDF)

# For ticket 882
mixture = ot.RandomMixture([ot.Dirac()])
graph = mixture.drawPDF()
graph = mixture.drawCDF()

# Test computeQuantile for the specific case of an analytical 1D mixture
case1 = 0.1 * ot.ChiSquare()
q = case1.computeQuantile(0.95)[0]
print("case 1, q=%.6f" % q)
q = case1.computeQuantile(0.95, True)[0]
print("case 1, q comp=%.6f" % q)
case2 = -0.1 * ot.ChiSquare()
q = case2.computeQuantile(0.95)[0]
print("case 2, q=%.6f" % q)
q = case2.computeQuantile(0.95, True)[0]
print("case 2, q comp=%.6f" % q)
# For ticket 953
atom1 = ot.TruncatedDistribution(ot.Uniform(0.0, 1.0), 0.0, 1.0)
atom2 = ot.Uniform(0.0, 2.0)
sum = atom1 + atom2
print("sum=", sum)
print("CDF=%.6g" % sum.computeCDF(2.0))
print("quantile=", sum.computeQuantile(0.2))
minS = 0.2
maxS = 10.0
muS = (log(minS) + log(maxS)) / 2.0
sigma = (log(maxS) - muS) / 3.0
atom1 = ot.TruncatedDistribution(ot.LogNormal(muS, sigma), minS, maxS)
atom2 = ot.Uniform(0.0, 2.0)
sum = atom1 + atom2
print("sum=", sum)
print("CDF=%.6g" % sum.computeCDF(2.0))
print("quantile=", sum.computeQuantile(0.2))
# For ticket 1129
dist = ot.RandomMixture([ot.Uniform()] * 200)
print("CDF(0)=%.5g" % dist.computeCDF([0]))

# check parameter accessors
dist = ot.Gumbel() + ot.Normal(0, 0.1)
print("before", dist)
p = [1849.41, -133.6, -133.6, 359.172]
dist.setParameter(p)
assert p == dist.getParameter(), "wrong parameters"
print("after ", dist)