From: Jean-Philippe ARGAUD Date: Tue, 1 Oct 2013 12:55:03 +0000 (+0200) Subject: Adding UnscentedKalmanFilter algorithm X-Git-Tag: V7_3_0~11 X-Git-Url: http://git.salome-platform.org/gitweb/?a=commitdiff_plain;h=ea9d068c8a2135e4a2b5d25ca6a21c0dd2cf70d2;p=modules%2Fadao.git Adding UnscentedKalmanFilter algorithm --- diff --git a/doc/en/reference.rst b/doc/en/reference.rst index 230d485..a9a280a 100644 --- a/doc/en/reference.rst +++ b/doc/en/reference.rst @@ -238,6 +238,7 @@ Options and required commands for calculation algorithms .. index:: single: EnsembleBlue .. index:: single: KalmanFilter .. index:: single: ExtendedKalmanFilter +.. index:: single: UnscentedKalmanFilter .. index:: single: LinearLeastSquares .. index:: single: NonLinearLeastSquares .. index:: single: ParticleSwarmOptimization @@ -475,15 +476,19 @@ commands and keywords for an ADAO calculation case`_. *Required commands* *"Background", "BackgroundError", "Observation", "ObservationError", - "ObservationOperator", - "EvolutionModel", "EvolutionError", - "ControlInput"* + "ObservationOperator"* EstimationOf This key allows to choose the type of estimation to be performed. It can be either state-estimation, named "State", or parameter-estimation, named "Parameters". The default choice is "State". + StoreInternalVariables + This boolean key allows to store default internal variables, mainly the + current state during iterative optimization process. Be careful, this can be + a numerically costly choice in certain calculation cases. The default is + "False". + StoreSupplementaryCalculations This list indicates the names of the supplementary variables that can be available at the end of the algorithm. It involves potentially costly @@ -496,9 +501,43 @@ commands and keywords for an ADAO calculation case`_. *Required commands* *"Background", "BackgroundError", "Observation", "ObservationError", - "ObservationOperator", - "EvolutionModel", "EvolutionError", - "ControlInput"* + "ObservationOperator"* + + Bounds + This key allows to define upper and lower bounds for every control variable + being optimized. Bounds can be given by a list of list of pairs of + lower/upper bounds for each variable, with extreme values every time there + is no bound. The bounds can always be specified, but they are taken into + account only by the constrained minimizers. + + ConstrainedBy + This key allows to define the method to take bounds into account. The + possible methods are in the following list: ["EstimateProjection"]. + + EstimationOf + This key allows to choose the type of estimation to be performed. It can be + either state-estimation, named "State", or parameter-estimation, named + "Parameters". The default choice is "State". + + StoreInternalVariables + This boolean key allows to store default internal variables, mainly the + current state during iterative optimization process. Be careful, this can be + a numerically costly choice in certain calculation cases. The default is + "False". + + StoreSupplementaryCalculations + This list indicates the names of the supplementary variables that can be + available at the end of the algorithm. It involves potentially costly + calculations. The default is a void list, none of these variables being + calculated and stored by default. The possible names are in the following + list: ["APosterioriCovariance", "BMA", "Innovation"]. + +**"UnscentedKalmanFilter"** + + *Required commands* + *"Background", "BackgroundError", + "Observation", "ObservationError", + "ObservationOperator"* Bounds This key allows to define upper and lower bounds for every control variable @@ -515,6 +554,19 @@ commands and keywords for an ADAO calculation case`_. This key allows to choose the type of estimation to be performed. It can be either state-estimation, named "State", or parameter-estimation, named "Parameters". The default choice is "State". + + Alpha, Beta, Kappa, Reconditioner + These keys are internal scaling parameters. "Alpha" requires a value between + 1.e-4 and 1. "Beta" has an optimal value of 2 for gaussian priori + distribution. "Kappa" requires an integer value, and the right default is + obtained by setting it to 0. "Reconditioner" requires a value between 1.e-3 + and 10, it defaults to 1. + + StoreInternalVariables + This boolean key allows to store default internal variables, mainly the + current state during iterative optimization process. Be careful, this can be + a numerically costly choice in certain calculation cases. The default is + "False". StoreSupplementaryCalculations This list indicates the names of the supplementary variables that can be diff --git a/src/daComposant/daAlgorithms/UnscentedKalmanFilter.py b/src/daComposant/daAlgorithms/UnscentedKalmanFilter.py new file mode 100644 index 0000000..f07dc70 --- /dev/null +++ b/src/daComposant/daAlgorithms/UnscentedKalmanFilter.py @@ -0,0 +1,306 @@ +#-*-coding:iso-8859-1-*- +# +# Copyright (C) 2008-2013 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 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 +# +# 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, math + +# ============================================================================== +class ElementaryAlgorithm(BasicObjects.Algorithm): + def __init__(self): + BasicObjects.Algorithm.__init__(self, "UNSCENTEDKALMANFILTER") + self.defineRequiredParameter( + name = "ConstrainedBy", + default = "EstimateProjection", + typecast = str, + message = "Prise en compte des contraintes", + listval = ["EstimateProjection"], + ) + self.defineRequiredParameter( + name = "EstimationOf", + default = "State", + typecast = str, + message = "Estimation d'etat ou de parametres", + listval = ["State", "Parameters"], + ) + self.defineRequiredParameter( + name = "Alpha", + default = 1., + typecast = float, + message = "", + minval = 1.e-4, + maxval = 1., + ) + self.defineRequiredParameter( + name = "Beta", + default = 2, + typecast = float, + message = "", + ) + self.defineRequiredParameter( + name = "Kappa", + default = 0, + typecast = int, + message = "", + maxval = 2, + ) + self.defineRequiredParameter( + name = "Reconditioner", + default = 1., + typecast = float, + message = "", + minval = 1.e-3, + maxval = 1.e+1, + ) + self.defineRequiredParameter( + name = "StoreInternalVariables", + default = False, + typecast = bool, + message = "Stockage des variables internes ou intermédiaires du calcul", + ) + self.defineRequiredParameter( + name = "StoreSupplementaryCalculations", + default = [], + typecast = tuple, + message = "Liste de calculs supplémentaires à stocker et/ou effectuer", + listval = ["APosterioriCovariance", "BMA", "Innovation"] + ) + + def run(self, Xb=None, Y=None, U=None, HO=None, EM=None, CM=None, R=None, B=None, Q=None, Parameters=None): + logging.debug("%s Lancement"%self._name) + logging.debug("%s Taille mémoire utilisée de %.1f Mo"%(self._name, m.getUsedMemory("M"))) + # + # 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 + if self._parameters["EstimationOf"] == "Parameters": + self._parameters["StoreInternalVariables"] = True + # + L = Xb.size + Alpha = self._parameters["Alpha"] + Beta = self._parameters["Beta"] + if self._parameters["Kappa"] == 0: + if self._parameters["EstimationOf"] == "State": + Kappa = 0 + elif self._parameters["EstimationOf"] == "Parameters": + Kappa = 3 - L + else: + Kappa = self._parameters["Kappa"] + Lambda = float( Alpha**2 ) * ( L + Kappa ) - L + Gamma = math.sqrt( L + Lambda ) + # + Ww = [] + Ww.append( 0. ) + for i in range(2*L): + Ww.append( 1. / (2.*(L + Lambda)) ) + # + Wm = numpy.array( Ww ) + Wm[0] = Lambda / (L + Lambda) + Wc = numpy.array( Ww ) + Wc[0] = Lambda / (L + Lambda) + (1. - Alpha**2 + Beta) + # + # Opérateurs + # ---------- + if B is None: + raise ValueError("Background error covariance matrix has to be properly defined!") + if R is None: + raise ValueError("Observation error covariance matrix has to be properly defined!") + # + H = HO["Direct"].appliedControledFormTo + # + if self._parameters["EstimationOf"] == "State": + M = EM["Direct"].appliedControledFormTo + # + if CM is not None and CM.has_key("Tangent") and U is not None: + Cm = CM["Tangent"].asMatrix(Xb) + else: + Cm = None + # + # Nombre de pas du Kalman identique au nombre de pas d'observations + # ----------------------------------------------------------------- + if hasattr(Y,"stepnumber"): + duration = Y.stepnumber() + else: + duration = 2 + # + # Précalcul des inversions de B et R + # ---------------------------------- + if self._parameters["StoreInternalVariables"]: + BI = B.getI() + RI = R.getI() + # + # Initialisation + # -------------- + Xn = Xb + if hasattr(B,"asfullmatrix"): + Pn = B.asfullmatrix(Xn.size) + else: + Pn = B + # + self.StoredVariables["Analysis"].store( Xn.A1 ) + if "APosterioriCovariance" in self._parameters["StoreSupplementaryCalculations"]: + self.StoredVariables["APosterioriCovariance"].store( Pn ) + covarianceXa = Pn + Xa = Xn + previousJMinimum = numpy.finfo(float).max + # + for step in range(duration-1): + if hasattr(Y,"store"): + Ynpu = numpy.asmatrix(numpy.ravel( Y[step+1] )).T + else: + Ynpu = numpy.asmatrix(numpy.ravel( Y )).T + # + if U is not None: + if hasattr(U,"store") and len(U)>1: + 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 + else: + Un = None + # + Pndemi = numpy.linalg.cholesky(Pn) + Xnp = numpy.hstack([Xn, Xn+Gamma*Pndemi, Xn-Gamma*Pndemi]) + nbSpts = 2*Xn.size+1 + # + if Bounds is not None and self._parameters["ConstrainedBy"] == "EstimateProjection": + for point in range(nbSpts): + Xnp[:,point] = numpy.max(numpy.hstack((Xnp[:,point],numpy.asmatrix(Bounds)[:,0])),axis=1) + Xnp[:,point] = numpy.min(numpy.hstack((Xnp[:,point],numpy.asmatrix(Bounds)[:,1])),axis=1) + # + XEtnnp = [] + for point in range(nbSpts): + if self._parameters["EstimationOf"] == "State": + XEtnnpi = numpy.asmatrix(numpy.ravel( M( (Xnp[:,point], Un) ) )).T + if Cm is not None and Un is not None: # Attention : si Cm est aussi dans M, doublon ! + Cm = Cm.reshape(Xn.size,Un.size) # ADAO & check shape + XEtnnpi = XEtnnpi + Cm * Un + if Bounds is not None and self._parameters["ConstrainedBy"] == "EstimateProjection": + XEtnnpi = numpy.max(numpy.hstack((XEtnnpi,numpy.asmatrix(Bounds)[:,0])),axis=1) + XEtnnpi = numpy.min(numpy.hstack((XEtnnpi,numpy.asmatrix(Bounds)[:,1])),axis=1) + elif self._parameters["EstimationOf"] == "Parameters": + # --- > Par principe, M = Id, Q = 0 + XEtnnpi = Xnp[:,point] + XEtnnp.append( XEtnnpi ) + XEtnnp = numpy.hstack( XEtnnp ) + # + Xncm = numpy.matrix( XEtnnp.getA()*numpy.array(Wm) ).sum(axis=1) + # + if Bounds is not None and self._parameters["ConstrainedBy"] == "EstimateProjection": + Xncm = numpy.max(numpy.hstack((Xncm,numpy.asmatrix(Bounds)[:,0])),axis=1) + Xncm = numpy.min(numpy.hstack((Xncm,numpy.asmatrix(Bounds)[:,1])),axis=1) + # + if self._parameters["EstimationOf"] == "State": Pnm = Q + elif self._parameters["EstimationOf"] == "Parameters": Pnm = 0. + for point in range(nbSpts): + Pnm += Wc[i] * (XEtnnp[:,point]-Xncm) * (XEtnnp[:,point]-Xncm).T + # + if self._parameters["EstimationOf"] == "Parameters" and Bounds is not None: + Pnmdemi = self._parameters["Reconditioner"] * numpy.linalg.cholesky(Pnm) + else: + Pnmdemi = numpy.linalg.cholesky(Pnm) + # + Xnnp = numpy.hstack([Xncm, Xncm+Gamma*Pnmdemi, Xncm-Gamma*Pnmdemi]) + # + if Bounds is not None and self._parameters["ConstrainedBy"] == "EstimateProjection": + for point in range(nbSpts): + Xnnp[:,point] = numpy.max(numpy.hstack((Xnnp[:,point],numpy.asmatrix(Bounds)[:,0])),axis=1) + Xnnp[:,point] = numpy.min(numpy.hstack((Xnnp[:,point],numpy.asmatrix(Bounds)[:,1])),axis=1) + # + Ynnp = [] + for point in range(nbSpts): + if self._parameters["EstimationOf"] == "State": + Ynnpi = numpy.asmatrix(numpy.ravel( H( (Xnnp[:,point], None) ) )).T + elif self._parameters["EstimationOf"] == "Parameters": + Ynnpi = numpy.asmatrix(numpy.ravel( H( (Xnnp[:,point], Un) ) )).T + Ynnp.append( Ynnpi ) + Ynnp = numpy.hstack( Ynnp ) + # + Yncm = numpy.matrix( Ynnp.getA()*numpy.array(Wm) ).sum(axis=1) + # + Pyyn = R + Pxyn = 0. + for point in range(nbSpts): + Pyyn += Wc[i] * (Ynnp[:,point]-Yncm) * (Ynnp[:,point]-Yncm).T + Pxyn += Wc[i] * (Xnnp[:,point]-Xncm) * (Ynnp[:,point]-Yncm).T + # + d = Ynpu - Yncm + if self._parameters["EstimationOf"] == "Parameters": + if Cm is not None and Un is not None: # Attention : si Cm est aussi dans H, doublon ! + d = d - Cm * Un + # + Kn = Pxyn * Pyyn.I + Xn = Xncm + Kn * d + Pn = Pnm - Kn * Pyyn * Kn.T + # + if Bounds is not None and self._parameters["ConstrainedBy"] == "EstimateProjection": + Xn = numpy.max(numpy.hstack((Xn,numpy.asmatrix(Bounds)[:,0])),axis=1) + Xn = numpy.min(numpy.hstack((Xn,numpy.asmatrix(Bounds)[:,1])),axis=1) + # + self.StoredVariables["Analysis"].store( Xn.A1 ) + if "APosterioriCovariance" in self._parameters["StoreSupplementaryCalculations"]: + self.StoredVariables["APosterioriCovariance"].store( Pn ) + if "Innovation" in self._parameters["StoreSupplementaryCalculations"]: + self.StoredVariables["Innovation"].store( numpy.ravel( d.A1 ) ) + if self._parameters["StoreInternalVariables"]: + Jb = 0.5 * (Xn - Xb).T * BI * (Xn - Xb) + Jo = 0.5 * d.T * RI * d + J = float( Jb ) + float( Jo ) + self.StoredVariables["CurrentState"].store( Xn.A1 ) + self.StoredVariables["CostFunctionJb"].store( Jb ) + self.StoredVariables["CostFunctionJo"].store( Jo ) + self.StoredVariables["CostFunctionJ" ].store( J ) + if J < previousJMinimum: + previousJMinimum = J + Xa = Xn + if "APosterioriCovariance" in self._parameters["StoreSupplementaryCalculations"]: + covarianceXa = Pn + else: + Xa = Xn + # + # + # Stockage supplementaire de l'optimum en estimation de parametres + # ---------------------------------------------------------------- + if self._parameters["EstimationOf"] == "Parameters": + self.StoredVariables["Analysis"].store( Xa.A1 ) + if "APosterioriCovariance" in self._parameters["StoreSupplementaryCalculations"]: + self.StoredVariables["APosterioriCovariance"].store( covarianceXa ) + # + if "BMA" in self._parameters["StoreSupplementaryCalculations"]: + self.StoredVariables["BMA"].store( numpy.ravel(Xb) - numpy.ravel(Xa) ) + # + logging.debug("%s Taille mémoire utilisée de %.1f Mo"%(self._name, m.getUsedMemory("M"))) + logging.debug("%s Terminé"%self._name) + # + return 0 + +# ============================================================================== +if __name__ == "__main__": + print '\n AUTODIAGNOSTIC \n' diff --git a/src/daSalome/daYacsSchemaCreator/infos_daComposant.py b/src/daSalome/daYacsSchemaCreator/infos_daComposant.py index e6391de..e3f3fdf 100644 --- a/src/daSalome/daYacsSchemaCreator/infos_daComposant.py +++ b/src/daSalome/daYacsSchemaCreator/infos_daComposant.py @@ -64,6 +64,7 @@ AssimAlgos = [ "EnsembleBlue", "KalmanFilter", "ExtendedKalmanFilter", + "UnscentedKalmanFilter", "LinearLeastSquares", "NonLinearLeastSquares", "QuantileRegression", @@ -100,15 +101,16 @@ AlgoDataRequirements["EnsembleBlue"] = [ AlgoDataRequirements["KalmanFilter"] = [ "Background", "BackgroundError", "Observation", "ObservationError", - "ObservationOperator", - "EvolutionModel", "EvolutionError", ] AlgoDataRequirements["ExtendedKalmanFilter"] = [ "Background", "BackgroundError", "Observation", "ObservationError", "ObservationOperator", - "EvolutionModel", "EvolutionError", - "ControlInput", + ] +AlgoDataRequirements["UnscentedKalmanFilter"] = [ + "Background", "BackgroundError", + "Observation", "ObservationError", + "ObservationOperator", ] AlgoDataRequirements["LinearLeastSquares"] = [ "Observation", "ObservationError", @@ -154,6 +156,7 @@ AlgoType["ExtendedBlue"] = "Optim" AlgoType["EnsembleBlue"] = "Optim" AlgoType["KalmanFilter"] = "Optim" AlgoType["ExtendedKalmanFilter"] = "Optim" +AlgoType["UnscentedKalmanFilter"] = "Optim" AlgoType["LinearLeastSquares"] = "Optim" AlgoType["NonLinearLeastSquares"] = "Optim" AlgoType["ParticleSwarmOptimization"] = "Optim"