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Relax assertion on correlation matrix #189

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merged 2 commits into from
Nov 30, 2023
Merged

Relax assertion on correlation matrix #189

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7c3c6cb
relax assertion on correlation matrix being in range [-1, 1]
Nov 30, 2023
f8321cf
replaced assert with warning
Nov 30, 2023
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14 changes: 11 additions & 3 deletions src/iterative_ensemble_smoother/experimental.py
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Original file line number Diff line number Diff line change
Expand Up @@ -3,6 +3,7 @@
features of iterative_ensemble_smoother
"""
import numbers
import warnings
from typing import List, Optional, Tuple, Union

import numpy as np
Expand Down Expand Up @@ -149,9 +150,16 @@ def _correlation_matrix(self, cov_XY, X, Y):
# Compute the correlation matrix from the covariance matrix
corr_XY = (cov_XY / stds_X[:, np.newaxis]) / stds_Y[np.newaxis, :]

# Perform checks
assert corr_XY.max() <= 1
assert corr_XY.min() >= -1
# Perform checks. There appears to be occasional numerical issues in
# the equation. With 2 ensemble members, we get e.g. a max value of
# 1.0000000000016778. We allow some leeway and clip the results.
eps = 1e-8
if not ((corr_XY.max() <= 1 + eps) and (corr_XY.min() >= -1 - eps)):
msg = "Cross-correlation matrix has entries not in [-1, 1]."
msg += f"The min and max values are: {corr_XY.min()} and {corr_XY.max()}"
warnings.warn(msg)

corr_XY = np.clip(corr_XY, a_min=-1, a_max=1)
return corr_XY

def assimilate(self, X, Y, D, alpha, correlation_threshold=None, verbose=False):
Expand Down