Merge branch 'master' into testquadrature

mbaudin47 · Sep 17, 2024 · 5cf027f · 5cf027f
2 parents fcbae98 + 3292929
commit 5cf027f
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Showing 93 changed files with 7,812 additions and 395 deletions.
diff --git a/.github/workflows/build.yml b/.github/workflows/build.yml
@@ -18,6 +18,7 @@ jobs:
         -DCMAKE_INSTALL_PREFIX=~/.local \
         -DPython_EXECUTABLE=/opt/homebrew/bin/python3 \
         -DUSE_BISON=OFF \
+        -DUSE_CMINPACK=OFF \
         -DFLEX_EXECUTABLE=/opt/homebrew/opt/flex/bin/flex \
         -DBISON_EXECUTABLE=/opt/homebrew/opt/bison/bin/bison \
         -DCMAKE_CXX_FLAGS="-Wall -Wextra -Werror" \

diff --git a/ChangeLog b/ChangeLog
@@ -6,6 +6,7 @@
 
 ==== Major changes ====
  * Swapped InverseGamma shape/scale parameters: InverseGamma(k, lambda)
+ * New Gaussian process regression classes
 
 ==== New classes ====
 

diff --git a/lib/etc/openturns.conf.in b/lib/etc/openturns.conf.in
@@ -901,6 +901,18 @@
   <GeneralLinearModelAlgorithm-DefaultOptimizationAlgorithm     value_str="TNC"     />
   <GeneralLinearModelAlgorithm-LinearAlgebra                    value_str="LAPACK"  />
 
+  <!-- OT::GaussianProcessFitter parameters -->
+  <GaussianProcessFitter-KeepCovariance                   value_bool="true"      />
+  <GaussianProcessFitter-OptimizeParameters               value_bool="true"      />
+  <GaussianProcessFitter-UnbiasedVariance                 value_bool="true"      />
+  <GaussianProcessFitter-UseAnalyticalAmplitudeEstimate   value_bool="true"      />
+  <GaussianProcessFitter-DefaultOptimizationLowerBound    value_float="1.0e-2"  />
+  <GaussianProcessFitter-DefaultOptimizationScaleFactor   value_float="2.0"     />
+  <GaussianProcessFitter-DefaultOptimizationUpperBound    value_float="1.0e2"   />
+  <GaussianProcessFitter-MeanEpsilon                      value_float="1.0e-12" />
+  <GaussianProcessFitter-DefaultOptimizationAlgorithm     value_str="Cobyla"     />
+  <GaussianProcessFitter-LinearAlgebra                    value_str="LAPACK"  />
+
   <!-- OT::KrigingAlgorithm parameters -->
   <KrigingAlgorithm-LinearAlgebra   value_str="LAPACK"  />
 

diff --git a/lib/src/Base/Common/ResourceMap.cxx b/lib/src/Base/Common/ResourceMap.cxx
@@ -1521,6 +1521,18 @@ void ResourceMap::loadDefaultConfiguration()
   addAsString("GeneralLinearModelAlgorithm-DefaultOptimizationAlgorithm", "TNC");
   addAsString("GeneralLinearModelAlgorithm-LinearAlgebra", "LAPACK");
 
+  // GaussianProcessFitter parameters //
+  addAsBool("GaussianProcessFitter-KeepCovariance", true);
+  addAsBool("GaussianProcessFitter-OptimizeParameters", true);
+  addAsBool("GaussianProcessFitter-UnbiasedVariance", true);
+  addAsBool("GaussianProcessFitter-UseAnalyticalAmplitudeEstimate", true);
+  addAsScalar("GaussianProcessFitter-DefaultOptimizationLowerBound", 1.0e-2);
+  addAsScalar("GaussianProcessFitter-DefaultOptimizationScaleFactor", 2.0);
+  addAsScalar("GaussianProcessFitter-DefaultOptimizationUpperBound", 1.0e2);
+  addAsScalar("GaussianProcessFitter-MeanEpsilon", 1.0e-12);
+  addAsString("GaussianProcessFitter-DefaultOptimizationAlgorithm", "Cobyla");
+  addAsString("GaussianProcessFitter-LinearAlgebra", "LAPACK");
+
   // KrigingAlgorithm parameters //
   addAsString("KrigingAlgorithm-LinearAlgebra", "LAPACK");
 

diff --git a/lib/src/Uncertainty/Algorithm/MetaModel/Kriging/CMakeLists.txt b/lib/src/Uncertainty/Algorithm/MetaModel/Kriging/CMakeLists.txt
@@ -10,13 +10,22 @@ ot_add_source_file (KrigingAlgorithm.cxx)
 ot_add_source_file (KrigingResult.cxx)
 ot_add_source_file (GeneralLinearModelResult.cxx)
 ot_add_source_file (GeneralLinearModelAlgorithm.cxx)
-
+ot_add_source_file (GaussianProcessFitterResult.cxx)
+ot_add_source_file (GaussianProcessFitter.cxx)
+ot_add_source_file (GaussianProcessRegressionResult.cxx)
+ot_add_source_file (GaussianProcessRegression.cxx)
+ot_add_source_file (GaussianProcessConditionalCovariance.cxx)
 
 ot_install_header_file (KrigingEvaluation.hxx)
 ot_install_header_file (KrigingGradient.hxx)
 ot_install_header_file (KrigingAlgorithm.hxx)
 ot_install_header_file (KrigingResult.hxx)
 ot_install_header_file (GeneralLinearModelResult.hxx)
 ot_install_header_file (GeneralLinearModelAlgorithm.hxx)
+ot_install_header_file (GaussianProcessFitterResult.hxx)
+ot_install_header_file (GaussianProcessFitter.hxx)
+ot_install_header_file (GaussianProcessRegressionResult.hxx)
+ot_install_header_file (GaussianProcessRegression.hxx)
+ot_install_header_file (GaussianProcessConditionalCovariance.hxx)
 
 ot_install_header_file (OTKriging.hxx)
diff --git a/lib/src/Uncertainty/Algorithm/MetaModel/Kriging/GaussianProcessConditionalCovariance.cxx b/lib/src/Uncertainty/Algorithm/MetaModel/Kriging/GaussianProcessConditionalCovariance.cxx