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Implement FunctionalChaosValidation and LinearModelValidation
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185 changes: 185 additions & 0 deletions
185
lib/src/Uncertainty/Algorithm/MetaModel/FunctionalChaos/FunctionalChaosValidation.cxx
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| // -*- C++ -*- | ||
| /** | ||
| * @brief Validation of a functional chaos expansion | ||
| * | ||
| * Copyright 2005-2023 Airbus-EDF-IMACS-ONERA-Phimeca | ||
| * | ||
| * 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 3 of the License, or | ||
| * (at your option) any later version. | ||
| * | ||
| * 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, see <http://www.gnu.org/licenses/>. | ||
| * | ||
| */ | ||
| #include <algorithm> | ||
| #include "openturns/PersistentObjectFactory.hxx" | ||
| #include "openturns/FunctionalChaosValidation.hxx" | ||
| #include "openturns/Os.hxx" | ||
| #include "openturns/OSS.hxx" | ||
| #include "openturns/DesignProxy.hxx" | ||
| #include "openturns/LeastSquaresMethod.hxx" | ||
| #include "openturns/KFoldSplitter.hxx" | ||
| #include "openturns/MetaModelValidation.hxx" | ||
|
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| BEGIN_NAMESPACE_OPENTURNS | ||
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| CLASSNAMEINIT(FunctionalChaosValidation) | ||
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| static const Factory<FunctionalChaosValidation> Factory_FunctionalChaosValidation; | ||
|
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| /* Default constructor */ | ||
| FunctionalChaosValidation::FunctionalChaosValidation() | ||
| : MetaModelValidation() | ||
| { | ||
| // Nothing to do | ||
| } | ||
|
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| /* Default constructor */ | ||
|
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| FunctionalChaosValidation::FunctionalChaosValidation(const FunctionalChaosResult & functionalChaosResult, | ||
| const CrossValidationMethod cvMethod, | ||
| const UnsignedInteger & kParameter) | ||
| : MetaModelValidation(functionalChaosResult.getOutputSample() | ||
| , ComputeMetamodelCrossValidationPredictions(functionalChaosResult, cvMethod, kParameter)) | ||
| , functionalChaosResult_(functionalChaosResult) | ||
| { | ||
| if ((cvMethod != LEAVEONEOUT) && (cvMethod != KFOLD)) | ||
| throw InvalidArgumentException(HERE) << "The method " << cvMethod << " is not available."; | ||
| cvMethod_ = cvMethod; | ||
| if (kParameter < 1) | ||
| throw InvalidArgumentException(HERE) << "Cannot set k parameter of K-Fold method to " << kParameter << " which is lower than 1"; | ||
| const UnsignedInteger sampleSize = functionalChaosResult_.getInputSample().getSize(); | ||
| if (kParameter > sampleSize) | ||
| throw InvalidArgumentException(HERE) << "Cannot set k parameter of K-Fold method to " << kParameter | ||
| << " which is larger than the sample size =" << sampleSize; | ||
| kParameter_ = kParameter; | ||
| if (!ResourceMap::GetAsBool("FunctionalChaosValidation-ModelSelection") && \ | ||
| functionalChaosResult_.involvesModelSelection()) | ||
| throw InvalidArgumentException(HERE) << "Cannot perform fast cross-validation " | ||
| << "with a polynomial chaos expansion involving model selection"; | ||
| if (!functionalChaosResult.isLeastSquares()) | ||
| throw InvalidArgumentException(HERE) << "Error: the polynomial chaos expansion was not computed from least squares."; | ||
| } | ||
|
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| /* Virtual constructor */ | ||
| FunctionalChaosValidation * FunctionalChaosValidation::clone() const | ||
| { | ||
| return new FunctionalChaosValidation(*this); | ||
| } | ||
|
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| /* String converter */ | ||
| String FunctionalChaosValidation::__repr__() const | ||
| { | ||
| OSS oss; | ||
| oss << "class=" << FunctionalChaosValidation::GetClassName() | ||
| << " functional chaos result=" << functionalChaosResult_ | ||
| << " kParameter_=" << kParameter_ | ||
| << " cvMethod_=" << cvMethod_; | ||
| return oss; | ||
| } | ||
|
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| /* Get result*/ | ||
| FunctionalChaosResult FunctionalChaosValidation::getFunctionalChaosResult() const | ||
| { | ||
| return functionalChaosResult_; | ||
| } | ||
|
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| /* Get the K parameter */ | ||
| UnsignedInteger FunctionalChaosValidation::getKParameter() const | ||
| { | ||
| return kParameter_; | ||
| } | ||
|
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| /* Get the CV Method */ | ||
| UnsignedInteger FunctionalChaosValidation::getMethod() const | ||
| { | ||
| return cvMethod_; | ||
| } | ||
|
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| /* Compute cross-validation metamodel predictions */ | ||
| Sample FunctionalChaosValidation::ComputeMetamodelCrossValidationPredictions( | ||
| const FunctionalChaosResult & functionalChaosResult, | ||
| const CrossValidationMethod cvMethod, | ||
| const UnsignedInteger & kParameter) | ||
| { | ||
| const Sample residualsSample(functionalChaosResult.getSampleResiduals()); | ||
| const Sample inputSample(functionalChaosResult.getInputSample()); | ||
| const UnsignedInteger sampleSize = inputSample.getSize(); | ||
| const FunctionCollection reducedBasis(functionalChaosResult.getReducedBasis()); | ||
| const UnsignedInteger reducedBasisSize = reducedBasis.getSize(); | ||
| if (reducedBasisSize > sampleSize) | ||
| throw InvalidArgumentException(HERE) << "Error: the sample size is: " << sampleSize << | ||
| " which is lower than the basis size: " << reducedBasisSize; | ||
| const Sample outputSample(functionalChaosResult.getOutputSample()); | ||
| const UnsignedInteger outputDimension = outputSample.getDimension(); | ||
| const Function transformation(functionalChaosResult.getTransformation()); | ||
| const Sample standardSample(transformation(inputSample)); | ||
| DesignProxy designProxy(standardSample, reducedBasis); | ||
| Indices allIndices(reducedBasisSize); | ||
| allIndices.fill(); | ||
| // The method name is set to the default one, given by ResourceMap | ||
| const String methodName(ResourceMap::GetAsString("LeastSquaresExpansion-DecompositionMethod")); | ||
| LeastSquaresMethod leastSquaresMethod(LeastSquaresMethod::Build(methodName, designProxy, allIndices)); | ||
| leastSquaresMethod.update(Indices(0), allIndices, Indices(0)); | ||
| Sample cvPredictions(sampleSize, outputDimension); | ||
| if (cvMethod == LEAVEONEOUT) | ||
| { | ||
| const Point diagonalH = leastSquaresMethod.getHDiag(); | ||
| for (UnsignedInteger j = 0; j < outputDimension; ++j) | ||
| for (UnsignedInteger i = 0; i < sampleSize; ++i) | ||
| cvPredictions(i, j) = outputSample(i, j) - residualsSample(i, j) / (1.0 - diagonalH[i]); | ||
| } | ||
| else if (cvMethod == KFOLD) | ||
| { | ||
| const SymmetricMatrix projectionMatrix(leastSquaresMethod.getH()); | ||
| // Compute K-Fold error | ||
| KFoldSplitter splitter(sampleSize, kParameter); | ||
| Indices indicesTest; | ||
| for (UnsignedInteger foldIndex = 0; foldIndex < kParameter; ++foldIndex) | ||
| { | ||
| splitter.generate(indicesTest); | ||
| const UnsignedInteger foldSize = indicesTest.getSize(); | ||
| SymmetricMatrix projectionKFoldMatrix(foldSize); | ||
| for (UnsignedInteger i1 = 0; i1 < foldSize; ++i1) | ||
| for (UnsignedInteger i2 = 0; i2 < 1 + i1; ++i2) | ||
| projectionKFoldMatrix(i1, i2) = projectionMatrix(indicesTest[i1], indicesTest[i2]); | ||
| const IdentityMatrix identityMatrix(foldSize); | ||
| const SymmetricMatrix reducedMatrix(identityMatrix - projectionKFoldMatrix); | ||
| const Sample residualsSampleKFoldTest(residualsSample.select(indicesTest)); | ||
| Matrix multipleRightHandSide(foldSize, outputDimension); | ||
| for (UnsignedInteger j = 0; j < outputDimension; ++j) | ||
| for (UnsignedInteger i = 0; i < foldSize; ++i) | ||
| multipleRightHandSide(i, j) = residualsSampleKFoldTest(i, j); | ||
| const Matrix residualsKFoldMatrix(reducedMatrix.solveLinearSystem(multipleRightHandSide)); | ||
| for (UnsignedInteger j = 0; j < outputDimension; ++j) | ||
| for (UnsignedInteger i = 0; i < foldSize; ++i) | ||
| cvPredictions(indicesTest[i], j) = outputSample(indicesTest[i], j) - residualsKFoldMatrix(i, j); | ||
| } // For fold indices | ||
| } | ||
| else | ||
| throw InvalidArgumentException(HERE) << "The method " << cvMethod << " is not available."; | ||
| return cvPredictions; | ||
| } | ||
|
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| /* Method save() stores the object through the StorageManager */ | ||
| void FunctionalChaosValidation::save(Advocate & adv) const | ||
| { | ||
| PersistentObject::save(adv); | ||
| adv.saveAttribute( "functionalChaosResult_", functionalChaosResult_ ); | ||
| } | ||
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| /* Method load() reloads the object from the StorageManager */ | ||
| void FunctionalChaosValidation::load(Advocate & adv) | ||
| { | ||
| PersistentObject::load(adv); | ||
| adv.loadAttribute( "functionalChaosResult_", functionalChaosResult_ ); | ||
| } | ||
|
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| END_NAMESPACE_OPENTURNS |
97 changes: 97 additions & 0 deletions
97
...c/Uncertainty/Algorithm/MetaModel/FunctionalChaos/openturns/FunctionalChaosValidation.hxx
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,97 @@ | ||
| // -*- C++ -*- | ||
| /** | ||
| * @brief The validation of a chaos expansion | ||
| * | ||
| * Copyright 2005-2023 Airbus-EDF-IMACS-ONERA-Phimeca | ||
| * | ||
| * 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 3 of the License, or | ||
| * (at your option) any later version. | ||
| * | ||
| * 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, see <http://www.gnu.org/licenses/>. | ||
| * | ||
| */ | ||
| #ifndef OPENTURNS_FUNCTIONALCHAOSVALIDATION_HXX | ||
| #define OPENTURNS_FUNCTIONALCHAOSVALIDATION_HXX | ||
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| #include "openturns/Sample.hxx" | ||
| #include "openturns/FunctionalChaosResult.hxx" | ||
| #include "openturns/MetaModelValidation.hxx" | ||
|
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| BEGIN_NAMESPACE_OPENTURNS | ||
|
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| /** | ||
| * @class FunctionalChaosValidation | ||
| * | ||
| * The validation of a chaos expansion | ||
| */ | ||
|
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| class OT_API FunctionalChaosValidation | ||
| : public MetaModelValidation | ||
| { | ||
| CLASSNAME | ||
|
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| public: | ||
| typedef Collection<Function> FunctionCollection; | ||
| enum CrossValidationMethod {LEAVEONEOUT = 0, KFOLD = 1}; | ||
|
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| /** Default constructor */ | ||
| FunctionalChaosValidation(); | ||
|
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| /** Parameter constructor */ | ||
| FunctionalChaosValidation(const FunctionalChaosResult & chaosResult, | ||
| const CrossValidationMethod method, | ||
| const UnsignedInteger & kParameter = ResourceMap::GetAsUnsignedInteger("FunctionalChaosValidation-DefaultKFoldParameter")); | ||
|
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| /** Virtual constructor */ | ||
| FunctionalChaosValidation * clone() const override; | ||
|
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| /** String converter */ | ||
| String __repr__() const override; | ||
|
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| /** Result accessor */ | ||
| FunctionalChaosResult getFunctionalChaosResult() const; | ||
|
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| /** Get the K-parameter */ | ||
| UnsignedInteger getKParameter() const; | ||
|
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| /** Get the CV Method */ | ||
| UnsignedInteger getMethod() const; | ||
|
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| /** Method save() stores the object through the StorageManager */ | ||
| void save(Advocate & adv) const override; | ||
|
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| /** Method load() reloads the object from the StorageManager */ | ||
| void load(Advocate & adv) override; | ||
|
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| protected: | ||
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| private: | ||
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| /** The functional chaos result */ | ||
| FunctionalChaosResult functionalChaosResult_; | ||
|
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| /** K-parameter */ | ||
| UnsignedInteger kParameter_; | ||
|
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| /** Cross-validation method */ | ||
| CrossValidationMethod cvMethod_; | ||
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| /* Compute cross-validation metamodel predictions */ | ||
| static Sample ComputeMetamodelCrossValidationPredictions( | ||
| const FunctionalChaosResult & functionalChaosResult, const CrossValidationMethod cvMethod, | ||
| const UnsignedInteger & kParameter); | ||
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| } ; /* class FunctionalChaosValidation */ | ||
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| END_NAMESPACE_OPENTURNS | ||
|
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| #endif /* OPENTURNS_FUNCTIONALCHAOSVALIDATION_HXX */ |
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