X-Git-Url: http://git.salome-platform.org/gitweb/?a=blobdiff_plain;f=src%2FdaComposant%2FdaAlgorithms%2FNonLinearLeastSquares.py;h=eebcf2afb37acebc5e44b99af0b57a2f8f672d48;hb=59c9144c3b491494cb2beeb10093f232a5e13f2a;hp=370922478831debc531c946bbf448072b279e5df;hpb=3f20d37f8c58f8852b750c5fcb22e903d1920364;p=modules%2Fadao.git diff --git a/src/daComposant/daAlgorithms/NonLinearLeastSquares.py b/src/daComposant/daAlgorithms/NonLinearLeastSquares.py index 3709224..eebcf2a 100644 --- a/src/daComposant/daAlgorithms/NonLinearLeastSquares.py +++ b/src/daComposant/daAlgorithms/NonLinearLeastSquares.py @@ -1,39 +1,28 @@ -#-*-coding:iso-8859-1-*- +# -*- coding: utf-8 -*- # -# Copyright (C) 2008-2012 EDF R&D +# Copyright (C) 2008-2020 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 -# License as published by the Free Software Foundation; either -# version 2.1 of the License. +# This library is free software; you can redistribute it and/or +# modify it under the terms of the GNU Lesser General Public +# License as published by the Free Software Foundation; either +# version 2.1 of the License. # -# This library is distributed in the hope that it will be useful, -# but WITHOUT ANY WARRANTY; without even the implied warranty of -# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU -# Lesser General Public License for more details. +# This library is distributed in the hope that it will be useful, +# but WITHOUT ANY WARRANTY; without even the implied warranty of +# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU +# Lesser General Public License for more details. # -# You should have received a copy of the GNU Lesser General Public -# License along with this library; if not, write to the Free Software -# Foundation, Inc., 59 Temple Place, Suite 330, Boston, MA 02111-1307 USA +# You should have received a copy of the GNU Lesser General Public +# License along with this library; if not, write to the Free Software +# Foundation, Inc., 59 Temple Place, Suite 330, Boston, MA 02111-1307 USA # -# See http://www.salome-platform.org/ or email : webmaster.salome@opencascade.com +# See http://www.salome-platform.org/ or email : webmaster.salome@opencascade.com # +# Author: Jean-Philippe Argaud, jean-philippe.argaud@edf.fr, EDF R&D import logging -from daCore import BasicObjects, PlatformInfo -m = PlatformInfo.SystemUsage() - -import numpy -import scipy.optimize - -if logging.getLogger().level < 30: - iprint = 1 - message = scipy.optimize.tnc.MSG_ALL - disp = 1 -else: - iprint = -1 - message = scipy.optimize.tnc.MSG_NONE - disp = 0 +from daCore import BasicObjects +import numpy, scipy.optimize, scipy.version # ============================================================================== class ElementaryAlgorithm(BasicObjects.Algorithm): @@ -43,8 +32,8 @@ class ElementaryAlgorithm(BasicObjects.Algorithm): name = "Minimizer", default = "LBFGSB", typecast = str, - message = "Minimiseur utilisé", - listval = ["LBFGSB","TNC", "CG", "NCG", "BFGS"], + message = "Minimiseur utilisé", + listval = ["LBFGSB","TNC", "CG", "NCG", "BFGS", "LM"], ) self.defineRequiredParameter( name = "MaximumNumberOfSteps", @@ -57,144 +46,205 @@ class ElementaryAlgorithm(BasicObjects.Algorithm): name = "CostDecrementTolerance", default = 1.e-7, typecast = float, - message = "Diminution relative minimale du cout lors de l'arrêt", + message = "Diminution relative minimale du coût lors de l'arrêt", + minval = 0., ) self.defineRequiredParameter( name = "ProjectedGradientTolerance", default = -1, typecast = float, - message = "Maximum des composantes du gradient projeté lors de l'arrêt", + message = "Maximum des composantes du gradient projeté lors de l'arrêt", minval = -1, ) self.defineRequiredParameter( name = "GradientNormTolerance", default = 1.e-05, typecast = float, - message = "Maximum des composantes du gradient lors de l'arrêt", + message = "Maximum des composantes du gradient lors de l'arrêt", + minval = 0., ) self.defineRequiredParameter( name = "StoreInternalVariables", default = False, typecast = bool, - message = "Stockage des variables internes ou intermédiaires du calcul", + message = "Stockage des variables internes ou intermédiaires du calcul", + ) + self.defineRequiredParameter( + name = "StoreSupplementaryCalculations", + default = [], + typecast = tuple, + message = "Liste de calculs supplémentaires à stocker et/ou effectuer", + listval = [ + "Analysis", + "BMA", + "CostFunctionJ", + "CostFunctionJAtCurrentOptimum", + "CostFunctionJb", + "CostFunctionJbAtCurrentOptimum", + "CostFunctionJo", + "CostFunctionJoAtCurrentOptimum", + "CurrentIterationNumber", + "CurrentOptimum", + "CurrentState", + "IndexOfOptimum", + "Innovation", + "InnovationAtCurrentState", + "OMA", + "OMB", + "SimulatedObservationAtBackground", + "SimulatedObservationAtCurrentOptimum", + "SimulatedObservationAtCurrentState", + "SimulatedObservationAtOptimum", + ] + ) + self.defineRequiredParameter( # Pas de type + name = "Bounds", + message = "Liste des valeurs de bornes", ) + self.requireInputArguments( + mandatory= ("Xb", "Y", "HO", "R"), + ) + self.setAttributes(tags=( + "Optimization", + "NonLinear", + "Variational", + )) - def run(self, Xb=None, Y=None, H=None, M=None, R=None, B=None, Q=None, Parameters=None): - """ - Calcul de l'estimateur moindres carrés pondérés non linéaires - (assimilation variationnelle sans ébauche) - """ - logging.debug("%s Lancement"%self._name) - logging.debug("%s Taille mémoire utilisée de %.1f Mo"%(self._name, m.getUsedMemory("Mo"))) - # - # Paramètres de pilotage - # ---------------------- - self.setParameters(Parameters) - # - if self._parameters.has_key("Bounds") and (type(self._parameters["Bounds"]) is type([]) or type(self._parameters["Bounds"]) is type(())) and (len(self._parameters["Bounds"]) > 0): - Bounds = self._parameters["Bounds"] - logging.debug("%s Prise en compte des bornes effectuee"%(self._name,)) - else: - Bounds = None + def run(self, Xb=None, Y=None, U=None, HO=None, EM=None, CM=None, R=None, B=None, Q=None, Parameters=None): + self._pre_run(Parameters, Xb, Y, U, HO, EM, CM, R, B, Q) # # Correction pour pallier a un bug de TNC sur le retour du Minimum - if self._parameters.has_key("Minimizer") is "TNC": + if "Minimizer" in self._parameters and self._parameters["Minimizer"] == "TNC": self.setParameterValue("StoreInternalVariables",True) # - # Opérateur d'observation - # ----------------------- - Hm = H["Direct"].appliedTo - Ha = H["Adjoint"].appliedInXTo + # Opérateurs + # ---------- + Hm = HO["Direct"].appliedTo + Ha = HO["Adjoint"].appliedInXTo # - # Utilisation éventuelle d'un vecteur H(Xb) précalculé + # Utilisation éventuelle d'un vecteur H(Xb) précalculé # ---------------------------------------------------- - if H["AppliedToX"] is not None and H["AppliedToX"].has_key("HXb"): - logging.debug("%s Utilisation de HXb"%self._name) - HXb = H["AppliedToX"]["HXb"] + if HO["AppliedInX"] is not None and "HXb" in HO["AppliedInX"]: + HXb = Hm( Xb, HO["AppliedInX"]["HXb"] ) else: - logging.debug("%s Calcul de Hm(Xb)"%self._name) HXb = Hm( Xb ) - HXb = numpy.asmatrix(HXb).flatten().T - # - # Calcul de l'innovation - # ---------------------- + 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)) - d = Y - HXb - logging.debug("%s Innovation d = %s"%(self._name, d)) # - # Précalcul des inversions de B et R + # Précalcul des inversions de B et R # ---------------------------------- - # if B is not None: - # BI = B.I - # elif self._parameters["B_scalar"] is not None: - # BI = 1.0 / self._parameters["B_scalar"] - # else: - # raise ValueError("Background error covariance matrix has to be properly defined!") - # - if R is not None: - RI = R.I - elif self._parameters["R_scalar"] is not None: - RI = 1.0 / self._parameters["R_scalar"] - else: - raise ValueError("Observation error covariance matrix has to be properly defined!") + RI = R.getI() + if self._parameters["Minimizer"] == "LM": + RdemiI = R.choleskyI() # - # Définition de la fonction-coût + # Définition de la fonction-coût # ------------------------------ def CostFunction(x): - _X = numpy.asmatrix(x).flatten().T - logging.debug("%s CostFunction X = %s"%(self._name, numpy.asmatrix( _X ).flatten())) + _X = numpy.asmatrix(numpy.ravel( x )).T + if self._parameters["StoreInternalVariables"] or \ + self._toStore("CurrentState") or \ + self._toStore("CurrentOptimum"): + self.StoredVariables["CurrentState"].store( _X ) _HX = Hm( _X ) - _HX = numpy.asmatrix(_HX).flatten().T + _HX = numpy.asmatrix(numpy.ravel( _HX )).T + _Innovation = Y - _HX + if self._toStore("SimulatedObservationAtCurrentState") or \ + self._toStore("SimulatedObservationAtCurrentOptimum"): + self.StoredVariables["SimulatedObservationAtCurrentState"].store( _HX ) + if self._toStore("InnovationAtCurrentState"): + self.StoredVariables["InnovationAtCurrentState"].store( _Innovation ) + # Jb = 0. - Jo = 0.5 * (Y - _HX).T * RI * (Y - _HX) - J = float( Jb ) + float( Jo ) - logging.debug("%s CostFunction Jb = %s"%(self._name, Jb)) - logging.debug("%s CostFunction Jo = %s"%(self._name, Jo)) - logging.debug("%s CostFunction J = %s"%(self._name, J)) - if self._parameters["StoreInternalVariables"]: - self.StoredVariables["CurrentState"].store( _X.A1 ) + Jo = float( 0.5 * _Innovation.T * RI * _Innovation ) + J = Jb + Jo + # + self.StoredVariables["CurrentIterationNumber"].store( len(self.StoredVariables["CostFunctionJ"]) ) self.StoredVariables["CostFunctionJb"].store( Jb ) self.StoredVariables["CostFunctionJo"].store( Jo ) self.StoredVariables["CostFunctionJ" ].store( J ) - return float( J ) + if self._toStore("IndexOfOptimum") or \ + self._toStore("CurrentOptimum") or \ + self._toStore("CostFunctionJAtCurrentOptimum") or \ + self._toStore("CostFunctionJbAtCurrentOptimum") or \ + self._toStore("CostFunctionJoAtCurrentOptimum") or \ + self._toStore("SimulatedObservationAtCurrentOptimum"): + IndexMin = numpy.argmin( self.StoredVariables["CostFunctionJ"][nbPreviousSteps:] ) + nbPreviousSteps + if self._toStore("IndexOfOptimum"): + self.StoredVariables["IndexOfOptimum"].store( IndexMin ) + if self._toStore("CurrentOptimum"): + self.StoredVariables["CurrentOptimum"].store( self.StoredVariables["CurrentState"][IndexMin] ) + if self._toStore("SimulatedObservationAtCurrentOptimum"): + self.StoredVariables["SimulatedObservationAtCurrentOptimum"].store( self.StoredVariables["SimulatedObservationAtCurrentState"][IndexMin] ) + if self._toStore("CostFunctionJbAtCurrentOptimum"): + self.StoredVariables["CostFunctionJbAtCurrentOptimum"].store( self.StoredVariables["CostFunctionJb"][IndexMin] ) + if self._toStore("CostFunctionJoAtCurrentOptimum"): + self.StoredVariables["CostFunctionJoAtCurrentOptimum"].store( self.StoredVariables["CostFunctionJo"][IndexMin] ) + if self._toStore("CostFunctionJAtCurrentOptimum"): + self.StoredVariables["CostFunctionJAtCurrentOptimum" ].store( self.StoredVariables["CostFunctionJ" ][IndexMin] ) + return J # def GradientOfCostFunction(x): - _X = numpy.asmatrix(x).flatten().T - logging.debug("%s GradientOfCostFunction X = %s"%(self._name, numpy.asmatrix( _X ).flatten())) + _X = numpy.asmatrix(numpy.ravel( x )).T _HX = Hm( _X ) - _HX = numpy.asmatrix(_HX).flatten().T + _HX = numpy.asmatrix(numpy.ravel( _HX )).T GradJb = 0. GradJo = - Ha( (_X, RI * (Y - _HX)) ) - GradJ = numpy.asmatrix( GradJb ).flatten().T + numpy.asmatrix( GradJo ).flatten().T - logging.debug("%s GradientOfCostFunction GradJb = %s"%(self._name, numpy.asmatrix( GradJb ).flatten())) - logging.debug("%s GradientOfCostFunction GradJo = %s"%(self._name, numpy.asmatrix( GradJo ).flatten())) - logging.debug("%s GradientOfCostFunction GradJ = %s"%(self._name, numpy.asmatrix( GradJ ).flatten())) + GradJ = numpy.asmatrix( numpy.ravel( GradJb ) + numpy.ravel( GradJo ) ).T return GradJ.A1 # - # Point de démarrage de l'optimisation : Xini = Xb + def CostFunctionLM(x): + _X = numpy.asmatrix(numpy.ravel( x )).T + _HX = Hm( _X ) + _HX = numpy.asmatrix(numpy.ravel( _HX )).T + _Innovation = Y - _HX + Jb = 0. + Jo = float( 0.5 * _Innovation.T * RI * _Innovation ) + J = Jb + Jo + if self._parameters["StoreInternalVariables"] or \ + self._toStore("CurrentState"): + self.StoredVariables["CurrentState"].store( _X ) + self.StoredVariables["CostFunctionJb"].store( Jb ) + self.StoredVariables["CostFunctionJo"].store( Jo ) + self.StoredVariables["CostFunctionJ" ].store( J ) + # + return numpy.ravel( RdemiI*_Innovation ) + # + def GradientOfCostFunctionLM(x): + _X = numpy.asmatrix(numpy.ravel( x )).T + _HX = Hm( _X ) + _HX = numpy.asmatrix(numpy.ravel( _HX )).T + GradJb = 0. + GradJo = - Ha( (_X, RI * (Y - _HX)) ) + GradJ = numpy.asmatrix( numpy.ravel( GradJb ) + numpy.ravel( GradJo ) ).T + return - RdemiI*HO["Tangent"].asMatrix( _X ) + # + # Point de démarrage de l'optimisation : Xini = Xb # ------------------------------------ - if type(Xb) is type(numpy.matrix([])): - Xini = Xb.A1.tolist() - else: - Xini = list(Xb) - logging.debug("%s Point de démarrage Xini = %s"%(self._name, Xini)) + Xini = numpy.ravel(Xb) # # Minimisation de la fonctionnelle # -------------------------------- + nbPreviousSteps = self.StoredVariables["CostFunctionJ"].stepnumber() + # if self._parameters["Minimizer"] == "LBFGSB": - Minimum, J_optimal, Informations = scipy.optimize.fmin_l_bfgs_b( + # 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 = Bounds, + bounds = self._parameters["Bounds"], maxfun = self._parameters["MaximumNumberOfSteps"]-1, factr = self._parameters["CostDecrementTolerance"]*1.e14, pgtol = self._parameters["ProjectedGradientTolerance"], - iprint = iprint, + iprint = self._parameters["optiprint"], ) nfeval = Informations['funcalls'] rc = Informations['warnflag'] @@ -204,11 +254,11 @@ class ElementaryAlgorithm(BasicObjects.Algorithm): x0 = Xini, fprime = GradientOfCostFunction, args = (), - bounds = Bounds, + bounds = self._parameters["Bounds"], maxfun = self._parameters["MaximumNumberOfSteps"], pgtol = self._parameters["ProjectedGradientTolerance"], ftol = self._parameters["CostDecrementTolerance"], - messages = message, + messages = self._parameters["optmessages"], ) elif self._parameters["Minimizer"] == "CG": Minimum, fopt, nfeval, grad_calls, rc = scipy.optimize.fmin_cg( @@ -218,7 +268,7 @@ class ElementaryAlgorithm(BasicObjects.Algorithm): args = (), maxiter = self._parameters["MaximumNumberOfSteps"], gtol = self._parameters["GradientNormTolerance"], - disp = disp, + disp = self._parameters["optdisp"], full_output = True, ) elif self._parameters["Minimizer"] == "NCG": @@ -229,7 +279,7 @@ class ElementaryAlgorithm(BasicObjects.Algorithm): args = (), maxiter = self._parameters["MaximumNumberOfSteps"], avextol = self._parameters["CostDecrementTolerance"], - disp = disp, + disp = self._parameters["optdisp"], full_output = True, ) elif self._parameters["Minimizer"] == "BFGS": @@ -240,39 +290,69 @@ class ElementaryAlgorithm(BasicObjects.Algorithm): args = (), maxiter = self._parameters["MaximumNumberOfSteps"], gtol = self._parameters["GradientNormTolerance"], - disp = disp, + disp = self._parameters["optdisp"], full_output = True, ) + elif self._parameters["Minimizer"] == "LM": + Minimum, cov_x, infodict, mesg, rc = scipy.optimize.leastsq( + func = CostFunctionLM, + x0 = Xini, + Dfun = GradientOfCostFunctionLM, + args = (), + ftol = self._parameters["CostDecrementTolerance"], + maxfev = self._parameters["MaximumNumberOfSteps"], + gtol = self._parameters["GradientNormTolerance"], + full_output = True, + ) + nfeval = infodict['nfev'] else: raise ValueError("Error in Minimizer name: %s"%self._parameters["Minimizer"]) # - StepMin = numpy.argmin( self.StoredVariables["CostFunctionJ"].valueserie() ) - MinJ = self.StoredVariables["CostFunctionJ"].valueserie(step = StepMin) + IndexMin = numpy.argmin( self.StoredVariables["CostFunctionJ"][nbPreviousSteps:] ) + nbPreviousSteps + MinJ = self.StoredVariables["CostFunctionJ"][IndexMin] # # Correction pour pallier a un bug de TNC sur le retour du Minimum # ---------------------------------------------------------------- - if self._parameters["StoreInternalVariables"]: - Minimum = self.StoredVariables["CurrentState"].valueserie(step = StepMin) - # - logging.debug("%s %s Step of min cost = %s"%(self._name, self._parameters["Minimizer"], StepMin)) - logging.debug("%s %s Minimum cost = %s"%(self._name, self._parameters["Minimizer"], MinJ)) - logging.debug("%s %s Minimum state = %s"%(self._name, self._parameters["Minimizer"], Minimum)) - logging.debug("%s %s Nb of F = %s"%(self._name, self._parameters["Minimizer"], nfeval)) - logging.debug("%s %s RetCode = %s"%(self._name, self._parameters["Minimizer"], rc)) + if self._parameters["StoreInternalVariables"] or self._toStore("CurrentState"): + Minimum = self.StoredVariables["CurrentState"][IndexMin] # # Obtention de l'analyse # ---------------------- - Xa = numpy.asmatrix(Minimum).T - logging.debug("%s Analyse Xa = %s"%(self._name, Xa)) + Xa = numpy.asmatrix(numpy.ravel( Minimum )).T # self.StoredVariables["Analysis"].store( Xa.A1 ) - self.StoredVariables["Innovation"].store( d.A1 ) # - logging.debug("%s Taille mémoire utilisée de %.1f Mo"%(self._name, m.getUsedMemory("MB"))) - logging.debug("%s Terminé"%self._name) + if self._toStore("OMA") or \ + self._toStore("SimulatedObservationAtOptimum"): + if self._toStore("SimulatedObservationAtCurrentState"): + HXa = self.StoredVariables["SimulatedObservationAtCurrentState"][IndexMin] + elif self._toStore("SimulatedObservationAtCurrentOptimum"): + HXa = self.StoredVariables["SimulatedObservationAtCurrentOptimum"][-1] + else: + HXa = Hm( Xa ) + # + # + # Calculs et/ou stockages supplémentaires + # --------------------------------------- + if self._toStore("Innovation") or \ + self._toStore("OMB"): + d = Y - HXb + if self._toStore("Innovation"): + self.StoredVariables["Innovation"].store( numpy.ravel(d) ) + if self._toStore("BMA"): + self.StoredVariables["BMA"].store( numpy.ravel(Xb) - numpy.ravel(Xa) ) + if self._toStore("OMA"): + self.StoredVariables["OMA"].store( numpy.ravel(Y) - numpy.ravel(HXa) ) + if self._toStore("OMB"): + self.StoredVariables["OMB"].store( numpy.ravel(d) ) + if self._toStore("SimulatedObservationAtBackground"): + self.StoredVariables["SimulatedObservationAtBackground"].store( numpy.ravel(HXb) ) + if self._toStore("SimulatedObservationAtOptimum"): + self.StoredVariables["SimulatedObservationAtOptimum"].store( numpy.ravel(HXa) ) # + self._post_run(HO) return 0 # ============================================================================== if __name__ == "__main__": - print '\n AUTODIAGNOSTIC \n' + print('\n AUTODIAGNOSTIC\n')