# Copyright 2021 IRT Saint Exupéry, https://www.irt-saintexupery.com
#
# This program is free software; you can redistribute it and/or
# modify it under the terms of the GNU Lesser General Public
# License version 3 as published by the Free Software Foundation.
#
# This program 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 program; if not, write to the Free Software Foundation,
# Inc., 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301, USA.
r"""Sequential sampling for multidisciplinary design problems under uncertainty.
[SequentialSampling][gemseo_umdo.formulations.sequential_sampling.SequentialSampling]
is an [UMDOFormulation][gemseo_umdo.formulations.formulation.UMDOFormulation]
estimating the statistics with sequential (quasi) Monte Carlo techniques.
E.g.
$\mathbb{E}[f(x,U)] \approx \frac{1}{N_k}\sum_{i=1}^{N_k} f\left(x,U^{(k,i)}\right)$
or
$\mathbb{V}[f(x,U)] \approx
\frac{1}{N_k-1}\sum_{i=1}^{N_k} \left(f\left(x,U^{(k,i)}\right)-
\frac{1}{N_k}\sum_{j=1}^{N_k} f\left(x,U^{(k,j)}\right)\right)^2$
where $U$ is normally distributed
with mean $\mu$ and variance $\sigma^2$
and $U^{(k,1)},\ldots,U^{(k,N_k)}$ are $N_k$ realizations of $U$
obtained at the $k$-th iteration of the optimization loop
with an optimized Latin hypercube sampling technique.
"""
from __future__ import annotations
from typing import Any
from typing import Mapping
from typing import Sequence
from gemseo.algos.design_space import DesignSpace
from gemseo.algos.opt_problem import OptimizationProblem
from gemseo.algos.parameter_space import ParameterSpace
from gemseo.core.discipline import MDODiscipline
from gemseo.core.formulation import MDOFormulation
from gemseo_umdo.formulations.sampling import Sampling
[docs]class SequentialSampling(Sampling):
"""Sequential sampling-based robust MDO formulation."""
def __init__(
self,
disciplines: Sequence[MDODiscipline],
objective_name: str,
design_space: DesignSpace,
mdo_formulation: MDOFormulation,
uncertain_space: ParameterSpace,
objective_statistic_name: str,
n_samples: int,
initial_n_samples: int = 1,
n_samples_increment: int = 1,
objective_statistic_parameters: Mapping[str, Any] | None = None,
maximize_objective: bool = False,
grammar_type: MDODiscipline.GrammarType = MDODiscipline.GrammarType.JSON,
algo: str = "OT_OPT_LHS",
algo_options: Mapping[str, Any] | None = None,
seed: int = 1,
**options: Any,
) -> None:
"""
Args:
initial_n_samples: The initial sampling size.
n_samples_increment: The increment of the sampling size.
""" # noqa: D205 D212 D415
super().__init__(
disciplines,
objective_name,
design_space,
mdo_formulation,
uncertain_space,
objective_statistic_name,
initial_n_samples,
objective_statistic_parameters=objective_statistic_parameters,
maximize_objective=maximize_objective,
grammar_type=grammar_type,
algo=algo,
algo_options=algo_options,
seed=seed,
**options,
)
self.__final_n_samples = n_samples
self.__n_samples_increment = n_samples_increment
[docs] def compute_samples(self, problem: OptimizationProblem) -> None: # noqa: D102
super().compute_samples(problem)
if self._n_samples < self.__final_n_samples:
self._n_samples = min(
self.__final_n_samples, self._n_samples + self.__n_samples_increment
)
