# -*- coding: utf-8 -*-
#
-# Copyright (C) 2008-2021 EDF R&D
+# Copyright (C) 2008-2024 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"
-import os, time, copy, types, sys, logging
-import math, numpy, scipy, scipy.optimize, scipy.version
-from daCore.BasicObjects import Operator
-from daCore.PlatformInfo import PlatformInfo
+import os, copy, types, sys, logging, math, numpy, scipy, itertools, warnings
+import scipy.linalg # Py3.6
+from daCore.BasicObjects import Operator, Covariance, PartialAlgorithm
+from daCore.PlatformInfo import PlatformInfo, vt, vfloat
mpr = PlatformInfo().MachinePrecision()
mfp = PlatformInfo().MaximumPrecision()
# logging.getLogger().setLevel(logging.DEBUG)
# ==============================================================================
-def ExecuteFunction( paire ):
- assert len(paire) == 2, "Incorrect number of arguments"
- X, funcrepr = paire
- __X = numpy.asmatrix(numpy.ravel( X )).T
- __sys_path_tmp = sys.path ; sys.path.insert(0,funcrepr["__userFunction__path"])
+def ExecuteFunction( triplet ):
+ assert len(triplet) == 3, "Incorrect number of arguments"
+ X, xArgs, funcrepr = triplet
+ __X = numpy.ravel( X ).reshape((-1, 1))
+ __sys_path_tmp = sys.path
+ sys.path.insert(0, funcrepr["__userFunction__path"])
__module = __import__(funcrepr["__userFunction__modl"], globals(), locals(), [])
- __fonction = getattr(__module,funcrepr["__userFunction__name"])
- sys.path = __sys_path_tmp ; del __sys_path_tmp
- __HX = __fonction( __X )
+ __fonction = getattr(__module, funcrepr["__userFunction__name"])
+ sys.path = __sys_path_tmp
+ del __sys_path_tmp
+ if isinstance(xArgs, dict):
+ __HX = __fonction( __X, **xArgs )
+ else:
+ __HX = __fonction( __X )
return numpy.ravel( __HX )
# ==============================================================================
"dX" qui sera multiplié par "increment" (donc en %), et on effectue de DF
centrées si le booléen "centeredDF" est vrai.
"""
+ __slots__ = (
+ "__name", "__extraArgs", "__mpEnabled", "__mpWorkers", "__mfEnabled",
+ "__rmEnabled", "__avoidRC", "__tolerBP", "__centeredDF", "__lengthRJ",
+ "__listJPCP", "__listJPCI", "__listJPCR", "__listJPPN", "__listJPIN",
+ "__userOperator", "__userFunction", "__increment", "__pool", "__dX",
+ "__userFunction__name", "__userFunction__modl", "__userFunction__path",
+ )
+
def __init__(self,
- name = "FDApproximation",
- Function = None,
- centeredDF = False,
- increment = 0.01,
- dX = None,
- avoidingRedundancy = True,
- toleranceInRedundancy = 1.e-18,
- lenghtOfRedundancy = -1,
- mpEnabled = False,
- mpWorkers = None,
- mfEnabled = False,
- ):
+ name = "FDApproximation",
+ Function = None,
+ centeredDF = False,
+ increment = 0.01,
+ dX = None,
+ extraArguments = None,
+ reducingMemoryUse = False,
+ avoidingRedundancy = True,
+ toleranceInRedundancy = 1.e-18,
+ lengthOfRedundancy = -1,
+ mpEnabled = False,
+ mpWorkers = None,
+ mfEnabled = False ):
+ #
self.__name = str(name)
+ self.__extraArgs = extraArguments
+ #
if mpEnabled:
try:
- import multiprocessing
+ import multiprocessing # noqa: F401
self.__mpEnabled = True
except ImportError:
self.__mpEnabled = False
self.__mpWorkers = mpWorkers
if self.__mpWorkers is not None and self.__mpWorkers < 1:
self.__mpWorkers = None
- logging.debug("FDA Calculs en multiprocessing : %s (nombre de processus : %s)"%(self.__mpEnabled,self.__mpWorkers))
+ logging.debug("FDA Calculs en multiprocessing : %s (nombre de processus : %s)"%(self.__mpEnabled, self.__mpWorkers))
#
- if mfEnabled:
- self.__mfEnabled = True
- else:
- self.__mfEnabled = False
+ self.__mfEnabled = bool(mfEnabled)
logging.debug("FDA Calculs en multifonctions : %s"%(self.__mfEnabled,))
#
+ self.__rmEnabled = bool(reducingMemoryUse)
+ logging.debug("FDA Calculs avec réduction mémoire : %s"%(self.__rmEnabled,))
+ #
if avoidingRedundancy:
self.__avoidRC = True
self.__tolerBP = float(toleranceInRedundancy)
- self.__lenghtRJ = int(lenghtOfRedundancy)
- self.__listJPCP = [] # Jacobian Previous Calculated Points
- self.__listJPCI = [] # Jacobian Previous Calculated Increment
- self.__listJPCR = [] # Jacobian Previous Calculated Results
- self.__listJPPN = [] # Jacobian Previous Calculated Point Norms
- self.__listJPIN = [] # Jacobian Previous Calculated Increment Norms
+ self.__lengthRJ = int(lengthOfRedundancy)
+ self.__listJPCP = [] # Jacobian Previous Calculated Points
+ self.__listJPCI = [] # Jacobian Previous Calculated Increment
+ self.__listJPCR = [] # Jacobian Previous Calculated Results
+ self.__listJPPN = [] # Jacobian Previous Calculated Point Norms
+ self.__listJPIN = [] # Jacobian Previous Calculated Increment Norms
else:
self.__avoidRC = False
+ logging.debug("FDA Calculs avec réduction des doublons : %s"%self.__avoidRC)
+ if self.__avoidRC:
+ logging.debug("FDA Tolérance de détermination des doublons : %.2e"%self.__tolerBP)
#
if self.__mpEnabled:
- if isinstance(Function,types.FunctionType):
+ if isinstance(Function, types.FunctionType):
logging.debug("FDA Calculs en multiprocessing : FunctionType")
self.__userFunction__name = Function.__name__
try:
- mod = os.path.join(Function.__globals__['filepath'],Function.__globals__['filename'])
- except:
+ mod = os.path.join(Function.__globals__['filepath'], Function.__globals__['filename'])
+ except Exception:
mod = os.path.abspath(Function.__globals__['__file__'])
if not os.path.isfile(mod):
raise ImportError("No user defined function or method found with the name %s"%(mod,))
- self.__userFunction__modl = os.path.basename(mod).replace('.pyc','').replace('.pyo','').replace('.py','')
+ self.__userFunction__modl = os.path.basename(mod).replace('.pyc', '').replace('.pyo', '').replace('.py', '')
self.__userFunction__path = os.path.dirname(mod)
del mod
- self.__userOperator = Operator( name = self.__name, fromMethod = Function, avoidingRedundancy = self.__avoidRC, inputAsMultiFunction = self.__mfEnabled )
- self.__userFunction = self.__userOperator.appliedTo # Pour le calcul Direct
- elif isinstance(Function,types.MethodType):
+ self.__userOperator = Operator(
+ name = self.__name,
+ fromMethod = Function,
+ avoidingRedundancy = self.__avoidRC,
+ inputAsMultiFunction = self.__mfEnabled,
+ extraArguments = self.__extraArgs )
+ self.__userFunction = self.__userOperator.appliedTo # Pour le calcul Direct
+ elif isinstance(Function, types.MethodType):
logging.debug("FDA Calculs en multiprocessing : MethodType")
self.__userFunction__name = Function.__name__
try:
- mod = os.path.join(Function.__globals__['filepath'],Function.__globals__['filename'])
- except:
+ mod = os.path.join(Function.__globals__['filepath'], Function.__globals__['filename'])
+ except Exception:
mod = os.path.abspath(Function.__func__.__globals__['__file__'])
if not os.path.isfile(mod):
raise ImportError("No user defined function or method found with the name %s"%(mod,))
- self.__userFunction__modl = os.path.basename(mod).replace('.pyc','').replace('.pyo','').replace('.py','')
+ self.__userFunction__modl = os.path.basename(mod).replace('.pyc', '').replace('.pyo', '').replace('.py', '')
self.__userFunction__path = os.path.dirname(mod)
del mod
- self.__userOperator = Operator( name = self.__name, fromMethod = Function, avoidingRedundancy = self.__avoidRC, inputAsMultiFunction = self.__mfEnabled )
- self.__userFunction = self.__userOperator.appliedTo # Pour le calcul Direct
+ self.__userOperator = Operator(
+ name = self.__name,
+ fromMethod = Function,
+ avoidingRedundancy = self.__avoidRC,
+ inputAsMultiFunction = self.__mfEnabled,
+ extraArguments = self.__extraArgs )
+ self.__userFunction = self.__userOperator.appliedTo # Pour le calcul Direct
else:
raise TypeError("User defined function or method has to be provided for finite differences approximation.")
else:
- self.__userOperator = Operator( name = self.__name, fromMethod = Function, avoidingRedundancy = self.__avoidRC, inputAsMultiFunction = self.__mfEnabled )
+ self.__userOperator = Operator(
+ name = self.__name,
+ fromMethod = Function,
+ avoidingRedundancy = self.__avoidRC,
+ inputAsMultiFunction = self.__mfEnabled,
+ extraArguments = self.__extraArgs )
self.__userFunction = self.__userOperator.appliedTo
#
self.__centeredDF = bool(centeredDF)
if dX is None:
self.__dX = None
else:
- self.__dX = numpy.asmatrix(numpy.ravel( dX )).T
- logging.debug("FDA Reduction des doublons de calcul : %s"%self.__avoidRC)
- if self.__avoidRC:
- logging.debug("FDA Tolerance de determination des doublons : %.2e"%self.__tolerBP)
+ self.__dX = numpy.ravel( dX )
# ---------------------------------------------------------
- def __doublon__(self, e, l, n, v=None):
+ def __doublon__(self, __e, __l, __n, __v=None):
__ac, __iac = False, -1
- for i in range(len(l)-1,-1,-1):
- if numpy.linalg.norm(e - l[i]) < self.__tolerBP * n[i]:
+ for i in range(len(__l) - 1, -1, -1):
+ if numpy.linalg.norm(__e - __l[i]) < self.__tolerBP * __n[i]:
__ac, __iac = True, i
- if v is not None: logging.debug("FDA Cas%s déja calculé, récupération du doublon %i"%(v,__iac))
+ if __v is not None:
+ logging.debug("FDA Cas%s déjà calculé, récupération du doublon %i"%(__v, __iac))
break
return __ac, __iac
# ---------------------------------------------------------
- def DirectOperator(self, X ):
+ def __listdotwith__(self, __LMatrix, __dotWith = None, __dotTWith = None):
+ "Produit incrémental d'une matrice liste de colonnes avec un vecteur"
+ if not isinstance(__LMatrix, (list, tuple)):
+ raise TypeError("Columnwise list matrix has not the proper type: %s"%type(__LMatrix))
+ if __dotWith is not None:
+ __Idwx = numpy.ravel( __dotWith )
+ assert len(__LMatrix) == __Idwx.size, "Incorrect size of elements"
+ __Produit = numpy.zeros(__LMatrix[0].size)
+ for i, col in enumerate(__LMatrix):
+ __Produit += float(__Idwx[i]) * col
+ return __Produit
+ elif __dotTWith is not None:
+ _Idwy = numpy.ravel( __dotTWith ).T
+ assert __LMatrix[0].size == _Idwy.size, "Incorrect size of elements"
+ __Produit = numpy.zeros(len(__LMatrix))
+ for i, col in enumerate(__LMatrix):
+ __Produit[i] = vfloat( _Idwy @ col)
+ return __Produit
+ else:
+ __Produit = None
+ return __Produit
+
+ # ---------------------------------------------------------
+ def DirectOperator(self, X, **extraArgs ):
"""
Calcul du direct à l'aide de la fonction fournie.
+
+ NB : les extraArgs sont là pour assurer la compatibilité d'appel, mais
+ ne doivent pas être données ici à la fonction utilisateur.
"""
logging.debug("FDA Calcul DirectOperator (explicite)")
if self.__mfEnabled:
_HX = self.__userFunction( X, argsAsSerie = True )
else:
- _X = numpy.asmatrix(numpy.ravel( X )).T
- _HX = numpy.ravel(self.__userFunction( _X ))
+ _HX = numpy.ravel(self.__userFunction( numpy.ravel(X) ))
#
return _HX
# ---------------------------------------------------------
- def TangentMatrix(self, X ):
+ def TangentMatrix(self, X, dotWith = None, dotTWith = None ):
"""
Calcul de l'opérateur tangent comme la Jacobienne par différences finies,
c'est-à-dire le gradient de H en X. On utilise des différences finies
- directionnelles autour du point X. X est un numpy.matrix.
+ directionnelles autour du point X. X est un numpy.ndarray.
Différences finies centrées (approximation d'ordre 2):
1/ Pour chaque composante i de X, on ajoute et on enlève la perturbation
logging.debug("FDA Incrément de............: %s*X"%float(self.__increment))
logging.debug("FDA Approximation centrée...: %s"%(self.__centeredDF))
#
- if X is None or len(X)==0:
+ if X is None or len(X) == 0:
raise ValueError("Nominal point X for approximate derivatives can not be None or void (given X: %s)."%(str(X),))
#
- _X = numpy.asmatrix(numpy.ravel( X )).T
+ _X = numpy.ravel( X )
#
if self.__dX is None:
_dX = self.__increment * _X
else:
- _dX = numpy.asmatrix(numpy.ravel( self.__dX )).T
+ _dX = numpy.ravel( self.__dX )
+ assert len(_X) == len(_dX), "Inconsistent dX increment length with respect to the X one"
+ assert _X.size == _dX.size, "Inconsistent dX increment size with respect to the X one"
#
if (_dX == 0.).any():
moyenne = _dX.mean()
#
__alreadyCalculated = False
if self.__avoidRC:
- __bidon, __alreadyCalculatedP = self.__doublon__(_X, self.__listJPCP, self.__listJPPN, None)
+ __bidon, __alreadyCalculatedP = self.__doublon__( _X, self.__listJPCP, self.__listJPPN, None)
__bidon, __alreadyCalculatedI = self.__doublon__(_dX, self.__listJPCI, self.__listJPIN, None)
if __alreadyCalculatedP == __alreadyCalculatedI > -1:
__alreadyCalculated, __i = True, __alreadyCalculatedP
- logging.debug("FDA Cas J déja calculé, récupération du doublon %i"%__i)
+ logging.debug("FDA Cas J déjà calculé, récupération du doublon %i"%__i)
#
if __alreadyCalculated:
logging.debug("FDA Calcul Jacobienne (par récupération du doublon %i)"%__i)
_Jacobienne = self.__listJPCR[__i]
+ logging.debug("FDA Fin du calcul de la Jacobienne")
+ if dotWith is not None:
+ return numpy.dot( _Jacobienne, numpy.ravel( dotWith ))
+ elif dotTWith is not None:
+ return numpy.dot(_Jacobienne.T, numpy.ravel( dotTWith ))
else:
logging.debug("FDA Calcul Jacobienne (explicite)")
if self.__centeredDF:
#
if self.__mpEnabled and not self.__mfEnabled:
funcrepr = {
- "__userFunction__path" : self.__userFunction__path,
- "__userFunction__modl" : self.__userFunction__modl,
- "__userFunction__name" : self.__userFunction__name,
+ "__userFunction__path": self.__userFunction__path,
+ "__userFunction__modl": self.__userFunction__modl,
+ "__userFunction__name": self.__userFunction__name,
}
_jobs = []
for i in range( len(_dX) ):
_dXi = _dX[i]
- _X_plus_dXi = numpy.array( _X.A1, dtype=float )
+ _X_plus_dXi = numpy.array( _X, dtype=float )
_X_plus_dXi[i] = _X[i] + _dXi
- _X_moins_dXi = numpy.array( _X.A1, dtype=float )
+ _X_moins_dXi = numpy.array( _X, dtype=float )
_X_moins_dXi[i] = _X[i] - _dXi
#
- _jobs.append( (_X_plus_dXi, funcrepr) )
- _jobs.append( (_X_moins_dXi, funcrepr) )
+ _jobs.append( ( _X_plus_dXi, self.__extraArgs, funcrepr) )
+ _jobs.append( (_X_moins_dXi, self.__extraArgs, funcrepr) )
#
import multiprocessing
self.__pool = multiprocessing.Pool(self.__mpWorkers)
#
_Jacobienne = []
for i in range( len(_dX) ):
- _Jacobienne.append( numpy.ravel( _HX_plusmoins_dX[2*i] - _HX_plusmoins_dX[2*i+1] ) / (2.*_dX[i]) )
+ _Jacobienne.append( numpy.ravel( _HX_plusmoins_dX[2 * i] - _HX_plusmoins_dX[2 * i + 1] ) / (2. * _dX[i]) )
#
elif self.__mfEnabled:
_xserie = []
for i in range( len(_dX) ):
_dXi = _dX[i]
- _X_plus_dXi = numpy.array( _X.A1, dtype=float )
+ _X_plus_dXi = numpy.array( _X, dtype=float )
_X_plus_dXi[i] = _X[i] + _dXi
- _X_moins_dXi = numpy.array( _X.A1, dtype=float )
+ _X_moins_dXi = numpy.array( _X, dtype=float )
_X_moins_dXi[i] = _X[i] - _dXi
#
_xserie.append( _X_plus_dXi )
_xserie.append( _X_moins_dXi )
#
_HX_plusmoins_dX = self.DirectOperator( _xserie )
- #
+ #
_Jacobienne = []
for i in range( len(_dX) ):
- _Jacobienne.append( numpy.ravel( _HX_plusmoins_dX[2*i] - _HX_plusmoins_dX[2*i+1] ) / (2.*_dX[i]) )
+ _Jacobienne.append( numpy.ravel( _HX_plusmoins_dX[2 * i] - _HX_plusmoins_dX[2 * i + 1] ) / (2. * _dX[i]) )
#
else:
_Jacobienne = []
for i in range( _dX.size ):
_dXi = _dX[i]
- _X_plus_dXi = numpy.array( _X.A1, dtype=float )
+ _X_plus_dXi = numpy.array( _X, dtype=float )
_X_plus_dXi[i] = _X[i] + _dXi
- _X_moins_dXi = numpy.array( _X.A1, dtype=float )
+ _X_moins_dXi = numpy.array( _X, dtype=float )
_X_moins_dXi[i] = _X[i] - _dXi
#
_HX_plus_dXi = self.DirectOperator( _X_plus_dXi )
_HX_moins_dXi = self.DirectOperator( _X_moins_dXi )
#
- _Jacobienne.append( numpy.ravel( _HX_plus_dXi - _HX_moins_dXi ) / (2.*_dXi) )
+ _Jacobienne.append( numpy.ravel( _HX_plus_dXi - _HX_moins_dXi ) / (2. * _dXi) )
#
else:
#
if self.__mpEnabled and not self.__mfEnabled:
funcrepr = {
- "__userFunction__path" : self.__userFunction__path,
- "__userFunction__modl" : self.__userFunction__modl,
- "__userFunction__name" : self.__userFunction__name,
+ "__userFunction__path": self.__userFunction__path,
+ "__userFunction__modl": self.__userFunction__modl,
+ "__userFunction__name": self.__userFunction__name,
}
_jobs = []
- _jobs.append( (_X.A1, funcrepr) )
+ _jobs.append( (_X, self.__extraArgs, funcrepr) )
for i in range( len(_dX) ):
- _X_plus_dXi = numpy.array( _X.A1, dtype=float )
+ _X_plus_dXi = numpy.array( _X, dtype=float )
_X_plus_dXi[i] = _X[i] + _dX[i]
#
- _jobs.append( (_X_plus_dXi, funcrepr) )
+ _jobs.append( (_X_plus_dXi, self.__extraArgs, funcrepr) )
#
import multiprocessing
self.__pool = multiprocessing.Pool(self.__mpWorkers)
#
elif self.__mfEnabled:
_xserie = []
- _xserie.append( _X.A1 )
+ _xserie.append( _X )
for i in range( len(_dX) ):
- _X_plus_dXi = numpy.array( _X.A1, dtype=float )
+ _X_plus_dXi = numpy.array( _X, dtype=float )
_X_plus_dXi[i] = _X[i] + _dX[i]
#
_xserie.append( _X_plus_dXi )
_Jacobienne = []
for i in range( len(_dX) ):
_Jacobienne.append( numpy.ravel(( _HX_plus_dX[i] - _HX ) / _dX[i]) )
- #
+ #
else:
_Jacobienne = []
_HX = self.DirectOperator( _X )
for i in range( _dX.size ):
_dXi = _dX[i]
- _X_plus_dXi = numpy.array( _X.A1, dtype=float )
+ _X_plus_dXi = numpy.array( _X, dtype=float )
_X_plus_dXi[i] = _X[i] + _dXi
#
_HX_plus_dXi = self.DirectOperator( _X_plus_dXi )
#
_Jacobienne.append( numpy.ravel(( _HX_plus_dXi - _HX ) / _dXi) )
- #
#
- _Jacobienne = numpy.asmatrix( numpy.vstack( _Jacobienne ) ).T
- if self.__avoidRC:
- if self.__lenghtRJ < 0: self.__lenghtRJ = 2 * _X.size
- while len(self.__listJPCP) > self.__lenghtRJ:
- self.__listJPCP.pop(0)
- self.__listJPCI.pop(0)
- self.__listJPCR.pop(0)
- self.__listJPPN.pop(0)
- self.__listJPIN.pop(0)
- self.__listJPCP.append( copy.copy(_X) )
- self.__listJPCI.append( copy.copy(_dX) )
- self.__listJPCR.append( copy.copy(_Jacobienne) )
- self.__listJPPN.append( numpy.linalg.norm(_X) )
- self.__listJPIN.append( numpy.linalg.norm(_Jacobienne) )
- #
- logging.debug("FDA Fin du calcul de la Jacobienne")
+ if (dotWith is not None) or (dotTWith is not None):
+ __Produit = self.__listdotwith__(_Jacobienne, dotWith, dotTWith)
+ else:
+ __Produit = None
+ if __Produit is None or self.__avoidRC:
+ _Jacobienne = numpy.transpose( numpy.vstack( _Jacobienne ) )
+ if self.__avoidRC:
+ if self.__lengthRJ < 0:
+ self.__lengthRJ = 2 * _X.size
+ while len(self.__listJPCP) > self.__lengthRJ:
+ self.__listJPCP.pop(0)
+ self.__listJPCI.pop(0)
+ self.__listJPCR.pop(0)
+ self.__listJPPN.pop(0)
+ self.__listJPIN.pop(0)
+ self.__listJPCP.append( copy.copy(_X) )
+ self.__listJPCI.append( copy.copy(_dX) )
+ self.__listJPCR.append( copy.copy(_Jacobienne) )
+ self.__listJPPN.append( numpy.linalg.norm(_X) )
+ self.__listJPIN.append( numpy.linalg.norm(_Jacobienne) )
+ logging.debug("FDA Fin du calcul de la Jacobienne")
+ if __Produit is not None:
+ return __Produit
#
return _Jacobienne
# ---------------------------------------------------------
- def TangentOperator(self, paire ):
+ def TangentOperator(self, paire, **extraArgs ):
"""
Calcul du tangent à l'aide de la Jacobienne.
+
+ NB : les extraArgs sont là pour assurer la compatibilité d'appel, mais
+ ne doivent pas être données ici à la fonction utilisateur.
"""
if self.__mfEnabled:
- assert len(paire) == 1, "Incorrect lenght of arguments"
+ assert len(paire) == 1, "Incorrect length of arguments"
_paire = paire[0]
assert len(_paire) == 2, "Incorrect number of arguments"
else:
assert len(paire) == 2, "Incorrect number of arguments"
_paire = paire
X, dX = _paire
- _Jacobienne = self.TangentMatrix( X )
if dX is None or len(dX) == 0:
#
# Calcul de la forme matricielle si le second argument est None
# -------------------------------------------------------------
- if self.__mfEnabled: return [_Jacobienne,]
- else: return _Jacobienne
+ _Jacobienne = self.TangentMatrix( X )
+ if self.__mfEnabled:
+ return [_Jacobienne,]
+ else:
+ return _Jacobienne
else:
#
# Calcul de la valeur linéarisée de H en X appliqué à dX
# ------------------------------------------------------
- _dX = numpy.asmatrix(numpy.ravel( dX )).T
- _HtX = numpy.dot(_Jacobienne, _dX)
- if self.__mfEnabled: return [_HtX.A1,]
- else: return _HtX.A1
+ _HtX = self.TangentMatrix( X, dotWith = dX )
+ if self.__mfEnabled:
+ return [_HtX,]
+ else:
+ return _HtX
# ---------------------------------------------------------
- def AdjointOperator(self, paire ):
+ def AdjointOperator(self, paire, **extraArgs ):
"""
Calcul de l'adjoint à l'aide de la Jacobienne.
+
+ NB : les extraArgs sont là pour assurer la compatibilité d'appel, mais
+ ne doivent pas être données ici à la fonction utilisateur.
"""
if self.__mfEnabled:
- assert len(paire) == 1, "Incorrect lenght of arguments"
+ assert len(paire) == 1, "Incorrect length of arguments"
_paire = paire[0]
assert len(_paire) == 2, "Incorrect number of arguments"
else:
assert len(paire) == 2, "Incorrect number of arguments"
_paire = paire
X, Y = _paire
- _JacobienneT = self.TangentMatrix( X ).T
if Y is None or len(Y) == 0:
#
# Calcul de la forme matricielle si le second argument est None
# -------------------------------------------------------------
- if self.__mfEnabled: return [_JacobienneT,]
- else: return _JacobienneT
+ _JacobienneT = self.TangentMatrix( X ).T
+ if self.__mfEnabled:
+ return [_JacobienneT,]
+ else:
+ return _JacobienneT
else:
#
# Calcul de la valeur de l'adjoint en X appliqué à Y
# --------------------------------------------------
- _Y = numpy.asmatrix(numpy.ravel( Y )).T
- _HaY = numpy.dot(_JacobienneT, _Y)
- if self.__mfEnabled: return [_HaY.A1,]
- else: return _HaY.A1
+ _HaY = self.TangentMatrix( X, dotTWith = Y )
+ if self.__mfEnabled:
+ return [_HaY,]
+ else:
+ return _HaY
# ==============================================================================
-def mmqr(
- func = None,
- x0 = None,
- fprime = None,
- bounds = None,
- quantile = 0.5,
- maxfun = 15000,
- toler = 1.e-06,
- y = None,
- ):
- """
- Implémentation informatique de l'algorithme MMQR, basée sur la publication :
- David R. Hunter, Kenneth Lange, "Quantile Regression via an MM Algorithm",
- Journal of Computational and Graphical Statistics, 9, 1, pp.60-77, 2000.
- """
- #
- # Recuperation des donnees et informations initiales
- # --------------------------------------------------
- variables = numpy.ravel( x0 )
- mesures = numpy.ravel( y )
- increment = sys.float_info[0]
- p = variables.size
- n = mesures.size
- quantile = float(quantile)
- #
- # Calcul des parametres du MM
- # ---------------------------
- tn = float(toler) / n
- e0 = -tn / math.log(tn)
- epsilon = (e0-tn)/(1+math.log(e0))
+def SetInitialDirection( __Direction = [], __Amplitude = 1., __Position = None ):
+ "Établit ou élabore une direction avec une amplitude"
#
- # Calculs d'initialisation
- # ------------------------
- residus = mesures - numpy.ravel( func( variables ) )
- poids = 1./(epsilon+numpy.abs(residus))
- veps = 1. - 2. * quantile - residus * poids
- lastsurrogate = -numpy.sum(residus*veps) - (1.-2.*quantile)*numpy.sum(residus)
- iteration = 0
+ if len(__Direction) == 0 and __Position is None:
+ raise ValueError("If initial direction is void, current position has to be given")
+ if abs(float(__Amplitude)) < mpr:
+ raise ValueError("Amplitude of perturbation can not be zero")
#
- # Recherche iterative
- # -------------------
- while (increment > toler) and (iteration < maxfun) :
- iteration += 1
- #
- Derivees = numpy.array(fprime(variables))
- Derivees = Derivees.reshape(n,p) # Necessaire pour remettre en place la matrice si elle passe par des tuyaux YACS
- DeriveesT = Derivees.transpose()
- M = numpy.dot( DeriveesT , (numpy.array(numpy.matrix(p*[poids,]).T)*Derivees) )
- SM = numpy.transpose(numpy.dot( DeriveesT , veps ))
- step = - numpy.linalg.lstsq( M, SM, rcond=-1 )[0]
- #
- variables = variables + step
- if bounds is not None:
- # Attention : boucle infinie à éviter si un intervalle est trop petit
- while( (variables < numpy.ravel(numpy.asmatrix(bounds)[:,0])).any() or (variables > numpy.ravel(numpy.asmatrix(bounds)[:,1])).any() ):
- step = step/2.
- variables = variables - step
- residus = mesures - numpy.ravel( func(variables) )
- surrogate = numpy.sum(residus**2 * poids) + (4.*quantile-2.) * numpy.sum(residus)
- #
- while ( (surrogate > lastsurrogate) and ( max(list(numpy.abs(step))) > 1.e-16 ) ) :
- step = step/2.
- variables = variables - step
- residus = mesures - numpy.ravel( func(variables) )
- surrogate = numpy.sum(residus**2 * poids) + (4.*quantile-2.) * numpy.sum(residus)
- #
- increment = lastsurrogate-surrogate
- poids = 1./(epsilon+numpy.abs(residus))
- veps = 1. - 2. * quantile - residus * poids
- lastsurrogate = -numpy.sum(residus * veps) - (1.-2.*quantile)*numpy.sum(residus)
+ if len(__Direction) > 0:
+ __dX0 = numpy.asarray(__Direction)
+ else:
+ __dX0 = []
+ __X0 = numpy.ravel(numpy.asarray(__Position))
+ __mX0 = numpy.mean( __X0, dtype=mfp )
+ if abs(__mX0) < 2 * mpr:
+ __mX0 = 1. # Évite le problème de position nulle
+ for v in __X0:
+ if abs(v) > 1.e-8:
+ __dX0.append( numpy.random.normal(0., abs(v)) )
+ else:
+ __dX0.append( numpy.random.normal(0., __mX0) )
#
- # Mesure d'écart
- # --------------
- Ecart = quantile * numpy.sum(residus) - numpy.sum( residus[residus<0] )
+ __dX0 = numpy.asarray(__dX0, float) # Évite le problème d'array de taille 1
+ __dX0 = numpy.ravel( __dX0 ) # Redresse les vecteurs
+ __dX0 = float(__Amplitude) * __dX0
#
- return variables, Ecart, [n,p,iteration,increment,0]
+ return __dX0
# ==============================================================================
-def EnsembleOfCenteredPerturbations( _bgcenter, _bgcovariance, _nbmembers ):
- "Génération d'un ensemble de taille _nbmembers-1 d'états aléatoires centrés"
+def EnsembleOfCenteredPerturbations( __bgCenter, __bgCovariance, __nbMembers ):
+ "Génération d'un ensemble de taille __nbMembers-1 d'états aléatoires centrés"
#
- _bgcenter = numpy.ravel(_bgcenter)[:,None]
- if _nbmembers < 1:
- raise ValueError("Number of members has to be strictly more than 1 (given number: %s)."%(str(_nbmembers),))
+ __bgCenter = numpy.ravel(__bgCenter)[:, None]
+ if __nbMembers < 1:
+ raise ValueError("Number of members has to be strictly more than 1 (given number: %s)."%(str(__nbMembers),))
#
- if _bgcovariance is None:
- BackgroundEnsemble = numpy.tile( _bgcenter, _nbmembers)
+ if __bgCovariance is None:
+ _Perturbations = numpy.tile( __bgCenter, __nbMembers)
else:
- _Z = numpy.random.multivariate_normal(numpy.zeros(_bgcenter.size), _bgcovariance, size=_nbmembers).T
- BackgroundEnsemble = numpy.tile( _bgcenter, _nbmembers) + _Z
+ _Z = numpy.random.multivariate_normal(numpy.zeros(__bgCenter.size), __bgCovariance, size=__nbMembers).T
+ _Perturbations = numpy.tile( __bgCenter, __nbMembers) + _Z
#
- return BackgroundEnsemble
+ return _Perturbations
# ==============================================================================
-def EnsembleOfBackgroundPerturbations( _bgcenter, _bgcovariance, _nbmembers, _withSVD = True):
- "Génération d'un ensemble de taille _nbmembers-1 d'états aléatoires centrés"
+def EnsembleOfBackgroundPerturbations(
+ __bgCenter,
+ __bgCovariance,
+ __nbMembers,
+ __withSVD = True ):
+ "Génération d'un ensemble de taille __nbMembers-1 d'états aléatoires centrés"
def __CenteredRandomAnomalies(Zr, N):
"""
Génère une matrice de N anomalies aléatoires centrées sur Zr selon les
notes manuscrites de MB et conforme au code de PS avec eps = -1
"""
eps = -1
- Q = numpy.eye(N-1)-numpy.ones((N-1,N-1))/numpy.sqrt(N)/(numpy.sqrt(N)-eps)
- Q = numpy.concatenate((Q, [eps*numpy.ones(N-1)/numpy.sqrt(N)]), axis=0)
- R, _ = numpy.linalg.qr(numpy.random.normal(size = (N-1,N-1)))
- Q = numpy.dot(Q,R)
- Zr = numpy.dot(Q,Zr)
+ Q = numpy.identity(N - 1) - numpy.ones((N - 1, N - 1)) / numpy.sqrt(N) / (numpy.sqrt(N) - eps)
+ Q = numpy.concatenate((Q, [eps * numpy.ones(N - 1) / numpy.sqrt(N)]), axis=0)
+ R, _ = numpy.linalg.qr(numpy.random.normal(size = (N - 1, N - 1)))
+ Q = numpy.dot(Q, R)
+ Zr = numpy.dot(Q, Zr)
return Zr.T
#
- _bgcenter = numpy.ravel(_bgcenter)[:,None]
- if _nbmembers < 1:
- raise ValueError("Number of members has to be strictly more than 1 (given number: %s)."%(str(_nbmembers),))
- if _bgcovariance is None:
- BackgroundEnsemble = numpy.tile( _bgcenter, _nbmembers)
+ __bgCenter = numpy.ravel(__bgCenter).reshape((-1, 1))
+ if __nbMembers < 1:
+ raise ValueError("Number of members has to be strictly more than 1 (given number: %s)."%(str(__nbMembers),))
+ if __bgCovariance is None:
+ _Perturbations = numpy.tile( __bgCenter, __nbMembers)
else:
- if _withSVD:
- U, s, V = numpy.linalg.svd(_bgcovariance, full_matrices=False)
- _nbctl = _bgcenter.size
- if _nbmembers > _nbctl:
+ if __withSVD:
+ _U, _s, _V = numpy.linalg.svd(__bgCovariance, full_matrices=False)
+ _nbctl = __bgCenter.size
+ if __nbMembers > _nbctl:
_Z = numpy.concatenate((numpy.dot(
- numpy.diag(numpy.sqrt(s[:_nbctl])), V[:_nbctl]),
- numpy.random.multivariate_normal(numpy.zeros(_nbctl),_bgcovariance,_nbmembers-1-_nbctl)), axis = 0)
+ numpy.diag(numpy.sqrt(_s[:_nbctl])), _V[:_nbctl]),
+ numpy.random.multivariate_normal(numpy.zeros(_nbctl), __bgCovariance, __nbMembers - 1 - _nbctl)), axis = 0)
else:
- _Z = numpy.dot(numpy.diag(numpy.sqrt(s[:_nbmembers-1])), V[:_nbmembers-1])
- _Zca = __CenteredRandomAnomalies(_Z, _nbmembers)
- BackgroundEnsemble = _bgcenter + _Zca
+ _Z = numpy.dot(numpy.diag(numpy.sqrt(_s[:__nbMembers - 1])), _V[:__nbMembers - 1])
+ _Zca = __CenteredRandomAnomalies(_Z, __nbMembers)
+ _Perturbations = __bgCenter + _Zca
else:
- if max(abs(_bgcovariance.flatten())) > 0:
- _nbctl = _bgcenter.size
- _Z = numpy.random.multivariate_normal(numpy.zeros(_nbctl),_bgcovariance,_nbmembers-1)
- _Zca = __CenteredRandomAnomalies(_Z, _nbmembers)
- BackgroundEnsemble = _bgcenter + _Zca
+ if max(abs(__bgCovariance.flatten())) > 0:
+ _nbctl = __bgCenter.size
+ _Z = numpy.random.multivariate_normal(numpy.zeros(_nbctl), __bgCovariance, __nbMembers - 1)
+ _Zca = __CenteredRandomAnomalies(_Z, __nbMembers)
+ _Perturbations = __bgCenter + _Zca
else:
- BackgroundEnsemble = numpy.tile( _bgcenter, _nbmembers)
+ _Perturbations = numpy.tile( __bgCenter, __nbMembers)
#
- return BackgroundEnsemble
+ return _Perturbations
# ==============================================================================
-def EnsembleOfAnomalies( _ensemble, _optmean = None):
- "Renvoie les anomalies centrées à partir d'un ensemble TailleEtat*NbMembres"
- if _optmean is None:
- Em = numpy.asarray(_ensemble).mean(axis=1, dtype=mfp).astype('float')[:,numpy.newaxis]
- else:
- Em = numpy.ravel(_optmean)[:,numpy.newaxis]
- #
- return numpy.asarray(_ensemble) - Em
+def EnsembleMean( __Ensemble ):
+ "Renvoie la moyenne empirique d'un ensemble"
+ return numpy.asarray(__Ensemble).mean(axis=1, dtype=mfp).astype('float').reshape((-1, 1))
# ==============================================================================
-def CovarianceInflation(
- InputCovOrEns,
- InflationType = None,
- InflationFactor = None,
- BackgroundCov = None,
- ):
- """
- Inflation applicable soit sur Pb ou Pa, soit sur les ensembles EXb ou EXa
-
- Synthèse : Hunt 2007, section 2.3.5
- """
- if InflationFactor is None:
- return InputCovOrEns
+def EnsembleOfAnomalies( __Ensemble, __OptMean = None, __Normalisation = 1. ):
+ "Renvoie les anomalies centrées à partir d'un ensemble"
+ if __OptMean is None:
+ __Em = EnsembleMean( __Ensemble )
else:
- InflationFactor = float(InflationFactor)
- #
- if InflationType in ["MultiplicativeOnAnalysisCovariance", "MultiplicativeOnBackgroundCovariance"]:
- if InflationFactor < 1.:
- raise ValueError("Inflation factor for multiplicative inflation has to be greater or equal than 1.")
- if InflationFactor < 1.+mpr:
- return InputCovOrEns
- OutputCovOrEns = InflationFactor**2 * InputCovOrEns
+ __Em = numpy.ravel( __OptMean ).reshape((-1, 1))
#
- elif InflationType in ["MultiplicativeOnAnalysisAnomalies", "MultiplicativeOnBackgroundAnomalies"]:
- if InflationFactor < 1.:
- raise ValueError("Inflation factor for multiplicative inflation has to be greater or equal than 1.")
- if InflationFactor < 1.+mpr:
- return InputCovOrEns
- InputCovOrEnsMean = InputCovOrEns.mean(axis=1, dtype=mfp).astype('float')
- OutputCovOrEns = InputCovOrEnsMean[:,numpy.newaxis] \
- + InflationFactor * (InputCovOrEns - InputCovOrEnsMean[:,numpy.newaxis])
- #
- elif InflationType in ["AdditiveOnAnalysisCovariance", "AdditiveOnBackgroundCovariance"]:
- if InflationFactor < 0.:
- raise ValueError("Inflation factor for additive inflation has to be greater or equal than 0.")
- if InflationFactor < mpr:
- return InputCovOrEns
- __n, __m = numpy.asarray(InputCovOrEns).shape
- if __n != __m:
- raise ValueError("Additive inflation can only be applied to squared (covariance) matrix.")
- OutputCovOrEns = (1. - InflationFactor) * InputCovOrEns + InflationFactor * numpy.eye(__n)
- #
- elif InflationType == "HybridOnBackgroundCovariance":
- if InflationFactor < 0.:
- raise ValueError("Inflation factor for hybrid inflation has to be greater or equal than 0.")
- if InflationFactor < mpr:
- return InputCovOrEns
- __n, __m = numpy.asarray(InputCovOrEns).shape
- if __n != __m:
- raise ValueError("Additive inflation can only be applied to squared (covariance) matrix.")
- if BackgroundCov is None:
- raise ValueError("Background covariance matrix B has to be given for hybrid inflation.")
- if InputCovOrEns.shape != BackgroundCov.shape:
- raise ValueError("Ensemble covariance matrix has to be of same size than background covariance matrix B.")
- OutputCovOrEns = (1. - InflationFactor) * InputCovOrEns + InflationFactor * BackgroundCov
- #
- elif InflationType == "Relaxation":
- raise NotImplementedError("InflationType Relaxation")
- #
- else:
- raise ValueError("Error in inflation type, '%s' is not a valid keyword."%InflationType)
- #
- return OutputCovOrEns
+ return __Normalisation * (numpy.asarray( __Ensemble ) - __Em)
# ==============================================================================
-def std3dvar(selfA, Xb, Y, U, HO, EM, CM, R, B, Q):
- """
- 3DVAR (Bouttier 1999, Courtier 1993)
-
- selfA est identique au "self" d'algorithme appelant et contient les
- valeurs.
- """
- #
- # Correction pour pallier a un bug de TNC sur le retour du Minimum
- if "Minimizer" in selfA._parameters and selfA._parameters["Minimizer"] == "TNC":
- selfA.setParameterValue("StoreInternalVariables",True)
- #
- # Opérateurs
- # ----------
- Hm = HO["Direct"].appliedTo
- Ha = HO["Adjoint"].appliedInXTo
- #
- # Utilisation éventuelle d'un vecteur H(Xb) précalculé
- # ----------------------------------------------------
- if HO["AppliedInX"] is not None and "HXb" in HO["AppliedInX"]:
- HXb = Hm( Xb, HO["AppliedInX"]["HXb"] )
+def EnsembleErrorCovariance( __Ensemble, __Quick = False ):
+ "Renvoie l'estimation empirique de la covariance d'ensemble"
+ if __Quick:
+ # Covariance rapide mais rarement définie positive
+ __Covariance = numpy.cov( __Ensemble )
else:
- HXb = Hm( Xb )
- HXb = numpy.asmatrix(numpy.ravel( HXb )).T
- if Y.size != HXb.size:
- raise ValueError("The size %i of observations Y and %i of observed calculation H(X) are different, they have to be identical."%(Y.size,HXb.size))
- if max(Y.shape) != max(HXb.shape):
- raise ValueError("The shapes %s of observations Y and %s of observed calculation H(X) are different, they have to be identical."%(Y.shape,HXb.shape))
- #
- if selfA._toStore("JacobianMatrixAtBackground"):
- HtMb = HO["Tangent"].asMatrix(ValueForMethodForm = Xb)
- HtMb = HtMb.reshape(Y.size,Xb.size) # ADAO & check shape
- selfA.StoredVariables["JacobianMatrixAtBackground"].store( HtMb )
- #
- # Précalcul des inversions de B et R
- # ----------------------------------
- BI = B.getI()
- RI = R.getI()
- #
- # Point de démarrage de l'optimisation
- # ------------------------------------
- Xini = selfA._parameters["InitializationPoint"]
- #
- # Définition de la fonction-coût
- # ------------------------------
- def CostFunction(x):
- _X = numpy.asmatrix(numpy.ravel( x )).T
- if selfA._parameters["StoreInternalVariables"] or \
- selfA._toStore("CurrentState") or \
- selfA._toStore("CurrentOptimum"):
- selfA.StoredVariables["CurrentState"].store( _X )
- _HX = Hm( _X )
- _HX = numpy.asmatrix(numpy.ravel( _HX )).T
- _Innovation = Y - _HX
- if selfA._toStore("SimulatedObservationAtCurrentState") or \
- selfA._toStore("SimulatedObservationAtCurrentOptimum"):
- selfA.StoredVariables["SimulatedObservationAtCurrentState"].store( _HX )
- if selfA._toStore("InnovationAtCurrentState"):
- selfA.StoredVariables["InnovationAtCurrentState"].store( _Innovation )
- #
- Jb = float( 0.5 * (_X - Xb).T * BI * (_X - Xb) )
- Jo = float( 0.5 * _Innovation.T * RI * _Innovation )
- J = Jb + Jo
- #
- selfA.StoredVariables["CurrentIterationNumber"].store( len(selfA.StoredVariables["CostFunctionJ"]) )
- selfA.StoredVariables["CostFunctionJb"].store( Jb )
- selfA.StoredVariables["CostFunctionJo"].store( Jo )
- selfA.StoredVariables["CostFunctionJ" ].store( J )
- if selfA._toStore("IndexOfOptimum") or \
- selfA._toStore("CurrentOptimum") or \
- selfA._toStore("CostFunctionJAtCurrentOptimum") or \
- selfA._toStore("CostFunctionJbAtCurrentOptimum") or \
- selfA._toStore("CostFunctionJoAtCurrentOptimum") or \
- selfA._toStore("SimulatedObservationAtCurrentOptimum"):
- IndexMin = numpy.argmin( selfA.StoredVariables["CostFunctionJ"][nbPreviousSteps:] ) + nbPreviousSteps
- if selfA._toStore("IndexOfOptimum"):
- selfA.StoredVariables["IndexOfOptimum"].store( IndexMin )
- if selfA._toStore("CurrentOptimum"):
- selfA.StoredVariables["CurrentOptimum"].store( selfA.StoredVariables["CurrentState"][IndexMin] )
- if selfA._toStore("SimulatedObservationAtCurrentOptimum"):
- selfA.StoredVariables["SimulatedObservationAtCurrentOptimum"].store( selfA.StoredVariables["SimulatedObservationAtCurrentState"][IndexMin] )
- if selfA._toStore("CostFunctionJbAtCurrentOptimum"):
- selfA.StoredVariables["CostFunctionJbAtCurrentOptimum"].store( selfA.StoredVariables["CostFunctionJb"][IndexMin] )
- if selfA._toStore("CostFunctionJoAtCurrentOptimum"):
- selfA.StoredVariables["CostFunctionJoAtCurrentOptimum"].store( selfA.StoredVariables["CostFunctionJo"][IndexMin] )
- if selfA._toStore("CostFunctionJAtCurrentOptimum"):
- selfA.StoredVariables["CostFunctionJAtCurrentOptimum" ].store( selfA.StoredVariables["CostFunctionJ" ][IndexMin] )
- return J
- #
- def GradientOfCostFunction(x):
- _X = numpy.asmatrix(numpy.ravel( x )).T
- _HX = Hm( _X )
- _HX = numpy.asmatrix(numpy.ravel( _HX )).T
- GradJb = BI * (_X - Xb)
- GradJo = - Ha( (_X, RI * (Y - _HX)) )
- GradJ = numpy.ravel( GradJb ) + numpy.ravel( GradJo )
- return GradJ
- #
- # Minimisation de la fonctionnelle
- # --------------------------------
- nbPreviousSteps = selfA.StoredVariables["CostFunctionJ"].stepnumber()
- #
- if selfA._parameters["Minimizer"] == "LBFGSB":
- if "0.19" <= scipy.version.version <= "1.1.0":
- import lbfgsbhlt as optimiseur
- else:
- import scipy.optimize as optimiseur
- Minimum, J_optimal, Informations = optimiseur.fmin_l_bfgs_b(
- func = CostFunction,
- x0 = Xini,
- fprime = GradientOfCostFunction,
- args = (),
- bounds = selfA._parameters["Bounds"],
- maxfun = selfA._parameters["MaximumNumberOfSteps"]-1,
- factr = selfA._parameters["CostDecrementTolerance"]*1.e14,
- pgtol = selfA._parameters["ProjectedGradientTolerance"],
- iprint = selfA._parameters["optiprint"],
- )
- nfeval = Informations['funcalls']
- rc = Informations['warnflag']
- elif selfA._parameters["Minimizer"] == "TNC":
- Minimum, nfeval, rc = scipy.optimize.fmin_tnc(
- func = CostFunction,
- x0 = Xini,
- fprime = GradientOfCostFunction,
- args = (),
- bounds = selfA._parameters["Bounds"],
- maxfun = selfA._parameters["MaximumNumberOfSteps"],
- pgtol = selfA._parameters["ProjectedGradientTolerance"],
- ftol = selfA._parameters["CostDecrementTolerance"],
- messages = selfA._parameters["optmessages"],
- )
- elif selfA._parameters["Minimizer"] == "CG":
- Minimum, fopt, nfeval, grad_calls, rc = scipy.optimize.fmin_cg(
- f = CostFunction,
- x0 = Xini,
- fprime = GradientOfCostFunction,
- args = (),
- maxiter = selfA._parameters["MaximumNumberOfSteps"],
- gtol = selfA._parameters["GradientNormTolerance"],
- disp = selfA._parameters["optdisp"],
- full_output = True,
- )
- elif selfA._parameters["Minimizer"] == "NCG":
- Minimum, fopt, nfeval, grad_calls, hcalls, rc = scipy.optimize.fmin_ncg(
- f = CostFunction,
- x0 = Xini,
- fprime = GradientOfCostFunction,
- args = (),
- maxiter = selfA._parameters["MaximumNumberOfSteps"],
- avextol = selfA._parameters["CostDecrementTolerance"],
- disp = selfA._parameters["optdisp"],
- full_output = True,
- )
- elif selfA._parameters["Minimizer"] == "BFGS":
- Minimum, fopt, gopt, Hopt, nfeval, grad_calls, rc = scipy.optimize.fmin_bfgs(
- f = CostFunction,
- x0 = Xini,
- fprime = GradientOfCostFunction,
- args = (),
- maxiter = selfA._parameters["MaximumNumberOfSteps"],
- gtol = selfA._parameters["GradientNormTolerance"],
- disp = selfA._parameters["optdisp"],
- full_output = True,
- )
+ # Résultat souvent identique à numpy.cov, mais plus robuste
+ __n, __m = numpy.asarray( __Ensemble ).shape
+ __Anomalies = EnsembleOfAnomalies( __Ensemble )
+ # Estimation empirique
+ __Covariance = ( __Anomalies @ __Anomalies.T ) / (__m - 1)
+ # Assure la symétrie
+ __Covariance = ( __Covariance + __Covariance.T ) * 0.5
+ # Assure la positivité
+ __epsilon = mpr * numpy.trace( __Covariance )
+ __Covariance = __Covariance + __epsilon * numpy.identity(__n)
+ #
+ return __Covariance
+
+# ==============================================================================
+def SingularValuesEstimation( __Ensemble, __Using = "SVDVALS"):
+ "Renvoie les valeurs singulières de l'ensemble et leur carré"
+ if __Using == "SVDVALS": # Recommandé
+ __sv = scipy.linalg.svdvals( __Ensemble )
+ __svsq = __sv**2
+ elif __Using == "SVD":
+ _, __sv, _ = numpy.linalg.svd( __Ensemble )
+ __svsq = __sv**2
+ elif __Using == "EIG": # Lent
+ __eva, __eve = numpy.linalg.eig( __Ensemble @ __Ensemble.T )
+ __svsq = numpy.sort(numpy.abs(numpy.real( __eva )))[::-1]
+ __sv = numpy.sqrt( __svsq )
+ elif __Using == "EIGH":
+ __eva, __eve = numpy.linalg.eigh( __Ensemble @ __Ensemble.T )
+ __svsq = numpy.sort(numpy.abs(numpy.real( __eva )))[::-1]
+ __sv = numpy.sqrt( __svsq )
+ elif __Using == "EIGVALS":
+ __eva = numpy.linalg.eigvals( __Ensemble @ __Ensemble.T )
+ __svsq = numpy.sort(numpy.abs(numpy.real( __eva )))[::-1]
+ __sv = numpy.sqrt( __svsq )
+ elif __Using == "EIGVALSH":
+ __eva = numpy.linalg.eigvalsh( __Ensemble @ __Ensemble.T )
+ __svsq = numpy.sort(numpy.abs(numpy.real( __eva )))[::-1]
+ __sv = numpy.sqrt( __svsq )
else:
- raise ValueError("Error in Minimizer name: %s"%selfA._parameters["Minimizer"])
- #
- IndexMin = numpy.argmin( selfA.StoredVariables["CostFunctionJ"][nbPreviousSteps:] ) + nbPreviousSteps
- MinJ = selfA.StoredVariables["CostFunctionJ"][IndexMin]
- #
- # Correction pour pallier a un bug de TNC sur le retour du Minimum
- # ----------------------------------------------------------------
- if selfA._parameters["StoreInternalVariables"] or selfA._toStore("CurrentState"):
- Minimum = selfA.StoredVariables["CurrentState"][IndexMin]
- #
- # Obtention de l'analyse
- # ----------------------
- Xa = numpy.asmatrix(numpy.ravel( Minimum )).T
- #
- selfA.StoredVariables["Analysis"].store( Xa.A1 )
+ raise ValueError("Error in requested variant name: %s"%__Using)
#
- if selfA._toStore("OMA") or \
- selfA._toStore("SigmaObs2") or \
- selfA._toStore("SimulationQuantiles") or \
- selfA._toStore("SimulatedObservationAtOptimum"):
- if selfA._toStore("SimulatedObservationAtCurrentState"):
- HXa = selfA.StoredVariables["SimulatedObservationAtCurrentState"][IndexMin]
- elif selfA._toStore("SimulatedObservationAtCurrentOptimum"):
- HXa = selfA.StoredVariables["SimulatedObservationAtCurrentOptimum"][-1]
- else:
- HXa = Hm( Xa )
- #
- # Calcul de la covariance d'analyse
- # ---------------------------------
- if selfA._toStore("APosterioriCovariance") or \
- selfA._toStore("SimulationQuantiles") or \
- selfA._toStore("JacobianMatrixAtOptimum") or \
- selfA._toStore("KalmanGainAtOptimum"):
- HtM = HO["Tangent"].asMatrix(ValueForMethodForm = Xa)
- HtM = HtM.reshape(Y.size,Xa.size) # ADAO & check shape
- if selfA._toStore("APosterioriCovariance") or \
- selfA._toStore("SimulationQuantiles") or \
- selfA._toStore("KalmanGainAtOptimum"):
- HaM = HO["Adjoint"].asMatrix(ValueForMethodForm = Xa)
- HaM = HaM.reshape(Xa.size,Y.size) # ADAO & check shape
- if selfA._toStore("APosterioriCovariance") or \
- selfA._toStore("SimulationQuantiles"):
- HessienneI = []
- nb = Xa.size
- for i in range(nb):
- _ee = numpy.matrix(numpy.zeros(nb)).T
- _ee[i] = 1.
- _HtEE = numpy.dot(HtM,_ee)
- _HtEE = numpy.asmatrix(numpy.ravel( _HtEE )).T
- HessienneI.append( numpy.ravel( BI*_ee + HaM * (RI * _HtEE) ) )
- HessienneI = numpy.matrix( HessienneI )
- A = HessienneI.I
- if min(A.shape) != max(A.shape):
- raise ValueError("The %s a posteriori covariance matrix A is of shape %s, despites it has to be a squared matrix. There is an error in the observation operator, please check it."%(selfA._name,str(A.shape)))
- if (numpy.diag(A) < 0).any():
- raise ValueError("The %s a posteriori covariance matrix A has at least one negative value on its diagonal. There is an error in the observation operator, please check it."%(selfA._name,))
- if logging.getLogger().level < logging.WARNING: # La verification n'a lieu qu'en debug
- try:
- L = numpy.linalg.cholesky( A )
- except:
- raise ValueError("The %s a posteriori covariance matrix A is not symmetric positive-definite. Please check your a priori covariances and your observation operator."%(selfA._name,))
- if selfA._toStore("APosterioriCovariance"):
- selfA.StoredVariables["APosterioriCovariance"].store( A )
- if selfA._toStore("JacobianMatrixAtOptimum"):
- selfA.StoredVariables["JacobianMatrixAtOptimum"].store( HtM )
- if selfA._toStore("KalmanGainAtOptimum"):
- if (Y.size <= Xb.size): KG = B * HaM * (R + numpy.dot(HtM, B * HaM)).I
- elif (Y.size > Xb.size): KG = (BI + numpy.dot(HaM, RI * HtM)).I * HaM * RI
- selfA.StoredVariables["KalmanGainAtOptimum"].store( KG )
- #
- # Calculs et/ou stockages supplémentaires
- # ---------------------------------------
- if selfA._toStore("Innovation") or \
- selfA._toStore("SigmaObs2") or \
- selfA._toStore("MahalanobisConsistency") or \
- selfA._toStore("OMB"):
- d = Y - HXb
- if selfA._toStore("Innovation"):
- selfA.StoredVariables["Innovation"].store( numpy.ravel(d) )
- if selfA._toStore("BMA"):
- selfA.StoredVariables["BMA"].store( numpy.ravel(Xb) - numpy.ravel(Xa) )
- if selfA._toStore("OMA"):
- selfA.StoredVariables["OMA"].store( numpy.ravel(Y) - numpy.ravel(HXa) )
- if selfA._toStore("OMB"):
- selfA.StoredVariables["OMB"].store( numpy.ravel(d) )
- if selfA._toStore("SigmaObs2"):
- TraceR = R.trace(Y.size)
- selfA.StoredVariables["SigmaObs2"].store( float( (d.T * (numpy.asmatrix(numpy.ravel(Y)).T-numpy.asmatrix(numpy.ravel(HXa)).T)) ) / TraceR )
- if selfA._toStore("MahalanobisConsistency"):
- selfA.StoredVariables["MahalanobisConsistency"].store( float( 2.*MinJ/d.size ) )
- if selfA._toStore("SimulationQuantiles"):
- nech = selfA._parameters["NumberOfSamplesForQuantiles"]
- HXa = numpy.matrix(numpy.ravel( HXa )).T
- YfQ = None
- for i in range(nech):
- if selfA._parameters["SimulationForQuantiles"] == "Linear":
- dXr = numpy.matrix(numpy.random.multivariate_normal(Xa.A1,A) - Xa.A1).T
- dYr = numpy.matrix(numpy.ravel( HtM * dXr )).T
- Yr = HXa + dYr
- elif selfA._parameters["SimulationForQuantiles"] == "NonLinear":
- Xr = numpy.matrix(numpy.random.multivariate_normal(Xa.A1,A)).T
- Yr = numpy.matrix(numpy.ravel( Hm( Xr ) )).T
- if YfQ is None:
- YfQ = Yr
- else:
- YfQ = numpy.hstack((YfQ,Yr))
- YfQ.sort(axis=-1)
- YQ = None
- for quantile in selfA._parameters["Quantiles"]:
- if not (0. <= float(quantile) <= 1.): continue
- indice = int(nech * float(quantile) - 1./nech)
- if YQ is None: YQ = YfQ[:,indice]
- else: YQ = numpy.hstack((YQ,YfQ[:,indice]))
- selfA.StoredVariables["SimulationQuantiles"].store( YQ )
- if selfA._toStore("SimulatedObservationAtBackground"):
- selfA.StoredVariables["SimulatedObservationAtBackground"].store( numpy.ravel(HXb) )
- if selfA._toStore("SimulatedObservationAtOptimum"):
- selfA.StoredVariables["SimulatedObservationAtOptimum"].store( numpy.ravel(HXa) )
+ __tisv = __svsq / __svsq.sum()
+ __qisv = 1. - __svsq.cumsum() / __svsq.sum()
+ # Différence à 1.e-16 : __qisv = 1. - __tisv.cumsum()
#
- return 0
+ return __sv, __svsq, __tisv, __qisv
# ==============================================================================
-def van3dvar(selfA, Xb, Y, U, HO, EM, CM, R, B, Q):
- """
- 3DVAR variational analysis with no inversion of B (Huang 2000)
+def MaxL2NormByColumn(__Ensemble, __LcCsts = False, __IncludedPoints = []):
+ "Maximum des normes L2 calculées par colonne"
+ if __LcCsts and len(__IncludedPoints) > 0:
+ normes = numpy.linalg.norm(
+ numpy.take(__Ensemble, __IncludedPoints, axis=0, mode='clip'),
+ axis = 0,
+ )
+ else:
+ normes = numpy.linalg.norm( __Ensemble, axis = 0)
+ nmax = numpy.max(normes)
+ imax = numpy.argmax(normes)
+ return nmax, imax, normes
- selfA est identique au "self" d'algorithme appelant et contient les
- valeurs.
- """
- #
- # Correction pour pallier a un bug de TNC sur le retour du Minimum
- if "Minimizer" in selfA._parameters and selfA._parameters["Minimizer"] == "TNC":
- selfA.setParameterValue("StoreInternalVariables",True)
- #
- # Initialisations
- # ---------------
- Hm = HO["Direct"].appliedTo
- Ha = HO["Adjoint"].appliedInXTo
- #
- # Précalcul des inversions de B et R
- BT = B.getT()
- RI = R.getI()
- #
- # Point de démarrage de l'optimisation
- Xini = numpy.zeros(Xb.shape)
- #
- # Définition de la fonction-coût
- # ------------------------------
- def CostFunction(v):
- _V = numpy.asmatrix(numpy.ravel( v )).T
- _X = Xb + B * _V
- if selfA._parameters["StoreInternalVariables"] or \
- selfA._toStore("CurrentState") or \
- selfA._toStore("CurrentOptimum"):
- selfA.StoredVariables["CurrentState"].store( _X )
- _HX = Hm( _X )
- _HX = numpy.asmatrix(numpy.ravel( _HX )).T
- _Innovation = Y - _HX
- if selfA._toStore("SimulatedObservationAtCurrentState") or \
- selfA._toStore("SimulatedObservationAtCurrentOptimum"):
- selfA.StoredVariables["SimulatedObservationAtCurrentState"].store( _HX )
- if selfA._toStore("InnovationAtCurrentState"):
- selfA.StoredVariables["InnovationAtCurrentState"].store( _Innovation )
- #
- Jb = float( 0.5 * _V.T * BT * _V )
- Jo = float( 0.5 * _Innovation.T * RI * _Innovation )
- J = Jb + Jo
- #
- selfA.StoredVariables["CurrentIterationNumber"].store( len(selfA.StoredVariables["CostFunctionJ"]) )
- selfA.StoredVariables["CostFunctionJb"].store( Jb )
- selfA.StoredVariables["CostFunctionJo"].store( Jo )
- selfA.StoredVariables["CostFunctionJ" ].store( J )
- if selfA._toStore("IndexOfOptimum") or \
- selfA._toStore("CurrentOptimum") or \
- selfA._toStore("CostFunctionJAtCurrentOptimum") or \
- selfA._toStore("CostFunctionJbAtCurrentOptimum") or \
- selfA._toStore("CostFunctionJoAtCurrentOptimum") or \
- selfA._toStore("SimulatedObservationAtCurrentOptimum"):
- IndexMin = numpy.argmin( selfA.StoredVariables["CostFunctionJ"][nbPreviousSteps:] ) + nbPreviousSteps
- if selfA._toStore("IndexOfOptimum"):
- selfA.StoredVariables["IndexOfOptimum"].store( IndexMin )
- if selfA._toStore("CurrentOptimum"):
- selfA.StoredVariables["CurrentOptimum"].store( selfA.StoredVariables["CurrentState"][IndexMin] )
- if selfA._toStore("SimulatedObservationAtCurrentOptimum"):
- selfA.StoredVariables["SimulatedObservationAtCurrentOptimum"].store( selfA.StoredVariables["SimulatedObservationAtCurrentState"][IndexMin] )
- if selfA._toStore("CostFunctionJbAtCurrentOptimum"):
- selfA.StoredVariables["CostFunctionJbAtCurrentOptimum"].store( selfA.StoredVariables["CostFunctionJb"][IndexMin] )
- if selfA._toStore("CostFunctionJoAtCurrentOptimum"):
- selfA.StoredVariables["CostFunctionJoAtCurrentOptimum"].store( selfA.StoredVariables["CostFunctionJo"][IndexMin] )
- if selfA._toStore("CostFunctionJAtCurrentOptimum"):
- selfA.StoredVariables["CostFunctionJAtCurrentOptimum" ].store( selfA.StoredVariables["CostFunctionJ" ][IndexMin] )
- return J
- #
- def GradientOfCostFunction(v):
- _V = numpy.asmatrix(numpy.ravel( v )).T
- _X = Xb + B * _V
- _HX = Hm( _X )
- _HX = numpy.asmatrix(numpy.ravel( _HX )).T
- GradJb = BT * _V
- GradJo = - Ha( (_X, RI * (Y - _HX)) )
- GradJ = numpy.ravel( GradJb ) + numpy.ravel( GradJo )
- return GradJ
- #
- # Minimisation de la fonctionnelle
- # --------------------------------
- nbPreviousSteps = selfA.StoredVariables["CostFunctionJ"].stepnumber()
- #
- if selfA._parameters["Minimizer"] == "LBFGSB":
- if "0.19" <= scipy.version.version <= "1.1.0":
- import lbfgsbhlt as optimiseur
- else:
- import scipy.optimize as optimiseur
- Minimum, J_optimal, Informations = optimiseur.fmin_l_bfgs_b(
- func = CostFunction,
- x0 = Xini,
- fprime = GradientOfCostFunction,
- args = (),
- bounds = selfA._parameters["Bounds"],
- maxfun = selfA._parameters["MaximumNumberOfSteps"]-1,
- factr = selfA._parameters["CostDecrementTolerance"]*1.e14,
- pgtol = selfA._parameters["ProjectedGradientTolerance"],
- iprint = selfA._parameters["optiprint"],
- )
- nfeval = Informations['funcalls']
- rc = Informations['warnflag']
- elif selfA._parameters["Minimizer"] == "TNC":
- Minimum, nfeval, rc = scipy.optimize.fmin_tnc(
- func = CostFunction,
- x0 = Xini,
- fprime = GradientOfCostFunction,
- args = (),
- bounds = selfA._parameters["Bounds"],
- maxfun = selfA._parameters["MaximumNumberOfSteps"],
- pgtol = selfA._parameters["ProjectedGradientTolerance"],
- ftol = selfA._parameters["CostDecrementTolerance"],
- messages = selfA._parameters["optmessages"],
- )
- elif selfA._parameters["Minimizer"] == "CG":
- Minimum, fopt, nfeval, grad_calls, rc = scipy.optimize.fmin_cg(
- f = CostFunction,
- x0 = Xini,
- fprime = GradientOfCostFunction,
- args = (),
- maxiter = selfA._parameters["MaximumNumberOfSteps"],
- gtol = selfA._parameters["GradientNormTolerance"],
- disp = selfA._parameters["optdisp"],
- full_output = True,
- )
- elif selfA._parameters["Minimizer"] == "NCG":
- Minimum, fopt, nfeval, grad_calls, hcalls, rc = scipy.optimize.fmin_ncg(
- f = CostFunction,
- x0 = Xini,
- fprime = GradientOfCostFunction,
- args = (),
- maxiter = selfA._parameters["MaximumNumberOfSteps"],
- avextol = selfA._parameters["CostDecrementTolerance"],
- disp = selfA._parameters["optdisp"],
- full_output = True,
- )
- elif selfA._parameters["Minimizer"] == "BFGS":
- Minimum, fopt, gopt, Hopt, nfeval, grad_calls, rc = scipy.optimize.fmin_bfgs(
- f = CostFunction,
- x0 = Xini,
- fprime = GradientOfCostFunction,
- args = (),
- maxiter = selfA._parameters["MaximumNumberOfSteps"],
- gtol = selfA._parameters["GradientNormTolerance"],
- disp = selfA._parameters["optdisp"],
- full_output = True,
- )
+def MaxLinfNormByColumn(__Ensemble, __LcCsts = False, __IncludedPoints = []):
+ "Maximum des normes Linf calculées par colonne"
+ if __LcCsts and len(__IncludedPoints) > 0:
+ normes = numpy.linalg.norm(
+ numpy.take(__Ensemble, __IncludedPoints, axis=0, mode='clip'),
+ axis = 0, ord=numpy.inf,
+ )
else:
- raise ValueError("Error in Minimizer name: %s"%selfA._parameters["Minimizer"])
- #
- IndexMin = numpy.argmin( selfA.StoredVariables["CostFunctionJ"][nbPreviousSteps:] ) + nbPreviousSteps
- MinJ = selfA.StoredVariables["CostFunctionJ"][IndexMin]
- #
- # Correction pour pallier a un bug de TNC sur le retour du Minimum
- # ----------------------------------------------------------------
- if selfA._parameters["StoreInternalVariables"] or selfA._toStore("CurrentState"):
- Minimum = selfA.StoredVariables["CurrentState"][IndexMin]
- Minimum = numpy.asmatrix(numpy.ravel( Minimum )).T
+ normes = numpy.linalg.norm( __Ensemble, axis = 0, ord=numpy.inf)
+ nmax = numpy.max(normes)
+ imax = numpy.argmax(normes)
+ return nmax, imax, normes
+
+def InterpolationErrorByColumn(
+ __Ensemble = None, __Basis = None, __Points = None, __M = 2, # Usage 1
+ __Differences = None, # Usage 2
+ __ErrorNorm = None, # Commun
+ __LcCsts = False, __IncludedPoints = [], # Commun
+ __CDM = False, # ComputeMaxDifference # Commun
+ __RMU = False, # ReduceMemoryUse # Commun
+ __FTL = False, # ForceTril # Commun
+ ): # noqa: E123
+ "Analyse des normes d'erreurs d'interpolation calculées par colonne"
+ if __ErrorNorm == "L2":
+ NormByColumn = MaxL2NormByColumn
else:
- Minimum = Xb + B * numpy.asmatrix(numpy.ravel( Minimum )).T
- #
- # Obtention de l'analyse
- # ----------------------
- Xa = Minimum
+ NormByColumn = MaxLinfNormByColumn
#
- selfA.StoredVariables["Analysis"].store( Xa )
- #
- if selfA._toStore("OMA") or \
- selfA._toStore("SigmaObs2") or \
- selfA._toStore("SimulationQuantiles") or \
- selfA._toStore("SimulatedObservationAtOptimum"):
- if selfA._toStore("SimulatedObservationAtCurrentState"):
- HXa = selfA.StoredVariables["SimulatedObservationAtCurrentState"][IndexMin]
- elif selfA._toStore("SimulatedObservationAtCurrentOptimum"):
- HXa = selfA.StoredVariables["SimulatedObservationAtCurrentOptimum"][-1]
+ if __Differences is None and not __RMU: # Usage 1
+ if __FTL:
+ rBasis = numpy.tril( __Basis[__Points, :] )
else:
- HXa = Hm( Xa )
- #
- # Calcul de la covariance d'analyse
- # ---------------------------------
- if selfA._toStore("APosterioriCovariance") or \
- selfA._toStore("SimulationQuantiles") or \
- selfA._toStore("JacobianMatrixAtOptimum") or \
- selfA._toStore("KalmanGainAtOptimum"):
- HtM = HO["Tangent"].asMatrix(ValueForMethodForm = Xa)
- HtM = HtM.reshape(Y.size,Xa.size) # ADAO & check shape
- if selfA._toStore("APosterioriCovariance") or \
- selfA._toStore("SimulationQuantiles") or \
- selfA._toStore("KalmanGainAtOptimum"):
- HaM = HO["Adjoint"].asMatrix(ValueForMethodForm = Xa)
- HaM = HaM.reshape(Xa.size,Y.size) # ADAO & check shape
- if selfA._toStore("APosterioriCovariance") or \
- selfA._toStore("SimulationQuantiles"):
- BI = B.getI()
- HessienneI = []
- nb = Xa.size
- for i in range(nb):
- _ee = numpy.matrix(numpy.zeros(nb)).T
- _ee[i] = 1.
- _HtEE = numpy.dot(HtM,_ee)
- _HtEE = numpy.asmatrix(numpy.ravel( _HtEE )).T
- HessienneI.append( numpy.ravel( BI*_ee + HaM * (RI * _HtEE) ) )
- HessienneI = numpy.matrix( HessienneI )
- A = HessienneI.I
- if min(A.shape) != max(A.shape):
- raise ValueError("The %s a posteriori covariance matrix A is of shape %s, despites it has to be a squared matrix. There is an error in the observation operator, please check it."%(selfA._name,str(A.shape)))
- if (numpy.diag(A) < 0).any():
- raise ValueError("The %s a posteriori covariance matrix A has at least one negative value on its diagonal. There is an error in the observation operator, please check it."%(selfA._name,))
- if logging.getLogger().level < logging.WARNING: # La verification n'a lieu qu'en debug
- try:
- L = numpy.linalg.cholesky( A )
- except:
- raise ValueError("The %s a posteriori covariance matrix A is not symmetric positive-definite. Please check your a priori covariances and your observation operator."%(selfA._name,))
- if selfA._toStore("APosterioriCovariance"):
- selfA.StoredVariables["APosterioriCovariance"].store( A )
- if selfA._toStore("JacobianMatrixAtOptimum"):
- selfA.StoredVariables["JacobianMatrixAtOptimum"].store( HtM )
- if selfA._toStore("KalmanGainAtOptimum"):
- if (Y.size <= Xb.size): KG = B * HaM * (R + numpy.dot(HtM, B * HaM)).I
- elif (Y.size > Xb.size): KG = (BI + numpy.dot(HaM, RI * HtM)).I * HaM * RI
- selfA.StoredVariables["KalmanGainAtOptimum"].store( KG )
- #
- # Calculs et/ou stockages supplémentaires
- # ---------------------------------------
- if selfA._toStore("Innovation") or \
- selfA._toStore("SigmaObs2") or \
- selfA._toStore("MahalanobisConsistency") or \
- selfA._toStore("OMB"):
- d = Y - HXb
- if selfA._toStore("Innovation"):
- selfA.StoredVariables["Innovation"].store( numpy.ravel(d) )
- if selfA._toStore("BMA"):
- selfA.StoredVariables["BMA"].store( numpy.ravel(Xb) - numpy.ravel(Xa) )
- if selfA._toStore("OMA"):
- selfA.StoredVariables["OMA"].store( numpy.ravel(Y) - numpy.ravel(HXa) )
- if selfA._toStore("OMB"):
- selfA.StoredVariables["OMB"].store( numpy.ravel(d) )
- if selfA._toStore("SigmaObs2"):
- TraceR = R.trace(Y.size)
- selfA.StoredVariables["SigmaObs2"].store( float( (d.T * (numpy.asmatrix(numpy.ravel(Y)).T-numpy.asmatrix(numpy.ravel(HXa)).T)) ) / TraceR )
- if selfA._toStore("MahalanobisConsistency"):
- selfA.StoredVariables["MahalanobisConsistency"].store( float( 2.*MinJ/d.size ) )
- if selfA._toStore("SimulationQuantiles"):
- nech = selfA._parameters["NumberOfSamplesForQuantiles"]
- HXa = numpy.matrix(numpy.ravel( HXa )).T
- YfQ = None
- for i in range(nech):
- if selfA._parameters["SimulationForQuantiles"] == "Linear":
- dXr = numpy.matrix(numpy.random.multivariate_normal(Xa.A1,A) - Xa.A1).T
- dYr = numpy.matrix(numpy.ravel( HtM * dXr )).T
- Yr = HXa + dYr
- elif selfA._parameters["SimulationForQuantiles"] == "NonLinear":
- Xr = numpy.matrix(numpy.random.multivariate_normal(Xa.A1,A)).T
- Yr = numpy.matrix(numpy.ravel( Hm( Xr ) )).T
- if YfQ is None:
- YfQ = Yr
- else:
- YfQ = numpy.hstack((YfQ,Yr))
- YfQ.sort(axis=-1)
- YQ = None
- for quantile in selfA._parameters["Quantiles"]:
- if not (0. <= float(quantile) <= 1.): continue
- indice = int(nech * float(quantile) - 1./nech)
- if YQ is None: YQ = YfQ[:,indice]
- else: YQ = numpy.hstack((YQ,YfQ[:,indice]))
- selfA.StoredVariables["SimulationQuantiles"].store( YQ )
- if selfA._toStore("SimulatedObservationAtBackground"):
- selfA.StoredVariables["SimulatedObservationAtBackground"].store( numpy.ravel(HXb) )
- if selfA._toStore("SimulatedObservationAtOptimum"):
- selfA.StoredVariables["SimulatedObservationAtOptimum"].store( numpy.ravel(HXa) )
- #
- return 0
-
-# ==============================================================================
-def incr3dvar(selfA, Xb, Y, U, HO, EM, CM, R, B, Q):
- """
- 3DVAR incrémental (Courtier 1994, 1997)
-
- selfA est identique au "self" d'algorithme appelant et contient les
- valeurs.
- """
- #
- # Correction pour pallier a un bug de TNC sur le retour du Minimum
- if "Minimizer" in selfA._parameters and selfA._parameters["Minimizer"] == "TNC":
- selfA.setParameterValue("StoreInternalVariables",True)
- #
- # Initialisations
- # ---------------
- #
- # Opérateur non-linéaire pour la boucle externe
- Hm = HO["Direct"].appliedTo
- #
- # Précalcul des inversions de B et R
- BI = B.getI()
- RI = R.getI()
- #
- # Point de démarrage de l'optimisation
- Xini = selfA._parameters["InitializationPoint"]
- #
- HXb = numpy.asmatrix(numpy.ravel( Hm( Xb ) )).T
- Innovation = Y - HXb
- #
- # Outer Loop
- # ----------
- iOuter = 0
- J = 1./mpr
- DeltaJ = 1./mpr
- Xr = Xini.reshape((-1,1))
- while abs(DeltaJ) >= selfA._parameters["CostDecrementTolerance"] and iOuter <= selfA._parameters["MaximumNumberOfSteps"]:
+ rBasis = __Basis[__Points, :]
+ rEnsemble = __Ensemble[__Points, :]
#
- # Inner Loop
- # ----------
- Ht = HO["Tangent"].asMatrix(Xr)
- Ht = Ht.reshape(Y.size,Xr.size) # ADAO & check shape
+ if __M > 1:
+ rBasis_inv = numpy.linalg.inv(rBasis)
+ Interpolator = numpy.dot(__Basis, numpy.dot(rBasis_inv, rEnsemble))
+ else:
+ rBasis_inv = 1. / rBasis
+ Interpolator = numpy.outer(__Basis, numpy.outer(rBasis_inv, rEnsemble))
#
- # Définition de la fonction-coût
- # ------------------------------
- def CostFunction(dx):
- _dX = numpy.asmatrix(numpy.ravel( dx )).T
- if selfA._parameters["StoreInternalVariables"] or \
- selfA._toStore("CurrentState") or \
- selfA._toStore("CurrentOptimum"):
- selfA.StoredVariables["CurrentState"].store( Xb + _dX )
- _HdX = Ht * _dX
- _HdX = numpy.asmatrix(numpy.ravel( _HdX )).T
- _dInnovation = Innovation - _HdX
- if selfA._toStore("SimulatedObservationAtCurrentState") or \
- selfA._toStore("SimulatedObservationAtCurrentOptimum"):
- selfA.StoredVariables["SimulatedObservationAtCurrentState"].store( HXb + _HdX )
- if selfA._toStore("InnovationAtCurrentState"):
- selfA.StoredVariables["InnovationAtCurrentState"].store( _dInnovation )
- #
- Jb = float( 0.5 * _dX.T * BI * _dX )
- Jo = float( 0.5 * _dInnovation.T * RI * _dInnovation )
- J = Jb + Jo
- #
- selfA.StoredVariables["CurrentIterationNumber"].store( len(selfA.StoredVariables["CostFunctionJ"]) )
- selfA.StoredVariables["CostFunctionJb"].store( Jb )
- selfA.StoredVariables["CostFunctionJo"].store( Jo )
- selfA.StoredVariables["CostFunctionJ" ].store( J )
- if selfA._toStore("IndexOfOptimum") or \
- selfA._toStore("CurrentOptimum") or \
- selfA._toStore("CostFunctionJAtCurrentOptimum") or \
- selfA._toStore("CostFunctionJbAtCurrentOptimum") or \
- selfA._toStore("CostFunctionJoAtCurrentOptimum") or \
- selfA._toStore("SimulatedObservationAtCurrentOptimum"):
- IndexMin = numpy.argmin( selfA.StoredVariables["CostFunctionJ"][nbPreviousSteps:] ) + nbPreviousSteps
- if selfA._toStore("IndexOfOptimum"):
- selfA.StoredVariables["IndexOfOptimum"].store( IndexMin )
- if selfA._toStore("CurrentOptimum"):
- selfA.StoredVariables["CurrentOptimum"].store( selfA.StoredVariables["CurrentState"][IndexMin] )
- if selfA._toStore("SimulatedObservationAtCurrentOptimum"):
- selfA.StoredVariables["SimulatedObservationAtCurrentOptimum"].store( selfA.StoredVariables["SimulatedObservationAtCurrentState"][IndexMin] )
- if selfA._toStore("CostFunctionJbAtCurrentOptimum"):
- selfA.StoredVariables["CostFunctionJbAtCurrentOptimum"].store( selfA.StoredVariables["CostFunctionJb"][IndexMin] )
- if selfA._toStore("CostFunctionJoAtCurrentOptimum"):
- selfA.StoredVariables["CostFunctionJoAtCurrentOptimum"].store( selfA.StoredVariables["CostFunctionJo"][IndexMin] )
- if selfA._toStore("CostFunctionJAtCurrentOptimum"):
- selfA.StoredVariables["CostFunctionJAtCurrentOptimum" ].store( selfA.StoredVariables["CostFunctionJ" ][IndexMin] )
- return J
+ differences = __Ensemble - Interpolator
#
- def GradientOfCostFunction(dx):
- _dX = numpy.asmatrix(numpy.ravel( dx )).T
- _HdX = Ht * _dX
- _HdX = numpy.asmatrix(numpy.ravel( _HdX )).T
- _dInnovation = Innovation - _HdX
- GradJb = BI * _dX
- GradJo = - Ht.T @ (RI * _dInnovation)
- GradJ = numpy.ravel( GradJb ) + numpy.ravel( GradJo )
- return GradJ
+ error, nbr, _ = NormByColumn(differences, __LcCsts, __IncludedPoints)
#
- # Minimisation de la fonctionnelle
- # --------------------------------
- nbPreviousSteps = selfA.StoredVariables["CostFunctionJ"].stepnumber()
+ if __CDM:
+ maxDifference = differences[:, nbr]
#
- if selfA._parameters["Minimizer"] == "LBFGSB":
- # Minimum, J_optimal, Informations = scipy.optimize.fmin_l_bfgs_b(
- if "0.19" <= scipy.version.version <= "1.1.0":
- import lbfgsbhlt as optimiseur
- else:
- import scipy.optimize as optimiseur
- Minimum, J_optimal, Informations = optimiseur.fmin_l_bfgs_b(
- func = CostFunction,
- x0 = numpy.zeros(Xini.size),
- fprime = GradientOfCostFunction,
- args = (),
- bounds = selfA._parameters["Bounds"],
- maxfun = selfA._parameters["MaximumNumberOfSteps"]-1,
- factr = selfA._parameters["CostDecrementTolerance"]*1.e14,
- pgtol = selfA._parameters["ProjectedGradientTolerance"],
- iprint = selfA._parameters["optiprint"],
- )
- nfeval = Informations['funcalls']
- rc = Informations['warnflag']
- elif selfA._parameters["Minimizer"] == "TNC":
- Minimum, nfeval, rc = scipy.optimize.fmin_tnc(
- func = CostFunction,
- x0 = numpy.zeros(Xini.size),
- fprime = GradientOfCostFunction,
- args = (),
- bounds = selfA._parameters["Bounds"],
- maxfun = selfA._parameters["MaximumNumberOfSteps"],
- pgtol = selfA._parameters["ProjectedGradientTolerance"],
- ftol = selfA._parameters["CostDecrementTolerance"],
- messages = selfA._parameters["optmessages"],
- )
- elif selfA._parameters["Minimizer"] == "CG":
- Minimum, fopt, nfeval, grad_calls, rc = scipy.optimize.fmin_cg(
- f = CostFunction,
- x0 = numpy.zeros(Xini.size),
- fprime = GradientOfCostFunction,
- args = (),
- maxiter = selfA._parameters["MaximumNumberOfSteps"],
- gtol = selfA._parameters["GradientNormTolerance"],
- disp = selfA._parameters["optdisp"],
- full_output = True,
- )
- elif selfA._parameters["Minimizer"] == "NCG":
- Minimum, fopt, nfeval, grad_calls, hcalls, rc = scipy.optimize.fmin_ncg(
- f = CostFunction,
- x0 = numpy.zeros(Xini.size),
- fprime = GradientOfCostFunction,
- args = (),
- maxiter = selfA._parameters["MaximumNumberOfSteps"],
- avextol = selfA._parameters["CostDecrementTolerance"],
- disp = selfA._parameters["optdisp"],
- full_output = True,
- )
- elif selfA._parameters["Minimizer"] == "BFGS":
- Minimum, fopt, gopt, Hopt, nfeval, grad_calls, rc = scipy.optimize.fmin_bfgs(
- f = CostFunction,
- x0 = numpy.zeros(Xini.size),
- fprime = GradientOfCostFunction,
- args = (),
- maxiter = selfA._parameters["MaximumNumberOfSteps"],
- gtol = selfA._parameters["GradientNormTolerance"],
- disp = selfA._parameters["optdisp"],
- full_output = True,
- )
+ elif __Differences is None and __RMU: # Usage 1
+ if __FTL:
+ rBasis = numpy.tril( __Basis[__Points, :] )
else:
- raise ValueError("Error in Minimizer name: %s"%selfA._parameters["Minimizer"])
+ rBasis = __Basis[__Points, :]
+ rEnsemble = __Ensemble[__Points, :]
#
- IndexMin = numpy.argmin( selfA.StoredVariables["CostFunctionJ"][nbPreviousSteps:] ) + nbPreviousSteps
- MinJ = selfA.StoredVariables["CostFunctionJ"][IndexMin]
- #
- if selfA._parameters["StoreInternalVariables"] or selfA._toStore("CurrentState"):
- Minimum = selfA.StoredVariables["CurrentState"][IndexMin]
- Minimum = numpy.asmatrix(numpy.ravel( Minimum )).T
+ if __M > 1:
+ rBasis_inv = numpy.linalg.inv(rBasis)
+ rCoordinates = numpy.dot(rBasis_inv, rEnsemble)
else:
- Minimum = Xb + numpy.asmatrix(numpy.ravel( Minimum )).T
+ rBasis_inv = 1. / rBasis
+ rCoordinates = numpy.outer(rBasis_inv, rEnsemble)
+ #
+ error = 0.
+ nbr = -1
+ for iCol in range(__Ensemble.shape[1]):
+ if __M > 1:
+ iDifference = __Ensemble[:, iCol] - numpy.dot(__Basis, rCoordinates[:, iCol])
+ else:
+ iDifference = __Ensemble[:, iCol] - numpy.ravel(numpy.outer(__Basis, rCoordinates[:, iCol]))
+ #
+ normDifference, _, _ = NormByColumn(iDifference, __LcCsts, __IncludedPoints)
+ #
+ if normDifference > error:
+ error = normDifference
+ nbr = iCol
#
- Xr = Minimum
- DeltaJ = selfA.StoredVariables["CostFunctionJ" ][-1] - J
- iOuter = selfA.StoredVariables["CurrentIterationNumber"][-1]
- #
- # Obtention de l'analyse
- # ----------------------
- Xa = Xr
- #
- selfA.StoredVariables["Analysis"].store( Xa )
- #
- if selfA._toStore("OMA") or \
- selfA._toStore("SigmaObs2") or \
- selfA._toStore("SimulationQuantiles") or \
- selfA._toStore("SimulatedObservationAtOptimum"):
- if selfA._toStore("SimulatedObservationAtCurrentState"):
- HXa = selfA.StoredVariables["SimulatedObservationAtCurrentState"][IndexMin]
- elif selfA._toStore("SimulatedObservationAtCurrentOptimum"):
- HXa = selfA.StoredVariables["SimulatedObservationAtCurrentOptimum"][-1]
- else:
- HXa = Hm( Xa )
+ if __CDM:
+ maxDifference = __Ensemble[:, nbr] - numpy.dot(__Basis, rCoordinates[:, nbr])
+ #
+ else: # Usage 2
+ differences = __Differences
+ #
+ error, nbr, _ = NormByColumn(differences, __LcCsts, __IncludedPoints)
+ #
+ if __CDM:
+ # faire cette variable intermédiaire coûte cher
+ maxDifference = differences[:, nbr]
#
- # Calcul de la covariance d'analyse
- # ---------------------------------
- if selfA._toStore("APosterioriCovariance") or \
- selfA._toStore("SimulationQuantiles") or \
- selfA._toStore("JacobianMatrixAtOptimum") or \
- selfA._toStore("KalmanGainAtOptimum"):
- HtM = HO["Tangent"].asMatrix(ValueForMethodForm = Xa)
- HtM = HtM.reshape(Y.size,Xa.size) # ADAO & check shape
- if selfA._toStore("APosterioriCovariance") or \
- selfA._toStore("SimulationQuantiles") or \
- selfA._toStore("KalmanGainAtOptimum"):
- HaM = HO["Adjoint"].asMatrix(ValueForMethodForm = Xa)
- HaM = HaM.reshape(Xa.size,Y.size) # ADAO & check shape
- if selfA._toStore("APosterioriCovariance") or \
- selfA._toStore("SimulationQuantiles"):
- HessienneI = []
- nb = Xa.size
- for i in range(nb):
- _ee = numpy.matrix(numpy.zeros(nb)).T
- _ee[i] = 1.
- _HtEE = numpy.dot(HtM,_ee)
- _HtEE = numpy.asmatrix(numpy.ravel( _HtEE )).T
- HessienneI.append( numpy.ravel( BI*_ee + HaM * (RI * _HtEE) ) )
- HessienneI = numpy.matrix( HessienneI )
- A = HessienneI.I
- if min(A.shape) != max(A.shape):
- raise ValueError("The %s a posteriori covariance matrix A is of shape %s, despites it has to be a squared matrix. There is an error in the observation operator, please check it."%(selfA._name,str(A.shape)))
- if (numpy.diag(A) < 0).any():
- raise ValueError("The %s a posteriori covariance matrix A has at least one negative value on its diagonal. There is an error in the observation operator, please check it."%(selfA._name,))
- if logging.getLogger().level < logging.WARNING: # La verification n'a lieu qu'en debug
- try:
- L = numpy.linalg.cholesky( A )
- except:
- raise ValueError("The %s a posteriori covariance matrix A is not symmetric positive-definite. Please check your a priori covariances and your observation operator."%(selfA._name,))
- if selfA._toStore("APosterioriCovariance"):
- selfA.StoredVariables["APosterioriCovariance"].store( A )
- if selfA._toStore("JacobianMatrixAtOptimum"):
- selfA.StoredVariables["JacobianMatrixAtOptimum"].store( HtM )
- if selfA._toStore("KalmanGainAtOptimum"):
- if (Y.size <= Xb.size): KG = B * HaM * (R + numpy.dot(HtM, B * HaM)).I
- elif (Y.size > Xb.size): KG = (BI + numpy.dot(HaM, RI * HtM)).I * HaM * RI
- selfA.StoredVariables["KalmanGainAtOptimum"].store( KG )
+ if __CDM:
+ return error, nbr, maxDifference
+ else:
+ return error, nbr
+
+# ==============================================================================
+def EnsemblePerturbationWithGivenCovariance(
+ __Ensemble,
+ __Covariance,
+ __Seed = None ):
+ "Ajout d'une perturbation à chaque membre d'un ensemble selon une covariance prescrite"
+ if hasattr(__Covariance, "assparsematrix"):
+ if (abs(__Ensemble).mean() > mpr) and (abs(__Covariance.assparsematrix()) / abs(__Ensemble).mean() < mpr).all():
+ # Traitement d'une covariance nulle ou presque
+ return __Ensemble
+ if (abs(__Ensemble).mean() <= mpr) and (abs(__Covariance.assparsematrix()) < mpr).all():
+ # Traitement d'une covariance nulle ou presque
+ return __Ensemble
+ else:
+ if (abs(__Ensemble).mean() > mpr) and (abs(__Covariance) / abs(__Ensemble).mean() < mpr).all():
+ # Traitement d'une covariance nulle ou presque
+ return __Ensemble
+ if (abs(__Ensemble).mean() <= mpr) and (abs(__Covariance) < mpr).all():
+ # Traitement d'une covariance nulle ou presque
+ return __Ensemble
+ #
+ __n, __m = __Ensemble.shape
+ if __Seed is not None:
+ numpy.random.seed(__Seed)
+ #
+ if hasattr(__Covariance, "isscalar") and __Covariance.isscalar():
+ # Traitement d'une covariance multiple de l'identité
+ __zero = 0.
+ __std = numpy.sqrt(__Covariance.assparsematrix())
+ __Ensemble += numpy.random.normal(__zero, __std, size=(__m, __n)).T
+ #
+ elif hasattr(__Covariance, "isvector") and __Covariance.isvector():
+ # Traitement d'une covariance diagonale avec variances non identiques
+ __zero = numpy.zeros(__n)
+ __std = numpy.sqrt(__Covariance.assparsematrix())
+ __Ensemble += numpy.asarray([numpy.random.normal(__zero, __std) for i in range(__m)]).T
+ #
+ elif hasattr(__Covariance, "ismatrix") and __Covariance.ismatrix():
+ # Traitement d'une covariance pleine
+ __Ensemble += numpy.random.multivariate_normal(numpy.zeros(__n), __Covariance.asfullmatrix(__n), size=__m).T
+ #
+ elif isinstance(__Covariance, numpy.ndarray):
+ # Traitement d'une covariance numpy pleine, sachant qu'on arrive ici en dernier
+ __Ensemble += numpy.random.multivariate_normal(numpy.zeros(__n), __Covariance, size=__m).T
#
- # Calculs et/ou stockages supplémentaires
- # ---------------------------------------
- if selfA._toStore("Innovation") or \
- selfA._toStore("SigmaObs2") or \
- selfA._toStore("MahalanobisConsistency") or \
- selfA._toStore("OMB"):
- d = Y - HXb
- if selfA._toStore("Innovation"):
- selfA.StoredVariables["Innovation"].store( numpy.ravel(d) )
- if selfA._toStore("BMA"):
- selfA.StoredVariables["BMA"].store( numpy.ravel(Xb) - numpy.ravel(Xa) )
- if selfA._toStore("OMA"):
- selfA.StoredVariables["OMA"].store( numpy.ravel(Y) - numpy.ravel(HXa) )
- if selfA._toStore("OMB"):
- selfA.StoredVariables["OMB"].store( numpy.ravel(d) )
- if selfA._toStore("SigmaObs2"):
- TraceR = R.trace(Y.size)
- selfA.StoredVariables["SigmaObs2"].store( float( (d.T * (numpy.asmatrix(numpy.ravel(Y)).T-numpy.asmatrix(numpy.ravel(HXa)).T)) ) / TraceR )
- if selfA._toStore("MahalanobisConsistency"):
- selfA.StoredVariables["MahalanobisConsistency"].store( float( 2.*MinJ/d.size ) )
- if selfA._toStore("SimulationQuantiles"):
- nech = selfA._parameters["NumberOfSamplesForQuantiles"]
- HXa = numpy.matrix(numpy.ravel( HXa )).T
- YfQ = None
- for i in range(nech):
- if selfA._parameters["SimulationForQuantiles"] == "Linear":
- dXr = numpy.matrix(numpy.random.multivariate_normal(Xa.A1,A) - Xa.A1).T
- dYr = numpy.matrix(numpy.ravel( HtM * dXr )).T
- Yr = HXa + dYr
- elif selfA._parameters["SimulationForQuantiles"] == "NonLinear":
- Xr = numpy.matrix(numpy.random.multivariate_normal(Xa.A1,A)).T
- Yr = numpy.matrix(numpy.ravel( Hm( Xr ) )).T
- if YfQ is None:
- YfQ = Yr
- else:
- YfQ = numpy.hstack((YfQ,Yr))
- YfQ.sort(axis=-1)
- YQ = None
- for quantile in selfA._parameters["Quantiles"]:
- if not (0. <= float(quantile) <= 1.): continue
- indice = int(nech * float(quantile) - 1./nech)
- if YQ is None: YQ = YfQ[:,indice]
- else: YQ = numpy.hstack((YQ,YfQ[:,indice]))
- selfA.StoredVariables["SimulationQuantiles"].store( YQ )
- if selfA._toStore("SimulatedObservationAtBackground"):
- selfA.StoredVariables["SimulatedObservationAtBackground"].store( numpy.ravel(HXb) )
- if selfA._toStore("SimulatedObservationAtOptimum"):
- selfA.StoredVariables["SimulatedObservationAtOptimum"].store( numpy.ravel(HXa) )
+ else:
+ raise ValueError("Error in ensemble perturbation with inadequate covariance specification")
#
- return 0
+ return __Ensemble
# ==============================================================================
-def psas3dvar(selfA, Xb, Y, U, HO, EM, CM, R, B, Q):
+def CovarianceInflation(
+ __InputCovOrEns,
+ __InflationType = None,
+ __InflationFactor = None,
+ __BackgroundCov = None ):
"""
- 3DVAR PSAS (Huang 2000)
+ Inflation applicable soit sur Pb ou Pa, soit sur les ensembles EXb ou EXa
- selfA est identique au "self" d'algorithme appelant et contient les
- valeurs.
+ Synthèse : Hunt 2007, section 2.3.5
"""
- #
- # Correction pour pallier a un bug de TNC sur le retour du Minimum
- if "Minimizer" in selfA._parameters and selfA._parameters["Minimizer"] == "TNC":
- selfA.setParameterValue("StoreInternalVariables",True)
- #
- # Initialisations
- # ---------------
- #
- # Opérateurs
- Hm = HO["Direct"].appliedTo
- #
- # Utilisation éventuelle d'un vecteur H(Xb) précalculé
- if HO["AppliedInX"] is not None and "HXb" in HO["AppliedInX"]:
- HXb = Hm( Xb, HO["AppliedInX"]["HXb"] )
+ if __InflationFactor is None:
+ return __InputCovOrEns
else:
- HXb = Hm( Xb )
- HXb = numpy.asmatrix(numpy.ravel( HXb )).T
- if Y.size != HXb.size:
- raise ValueError("The size %i of observations Y and %i of observed calculation H(X) are different, they have to be identical."%(Y.size,HXb.size))
- if max(Y.shape) != max(HXb.shape):
- raise ValueError("The shapes %s of observations Y and %s of observed calculation H(X) are different, they have to be identical."%(Y.shape,HXb.shape))
- #
- if selfA._toStore("JacobianMatrixAtBackground"):
- HtMb = HO["Tangent"].asMatrix(ValueForMethodForm = Xb)
- HtMb = HtMb.reshape(Y.size,Xb.size) # ADAO & check shape
- selfA.StoredVariables["JacobianMatrixAtBackground"].store( HtMb )
- #
- Ht = HO["Tangent"].asMatrix(Xb)
- BHT = B * Ht.T
- HBHTpR = R + Ht * BHT
- Innovation = Y - HXb
+ __InflationFactor = float(__InflationFactor)
#
- # Point de démarrage de l'optimisation
- Xini = numpy.zeros(Xb.shape)
- #
- # Définition de la fonction-coût
- # ------------------------------
- def CostFunction(w):
- _W = numpy.asmatrix(numpy.ravel( w )).T
- if selfA._parameters["StoreInternalVariables"] or \
- selfA._toStore("CurrentState") or \
- selfA._toStore("CurrentOptimum"):
- selfA.StoredVariables["CurrentState"].store( Xb + BHT * _W )
- if selfA._toStore("SimulatedObservationAtCurrentState") or \
- selfA._toStore("SimulatedObservationAtCurrentOptimum"):
- selfA.StoredVariables["SimulatedObservationAtCurrentState"].store( Hm( Xb + BHT * _W ) )
- if selfA._toStore("InnovationAtCurrentState"):
- selfA.StoredVariables["InnovationAtCurrentState"].store( Innovation )
- #
- Jb = float( 0.5 * _W.T * HBHTpR * _W )
- Jo = float( - _W.T * Innovation )
- J = Jb + Jo
- #
- selfA.StoredVariables["CurrentIterationNumber"].store( len(selfA.StoredVariables["CostFunctionJ"]) )
- selfA.StoredVariables["CostFunctionJb"].store( Jb )
- selfA.StoredVariables["CostFunctionJo"].store( Jo )
- selfA.StoredVariables["CostFunctionJ" ].store( J )
- if selfA._toStore("IndexOfOptimum") or \
- selfA._toStore("CurrentOptimum") or \
- selfA._toStore("CostFunctionJAtCurrentOptimum") or \
- selfA._toStore("CostFunctionJbAtCurrentOptimum") or \
- selfA._toStore("CostFunctionJoAtCurrentOptimum") or \
- selfA._toStore("SimulatedObservationAtCurrentOptimum"):
- IndexMin = numpy.argmin( selfA.StoredVariables["CostFunctionJ"][nbPreviousSteps:] ) + nbPreviousSteps
- if selfA._toStore("IndexOfOptimum"):
- selfA.StoredVariables["IndexOfOptimum"].store( IndexMin )
- if selfA._toStore("CurrentOptimum"):
- selfA.StoredVariables["CurrentOptimum"].store( selfA.StoredVariables["CurrentState"][IndexMin] )
- if selfA._toStore("SimulatedObservationAtCurrentOptimum"):
- selfA.StoredVariables["SimulatedObservationAtCurrentOptimum"].store( selfA.StoredVariables["SimulatedObservationAtCurrentState"][IndexMin] )
- if selfA._toStore("CostFunctionJbAtCurrentOptimum"):
- selfA.StoredVariables["CostFunctionJbAtCurrentOptimum"].store( selfA.StoredVariables["CostFunctionJb"][IndexMin] )
- if selfA._toStore("CostFunctionJoAtCurrentOptimum"):
- selfA.StoredVariables["CostFunctionJoAtCurrentOptimum"].store( selfA.StoredVariables["CostFunctionJo"][IndexMin] )
- if selfA._toStore("CostFunctionJAtCurrentOptimum"):
- selfA.StoredVariables["CostFunctionJAtCurrentOptimum" ].store( selfA.StoredVariables["CostFunctionJ" ][IndexMin] )
- return J
+ __InputCovOrEns = numpy.asarray(__InputCovOrEns)
+ if __InputCovOrEns.size == 0:
+ return __InputCovOrEns
#
- def GradientOfCostFunction(w):
- _W = numpy.asmatrix(numpy.ravel( w )).T
- GradJb = HBHTpR * _W
- GradJo = - Innovation
- GradJ = numpy.ravel( GradJb ) + numpy.ravel( GradJo )
- return GradJ
+ if __InflationType in ["MultiplicativeOnAnalysisCovariance", "MultiplicativeOnBackgroundCovariance"]:
+ if __InflationFactor < 1.:
+ raise ValueError("Inflation factor for multiplicative inflation has to be greater or equal than 1.")
+ if __InflationFactor < 1. + mpr: # No inflation = 1
+ return __InputCovOrEns
+ __OutputCovOrEns = __InflationFactor**2 * __InputCovOrEns
#
- # Minimisation de la fonctionnelle
- # --------------------------------
- nbPreviousSteps = selfA.StoredVariables["CostFunctionJ"].stepnumber()
+ elif __InflationType in ["MultiplicativeOnAnalysisAnomalies", "MultiplicativeOnBackgroundAnomalies"]:
+ if __InflationFactor < 1.:
+ raise ValueError("Inflation factor for multiplicative inflation has to be greater or equal than 1.")
+ if __InflationFactor < 1. + mpr: # No inflation = 1
+ return __InputCovOrEns
+ __InputCovOrEnsMean = __InputCovOrEns.mean(axis=1, dtype=mfp).astype('float')
+ __OutputCovOrEns = __InputCovOrEnsMean[:, numpy.newaxis] \
+ + __InflationFactor * (__InputCovOrEns - __InputCovOrEnsMean[:, numpy.newaxis])
+ #
+ elif __InflationType in ["AdditiveOnAnalysisCovariance", "AdditiveOnBackgroundCovariance"]:
+ if __InflationFactor < 0.:
+ raise ValueError("Inflation factor for additive inflation has to be greater or equal than 0.")
+ if __InflationFactor < mpr: # No inflation = 0
+ return __InputCovOrEns
+ __n, __m = __InputCovOrEns.shape
+ if __n != __m:
+ raise ValueError("Additive inflation can only be applied to squared (covariance) matrix.")
+ __tr = __InputCovOrEns.trace() / __n
+ if __InflationFactor > __tr:
+ raise ValueError("Inflation factor for additive inflation has to be small over %.0e."%__tr)
+ __OutputCovOrEns = (1. - __InflationFactor) * __InputCovOrEns + __InflationFactor * numpy.identity(__n)
#
- if selfA._parameters["Minimizer"] == "LBFGSB":
- # Minimum, J_optimal, Informations = scipy.optimize.fmin_l_bfgs_b(
- if "0.19" <= scipy.version.version <= "1.1.0":
- import lbfgsbhlt as optimiseur
- else:
- import scipy.optimize as optimiseur
- Minimum, J_optimal, Informations = optimiseur.fmin_l_bfgs_b(
- func = CostFunction,
- x0 = Xini,
- fprime = GradientOfCostFunction,
- args = (),
- bounds = selfA._parameters["Bounds"],
- maxfun = selfA._parameters["MaximumNumberOfSteps"]-1,
- factr = selfA._parameters["CostDecrementTolerance"]*1.e14,
- pgtol = selfA._parameters["ProjectedGradientTolerance"],
- iprint = selfA._parameters["optiprint"],
- )
- nfeval = Informations['funcalls']
- rc = Informations['warnflag']
- elif selfA._parameters["Minimizer"] == "TNC":
- Minimum, nfeval, rc = scipy.optimize.fmin_tnc(
- func = CostFunction,
- x0 = Xini,
- fprime = GradientOfCostFunction,
- args = (),
- bounds = selfA._parameters["Bounds"],
- maxfun = selfA._parameters["MaximumNumberOfSteps"],
- pgtol = selfA._parameters["ProjectedGradientTolerance"],
- ftol = selfA._parameters["CostDecrementTolerance"],
- messages = selfA._parameters["optmessages"],
- )
- elif selfA._parameters["Minimizer"] == "CG":
- Minimum, fopt, nfeval, grad_calls, rc = scipy.optimize.fmin_cg(
- f = CostFunction,
- x0 = Xini,
- fprime = GradientOfCostFunction,
- args = (),
- maxiter = selfA._parameters["MaximumNumberOfSteps"],
- gtol = selfA._parameters["GradientNormTolerance"],
- disp = selfA._parameters["optdisp"],
- full_output = True,
- )
- elif selfA._parameters["Minimizer"] == "NCG":
- Minimum, fopt, nfeval, grad_calls, hcalls, rc = scipy.optimize.fmin_ncg(
- f = CostFunction,
- x0 = Xini,
- fprime = GradientOfCostFunction,
- args = (),
- maxiter = selfA._parameters["MaximumNumberOfSteps"],
- avextol = selfA._parameters["CostDecrementTolerance"],
- disp = selfA._parameters["optdisp"],
- full_output = True,
- )
- elif selfA._parameters["Minimizer"] == "BFGS":
- Minimum, fopt, gopt, Hopt, nfeval, grad_calls, rc = scipy.optimize.fmin_bfgs(
- f = CostFunction,
- x0 = Xini,
- fprime = GradientOfCostFunction,
- args = (),
- maxiter = selfA._parameters["MaximumNumberOfSteps"],
- gtol = selfA._parameters["GradientNormTolerance"],
- disp = selfA._parameters["optdisp"],
- full_output = True,
- )
- else:
- raise ValueError("Error in Minimizer name: %s"%selfA._parameters["Minimizer"])
+ elif __InflationType == "HybridOnBackgroundCovariance":
+ if __InflationFactor < 0.:
+ raise ValueError("Inflation factor for hybrid inflation has to be greater or equal than 0.")
+ if __InflationFactor < mpr: # No inflation = 0
+ return __InputCovOrEns
+ __n, __m = __InputCovOrEns.shape
+ if __n != __m:
+ raise ValueError("Additive inflation can only be applied to squared (covariance) matrix.")
+ if __BackgroundCov is None:
+ raise ValueError("Background covariance matrix B has to be given for hybrid inflation.")
+ if __InputCovOrEns.shape != __BackgroundCov.shape:
+ raise ValueError("Ensemble covariance matrix has to be of same size than background covariance matrix B.")
+ __OutputCovOrEns = (1. - __InflationFactor) * __InputCovOrEns + __InflationFactor * __BackgroundCov
#
- IndexMin = numpy.argmin( selfA.StoredVariables["CostFunctionJ"][nbPreviousSteps:] ) + nbPreviousSteps
- MinJ = selfA.StoredVariables["CostFunctionJ"][IndexMin]
+ elif __InflationType == "Relaxation":
+ raise NotImplementedError("Relaxation inflation type not implemented")
#
- # Correction pour pallier a un bug de TNC sur le retour du Minimum
- # ----------------------------------------------------------------
- if selfA._parameters["StoreInternalVariables"] or selfA._toStore("CurrentState"):
- Minimum = selfA.StoredVariables["CurrentState"][IndexMin]
- Minimum = numpy.asmatrix(numpy.ravel( Minimum )).T
else:
- Minimum = Xb + BHT * numpy.asmatrix(numpy.ravel( Minimum )).T
- #
- # Obtention de l'analyse
- # ----------------------
- Xa = Minimum
- #
- selfA.StoredVariables["Analysis"].store( Xa )
- #
- if selfA._toStore("OMA") or \
- selfA._toStore("SigmaObs2") or \
- selfA._toStore("SimulationQuantiles") or \
- selfA._toStore("SimulatedObservationAtOptimum"):
- if selfA._toStore("SimulatedObservationAtCurrentState"):
- HXa = selfA.StoredVariables["SimulatedObservationAtCurrentState"][IndexMin]
- elif selfA._toStore("SimulatedObservationAtCurrentOptimum"):
- HXa = selfA.StoredVariables["SimulatedObservationAtCurrentOptimum"][-1]
- else:
- HXa = Hm( Xa )
- #
- # Calcul de la covariance d'analyse
- # ---------------------------------
- if selfA._toStore("APosterioriCovariance") or \
- selfA._toStore("SimulationQuantiles") or \
- selfA._toStore("JacobianMatrixAtOptimum") or \
- selfA._toStore("KalmanGainAtOptimum"):
- HtM = HO["Tangent"].asMatrix(ValueForMethodForm = Xa)
- HtM = HtM.reshape(Y.size,Xa.size) # ADAO & check shape
- if selfA._toStore("APosterioriCovariance") or \
- selfA._toStore("SimulationQuantiles") or \
- selfA._toStore("KalmanGainAtOptimum"):
- HaM = HO["Adjoint"].asMatrix(ValueForMethodForm = Xa)
- HaM = HaM.reshape(Xa.size,Y.size) # ADAO & check shape
- if selfA._toStore("APosterioriCovariance") or \
- selfA._toStore("SimulationQuantiles"):
- BI = B.getI()
- RI = R.getI()
- HessienneI = []
- nb = Xa.size
- for i in range(nb):
- _ee = numpy.matrix(numpy.zeros(nb)).T
- _ee[i] = 1.
- _HtEE = numpy.dot(HtM,_ee)
- _HtEE = numpy.asmatrix(numpy.ravel( _HtEE )).T
- HessienneI.append( numpy.ravel( BI*_ee + HaM * (RI * _HtEE) ) )
- HessienneI = numpy.matrix( HessienneI )
- A = HessienneI.I
- if min(A.shape) != max(A.shape):
- raise ValueError("The %s a posteriori covariance matrix A is of shape %s, despites it has to be a squared matrix. There is an error in the observation operator, please check it."%(selfA._name,str(A.shape)))
- if (numpy.diag(A) < 0).any():
- raise ValueError("The %s a posteriori covariance matrix A has at least one negative value on its diagonal. There is an error in the observation operator, please check it."%(selfA._name,))
- if logging.getLogger().level < logging.WARNING: # La verification n'a lieu qu'en debug
- try:
- L = numpy.linalg.cholesky( A )
- except:
- raise ValueError("The %s a posteriori covariance matrix A is not symmetric positive-definite. Please check your a priori covariances and your observation operator."%(selfA._name,))
- if selfA._toStore("APosterioriCovariance"):
- selfA.StoredVariables["APosterioriCovariance"].store( A )
- if selfA._toStore("JacobianMatrixAtOptimum"):
- selfA.StoredVariables["JacobianMatrixAtOptimum"].store( HtM )
- if selfA._toStore("KalmanGainAtOptimum"):
- if (Y.size <= Xb.size): KG = B * HaM * (R + numpy.dot(HtM, B * HaM)).I
- elif (Y.size > Xb.size): KG = (BI + numpy.dot(HaM, RI * HtM)).I * HaM * RI
- selfA.StoredVariables["KalmanGainAtOptimum"].store( KG )
- #
- # Calculs et/ou stockages supplémentaires
- # ---------------------------------------
- if selfA._toStore("Innovation") or \
- selfA._toStore("SigmaObs2") or \
- selfA._toStore("MahalanobisConsistency") or \
- selfA._toStore("OMB"):
- d = Y - HXb
- if selfA._toStore("Innovation"):
- selfA.StoredVariables["Innovation"].store( numpy.ravel(d) )
- if selfA._toStore("BMA"):
- selfA.StoredVariables["BMA"].store( numpy.ravel(Xb) - numpy.ravel(Xa) )
- if selfA._toStore("OMA"):
- selfA.StoredVariables["OMA"].store( numpy.ravel(Y) - numpy.ravel(HXa) )
- if selfA._toStore("OMB"):
- selfA.StoredVariables["OMB"].store( numpy.ravel(d) )
- if selfA._toStore("SigmaObs2"):
- TraceR = R.trace(Y.size)
- selfA.StoredVariables["SigmaObs2"].store( float( (d.T * (numpy.asmatrix(numpy.ravel(Y)).T-numpy.asmatrix(numpy.ravel(HXa)).T)) ) / TraceR )
- if selfA._toStore("MahalanobisConsistency"):
- selfA.StoredVariables["MahalanobisConsistency"].store( float( 2.*MinJ/d.size ) )
- if selfA._toStore("SimulationQuantiles"):
- nech = selfA._parameters["NumberOfSamplesForQuantiles"]
- HXa = numpy.matrix(numpy.ravel( HXa )).T
- YfQ = None
- for i in range(nech):
- if selfA._parameters["SimulationForQuantiles"] == "Linear":
- dXr = numpy.matrix(numpy.random.multivariate_normal(Xa.A1,A) - Xa.A1).T
- dYr = numpy.matrix(numpy.ravel( HtM * dXr )).T
- Yr = HXa + dYr
- elif selfA._parameters["SimulationForQuantiles"] == "NonLinear":
- Xr = numpy.matrix(numpy.random.multivariate_normal(Xa.A1,A)).T
- Yr = numpy.matrix(numpy.ravel( Hm( Xr ) )).T
- if YfQ is None:
- YfQ = Yr
- else:
- YfQ = numpy.hstack((YfQ,Yr))
- YfQ.sort(axis=-1)
- YQ = None
- for quantile in selfA._parameters["Quantiles"]:
- if not (0. <= float(quantile) <= 1.): continue
- indice = int(nech * float(quantile) - 1./nech)
- if YQ is None: YQ = YfQ[:,indice]
- else: YQ = numpy.hstack((YQ,YfQ[:,indice]))
- selfA.StoredVariables["SimulationQuantiles"].store( YQ )
- if selfA._toStore("SimulatedObservationAtBackground"):
- selfA.StoredVariables["SimulatedObservationAtBackground"].store( numpy.ravel(HXb) )
- if selfA._toStore("SimulatedObservationAtOptimum"):
- selfA.StoredVariables["SimulatedObservationAtOptimum"].store( numpy.ravel(HXa) )
+ raise ValueError("Error in inflation type, '%s' is not a valid keyword."%__InflationType)
#
- return 0
+ return __OutputCovOrEns
# ==============================================================================
-def senkf(selfA, Xb, Y, U, HO, EM, CM, R, B, Q, VariantM="KalmanFilterFormula"):
- """
- Stochastic EnKF (Envensen 1994, Burgers 1998)
+def HessienneEstimation( __selfA, __nb, __HaM, __HtM, __BI, __RI ):
+ "Estimation de la Hessienne"
+ #
+ __HessienneI = []
+ for i in range(int(__nb)):
+ __ee = numpy.zeros((__nb, 1))
+ __ee[i] = 1.
+ __HtEE = numpy.dot(__HtM, __ee).reshape((-1, 1))
+ __HessienneI.append( numpy.ravel( __BI * __ee + __HaM * (__RI * __HtEE) ) )
+ #
+ __A = numpy.linalg.inv(numpy.array( __HessienneI ))
+ __A = (__A + __A.T) * 0.5 # Symétrie
+ __A = __A + mpr * numpy.trace( __A ) * numpy.identity(__nb) # Positivité
+ #
+ if min(__A.shape) != max(__A.shape):
+ raise ValueError(
+ "The %s a posteriori covariance matrix A"%(__selfA._name,) + \
+ " is of shape %s, despites it has to be a"%(str(__A.shape),) + \
+ " squared matrix. There is an error in the observation operator," + \
+ " please check it.")
+ if (numpy.diag(__A) < 0).any():
+ raise ValueError(
+ "The %s a posteriori covariance matrix A"%(__selfA._name,) + \
+ " has at least one negative value on its diagonal. There is an" + \
+ " error in the observation operator, please check it.")
+ if logging.getLogger().level < logging.WARNING: # La vérification n'a lieu qu'en debug
+ try:
+ numpy.linalg.cholesky( __A )
+ logging.debug("%s La matrice de covariance a posteriori A est bien symétrique définie positive."%(__selfA._name,))
+ except Exception:
+ raise ValueError(
+ "The %s a posteriori covariance matrix A"%(__selfA._name,) + \
+ " is not symmetric positive-definite. Please check your a" + \
+ " priori covariances and your observation operator.")
+ #
+ return __A
- selfA est identique au "self" d'algorithme appelant et contient les
- valeurs.
- """
- if selfA._parameters["EstimationOf"] == "Parameters":
- selfA._parameters["StoreInternalVariables"] = True
- #
- # Opérateurs
- # ----------
- H = HO["Direct"].appliedControledFormTo
- #
- if selfA._parameters["EstimationOf"] == "State":
- M = EM["Direct"].appliedControledFormTo
- #
- if CM is not None and "Tangent" in CM and U is not None:
- Cm = CM["Tangent"].asMatrix(Xb)
- else:
- Cm = None
- #
- # Nombre de pas identique au nombre de pas d'observations
- # -------------------------------------------------------
- if hasattr(Y,"stepnumber"):
- duration = Y.stepnumber()
- __p = numpy.cumprod(Y.shape())[-1]
+# ==============================================================================
+def QuantilesEstimations( selfA, A, Xa, HXa = None, Hm = None, HtM = None ):
+ "Estimation des quantiles a posteriori à partir de A>0 (selfA est modifié)"
+ nbsamples = selfA._parameters["NumberOfSamplesForQuantiles"]
+ #
+ # Traitement des bornes
+ if "StateBoundsForQuantiles" in selfA._parameters:
+ LBounds = selfA._parameters["StateBoundsForQuantiles"] # Prioritaire
+ elif "Bounds" in selfA._parameters:
+ LBounds = selfA._parameters["Bounds"] # Défaut raisonnable
else:
- duration = 2
- __p = numpy.array(Y).size
- #
- # Précalcul des inversions de B et R
- # ----------------------------------
- if selfA._parameters["StoreInternalVariables"] \
- or selfA._toStore("CostFunctionJ") \
- or selfA._toStore("CostFunctionJb") \
- or selfA._toStore("CostFunctionJo") \
- or selfA._toStore("CurrentOptimum") \
- or selfA._toStore("APosterioriCovariance"):
- BI = B.getI()
- RI = R.getI()
- #
- # Initialisation
- # --------------
- __n = Xb.size
- __m = selfA._parameters["NumberOfMembers"]
- if hasattr(B,"asfullmatrix"): Pn = B.asfullmatrix(__n)
- else: Pn = B
- if hasattr(R,"asfullmatrix"): Rn = R.asfullmatrix(__p)
- else: Rn = R
- if hasattr(Q,"asfullmatrix"): Qn = Q.asfullmatrix(__n)
- else: Qn = Q
- Xn = EnsembleOfBackgroundPerturbations( Xb, None, __m )
- #
- if len(selfA.StoredVariables["Analysis"])==0 or not selfA._parameters["nextStep"]:
- selfA.StoredVariables["Analysis"].store( numpy.ravel(Xb) )
- if selfA._toStore("APosterioriCovariance"):
- selfA.StoredVariables["APosterioriCovariance"].store( Pn )
- covarianceXa = Pn
- #
- previousJMinimum = numpy.finfo(float).max
- #
- for step in range(duration-1):
- if hasattr(Y,"store"):
- Ynpu = numpy.ravel( Y[step+1] ).reshape((__p,-1))
+ LBounds = None
+ if LBounds is not None:
+ LBounds = ForceNumericBounds( LBounds )
+ __Xa = numpy.ravel(Xa)
+ #
+ # Échantillonnage des états
+ YfQ = None
+ EXr = None
+ for i in range(nbsamples):
+ if selfA._parameters["SimulationForQuantiles"] == "Linear" and HtM is not None and HXa is not None:
+ dXr = (numpy.random.multivariate_normal(__Xa, A) - __Xa).reshape((-1, 1))
+ if LBounds is not None: # "EstimateProjection" par défaut
+ dXr = numpy.max(numpy.hstack((dXr, LBounds[:, 0].reshape((-1, 1))) - __Xa.reshape((-1, 1))), axis=1)
+ dXr = numpy.min(numpy.hstack((dXr, LBounds[:, 1].reshape((-1, 1))) - __Xa.reshape((-1, 1))), axis=1)
+ dYr = HtM @ dXr
+ Yr = HXa.reshape((-1, 1)) + dYr
+ if selfA._toStore("SampledStateForQuantiles"):
+ Xr = __Xa + numpy.ravel(dXr)
+ elif selfA._parameters["SimulationForQuantiles"] == "NonLinear" and Hm is not None:
+ Xr = numpy.random.multivariate_normal(__Xa, A)
+ if LBounds is not None: # "EstimateProjection" par défaut
+ Xr = numpy.max(numpy.hstack((Xr.reshape((-1, 1)), LBounds[:, 0].reshape((-1, 1)))), axis=1)
+ Xr = numpy.min(numpy.hstack((Xr.reshape((-1, 1)), LBounds[:, 1].reshape((-1, 1)))), axis=1)
+ Yr = numpy.asarray(Hm( Xr ))
else:
- Ynpu = numpy.ravel( Y ).reshape((__p,-1))
+ raise ValueError("Quantile simulations has only to be Linear or NonLinear.")
#
- if U is not None:
- if hasattr(U,"store") and len(U)>1:
- Un = numpy.asmatrix(numpy.ravel( U[step] )).T
- elif hasattr(U,"store") and len(U)==1:
- Un = numpy.asmatrix(numpy.ravel( U[0] )).T
- else:
- Un = numpy.asmatrix(numpy.ravel( U )).T
+ if YfQ is None:
+ YfQ = Yr.reshape((-1, 1))
+ if selfA._toStore("SampledStateForQuantiles"):
+ EXr = Xr.reshape((-1, 1))
else:
- Un = None
- #
- if selfA._parameters["InflationType"] == "MultiplicativeOnBackgroundAnomalies":
- Xn = CovarianceInflation( Xn,
- selfA._parameters["InflationType"],
- selfA._parameters["InflationFactor"],
- )
- #
- if selfA._parameters["EstimationOf"] == "State": # Forecast + Q and observation of forecast
- EMX = M( [(Xn[:,i], Un) for i in range(__m)],
- argsAsSerie = True,
- returnSerieAsArrayMatrix = True )
- qi = numpy.random.multivariate_normal(numpy.zeros(__n), Qn, size=__m).T
- Xn_predicted = EMX + qi
- HX_predicted = H( [(Xn_predicted[:,i], Un) for i in range(__m)],
- argsAsSerie = True,
- returnSerieAsArrayMatrix = True )
- if Cm is not None and Un is not None: # Attention : si Cm est aussi dans M, doublon !
- Cm = Cm.reshape(__n,Un.size) # ADAO & check shape
- Xn_predicted = Xn_predicted + Cm * Un
- elif selfA._parameters["EstimationOf"] == "Parameters": # Observation of forecast
- # --- > Par principe, M = Id, Q = 0
- Xn_predicted = Xn
- HX_predicted = H( [(Xn_predicted[:,i], Un) for i in range(__m)],
- argsAsSerie = True,
- returnSerieAsArrayMatrix = True )
- #
- # Mean of forecast and observation of forecast
- Xfm = Xn_predicted.mean(axis=1, dtype=mfp).astype('float').reshape((__n,-1))
- Hfm = HX_predicted.mean(axis=1, dtype=mfp).astype('float').reshape((__p,-1))
- #
- #--------------------------
- if VariantM == "KalmanFilterFormula05":
- PfHT, HPfHT = 0., 0.
- for i in range(__m):
- Exfi = Xn_predicted[:,i].reshape((__n,-1)) - Xfm
- Eyfi = HX_predicted[:,i].reshape((__p,-1)) - Hfm
- PfHT += Exfi * Eyfi.T
- HPfHT += Eyfi * Eyfi.T
- PfHT = (1./(__m-1)) * PfHT
- HPfHT = (1./(__m-1)) * HPfHT
- Kn = PfHT * ( R + HPfHT ).I
- del PfHT, HPfHT
- #
- for i in range(__m):
- ri = numpy.random.multivariate_normal(numpy.zeros(__p), Rn)
- Xn[:,i] = numpy.ravel(Xn_predicted[:,i]) + Kn @ (numpy.ravel(Ynpu) + ri - HX_predicted[:,i])
- #--------------------------
- elif VariantM == "KalmanFilterFormula16":
- EpY = EnsembleOfCenteredPerturbations(Ynpu, Rn, __m)
- EpYm = EpY.mean(axis=1, dtype=mfp).astype('float').reshape((__p,-1))
- #
- EaX = EnsembleOfAnomalies( Xn_predicted ) / numpy.sqrt(__m-1)
- EaY = (HX_predicted - Hfm - EpY + EpYm) / numpy.sqrt(__m-1)
- #
- Kn = EaX @ EaY.T @ numpy.linalg.inv( EaY @ EaY.T)
- #
- for i in range(__m):
- Xn[:,i] = numpy.ravel(Xn_predicted[:,i]) + Kn @ (numpy.ravel(EpY[:,i]) - HX_predicted[:,i])
- #--------------------------
+ YfQ = numpy.hstack((YfQ, Yr.reshape((-1, 1))))
+ if selfA._toStore("SampledStateForQuantiles"):
+ EXr = numpy.hstack((EXr, Xr.reshape((-1, 1))))
+ #
+ # Extraction des quantiles
+ YfQ.sort(axis=-1)
+ YQ = None
+ for quantile in selfA._parameters["Quantiles"]:
+ if not (0. <= float(quantile) <= 1.):
+ continue
+ indice = int(nbsamples * float(quantile) - 1. / nbsamples)
+ if YQ is None:
+ YQ = YfQ[:, indice].reshape((-1, 1))
else:
- raise ValueError("VariantM has to be chosen in the authorized methods list.")
- #
- if selfA._parameters["InflationType"] == "MultiplicativeOnAnalysisAnomalies":
- Xn = CovarianceInflation( Xn,
- selfA._parameters["InflationType"],
- selfA._parameters["InflationFactor"],
- )
- #
- Xa = Xn.mean(axis=1, dtype=mfp).astype('float').reshape((__n,-1))
- #--------------------------
- #
- if selfA._parameters["StoreInternalVariables"] \
- or selfA._toStore("CostFunctionJ") \
- or selfA._toStore("CostFunctionJb") \
- or selfA._toStore("CostFunctionJo") \
- or selfA._toStore("APosterioriCovariance") \
- or selfA._toStore("InnovationAtCurrentAnalysis") \
- or selfA._toStore("SimulatedObservationAtCurrentAnalysis") \
- or selfA._toStore("SimulatedObservationAtCurrentOptimum"):
- _HXa = numpy.asmatrix(numpy.ravel( H((Xa, Un)) )).T
- _Innovation = Ynpu - _HXa
- #
- selfA.StoredVariables["CurrentIterationNumber"].store( len(selfA.StoredVariables["Analysis"]) )
- # ---> avec analysis
- selfA.StoredVariables["Analysis"].store( Xa )
- if selfA._toStore("SimulatedObservationAtCurrentAnalysis"):
- selfA.StoredVariables["SimulatedObservationAtCurrentAnalysis"].store( _HXa )
- if selfA._toStore("InnovationAtCurrentAnalysis"):
- selfA.StoredVariables["InnovationAtCurrentAnalysis"].store( _Innovation )
- # ---> avec current state
- if selfA._parameters["StoreInternalVariables"] \
- or selfA._toStore("CurrentState"):
- selfA.StoredVariables["CurrentState"].store( Xn )
- if selfA._toStore("ForecastState"):
- selfA.StoredVariables["ForecastState"].store( EMX )
- if selfA._toStore("BMA"):
- selfA.StoredVariables["BMA"].store( EMX - Xa.reshape((__n,1)) )
- if selfA._toStore("InnovationAtCurrentState"):
- selfA.StoredVariables["InnovationAtCurrentState"].store( - HX_predicted + Ynpu )
- if selfA._toStore("SimulatedObservationAtCurrentState") \
- or selfA._toStore("SimulatedObservationAtCurrentOptimum"):
- selfA.StoredVariables["SimulatedObservationAtCurrentState"].store( HX_predicted )
- # ---> autres
- if selfA._parameters["StoreInternalVariables"] \
- or selfA._toStore("CostFunctionJ") \
- or selfA._toStore("CostFunctionJb") \
- or selfA._toStore("CostFunctionJo") \
- or selfA._toStore("CurrentOptimum") \
- or selfA._toStore("APosterioriCovariance"):
- Jb = float( 0.5 * (Xa - Xb).T * BI * (Xa - Xb) )
- Jo = float( 0.5 * _Innovation.T * RI * _Innovation )
- J = Jb + Jo
- selfA.StoredVariables["CostFunctionJb"].store( Jb )
- selfA.StoredVariables["CostFunctionJo"].store( Jo )
- selfA.StoredVariables["CostFunctionJ" ].store( J )
- #
- if selfA._toStore("IndexOfOptimum") \
- or selfA._toStore("CurrentOptimum") \
- or selfA._toStore("CostFunctionJAtCurrentOptimum") \
- or selfA._toStore("CostFunctionJbAtCurrentOptimum") \
- or selfA._toStore("CostFunctionJoAtCurrentOptimum") \
- or selfA._toStore("SimulatedObservationAtCurrentOptimum"):
- IndexMin = numpy.argmin( selfA.StoredVariables["CostFunctionJ"][nbPreviousSteps:] ) + nbPreviousSteps
- if selfA._toStore("IndexOfOptimum"):
- selfA.StoredVariables["IndexOfOptimum"].store( IndexMin )
- if selfA._toStore("CurrentOptimum"):
- selfA.StoredVariables["CurrentOptimum"].store( selfA.StoredVariables["Analysis"][IndexMin] )
- if selfA._toStore("SimulatedObservationAtCurrentOptimum"):
- selfA.StoredVariables["SimulatedObservationAtCurrentOptimum"].store( selfA.StoredVariables["SimulatedObservationAtCurrentAnalysis"][IndexMin] )
- if selfA._toStore("CostFunctionJbAtCurrentOptimum"):
- selfA.StoredVariables["CostFunctionJbAtCurrentOptimum"].store( selfA.StoredVariables["CostFunctionJb"][IndexMin] )
- if selfA._toStore("CostFunctionJoAtCurrentOptimum"):
- selfA.StoredVariables["CostFunctionJoAtCurrentOptimum"].store( selfA.StoredVariables["CostFunctionJo"][IndexMin] )
- if selfA._toStore("CostFunctionJAtCurrentOptimum"):
- selfA.StoredVariables["CostFunctionJAtCurrentOptimum" ].store( selfA.StoredVariables["CostFunctionJ" ][IndexMin] )
- if selfA._toStore("APosterioriCovariance"):
- Eai = EnsembleOfAnomalies( Xn ) / numpy.sqrt(__m-1) # Anomalies
- Pn = Eai @ Eai.T
- Pn = 0.5 * (Pn + Pn.T)
- selfA.StoredVariables["APosterioriCovariance"].store( Pn )
- if selfA._parameters["EstimationOf"] == "Parameters" \
- and J < previousJMinimum:
- previousJMinimum = J
- XaMin = Xa
- if selfA._toStore("APosterioriCovariance"):
- covarianceXaMin = Pn
- #
- # Stockage final supplémentaire de l'optimum en estimation de paramètres
- # ----------------------------------------------------------------------
- if selfA._parameters["EstimationOf"] == "Parameters":
- selfA.StoredVariables["CurrentIterationNumber"].store( len(selfA.StoredVariables["Analysis"]) )
- selfA.StoredVariables["Analysis"].store( XaMin )
- if selfA._toStore("APosterioriCovariance"):
- selfA.StoredVariables["APosterioriCovariance"].store( covarianceXaMin )
- if selfA._toStore("BMA"):
- selfA.StoredVariables["BMA"].store( numpy.ravel(Xb) - numpy.ravel(XaMin) )
+ YQ = numpy.hstack((YQ, YfQ[:, indice].reshape((-1, 1))))
+ if YQ is not None: # Liste non vide de quantiles
+ selfA.StoredVariables["SimulationQuantiles"].store( YQ )
+ if selfA._toStore("SampledStateForQuantiles"):
+ selfA.StoredVariables["SampledStateForQuantiles"].store( EXr )
#
return 0
# ==============================================================================
-def etkf(selfA, Xb, Y, U, HO, EM, CM, R, B, Q, VariantM="KalmanFilterFormula"):
- """
- Ensemble-Transform EnKF (ETKF or Deterministic EnKF: Bishop 2001, Hunt 2007)
+def ForceNumericBounds( __Bounds, __infNumbers = True ):
+ "Force les bornes à être des valeurs numériques, sauf si globalement None"
+ # Conserve une valeur par défaut à None s'il n'y a pas de bornes
+ if __Bounds is None:
+ return None
+ #
+ # Converti toutes les bornes individuelles None à +/- l'infini chiffré
+ __Bounds = numpy.asarray( __Bounds, dtype=float ).reshape((-1, 2))
+ if len(__Bounds.shape) != 2 or __Bounds.shape[0] == 0 or __Bounds.shape[1] != 2:
+ raise ValueError("Incorrectly shaped bounds data (effective shape is %s)"%(__Bounds.shape,))
+ if __infNumbers:
+ __Bounds[numpy.isnan(__Bounds[:, 0]), 0] = -float('inf')
+ __Bounds[numpy.isnan(__Bounds[:, 1]), 1] = float('inf')
+ else:
+ __Bounds[numpy.isnan(__Bounds[:, 0]), 0] = -sys.float_info.max
+ __Bounds[numpy.isnan(__Bounds[:, 1]), 1] = sys.float_info.max
+ return __Bounds
- selfA est identique au "self" d'algorithme appelant et contient les
- valeurs.
- """
- if selfA._parameters["EstimationOf"] == "Parameters":
- selfA._parameters["StoreInternalVariables"] = True
- #
- # Opérateurs
- # ----------
- H = HO["Direct"].appliedControledFormTo
- #
- if selfA._parameters["EstimationOf"] == "State":
- M = EM["Direct"].appliedControledFormTo
- #
- if CM is not None and "Tangent" in CM and U is not None:
- Cm = CM["Tangent"].asMatrix(Xb)
+# ==============================================================================
+def RecentredBounds( __Bounds, __Center, __Scale = None ):
+ "Recentre les bornes autour de 0, sauf si globalement None"
+ # Conserve une valeur par défaut à None s'il n'y a pas de bornes
+ if __Bounds is None:
+ return None
+ #
+ if __Scale is None:
+ # Recentre les valeurs numériques de bornes
+ return ForceNumericBounds( __Bounds ) - numpy.ravel( __Center ).reshape((-1, 1))
else:
- Cm = None
- #
- # Nombre de pas identique au nombre de pas d'observations
- # -------------------------------------------------------
- if hasattr(Y,"stepnumber"):
- duration = Y.stepnumber()
- __p = numpy.cumprod(Y.shape())[-1]
+ # Recentre les valeurs numériques de bornes et change l'échelle par une matrice
+ return __Scale @ (ForceNumericBounds( __Bounds, False ) - numpy.ravel( __Center ).reshape((-1, 1)))
+
+# ==============================================================================
+def ApplyBounds( __Vector, __Bounds, __newClip = True ):
+ "Applique des bornes numériques à un point"
+ # Conserve une valeur par défaut s'il n'y a pas de bornes
+ if __Bounds is None:
+ return __Vector
+ #
+ if not isinstance(__Vector, numpy.ndarray): # Is an array
+ raise ValueError("Incorrect array definition of vector data")
+ if not isinstance(__Bounds, numpy.ndarray): # Is an array
+ raise ValueError("Incorrect array definition of bounds data")
+ if 2 * __Vector.size != __Bounds.size: # Is a 2 column array of vector length
+ raise ValueError("Incorrect bounds number (%i) to be applied for this vector (of size %i)"%(__Bounds.size, __Vector.size))
+ if len(__Bounds.shape) != 2 or min(__Bounds.shape) <= 0 or __Bounds.shape[1] != 2:
+ raise ValueError("Incorrectly shaped bounds data")
+ #
+ if __newClip:
+ __Vector = __Vector.clip(
+ __Bounds[:, 0].reshape(__Vector.shape),
+ __Bounds[:, 1].reshape(__Vector.shape),
+ )
else:
- duration = 2
- __p = numpy.array(Y).size
- #
- # Précalcul des inversions de B et R
- # ----------------------------------
- if selfA._parameters["StoreInternalVariables"] \
- or selfA._toStore("CostFunctionJ") \
- or selfA._toStore("CostFunctionJb") \
- or selfA._toStore("CostFunctionJo") \
- or selfA._toStore("CurrentOptimum") \
- or selfA._toStore("APosterioriCovariance"):
- BI = B.getI()
- RI = R.getI()
- elif VariantM != "KalmanFilterFormula":
- RI = R.getI()
- if VariantM == "KalmanFilterFormula":
- RIdemi = R.choleskyI()
- #
- # Initialisation
- # --------------
- __n = Xb.size
- __m = selfA._parameters["NumberOfMembers"]
- if hasattr(B,"asfullmatrix"): Pn = B.asfullmatrix(__n)
- else: Pn = B
- if hasattr(R,"asfullmatrix"): Rn = R.asfullmatrix(__p)
- else: Rn = R
- if hasattr(Q,"asfullmatrix"): Qn = Q.asfullmatrix(__n)
- else: Qn = Q
- Xn = EnsembleOfBackgroundPerturbations( Xb, None, __m )
- #
- if len(selfA.StoredVariables["Analysis"])==0 or not selfA._parameters["nextStep"]:
- selfA.StoredVariables["Analysis"].store( numpy.ravel(Xb) )
- if selfA._toStore("APosterioriCovariance"):
- selfA.StoredVariables["APosterioriCovariance"].store( Pn )
- covarianceXa = Pn
+ __Vector = numpy.max(numpy.hstack((__Vector.reshape((-1, 1)), numpy.asmatrix(__Bounds)[:, 0])), axis=1)
+ __Vector = numpy.min(numpy.hstack((__Vector.reshape((-1, 1)), numpy.asmatrix(__Bounds)[:, 1])), axis=1)
+ __Vector = numpy.asarray(__Vector)
#
- previousJMinimum = numpy.finfo(float).max
- #
- for step in range(duration-1):
- if hasattr(Y,"store"):
- Ynpu = numpy.ravel( Y[step+1] ).reshape((__p,-1))
- else:
- Ynpu = numpy.ravel( Y ).reshape((__p,-1))
- #
- if U is not None:
- if hasattr(U,"store") and len(U)>1:
- Un = numpy.asmatrix(numpy.ravel( U[step] )).T
- elif hasattr(U,"store") and len(U)==1:
- Un = numpy.asmatrix(numpy.ravel( U[0] )).T
- else:
- Un = numpy.asmatrix(numpy.ravel( U )).T
+ return __Vector
+
+# ==============================================================================
+def VariablesAndIncrementsBounds( __Bounds, __BoxBounds, __Xini, __Name, __Multiplier = 1. ):
+ __Bounds = ForceNumericBounds( __Bounds )
+ __BoxBounds = ForceNumericBounds( __BoxBounds )
+ if __Bounds is None and __BoxBounds is None:
+ raise ValueError("Algorithm %s requires bounds on all variables (by Bounds), or on all variable increments (by BoxBounds), or both, to be explicitly given."%(__Name,))
+ elif __Bounds is None and __BoxBounds is not None:
+ __Bounds = __BoxBounds
+ logging.debug("%s Definition of parameter bounds from current parameter increment bounds"%(__Name,))
+ elif __Bounds is not None and __BoxBounds is None:
+ __BoxBounds = __Multiplier * (__Bounds - __Xini.reshape((-1, 1))) # "M * [Xmin,Xmax]-Xini"
+ logging.debug("%s Definition of parameter increment bounds from current parameter bounds"%(__Name,))
+ return __Bounds, __BoxBounds
+
+# ==============================================================================
+def Apply3DVarRecentringOnEnsemble( __EnXn, __EnXf, __Ynpu, __HO, __R, __B, __SuppPars ):
+ "Recentre l'ensemble Xn autour de l'analyse 3DVAR"
+ __Betaf = __SuppPars["HybridCovarianceEquilibrium"]
+ #
+ Xf = EnsembleMean( __EnXf )
+ Pf = Covariance( asCovariance=EnsembleErrorCovariance(__EnXf) )
+ Pf = (1 - __Betaf) * __B.asfullmatrix(Xf.size) + __Betaf * Pf
+ #
+ selfB = PartialAlgorithm("3DVAR")
+ selfB._parameters["Minimizer"] = "LBFGSB"
+ selfB._parameters["MaximumNumberOfIterations"] = __SuppPars["HybridMaximumNumberOfIterations"]
+ selfB._parameters["CostDecrementTolerance"] = __SuppPars["HybridCostDecrementTolerance"]
+ selfB._parameters["ProjectedGradientTolerance"] = -1
+ selfB._parameters["GradientNormTolerance"] = 1.e-05
+ selfB._parameters["StoreInternalVariables"] = False
+ selfB._parameters["optiprint"] = -1
+ selfB._parameters["optdisp"] = 0
+ selfB._parameters["Bounds"] = None
+ selfB._parameters["InitializationPoint"] = Xf
+ from daAlgorithms.Atoms import std3dvar
+ std3dvar.std3dvar(selfB, Xf, __Ynpu, None, __HO, None, __R, Pf)
+ Xa = selfB.get("Analysis")[-1].reshape((-1, 1))
+ del selfB
+ #
+ return Xa + EnsembleOfAnomalies( __EnXn )
+
+# ==============================================================================
+def GenerateRandomPointInHyperSphere( __Center, __Radius ):
+ "Génère un point aléatoire uniformément à l'intérieur d'une hyper-sphère"
+ __Dimension = numpy.asarray( __Center ).size
+ __GaussDelta = numpy.random.normal( 0, 1, size=__Center.shape )
+ __VectorNorm = numpy.linalg.norm( __GaussDelta )
+ __PointOnHS = __Radius * (__GaussDelta / __VectorNorm)
+ __MoveInHS = math.exp( math.log(numpy.random.uniform()) / __Dimension) # rand()**1/n
+ __PointInHS = __MoveInHS * __PointOnHS
+ return __Center + __PointInHS
+
+# ==============================================================================
+class GenerateWeightsAndSigmaPoints(object):
+ "Génère les points sigma et les poids associés"
+
+ def __init__(self,
+ Nn=0, EO="State", VariantM="UKF",
+ Alpha=None, Beta=2., Kappa=0.):
+ self.Nn = int(Nn)
+ self.Alpha = numpy.longdouble( Alpha )
+ self.Beta = numpy.longdouble( Beta )
+ if abs(Kappa) < 2 * mpr:
+ if EO == "Parameters" and VariantM == "UKF":
+ self.Kappa = 3 - self.Nn
+ else: # EO == "State":
+ self.Kappa = 0
else:
- Un = None
- #
- if selfA._parameters["InflationType"] == "MultiplicativeOnBackgroundAnomalies":
- Xn = CovarianceInflation( Xn,
- selfA._parameters["InflationType"],
- selfA._parameters["InflationFactor"],
- )
- #
- if selfA._parameters["EstimationOf"] == "State": # Forecast + Q and observation of forecast
- EMX = M( [(Xn[:,i], Un) for i in range(__m)],
- argsAsSerie = True,
- returnSerieAsArrayMatrix = True )
- qi = numpy.random.multivariate_normal(numpy.zeros(__n), Qn, size=__m).T
- Xn_predicted = EMX + qi
- HX_predicted = H( [(Xn_predicted[:,i], Un) for i in range(__m)],
- argsAsSerie = True,
- returnSerieAsArrayMatrix = True )
- if Cm is not None and Un is not None: # Attention : si Cm est aussi dans M, doublon !
- Cm = Cm.reshape(__n,Un.size) # ADAO & check shape
- Xn_predicted = Xn_predicted + Cm * Un
- elif selfA._parameters["EstimationOf"] == "Parameters": # Observation of forecast
- # --- > Par principe, M = Id, Q = 0
- Xn_predicted = Xn
- HX_predicted = H( [(Xn_predicted[:,i], Un) for i in range(__m)],
- argsAsSerie = True,
- returnSerieAsArrayMatrix = True )
- #
- # Mean of forecast and observation of forecast
- Xfm = Xn_predicted.mean(axis=1, dtype=mfp).astype('float').reshape((__n,-1))
- Hfm = HX_predicted.mean(axis=1, dtype=mfp).astype('float').reshape((__p,1))
- #
- # Anomalies
- EaX = EnsembleOfAnomalies( Xn_predicted )
- EaHX = numpy.array(HX_predicted - Hfm)
- #
- #--------------------------
- if VariantM == "KalmanFilterFormula":
- mS = RIdemi * EaHX / numpy.sqrt(__m-1)
- delta = RIdemi * ( Ynpu - Hfm )
- mT = numpy.linalg.inv( numpy.eye(__m) + mS.T @ mS )
- vw = mT @ mS.transpose() @ delta
- #
- Tdemi = numpy.real(scipy.linalg.sqrtm(mT))
- mU = numpy.eye(__m)
- #
- EaX = EaX / numpy.sqrt(__m-1)
- Xn = Xfm + EaX @ ( vw.reshape((__m,-1)) + numpy.sqrt(__m-1) * Tdemi @ mU )
- #--------------------------
- elif VariantM == "Variational":
- HXfm = H((Xfm[:,None], Un)) # Eventuellement Hfm
- def CostFunction(w):
- _A = Ynpu - HXfm.reshape((__p,-1)) - (EaHX @ w).reshape((__p,-1))
- _Jo = 0.5 * _A.T @ (RI * _A)
- _Jb = 0.5 * (__m-1) * w.T @ w
- _J = _Jo + _Jb
- return float(_J)
- def GradientOfCostFunction(w):
- _A = Ynpu - HXfm.reshape((__p,-1)) - (EaHX @ w).reshape((__p,-1))
- _GardJo = - EaHX.T @ (RI * _A)
- _GradJb = (__m-1) * w.reshape((__m,1))
- _GradJ = _GardJo + _GradJb
- return numpy.ravel(_GradJ)
- vw = scipy.optimize.fmin_cg(
- f = CostFunction,
- x0 = numpy.zeros(__m),
- fprime = GradientOfCostFunction,
- args = (),
- disp = False,
- )
- #
- Hto = EaHX.T @ (RI * EaHX)
- Htb = (__m-1) * numpy.eye(__m)
- Hta = Hto + Htb
- #
- Pta = numpy.linalg.inv( Hta )
- EWa = numpy.real(scipy.linalg.sqrtm((__m-1)*Pta)) # Partie imaginaire ~= 10^-18
- #
- Xn = Xfm + EaX @ (vw[:,None] + EWa)
- #--------------------------
- elif VariantM == "FiniteSize11": # Jauge Boc2011
- HXfm = H((Xfm[:,None], Un)) # Eventuellement Hfm
- def CostFunction(w):
- _A = Ynpu - HXfm.reshape((__p,-1)) - (EaHX @ w).reshape((__p,-1))
- _Jo = 0.5 * _A.T @ (RI * _A)
- _Jb = 0.5 * __m * math.log(1 + 1/__m + w.T @ w)
- _J = _Jo + _Jb
- return float(_J)
- def GradientOfCostFunction(w):
- _A = Ynpu - HXfm.reshape((__p,-1)) - (EaHX @ w).reshape((__p,-1))
- _GardJo = - EaHX.T @ (RI * _A)
- _GradJb = __m * w.reshape((__m,1)) / (1 + 1/__m + w.T @ w)
- _GradJ = _GardJo + _GradJb
- return numpy.ravel(_GradJ)
- vw = scipy.optimize.fmin_cg(
- f = CostFunction,
- x0 = numpy.zeros(__m),
- fprime = GradientOfCostFunction,
- args = (),
- disp = False,
- )
- #
- Hto = EaHX.T @ (RI * EaHX)
- Htb = __m * \
- ( (1 + 1/__m + vw.T @ vw) * numpy.eye(__m) - 2 * vw @ vw.T ) \
- / (1 + 1/__m + vw.T @ vw)**2
- Hta = Hto + Htb
- #
- Pta = numpy.linalg.inv( Hta )
- EWa = numpy.real(scipy.linalg.sqrtm((__m-1)*Pta)) # Partie imaginaire ~= 10^-18
- #
- Xn = Xfm + EaX @ (vw.reshape((__m,-1)) + EWa)
- #--------------------------
- elif VariantM == "FiniteSize15": # Jauge Boc2015
- HXfm = H((Xfm[:,None], Un)) # Eventuellement Hfm
- def CostFunction(w):
- _A = Ynpu - HXfm.reshape((__p,-1)) - (EaHX @ w).reshape((__p,-1))
- _Jo = 0.5 * _A.T * RI * _A
- _Jb = 0.5 * (__m+1) * math.log(1 + 1/__m + w.T @ w)
- _J = _Jo + _Jb
- return float(_J)
- def GradientOfCostFunction(w):
- _A = Ynpu - HXfm.reshape((__p,-1)) - (EaHX @ w).reshape((__p,-1))
- _GardJo = - EaHX.T @ (RI * _A)
- _GradJb = (__m+1) * w.reshape((__m,1)) / (1 + 1/__m + w.T @ w)
- _GradJ = _GardJo + _GradJb
- return numpy.ravel(_GradJ)
- vw = scipy.optimize.fmin_cg(
- f = CostFunction,
- x0 = numpy.zeros(__m),
- fprime = GradientOfCostFunction,
- args = (),
- disp = False,
- )
- #
- Hto = EaHX.T @ (RI * EaHX)
- Htb = (__m+1) * \
- ( (1 + 1/__m + vw.T @ vw) * numpy.eye(__m) - 2 * vw @ vw.T ) \
- / (1 + 1/__m + vw.T @ vw)**2
- Hta = Hto + Htb
- #
- Pta = numpy.linalg.inv( Hta )
- EWa = numpy.real(scipy.linalg.sqrtm((__m-1)*Pta)) # Partie imaginaire ~= 10^-18
- #
- Xn = Xfm + EaX @ (vw.reshape((__m,-1)) + EWa)
- #--------------------------
- elif VariantM == "FiniteSize16": # Jauge Boc2016
- HXfm = H((Xfm[:,None], Un)) # Eventuellement Hfm
- def CostFunction(w):
- _A = Ynpu - HXfm.reshape((__p,-1)) - (EaHX @ w).reshape((__p,-1))
- _Jo = 0.5 * _A.T @ (RI * _A)
- _Jb = 0.5 * (__m+1) * math.log(1 + 1/__m + w.T @ w / (__m-1))
- _J = _Jo + _Jb
- return float(_J)
- def GradientOfCostFunction(w):
- _A = Ynpu - HXfm.reshape((__p,-1)) - (EaHX @ w).reshape((__p,-1))
- _GardJo = - EaHX.T @ (RI * _A)
- _GradJb = ((__m+1) / (__m-1)) * w.reshape((__m,1)) / (1 + 1/__m + w.T @ w / (__m-1))
- _GradJ = _GardJo + _GradJb
- return numpy.ravel(_GradJ)
- vw = scipy.optimize.fmin_cg(
- f = CostFunction,
- x0 = numpy.zeros(__m),
- fprime = GradientOfCostFunction,
- args = (),
- disp = False,
- )
- #
- Hto = EaHX.T @ (RI * EaHX)
- Htb = ((__m+1) / (__m-1)) * \
- ( (1 + 1/__m + vw.T @ vw / (__m-1)) * numpy.eye(__m) - 2 * vw @ vw.T / (__m-1) ) \
- / (1 + 1/__m + vw.T @ vw / (__m-1))**2
- Hta = Hto + Htb
- #
- Pta = numpy.linalg.inv( Hta )
- EWa = numpy.real(scipy.linalg.sqrtm((__m-1)*Pta)) # Partie imaginaire ~= 10^-18
- #
- Xn = Xfm + EaX @ (vw[:,None] + EWa)
- #--------------------------
+ self.Kappa = Kappa
+ self.Kappa = numpy.longdouble( self.Kappa )
+ self.Lambda = self.Alpha**2 * ( self.Nn + self.Kappa ) - self.Nn
+ self.Gamma = self.Alpha * numpy.sqrt( self.Nn + self.Kappa )
+ # Rq.: Gamma = sqrt(n+Lambda) = Alpha*sqrt(n+Kappa)
+ assert 0. < self.Alpha <= 1., "Alpha has to be between 0 strictly and 1 included"
+ #
+ if VariantM == "UKF":
+ self.Wm, self.Wc, self.SC = self.__UKF2000()
+ elif VariantM == "S3F":
+ self.Wm, self.Wc, self.SC = self.__S3F2022()
+ elif VariantM == "MSS":
+ self.Wm, self.Wc, self.SC = self.__MSS2011()
+ elif VariantM == "5OS":
+ self.Wm, self.Wc, self.SC = self.__5OS2002()
else:
- raise ValueError("VariantM has to be chosen in the authorized methods list.")
- #
- if selfA._parameters["InflationType"] == "MultiplicativeOnAnalysisAnomalies":
- Xn = CovarianceInflation( Xn,
- selfA._parameters["InflationType"],
- selfA._parameters["InflationFactor"],
- )
- #
- Xa = Xn.mean(axis=1, dtype=mfp).astype('float').reshape((__n,-1))
- #--------------------------
- #
- if selfA._parameters["StoreInternalVariables"] \
- or selfA._toStore("CostFunctionJ") \
- or selfA._toStore("CostFunctionJb") \
- or selfA._toStore("CostFunctionJo") \
- or selfA._toStore("APosterioriCovariance") \
- or selfA._toStore("InnovationAtCurrentAnalysis") \
- or selfA._toStore("SimulatedObservationAtCurrentAnalysis") \
- or selfA._toStore("SimulatedObservationAtCurrentOptimum"):
- _HXa = numpy.asmatrix(numpy.ravel( H((Xa, Un)) )).T
- _Innovation = Ynpu - _HXa
- #
- selfA.StoredVariables["CurrentIterationNumber"].store( len(selfA.StoredVariables["Analysis"]) )
- # ---> avec analysis
- selfA.StoredVariables["Analysis"].store( Xa )
- if selfA._toStore("SimulatedObservationAtCurrentAnalysis"):
- selfA.StoredVariables["SimulatedObservationAtCurrentAnalysis"].store( _HXa )
- if selfA._toStore("InnovationAtCurrentAnalysis"):
- selfA.StoredVariables["InnovationAtCurrentAnalysis"].store( _Innovation )
- # ---> avec current state
- if selfA._parameters["StoreInternalVariables"] \
- or selfA._toStore("CurrentState"):
- selfA.StoredVariables["CurrentState"].store( Xn )
- if selfA._toStore("ForecastState"):
- selfA.StoredVariables["ForecastState"].store( EMX )
- if selfA._toStore("BMA"):
- selfA.StoredVariables["BMA"].store( EMX - Xa.reshape((__n,1)) )
- if selfA._toStore("InnovationAtCurrentState"):
- selfA.StoredVariables["InnovationAtCurrentState"].store( - HX_predicted + Ynpu.reshape((__p,1)) )
- if selfA._toStore("SimulatedObservationAtCurrentState") \
- or selfA._toStore("SimulatedObservationAtCurrentOptimum"):
- selfA.StoredVariables["SimulatedObservationAtCurrentState"].store( HX_predicted )
- # ---> autres
- if selfA._parameters["StoreInternalVariables"] \
- or selfA._toStore("CostFunctionJ") \
- or selfA._toStore("CostFunctionJb") \
- or selfA._toStore("CostFunctionJo") \
- or selfA._toStore("CurrentOptimum") \
- or selfA._toStore("APosterioriCovariance"):
- Jb = float( 0.5 * (Xa - Xb).T * BI * (Xa - Xb) )
- Jo = float( 0.5 * _Innovation.T * RI * _Innovation )
- J = Jb + Jo
- selfA.StoredVariables["CostFunctionJb"].store( Jb )
- selfA.StoredVariables["CostFunctionJo"].store( Jo )
- selfA.StoredVariables["CostFunctionJ" ].store( J )
- #
- if selfA._toStore("IndexOfOptimum") \
- or selfA._toStore("CurrentOptimum") \
- or selfA._toStore("CostFunctionJAtCurrentOptimum") \
- or selfA._toStore("CostFunctionJbAtCurrentOptimum") \
- or selfA._toStore("CostFunctionJoAtCurrentOptimum") \
- or selfA._toStore("SimulatedObservationAtCurrentOptimum"):
- IndexMin = numpy.argmin( selfA.StoredVariables["CostFunctionJ"][nbPreviousSteps:] ) + nbPreviousSteps
- if selfA._toStore("IndexOfOptimum"):
- selfA.StoredVariables["IndexOfOptimum"].store( IndexMin )
- if selfA._toStore("CurrentOptimum"):
- selfA.StoredVariables["CurrentOptimum"].store( selfA.StoredVariables["Analysis"][IndexMin] )
- if selfA._toStore("SimulatedObservationAtCurrentOptimum"):
- selfA.StoredVariables["SimulatedObservationAtCurrentOptimum"].store( selfA.StoredVariables["SimulatedObservationAtCurrentAnalysis"][IndexMin] )
- if selfA._toStore("CostFunctionJbAtCurrentOptimum"):
- selfA.StoredVariables["CostFunctionJbAtCurrentOptimum"].store( selfA.StoredVariables["CostFunctionJb"][IndexMin] )
- if selfA._toStore("CostFunctionJoAtCurrentOptimum"):
- selfA.StoredVariables["CostFunctionJoAtCurrentOptimum"].store( selfA.StoredVariables["CostFunctionJo"][IndexMin] )
- if selfA._toStore("CostFunctionJAtCurrentOptimum"):
- selfA.StoredVariables["CostFunctionJAtCurrentOptimum" ].store( selfA.StoredVariables["CostFunctionJ" ][IndexMin] )
- if selfA._toStore("APosterioriCovariance"):
- Eai = EnsembleOfAnomalies( Xn ) / numpy.sqrt(__m-1) # Anomalies
- Pn = Eai @ Eai.T
- Pn = 0.5 * (Pn + Pn.T)
- selfA.StoredVariables["APosterioriCovariance"].store( Pn )
- if selfA._parameters["EstimationOf"] == "Parameters" \
- and J < previousJMinimum:
- previousJMinimum = J
- XaMin = Xa
- if selfA._toStore("APosterioriCovariance"):
- covarianceXaMin = Pn
- #
- # Stockage final supplémentaire de l'optimum en estimation de paramètres
- # ----------------------------------------------------------------------
- if selfA._parameters["EstimationOf"] == "Parameters":
- selfA.StoredVariables["CurrentIterationNumber"].store( len(selfA.StoredVariables["Analysis"]) )
- selfA.StoredVariables["Analysis"].store( XaMin )
- if selfA._toStore("APosterioriCovariance"):
- selfA.StoredVariables["APosterioriCovariance"].store( covarianceXaMin )
- if selfA._toStore("BMA"):
- selfA.StoredVariables["BMA"].store( numpy.ravel(Xb) - numpy.ravel(XaMin) )
- #
- return 0
+ raise ValueError("Variant \"%s\" is not a valid one."%VariantM)
+
+ def __UKF2000(self):
+ "Standard Set, Julier et al. 2000 (aka Canonical UKF)"
+ # Rq.: W^{(m)}_{i=/=0} = 1. / (2.*(n + Lambda))
+ Winn = 1. / (2. * ( self.Nn + self.Kappa ) * self.Alpha**2)
+ Ww = []
+ Ww.append( 0. )
+ for point in range(2 * self.Nn):
+ Ww.append( Winn )
+ # Rq.: LsLpL = Lambda / (n + Lambda)
+ LsLpL = 1. - self.Nn / (self.Alpha**2 * ( self.Nn + self.Kappa ))
+ Wm = numpy.array( Ww )
+ Wm[0] = LsLpL
+ Wc = numpy.array( Ww )
+ Wc[0] = LsLpL + (1. - self.Alpha**2 + self.Beta)
+ # OK: assert abs(Wm.sum()-1.) < self.Nn*mpr, "UKF ill-conditioned %s >= %s"%(abs(Wm.sum()-1.), self.Nn*mpr)
+ #
+ SC = numpy.zeros((self.Nn, len(Ww)))
+ for ligne in range(self.Nn):
+ it = ligne + 1
+ SC[ligne, it ] = self.Gamma
+ SC[ligne, self.Nn + it] = -self.Gamma
+ #
+ return Wm, Wc, SC
+
+ def __S3F2022(self):
+ "Scaled Spherical Simplex Set, Papakonstantinou et al. 2022"
+ # Rq.: W^{(m)}_{i=/=0} = (n + Kappa) / ((n + Lambda) * (n + 1 + Kappa))
+ Winn = 1. / ((self.Nn + 1. + self.Kappa) * self.Alpha**2)
+ Ww = []
+ Ww.append( 0. )
+ for point in range(self.Nn + 1):
+ Ww.append( Winn )
+ # Rq.: LsLpL = Lambda / (n + Lambda)
+ LsLpL = 1. - self.Nn / (self.Alpha**2 * ( self.Nn + self.Kappa ))
+ Wm = numpy.array( Ww )
+ Wm[0] = LsLpL
+ Wc = numpy.array( Ww )
+ Wc[0] = LsLpL + (1. - self.Alpha**2 + self.Beta)
+ # OK: assert abs(Wm.sum()-1.) < self.Nn*mpr, "S3F ill-conditioned %s >= %s"%(abs(Wm.sum()-1.), self.Nn*mpr)
+ #
+ SC = numpy.zeros((self.Nn, len(Ww)))
+ for ligne in range(self.Nn):
+ it = ligne + 1
+ q_t = it / math.sqrt( it * (it + 1) * Winn )
+ SC[ligne, 1:it + 1] = -q_t / it
+ SC[ligne, it + 1 ] = q_t
+ #
+ return Wm, Wc, SC
+
+ def __MSS2011(self):
+ "Minimum Set, Menegaz et al. 2011"
+ rho2 = (1 - self.Alpha) / self.Nn
+ Cc = numpy.real(scipy.linalg.sqrtm( numpy.identity(self.Nn) - rho2 ))
+ Ww = self.Alpha * rho2 * scipy.linalg.inv(Cc) @ numpy.ones(self.Nn) @ scipy.linalg.inv(Cc.T)
+ Wm = Wc = numpy.concatenate((Ww, [self.Alpha]))
+ # OK: assert abs(Wm.sum()-1.) < self.Nn*mpr, "MSS ill-conditioned %s >= %s"%(abs(Wm.sum()-1.), self.Nn*mpr)
+ #
+ # inv(sqrt(W)) = diag(inv(sqrt(W)))
+ SC1an = Cc @ numpy.diag(1. / numpy.sqrt( Ww ))
+ SCnpu = (- numpy.sqrt(rho2) / numpy.sqrt(self.Alpha)) * numpy.ones(self.Nn).reshape((-1, 1))
+ SC = numpy.concatenate((SC1an, SCnpu), axis=1)
+ #
+ return Wm, Wc, SC
+
+ def __5OS2002(self):
+ "Fifth Order Set, Lerner 2002"
+ Ww = []
+ for point in range(2 * self.Nn):
+ Ww.append( (4. - self.Nn) / 18. )
+ for point in range(2 * self.Nn, 2 * self.Nn**2):
+ Ww.append( 1. / 36. )
+ Ww.append( (self.Nn**2 - 7 * self.Nn) / 18. + 1.)
+ Wm = Wc = numpy.array( Ww )
+ # OK: assert abs(Wm.sum()-1.) < self.Nn*mpr, "5OS ill-conditioned %s >= %s"%(abs(Wm.sum()-1.), self.Nn*mpr)
+ #
+ xi1n = numpy.diag( math.sqrt(3) * numpy.ones( self.Nn ) )
+ xi2n = numpy.diag( -math.sqrt(3) * numpy.ones( self.Nn ) )
+ #
+ xi3n1 = numpy.zeros((int((self.Nn - 1) * self.Nn / 2), self.Nn), dtype=float)
+ xi3n2 = numpy.zeros((int((self.Nn - 1) * self.Nn / 2), self.Nn), dtype=float)
+ xi4n1 = numpy.zeros((int((self.Nn - 1) * self.Nn / 2), self.Nn), dtype=float)
+ xi4n2 = numpy.zeros((int((self.Nn - 1) * self.Nn / 2), self.Nn), dtype=float)
+ ia = 0
+ for i1 in range(self.Nn - 1):
+ for i2 in range(i1 + 1, self.Nn):
+ xi3n1[ia, i1] = xi3n2[ia, i2] = math.sqrt(3)
+ xi3n2[ia, i1] = xi3n1[ia, i2] = -math.sqrt(3)
+ # --------------------------------
+ xi4n1[ia, i1] = xi4n1[ia, i2] = math.sqrt(3)
+ xi4n2[ia, i1] = xi4n2[ia, i2] = -math.sqrt(3)
+ ia += 1
+ SC = numpy.concatenate((xi1n, xi2n, xi3n1, xi3n2, xi4n1, xi4n2, numpy.zeros((1, self.Nn)))).T
+ #
+ return Wm, Wc, SC
+
+ def nbOfPoints(self):
+ assert self.Nn == self.SC.shape[0], "Size mismatch %i =/= %i"%(self.Nn, self.SC.shape[0])
+ assert self.Wm.size == self.SC.shape[1], "Size mismatch %i =/= %i"%(self.Wm.size, self.SC.shape[1])
+ assert self.Wm.size == self.Wc.size, "Size mismatch %i =/= %i"%(self.Wm.size, self.Wc.size)
+ return self.Wm.size
+
+ def get(self):
+ return self.Wm, self.Wc, self.SC
+
+ def __repr__(self):
+ "x.__repr__() <==> repr(x)"
+ msg = ""
+ msg += " Alpha = %s\n"%self.Alpha
+ msg += " Beta = %s\n"%self.Beta
+ msg += " Kappa = %s\n"%self.Kappa
+ msg += " Lambda = %s\n"%self.Lambda
+ msg += " Gamma = %s\n"%self.Gamma
+ msg += " Wm = %s\n"%self.Wm
+ msg += " Wc = %s\n"%self.Wc
+ msg += " sum(Wm) = %s\n"%numpy.sum(self.Wm)
+ msg += " SC =\n%s\n"%self.SC
+ return msg
# ==============================================================================
-def mlef(selfA, Xb, Y, U, HO, EM, CM, R, B, Q, VariantM="MLEF13",
- BnotT=False, _epsilon=1.e-3, _e=1.e-7, _jmax=15000):
- """
- Maximum Likelihood Ensemble Filter (EnKF/MLEF Zupanski 2005, Bocquet 2013)
+def GetNeighborhoodTopology( __ntype, __ipop ):
+ "Renvoi une topologie de connexion pour une population de points"
+ if __ntype in ["FullyConnectedNeighborhood", "FullyConnectedNeighbourhood", "gbest"]:
+ __topology = [__ipop for __i in __ipop]
+ elif __ntype in ["RingNeighborhoodWithRadius1", "RingNeighbourhoodWithRadius1", "lbest"]:
+ __cpop = list(__ipop[-1:]) + list(__ipop) + list(__ipop[:1])
+ __topology = [__cpop[__n:__n + 3] for __n in range(len(__ipop))]
+ elif __ntype in ["RingNeighborhoodWithRadius2", "RingNeighbourhoodWithRadius2"]:
+ __cpop = list(__ipop[-2:]) + list(__ipop) + list(__ipop[:2])
+ __topology = [__cpop[__n:__n + 5] for __n in range(len(__ipop))]
+ elif __ntype in ["AdaptativeRandomWith3Neighbors", "AdaptativeRandomWith3Neighbours", "abest"]:
+ __cpop = 3 * list(__ipop)
+ __topology = [[__i] + list(numpy.random.choice(__cpop, 3)) for __i in __ipop]
+ elif __ntype in ["AdaptativeRandomWith5Neighbors", "AdaptativeRandomWith5Neighbours"]:
+ __cpop = 5 * list(__ipop)
+ __topology = [[__i] + list(numpy.random.choice(__cpop, 5)) for __i in __ipop]
+ else:
+ raise ValueError("Swarm topology type unavailable because name \"%s\" is unknown."%__ntype)
+ return __topology
- selfA est identique au "self" d'algorithme appelant et contient les
- valeurs.
- """
- if selfA._parameters["EstimationOf"] == "Parameters":
- selfA._parameters["StoreInternalVariables"] = True
- #
- # Opérateurs
+# ==============================================================================
+def FindIndexesFromNames( __NameOfLocations = None, __ExcludeLocations = None, ForceArray = False ):
+ "Exprime les indices des noms exclus, en ignorant les absents"
+ if __ExcludeLocations is None:
+ __ExcludeIndexes = ()
+ elif isinstance(__ExcludeLocations, (list, numpy.ndarray, tuple)) and len(__ExcludeLocations) == 0:
+ __ExcludeIndexes = ()
# ----------
- H = HO["Direct"].appliedControledFormTo
- #
- if selfA._parameters["EstimationOf"] == "State":
- M = EM["Direct"].appliedControledFormTo
- #
- if CM is not None and "Tangent" in CM and U is not None:
- Cm = CM["Tangent"].asMatrix(Xb)
- else:
- Cm = None
- #
- # Nombre de pas identique au nombre de pas d'observations
- # -------------------------------------------------------
- if hasattr(Y,"stepnumber"):
- duration = Y.stepnumber()
- __p = numpy.cumprod(Y.shape())[-1]
- else:
- duration = 2
- __p = numpy.array(Y).size
- #
- # Précalcul des inversions de B et R
- # ----------------------------------
- if selfA._parameters["StoreInternalVariables"] \
- or selfA._toStore("CostFunctionJ") \
- or selfA._toStore("CostFunctionJb") \
- or selfA._toStore("CostFunctionJo") \
- or selfA._toStore("CurrentOptimum") \
- or selfA._toStore("APosterioriCovariance"):
- BI = B.getI()
- RI = R.getI()
- #
- # Initialisation
- # --------------
- __n = Xb.size
- __m = selfA._parameters["NumberOfMembers"]
- if hasattr(B,"asfullmatrix"): Pn = B.asfullmatrix(__n)
- else: Pn = B
- if hasattr(R,"asfullmatrix"): Rn = R.asfullmatrix(__p)
- else: Rn = R
- if hasattr(Q,"asfullmatrix"): Qn = Q.asfullmatrix(__n)
- else: Qn = Q
- Xn = EnsembleOfBackgroundPerturbations( Xb, None, __m )
- #
- if len(selfA.StoredVariables["Analysis"])==0 or not selfA._parameters["nextStep"]:
- selfA.StoredVariables["Analysis"].store( numpy.ravel(Xb) )
- if selfA._toStore("APosterioriCovariance"):
- selfA.StoredVariables["APosterioriCovariance"].store( Pn )
- covarianceXa = Pn
- #
- previousJMinimum = numpy.finfo(float).max
- #
- for step in range(duration-1):
- if hasattr(Y,"store"):
- Ynpu = numpy.ravel( Y[step+1] ).reshape((__p,-1))
- else:
- Ynpu = numpy.ravel( Y ).reshape((__p,-1))
- #
- if U is not None:
- if hasattr(U,"store") and len(U)>1:
- Un = numpy.asmatrix(numpy.ravel( U[step] )).T
- elif hasattr(U,"store") and len(U)==1:
- Un = numpy.asmatrix(numpy.ravel( U[0] )).T
+ elif __NameOfLocations is None:
+ try:
+ __ExcludeIndexes = numpy.asarray(__ExcludeLocations, dtype=int)
+ except ValueError as e:
+ if "invalid literal for int() with base 10:" in str(e):
+ raise ValueError("to exclude named locations, initial location name list can not be void and has to have the same length as one state")
else:
- Un = numpy.asmatrix(numpy.ravel( U )).T
- else:
- Un = None
- #
- if selfA._parameters["InflationType"] == "MultiplicativeOnBackgroundAnomalies":
- Xn = CovarianceInflation( Xn,
- selfA._parameters["InflationType"],
- selfA._parameters["InflationFactor"],
- )
- #
- if selfA._parameters["EstimationOf"] == "State": # Forecast + Q and observation of forecast
- EMX = M( [(Xn[:,i], Un) for i in range(__m)],
- argsAsSerie = True,
- returnSerieAsArrayMatrix = True )
- qi = numpy.random.multivariate_normal(numpy.zeros(__n), Qn, size=__m).T
- Xn_predicted = EMX + qi
- if Cm is not None and Un is not None: # Attention : si Cm est aussi dans M, doublon !
- Cm = Cm.reshape(__n,Un.size) # ADAO & check shape
- Xn_predicted = Xn_predicted + Cm * Un
- elif selfA._parameters["EstimationOf"] == "Parameters": # Observation of forecast
- # --- > Par principe, M = Id, Q = 0
- Xn_predicted = Xn
- #
- #--------------------------
- if VariantM == "MLEF13":
- Xfm = numpy.ravel(Xn_predicted.mean(axis=1, dtype=mfp).astype('float'))
- EaX = EnsembleOfAnomalies( Xn_predicted ) / numpy.sqrt(__m-1)
- Ua = numpy.eye(__m)
- __j = 0
- Deltaw = 1
- if not BnotT:
- Ta = numpy.eye(__m)
- vw = numpy.zeros(__m)
- while numpy.linalg.norm(Deltaw) >= _e and __j <= _jmax:
- vx1 = (Xfm + EaX @ vw).reshape((__n,-1))
- #
- if BnotT:
- E1 = vx1 + _epsilon * EaX
+ raise ValueError(str(e))
+ elif isinstance(__NameOfLocations, (list, numpy.ndarray, tuple)) and len(__NameOfLocations) == 0:
+ try:
+ __ExcludeIndexes = numpy.asarray(__ExcludeLocations, dtype=int)
+ except ValueError as e:
+ if "invalid literal for int() with base 10:" in str(e):
+ raise ValueError("to exclude named locations, initial location name list can not be void and has to have the same length as one state")
+ else:
+ raise ValueError(str(e))
+ # ----------
+ else:
+ try:
+ __ExcludeIndexes = numpy.asarray(__ExcludeLocations, dtype=int)
+ except ValueError as e:
+ if "invalid literal for int() with base 10:" in str(e):
+ if len(__NameOfLocations) < 1.e6 + 1 and len(__ExcludeLocations) > 1500:
+ __Heuristic = True
else:
- E1 = vx1 + numpy.sqrt(__m-1) * EaX @ Ta
- #
- HE2 = H( [(E1[:,i,numpy.newaxis], Un) for i in range(__m)],
- argsAsSerie = True,
- returnSerieAsArrayMatrix = True )
- vy2 = HE2.mean(axis=1, dtype=mfp).astype('float').reshape((__p,-1))
- #
- if BnotT:
- EaY = (HE2 - vy2) / _epsilon
+ __Heuristic = False
+ if ForceArray or __Heuristic:
+ # Recherche par array permettant des noms invalides, peu efficace
+ __NameToIndex = dict(numpy.array((
+ __NameOfLocations,
+ range(len(__NameOfLocations))
+ )).T)
+ __ExcludeIndexes = numpy.asarray([__NameToIndex.get(k, -1) for k in __ExcludeLocations], dtype=int)
+ #
else:
- EaY = ( (HE2 - vy2) @ numpy.linalg.inv(Ta) ) / numpy.sqrt(__m-1)
- #
- GradJ = numpy.ravel(vw[:,None] - EaY.transpose() @ (RI * ( Ynpu - vy2 )))
- mH = numpy.eye(__m) + EaY.transpose() @ (RI * EaY)
- Deltaw = - numpy.linalg.solve(mH,GradJ)
- #
- vw = vw + Deltaw
- #
- if not BnotT:
- Ta = numpy.real(scipy.linalg.sqrtm(numpy.linalg.inv( mH )))
- #
- __j = __j + 1
- #
- if BnotT:
- Ta = numpy.real(scipy.linalg.sqrtm(numpy.linalg.inv( mH )))
- #
- Xn = vx1 + numpy.sqrt(__m-1) * EaX @ Ta @ Ua
- #--------------------------
+ # Recherche par liste permettant des noms invalides, très efficace
+ def __NameToIndex_get( cle, default = -1 ):
+ if cle in __NameOfLocations:
+ return __NameOfLocations.index(cle)
+ else:
+ return default
+ __ExcludeIndexes = numpy.asarray([__NameToIndex_get(k, -1) for k in __ExcludeLocations], dtype=int)
+ #
+ # Recherche par liste interdisant des noms invalides, mais encore un peu plus efficace
+ # __ExcludeIndexes = numpy.asarray([__NameOfLocations.index(k) for k in __ExcludeLocations], dtype=int)
+ #
+ # Ignore les noms absents
+ __ExcludeIndexes = numpy.compress(__ExcludeIndexes > -1, __ExcludeIndexes)
+ if len(__ExcludeIndexes) == 0:
+ __ExcludeIndexes = ()
+ else:
+ raise ValueError(str(e))
+ # ----------
+ return __ExcludeIndexes
+
+# ==============================================================================
+def BuildComplexSampleList(
+ __SampleAsnUplet,
+ __SampleAsExplicitHyperCube,
+ __SampleAsMinMaxStepHyperCube,
+ __SampleAsMinMaxLatinHyperCube,
+ __SampleAsMinMaxSobolSequence,
+ __SampleAsIndependantRandomVariables,
+ __X0,
+ __Seed = None ):
+ # ---------------------------
+ if len(__SampleAsnUplet) > 0:
+ sampleList = __SampleAsnUplet
+ for i, Xx in enumerate(sampleList):
+ if numpy.ravel(Xx).size != __X0.size:
+ raise ValueError("The size %i of the %ith state X in the sample and %i of the checking point Xb are different, they have to be identical."%(numpy.ravel(Xx).size, i + 1, __X0.size))
+ # ---------------------------
+ elif len(__SampleAsExplicitHyperCube) > 0:
+ sampleList = itertools.product(*list(__SampleAsExplicitHyperCube))
+ # ---------------------------
+ elif len(__SampleAsMinMaxStepHyperCube) > 0:
+ coordinatesList = []
+ for i, dim in enumerate(__SampleAsMinMaxStepHyperCube):
+ if len(dim) != 3:
+ raise ValueError("For dimension %i, the variable definition \"%s\" is incorrect, it should be [min,max,step]."%(i, dim))
+ else:
+ coordinatesList.append(numpy.linspace(dim[0], dim[1], 1 + int((float(dim[1]) - float(dim[0])) / float(dim[2]))))
+ sampleList = itertools.product(*coordinatesList)
+ # ---------------------------
+ elif len(__SampleAsMinMaxLatinHyperCube) > 0:
+ if vt(scipy.version.version) <= vt("1.7.0"):
+ __msg = "In order to use Latin Hypercube sampling, you must at least use Scipy version 1.7.0 (and you are presently using Scipy %s). A void sample is then generated."%scipy.version.version
+ warnings.warn(__msg, FutureWarning, stacklevel=50)
+ sampleList = []
else:
- raise ValueError("VariantM has to be chosen in the authorized methods list.")
- #
- if selfA._parameters["InflationType"] == "MultiplicativeOnAnalysisAnomalies":
- Xn = CovarianceInflation( Xn,
- selfA._parameters["InflationType"],
- selfA._parameters["InflationFactor"],
- )
- #
- Xa = Xn.mean(axis=1, dtype=mfp).astype('float').reshape((__n,-1))
- #--------------------------
- #
- if selfA._parameters["StoreInternalVariables"] \
- or selfA._toStore("CostFunctionJ") \
- or selfA._toStore("CostFunctionJb") \
- or selfA._toStore("CostFunctionJo") \
- or selfA._toStore("APosterioriCovariance") \
- or selfA._toStore("InnovationAtCurrentAnalysis") \
- or selfA._toStore("SimulatedObservationAtCurrentAnalysis") \
- or selfA._toStore("SimulatedObservationAtCurrentOptimum"):
- _HXa = numpy.asmatrix(numpy.ravel( H((Xa, Un)) )).T
- _Innovation = Ynpu - _HXa
- #
- selfA.StoredVariables["CurrentIterationNumber"].store( len(selfA.StoredVariables["Analysis"]) )
- # ---> avec analysis
- selfA.StoredVariables["Analysis"].store( Xa )
- if selfA._toStore("SimulatedObservationAtCurrentAnalysis"):
- selfA.StoredVariables["SimulatedObservationAtCurrentAnalysis"].store( _HXa )
- if selfA._toStore("InnovationAtCurrentAnalysis"):
- selfA.StoredVariables["InnovationAtCurrentAnalysis"].store( _Innovation )
- # ---> avec current state
- if selfA._parameters["StoreInternalVariables"] \
- or selfA._toStore("CurrentState"):
- selfA.StoredVariables["CurrentState"].store( Xn )
- if selfA._toStore("ForecastState"):
- selfA.StoredVariables["ForecastState"].store( EMX )
- if selfA._toStore("BMA"):
- selfA.StoredVariables["BMA"].store( EMX - Xa.reshape((__n,1)) )
- if selfA._toStore("InnovationAtCurrentState"):
- selfA.StoredVariables["InnovationAtCurrentState"].store( - HE2 + Ynpu.reshape((__p,-1)) )
- if selfA._toStore("SimulatedObservationAtCurrentState") \
- or selfA._toStore("SimulatedObservationAtCurrentOptimum"):
- selfA.StoredVariables["SimulatedObservationAtCurrentState"].store( HE2 )
- # ---> autres
- if selfA._parameters["StoreInternalVariables"] \
- or selfA._toStore("CostFunctionJ") \
- or selfA._toStore("CostFunctionJb") \
- or selfA._toStore("CostFunctionJo") \
- or selfA._toStore("CurrentOptimum") \
- or selfA._toStore("APosterioriCovariance"):
- Jb = float( 0.5 * (Xa - Xb).T * BI * (Xa - Xb) )
- Jo = float( 0.5 * _Innovation.T * RI * _Innovation )
- J = Jb + Jo
- selfA.StoredVariables["CostFunctionJb"].store( Jb )
- selfA.StoredVariables["CostFunctionJo"].store( Jo )
- selfA.StoredVariables["CostFunctionJ" ].store( J )
- #
- if selfA._toStore("IndexOfOptimum") \
- or selfA._toStore("CurrentOptimum") \
- or selfA._toStore("CostFunctionJAtCurrentOptimum") \
- or selfA._toStore("CostFunctionJbAtCurrentOptimum") \
- or selfA._toStore("CostFunctionJoAtCurrentOptimum") \
- or selfA._toStore("SimulatedObservationAtCurrentOptimum"):
- IndexMin = numpy.argmin( selfA.StoredVariables["CostFunctionJ"][nbPreviousSteps:] ) + nbPreviousSteps
- if selfA._toStore("IndexOfOptimum"):
- selfA.StoredVariables["IndexOfOptimum"].store( IndexMin )
- if selfA._toStore("CurrentOptimum"):
- selfA.StoredVariables["CurrentOptimum"].store( selfA.StoredVariables["Analysis"][IndexMin] )
- if selfA._toStore("SimulatedObservationAtCurrentOptimum"):
- selfA.StoredVariables["SimulatedObservationAtCurrentOptimum"].store( selfA.StoredVariables["SimulatedObservationAtCurrentAnalysis"][IndexMin] )
- if selfA._toStore("CostFunctionJbAtCurrentOptimum"):
- selfA.StoredVariables["CostFunctionJbAtCurrentOptimum"].store( selfA.StoredVariables["CostFunctionJb"][IndexMin] )
- if selfA._toStore("CostFunctionJoAtCurrentOptimum"):
- selfA.StoredVariables["CostFunctionJoAtCurrentOptimum"].store( selfA.StoredVariables["CostFunctionJo"][IndexMin] )
- if selfA._toStore("CostFunctionJAtCurrentOptimum"):
- selfA.StoredVariables["CostFunctionJAtCurrentOptimum" ].store( selfA.StoredVariables["CostFunctionJ" ][IndexMin] )
- if selfA._toStore("APosterioriCovariance"):
- Eai = EnsembleOfAnomalies( Xn ) / numpy.sqrt(__m-1) # Anomalies
- Pn = Eai @ Eai.T
- Pn = 0.5 * (Pn + Pn.T)
- selfA.StoredVariables["APosterioriCovariance"].store( Pn )
- if selfA._parameters["EstimationOf"] == "Parameters" \
- and J < previousJMinimum:
- previousJMinimum = J
- XaMin = Xa
- if selfA._toStore("APosterioriCovariance"):
- covarianceXaMin = Pn
- #
- # Stockage final supplémentaire de l'optimum en estimation de paramètres
- # ----------------------------------------------------------------------
- if selfA._parameters["EstimationOf"] == "Parameters":
- selfA.StoredVariables["CurrentIterationNumber"].store( len(selfA.StoredVariables["Analysis"]) )
- selfA.StoredVariables["Analysis"].store( XaMin )
- if selfA._toStore("APosterioriCovariance"):
- selfA.StoredVariables["APosterioriCovariance"].store( covarianceXaMin )
- if selfA._toStore("BMA"):
- selfA.StoredVariables["BMA"].store( numpy.ravel(Xb) - numpy.ravel(XaMin) )
- #
- return 0
+ __spDesc = list(__SampleAsMinMaxLatinHyperCube)
+ __nbDime, __nbSamp = map(int, __spDesc.pop()) # Réduction du dernier
+ __sample = scipy.stats.qmc.LatinHypercube(
+ d = len(__spDesc),
+ seed = numpy.random.default_rng(__Seed),
+ )
+ __sample = __sample.random(n = __nbSamp)
+ __bounds = numpy.array(__spDesc)[:, 0:2]
+ __l_bounds = __bounds[:, 0]
+ __u_bounds = __bounds[:, 1]
+ sampleList = scipy.stats.qmc.scale(__sample, __l_bounds, __u_bounds)
+ # ---------------------------
+ elif len(__SampleAsMinMaxSobolSequence) > 0:
+ if vt(scipy.version.version) <= vt("1.7.0"):
+ __msg = "In order to use Latin Hypercube sampling, you must at least use Scipy version 1.7.0 (and you are presently using Scipy %s). A void sample is then generated."%scipy.version.version
+ warnings.warn(__msg, FutureWarning, stacklevel=50)
+ sampleList = []
+ else:
+ __spDesc = list(__SampleAsMinMaxSobolSequence)
+ __nbDime, __nbSamp = map(int, __spDesc.pop()) # Réduction du dernier
+ if __nbDime != len(__spDesc):
+ warnings.warn("Declared space dimension (%i) is not equal to number of bounds (%i), the last one will be used."%(__nbDime, len(__spDesc)), FutureWarning, stacklevel=50)
+ __sample = scipy.stats.qmc.Sobol(
+ d = len(__spDesc),
+ seed = numpy.random.default_rng(__Seed),
+ )
+ __sample = __sample.random_base2(m = int(math.log2(__nbSamp)) + 1)
+ __bounds = numpy.array(__spDesc)[:, 0:2]
+ __l_bounds = __bounds[:, 0]
+ __u_bounds = __bounds[:, 1]
+ sampleList = scipy.stats.qmc.scale(__sample, __l_bounds, __u_bounds)
+ # ---------------------------
+ elif len(__SampleAsIndependantRandomVariables) > 0:
+ coordinatesList = []
+ for i, dim in enumerate(__SampleAsIndependantRandomVariables):
+ if len(dim) != 3:
+ raise ValueError("For dimension %i, the variable definition \"%s\" is incorrect, it should be ('distribution',(parameters),length) with distribution in ['normal'(mean,std),'lognormal'(mean,sigma),'uniform'(low,high),'weibull'(shape)]."%(i, dim))
+ elif not ( str(dim[0]) in ['normal', 'lognormal', 'uniform', 'weibull'] \
+ and hasattr(numpy.random, str(dim[0])) ):
+ raise ValueError("For dimension %i, the distribution name \"%s\" is not allowed, please choose in ['normal'(mean,std),'lognormal'(mean,sigma),'uniform'(low,high),'weibull'(shape)]"%(i, str(dim[0])))
+ else:
+ distribution = getattr(numpy.random, str(dim[0]), 'normal')
+ coordinatesList.append(distribution(*dim[1], size=max(1, int(dim[2]))))
+ sampleList = itertools.product(*coordinatesList)
+ else:
+ sampleList = iter([__X0,])
+ # ----------
+ return sampleList
# ==============================================================================
-def ienkf(selfA, Xb, Y, U, HO, EM, CM, R, B, Q, VariantM="IEnKF12",
- BnotT=False, _epsilon=1.e-3, _e=1.e-7, _jmax=15000):
+def multiXOsteps(
+ selfA, Xb, Y, U, HO, EM, CM, R, B, Q, oneCycle,
+ __CovForecast = False ):
"""
- Iterative EnKF (Sakov 2012, Sakov 2018)
-
- selfA est identique au "self" d'algorithme appelant et contient les
- valeurs.
+ Prévision multi-pas avec une correction par pas (multi-méthodes)
"""
- if selfA._parameters["EstimationOf"] == "Parameters":
- selfA._parameters["StoreInternalVariables"] = True
- #
- # Opérateurs
- # ----------
- H = HO["Direct"].appliedControledFormTo
#
+ # Initialisation
+ # --------------
if selfA._parameters["EstimationOf"] == "State":
- M = EM["Direct"].appliedControledFormTo
- #
- if CM is not None and "Tangent" in CM and U is not None:
- Cm = CM["Tangent"].asMatrix(Xb)
+ if len(selfA.StoredVariables["Analysis"]) == 0 or not selfA._parameters["nextStep"]:
+ Xn = numpy.asarray(Xb)
+ if __CovForecast:
+ Pn = B
+ selfA.StoredVariables["Analysis"].store( Xn )
+ if selfA._toStore("APosterioriCovariance"):
+ if hasattr(B, "asfullmatrix"):
+ selfA.StoredVariables["APosterioriCovariance"].store( B.asfullmatrix(Xn.size) )
+ else:
+ selfA.StoredVariables["APosterioriCovariance"].store( B )
+ selfA._setInternalState("seed", numpy.random.get_state())
+ elif selfA._parameters["nextStep"]:
+ Xn = selfA._getInternalState("Xn")
+ if __CovForecast:
+ Pn = selfA._getInternalState("Pn")
else:
- Cm = None
+ Xn = numpy.asarray(Xb)
+ if __CovForecast:
+ Pn = B
#
- # Nombre de pas identique au nombre de pas d'observations
- # -------------------------------------------------------
- if hasattr(Y,"stepnumber"):
+ if hasattr(Y, "stepnumber"):
duration = Y.stepnumber()
- __p = numpy.cumprod(Y.shape())[-1]
else:
duration = 2
- __p = numpy.array(Y).size
- #
- # Précalcul des inversions de B et R
- # ----------------------------------
- if selfA._parameters["StoreInternalVariables"] \
- or selfA._toStore("CostFunctionJ") \
- or selfA._toStore("CostFunctionJb") \
- or selfA._toStore("CostFunctionJo") \
- or selfA._toStore("CurrentOptimum") \
- or selfA._toStore("APosterioriCovariance"):
- BI = B.getI()
- RI = R.getI()
- #
- # Initialisation
- # --------------
- __n = Xb.size
- __m = selfA._parameters["NumberOfMembers"]
- if hasattr(B,"asfullmatrix"): Pn = B.asfullmatrix(__n)
- else: Pn = B
- if hasattr(R,"asfullmatrix"): Rn = R.asfullmatrix(__p)
- else: Rn = R
- if hasattr(Q,"asfullmatrix"): Qn = Q.asfullmatrix(__n)
- else: Qn = Q
- Xn = EnsembleOfBackgroundPerturbations( Xb, Pn, __m )
- #
- if len(selfA.StoredVariables["Analysis"])==0 or not selfA._parameters["nextStep"]:
- selfA.StoredVariables["Analysis"].store( numpy.ravel(Xb) )
- if selfA._toStore("APosterioriCovariance"):
- selfA.StoredVariables["APosterioriCovariance"].store( Pn )
- covarianceXa = Pn
- #
- previousJMinimum = numpy.finfo(float).max
#
- for step in range(duration-1):
- if hasattr(Y,"store"):
- Ynpu = numpy.ravel( Y[step+1] ).reshape((__p,-1))
+ # Multi-steps
+ # -----------
+ for step in range(duration - 1):
+ selfA.StoredVariables["CurrentStepNumber"].store( len(selfA.StoredVariables["Analysis"]) )
+ #
+ if hasattr(Y, "store"):
+ Ynpu = numpy.asarray( Y[step + 1] ).reshape((-1, 1))
else:
- Ynpu = numpy.ravel( Y ).reshape((__p,-1))
+ Ynpu = numpy.asarray( Y ).reshape((-1, 1))
#
if U is not None:
- if hasattr(U,"store") and len(U)>1:
- Un = numpy.asmatrix(numpy.ravel( U[step] )).T
- elif hasattr(U,"store") and len(U)==1:
- Un = numpy.asmatrix(numpy.ravel( U[0] )).T
+ if hasattr(U, "store") and len(U) > 1:
+ Un = numpy.asarray( U[step] ).reshape((-1, 1))
+ elif hasattr(U, "store") and len(U) == 1:
+ Un = numpy.asarray( U[0] ).reshape((-1, 1))
else:
- Un = numpy.asmatrix(numpy.ravel( U )).T
+ Un = numpy.asarray( U ).reshape((-1, 1))
else:
Un = None
#
- if selfA._parameters["InflationType"] == "MultiplicativeOnBackgroundAnomalies":
- Xn = CovarianceInflation( Xn,
- selfA._parameters["InflationType"],
- selfA._parameters["InflationFactor"],
- )
- #
- #--------------------------
- if VariantM == "IEnKF12":
- Xfm = numpy.ravel(Xn.mean(axis=1, dtype=mfp).astype('float'))
- EaX = EnsembleOfAnomalies( Xn ) / numpy.sqrt(__m-1)
- __j = 0
- Deltaw = 1
- if not BnotT:
- Ta = numpy.eye(__m)
- vw = numpy.zeros(__m)
- while numpy.linalg.norm(Deltaw) >= _e and __j <= _jmax:
- vx1 = (Xfm + EaX @ vw).reshape((__n,-1))
- #
- if BnotT:
- E1 = vx1 + _epsilon * EaX
- else:
- E1 = vx1 + numpy.sqrt(__m-1) * EaX @ Ta
- #
- if selfA._parameters["EstimationOf"] == "State": # Forecast + Q
- E2 = M( [(E1[:,i,numpy.newaxis], Un) for i in range(__m)],
- argsAsSerie = True,
- returnSerieAsArrayMatrix = True )
- elif selfA._parameters["EstimationOf"] == "Parameters":
- # --- > Par principe, M = Id
- E2 = Xn
- vx2 = E2.mean(axis=1, dtype=mfp).astype('float').reshape((__n,-1))
- vy1 = H((vx2, Un)).reshape((__p,-1))
- #
- HE2 = H( [(E2[:,i,numpy.newaxis], Un) for i in range(__m)],
- argsAsSerie = True,
- returnSerieAsArrayMatrix = True )
- vy2 = HE2.mean(axis=1, dtype=mfp).astype('float').reshape((__p,-1))
- #
- if BnotT:
- EaY = (HE2 - vy2) / _epsilon
- else:
- EaY = ( (HE2 - vy2) @ numpy.linalg.inv(Ta) ) / numpy.sqrt(__m-1)
- #
- GradJ = numpy.ravel(vw[:,None] - EaY.transpose() @ (RI * ( Ynpu - vy1 )))
- mH = numpy.eye(__m) + EaY.transpose() @ (RI * EaY)
- Deltaw = - numpy.linalg.solve(mH,GradJ)
- #
- vw = vw + Deltaw
- #
- if not BnotT:
- Ta = numpy.real(scipy.linalg.sqrtm(numpy.linalg.inv( mH )))
- #
- __j = __j + 1
- #
- A2 = EnsembleOfAnomalies( E2 )
- #
- if BnotT:
- Ta = numpy.real(scipy.linalg.sqrtm(numpy.linalg.inv( mH )))
- A2 = numpy.sqrt(__m-1) * A2 @ Ta / _epsilon
- #
- Xn = vx2 + A2
- #--------------------------
+ # Predict (Time Update)
+ # ---------------------
+ if selfA._parameters["EstimationOf"] == "State":
+ if __CovForecast:
+ Mt = EM["Tangent"].asMatrix(Xn)
+ Mt = Mt.reshape(Xn.size, Xn.size) # ADAO & check shape
+ Ma = EM["Adjoint"].asMatrix(Xn)
+ Ma = Ma.reshape(Xn.size, Xn.size) # ADAO & check shape
+ Pn_predicted = Q + Mt @ (Pn @ Ma)
+ Mm = EM["Direct"].appliedControledFormTo
+ Xn_predicted = Mm( (Xn, Un) ).reshape((-1, 1))
+ if CM is not None and "Tangent" in CM and Un is not None: # Attention : si Cm est aussi dans M, doublon !
+ Cm = CM["Tangent"].asMatrix(Xn_predicted)
+ Cm = Cm.reshape(Xn.size, Un.size) # ADAO & check shape
+ Xn_predicted = Xn_predicted + (Cm @ Un).reshape((-1, 1))
+ elif selfA._parameters["EstimationOf"] == "Parameters": # No forecast
+ # --- > Par principe, M = Id, Q = 0
+ Xn_predicted = Xn
+ if __CovForecast:
+ Pn_predicted = Pn
+ Xn_predicted = numpy.asarray(Xn_predicted).reshape((-1, 1))
+ if selfA._toStore("ForecastState"):
+ selfA.StoredVariables["ForecastState"].store( Xn_predicted )
+ if __CovForecast:
+ if hasattr(Pn_predicted, "asfullmatrix"):
+ Pn_predicted = Pn_predicted.asfullmatrix(Xn.size)
+ else:
+ Pn_predicted = numpy.asarray(Pn_predicted).reshape((Xn.size, Xn.size))
+ if selfA._toStore("ForecastCovariance"):
+ selfA.StoredVariables["ForecastCovariance"].store( Pn_predicted )
+ #
+ # Correct (Measurement Update)
+ # ----------------------------
+ if __CovForecast:
+ oneCycle(selfA, Xn_predicted, Ynpu, Un, HO, CM, R, Pn_predicted, True)
else:
- raise ValueError("VariantM has to be chosen in the authorized methods list.")
- #
- if selfA._parameters["InflationType"] == "MultiplicativeOnAnalysisAnomalies":
- Xn = CovarianceInflation( Xn,
- selfA._parameters["InflationType"],
- selfA._parameters["InflationFactor"],
- )
+ oneCycle(selfA, Xn_predicted, Ynpu, Un, HO, CM, R, B, True)
#
- Xa = Xn.mean(axis=1, dtype=mfp).astype('float').reshape((__n,-1))
- #--------------------------
- #
- if selfA._parameters["StoreInternalVariables"] \
- or selfA._toStore("CostFunctionJ") \
- or selfA._toStore("CostFunctionJb") \
- or selfA._toStore("CostFunctionJo") \
- or selfA._toStore("APosterioriCovariance") \
- or selfA._toStore("InnovationAtCurrentAnalysis") \
- or selfA._toStore("SimulatedObservationAtCurrentAnalysis") \
- or selfA._toStore("SimulatedObservationAtCurrentOptimum"):
- _HXa = numpy.asmatrix(numpy.ravel( H((Xa, Un)) )).T
- _Innovation = Ynpu - _HXa
- #
- selfA.StoredVariables["CurrentIterationNumber"].store( len(selfA.StoredVariables["Analysis"]) )
- # ---> avec analysis
- selfA.StoredVariables["Analysis"].store( Xa )
- if selfA._toStore("SimulatedObservationAtCurrentAnalysis"):
- selfA.StoredVariables["SimulatedObservationAtCurrentAnalysis"].store( _HXa )
- if selfA._toStore("InnovationAtCurrentAnalysis"):
- selfA.StoredVariables["InnovationAtCurrentAnalysis"].store( _Innovation )
- # ---> avec current state
- if selfA._parameters["StoreInternalVariables"] \
- or selfA._toStore("CurrentState"):
- selfA.StoredVariables["CurrentState"].store( Xn )
- if selfA._toStore("ForecastState"):
- selfA.StoredVariables["ForecastState"].store( E2 )
- if selfA._toStore("BMA"):
- selfA.StoredVariables["BMA"].store( E2 - Xa )
- if selfA._toStore("InnovationAtCurrentState"):
- selfA.StoredVariables["InnovationAtCurrentState"].store( - HE2 + Ynpu.reshape((__p,-1)) )
- if selfA._toStore("SimulatedObservationAtCurrentState") \
- or selfA._toStore("SimulatedObservationAtCurrentOptimum"):
- selfA.StoredVariables["SimulatedObservationAtCurrentState"].store( HE2 )
- # ---> autres
- if selfA._parameters["StoreInternalVariables"] \
- or selfA._toStore("CostFunctionJ") \
- or selfA._toStore("CostFunctionJb") \
- or selfA._toStore("CostFunctionJo") \
- or selfA._toStore("CurrentOptimum") \
- or selfA._toStore("APosterioriCovariance"):
- Jb = float( 0.5 * (Xa - Xb).T * BI * (Xa - Xb) )
- Jo = float( 0.5 * _Innovation.T * RI * _Innovation )
- J = Jb + Jo
- selfA.StoredVariables["CostFunctionJb"].store( Jb )
- selfA.StoredVariables["CostFunctionJo"].store( Jo )
- selfA.StoredVariables["CostFunctionJ" ].store( J )
- #
- if selfA._toStore("IndexOfOptimum") \
- or selfA._toStore("CurrentOptimum") \
- or selfA._toStore("CostFunctionJAtCurrentOptimum") \
- or selfA._toStore("CostFunctionJbAtCurrentOptimum") \
- or selfA._toStore("CostFunctionJoAtCurrentOptimum") \
- or selfA._toStore("SimulatedObservationAtCurrentOptimum"):
- IndexMin = numpy.argmin( selfA.StoredVariables["CostFunctionJ"][nbPreviousSteps:] ) + nbPreviousSteps
- if selfA._toStore("IndexOfOptimum"):
- selfA.StoredVariables["IndexOfOptimum"].store( IndexMin )
- if selfA._toStore("CurrentOptimum"):
- selfA.StoredVariables["CurrentOptimum"].store( selfA.StoredVariables["Analysis"][IndexMin] )
- if selfA._toStore("SimulatedObservationAtCurrentOptimum"):
- selfA.StoredVariables["SimulatedObservationAtCurrentOptimum"].store( selfA.StoredVariables["SimulatedObservationAtCurrentAnalysis"][IndexMin] )
- if selfA._toStore("CostFunctionJbAtCurrentOptimum"):
- selfA.StoredVariables["CostFunctionJbAtCurrentOptimum"].store( selfA.StoredVariables["CostFunctionJb"][IndexMin] )
- if selfA._toStore("CostFunctionJoAtCurrentOptimum"):
- selfA.StoredVariables["CostFunctionJoAtCurrentOptimum"].store( selfA.StoredVariables["CostFunctionJo"][IndexMin] )
- if selfA._toStore("CostFunctionJAtCurrentOptimum"):
- selfA.StoredVariables["CostFunctionJAtCurrentOptimum" ].store( selfA.StoredVariables["CostFunctionJ" ][IndexMin] )
- if selfA._toStore("APosterioriCovariance"):
- Eai = EnsembleOfAnomalies( Xn ) / numpy.sqrt(__m-1) # Anomalies
- Pn = Eai @ Eai.T
- Pn = 0.5 * (Pn + Pn.T)
- selfA.StoredVariables["APosterioriCovariance"].store( Pn )
- if selfA._parameters["EstimationOf"] == "Parameters" \
- and J < previousJMinimum:
- previousJMinimum = J
- XaMin = Xa
- if selfA._toStore("APosterioriCovariance"):
- covarianceXaMin = Pn
- #
- # Stockage final supplémentaire de l'optimum en estimation de paramètres
- # ----------------------------------------------------------------------
- if selfA._parameters["EstimationOf"] == "Parameters":
- selfA.StoredVariables["CurrentIterationNumber"].store( len(selfA.StoredVariables["Analysis"]) )
- selfA.StoredVariables["Analysis"].store( XaMin )
- if selfA._toStore("APosterioriCovariance"):
- selfA.StoredVariables["APosterioriCovariance"].store( covarianceXaMin )
- if selfA._toStore("BMA"):
- selfA.StoredVariables["BMA"].store( numpy.ravel(Xb) - numpy.ravel(XaMin) )
+ # --------------------------
+ Xn = selfA._getInternalState("Xn")
+ if __CovForecast:
+ Pn = selfA._getInternalState("Pn")
#
return 0
# ==============================================================================
if __name__ == "__main__":
- print('\n AUTODIAGNOSTIC\n')
+ print("\n AUTODIAGNOSTIC\n")
