#-*-coding:iso-8859-1-*-
#
-# Copyright (C) 2008-2013 EDF R&D
+# Copyright (C) 2008-2015 EDF R&D
#
# This library is free software; you can redistribute it and/or
# modify it under the terms of the GNU Lesser General Public
# Author: Jean-Philippe Argaud, jean-philippe.argaud@edf.fr, EDF R&D
import logging
-from daCore import BasicObjects, PlatformInfo
-m = PlatformInfo.SystemUsage()
+from daCore import BasicObjects
import numpy
# ==============================================================================
def __init__(self):
BasicObjects.Algorithm.__init__(self, "KALMANFILTER")
self.defineRequiredParameter(
- name = "StoreSupplementaryCalculations",
- default = [],
- typecast = tuple,
- message = "Liste de calculs supplémentaires à stocker et/ou effectuer",
- listval = ["APosterioriCovariance", "CostFunctionJ", "Innovation"]
- )
- self.defineRequiredParameter(
- name = "EstimationType",
+ name = "EstimationOf",
default = "State",
typecast = str,
message = "Estimation d'etat ou de parametres",
listval = ["State", "Parameters"],
)
+ self.defineRequiredParameter(
+ name = "StoreInternalVariables",
+ default = False,
+ typecast = bool,
+ message = "Stockage des variables internes ou intermédiaires du calcul",
+ )
+ self.defineRequiredParameter(
+ name = "StoreSupplementaryCalculations",
+ default = [],
+ typecast = tuple,
+ message = "Liste de calculs supplémentaires à stocker et/ou effectuer",
+ listval = ["APosterioriCovariance", "BMA", "CurrentState", "CostFunctionJ", "Innovation"]
+ )
def run(self, Xb=None, Y=None, U=None, HO=None, EM=None, CM=None, R=None, B=None, Q=None, Parameters=None):
- logging.debug("%s Lancement"%self._name)
- logging.debug("%s Taille mémoire utilisée de %.1f Mo"%(self._name, m.getUsedMemory("M")))
+ self._pre_run()
#
# Paramètres de pilotage
# ----------------------
self.setParameters(Parameters)
#
+ if self._parameters["EstimationOf"] == "Parameters":
+ self._parameters["StoreInternalVariables"] = True
+ #
# Opérateurs
# ----------
if B is None:
if R is None:
raise ValueError("Observation error covariance matrix has to be properly defined!")
#
- Ht = HO["Tangent"].asMatrix(None)
- Ha = HO["Adjoint"].asMatrix(None)
+ Ht = HO["Tangent"].asMatrix(Xb)
+ Ha = HO["Adjoint"].asMatrix(Xb)
#
- Mt = EM["Tangent"].asMatrix(None)
- Ma = EM["Adjoint"].asMatrix(None)
+ if self._parameters["EstimationOf"] == "State":
+ Mt = EM["Tangent"].asMatrix(Xb)
+ Ma = EM["Adjoint"].asMatrix(Xb)
#
if CM is not None and CM.has_key("Tangent") and U is not None:
- Cm = CM["Tangent"].asMatrix(None)
+ Cm = CM["Tangent"].asMatrix(Xb)
else:
Cm = None
#
- # Nombre de pas du Kalman identique au nombre de pas d'observations
- # -----------------------------------------------------------------
+ # Nombre de pas identique au nombre de pas d'observations
+ # -------------------------------------------------------
if hasattr(Y,"stepnumber"):
duration = Y.stepnumber()
else:
#
# Précalcul des inversions de B et R
# ----------------------------------
- if "CostFunctionJ" in self._parameters["StoreSupplementaryCalculations"]:
- if B is not None:
- BI = B.I
- elif self._parameters["B_scalar"] is not None:
- BI = 1.0 / self._parameters["B_scalar"]
- #
- if R is not None:
- RI = R.I
- elif self._parameters["R_scalar"] is not None:
- RI = 1.0 / self._parameters["R_scalar"]
+ if self._parameters["StoreInternalVariables"]:
+ BI = B.getI()
+ RI = R.getI()
#
# Initialisation
# --------------
Xn = Xb
Pn = B
+ #
self.StoredVariables["Analysis"].store( Xn.A1 )
if "APosterioriCovariance" in self._parameters["StoreSupplementaryCalculations"]:
self.StoredVariables["APosterioriCovariance"].store( Pn )
+ covarianceXa = Pn
+ Xa = Xn
+ previousJMinimum = numpy.finfo(float).max
#
for step in range(duration-1):
- Ynpu = numpy.asmatrix(numpy.ravel( Y[step+1] )).T
+ if hasattr(Y,"store"):
+ Ynpu = numpy.asmatrix(numpy.ravel( Y[step+1] )).T
+ else:
+ Ynpu = numpy.asmatrix(numpy.ravel( Y )).T
#
if U is not None:
if hasattr(U,"store") and len(U)>1:
else:
Un = None
#
- if self._parameters["EstimationType"] == "State" and Cm is not None and Un is not None:
- Xn_predicted = Mt * Xn + Cm * Un
- else:
+ if self._parameters["EstimationOf"] == "State":
Xn_predicted = Mt * Xn
- Pn_predicted = Mt * Pn * Ma + Q
+ if Cm is not None and Un is not None: # Attention : si Cm est aussi dans M, doublon !
+ Cm = Cm.reshape(Xn.size,Un.size) # ADAO & check shape
+ Xn_predicted = Xn_predicted + Cm * Un
+ Pn_predicted = Q + Mt * Pn * Ma
+ elif self._parameters["EstimationOf"] == "Parameters":
+ # --- > Par principe, M = Id, Q = 0
+ Xn_predicted = Xn
+ Pn_predicted = Pn
#
- if self._parameters["EstimationType"] == "Parameters" and Cm is not None and Un is not None:
- d = Ynpu - Ht * Xn_predicted - Cm * Un
- else:
+ if self._parameters["EstimationOf"] == "State":
+ d = Ynpu - Ht * Xn_predicted
+ elif self._parameters["EstimationOf"] == "Parameters":
d = Ynpu - Ht * Xn_predicted
- K = Pn_predicted * Ha * (Ht * Pn_predicted * Ha + R).I
- Xn = Xn_predicted + K * d
- Pn = Pn_predicted - K * Ht * Pn_predicted
+ if Cm is not None and Un is not None: # Attention : si Cm est aussi dans H, doublon !
+ d = d - Cm * Un
+ #
+ Kn = Pn_predicted * Ha * (R + Ht * Pn_predicted * Ha).I
+ Xn = Xn_predicted + Kn * d
+ Pn = Pn_predicted - Kn * Ht * Pn_predicted
#
self.StoredVariables["Analysis"].store( Xn.A1 )
- if "Innovation" in self._parameters["StoreSupplementaryCalculations"]:
- self.StoredVariables["Innovation"].store( numpy.ravel( d.A1 ) )
if "APosterioriCovariance" in self._parameters["StoreSupplementaryCalculations"]:
self.StoredVariables["APosterioriCovariance"].store( Pn )
- if "CostFunctionJ" in self._parameters["StoreSupplementaryCalculations"]:
+ if "Innovation" in self._parameters["StoreSupplementaryCalculations"]:
+ self.StoredVariables["Innovation"].store( numpy.ravel( d.A1 ) )
+ if self._parameters["StoreInternalVariables"]:
Jb = 0.5 * (Xn - Xb).T * BI * (Xn - Xb)
Jo = 0.5 * d.T * RI * d
J = float( Jb ) + float( Jo )
+ if self._parameters["StoreInternalVariables"] or "CurrentState" in self._parameters["StoreSupplementaryCalculations"]:
+ self.StoredVariables["CurrentState"].store( Xn )
self.StoredVariables["CostFunctionJb"].store( Jb )
self.StoredVariables["CostFunctionJo"].store( Jo )
self.StoredVariables["CostFunctionJ" ].store( J )
+ if J < previousJMinimum:
+ previousJMinimum = J
+ Xa = Xn
+ if "APosterioriCovariance" in self._parameters["StoreSupplementaryCalculations"]:
+ covarianceXa = Pn
+ else:
+ Xa = Xn
+ #
+ #
+ # Stockage supplementaire de l'optimum en estimation de parametres
+ # ----------------------------------------------------------------
+ if self._parameters["EstimationOf"] == "Parameters":
+ self.StoredVariables["Analysis"].store( Xa.A1 )
+ if "APosterioriCovariance" in self._parameters["StoreSupplementaryCalculations"]:
+ self.StoredVariables["APosterioriCovariance"].store( covarianceXa )
#
- logging.debug("%s Taille mémoire utilisée de %.1f Mo"%(self._name, m.getUsedMemory("M")))
- logging.debug("%s Terminé"%self._name)
+ if "BMA" in self._parameters["StoreSupplementaryCalculations"]:
+ self.StoredVariables["BMA"].store( numpy.ravel(Xb) - numpy.ravel(Xa) )
#
+ self._post_run(HO)
return 0
# ==============================================================================
