Source code for gemseo_umdo.statistics.multilevel.pilot

# Copyright 2021 IRT Saint Exupéry, https://www.irt-saintexupery.com
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# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU
# Lesser General Public License for more details.
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"""The base pilot for multilevel algorithms."""
from __future__ import annotations

from abc import abstractmethod
from typing import Any
from typing import Iterable
from typing import Sequence

from gemseo.utils.metaclasses import ABCGoogleDocstringInheritanceMeta
from numpy import argmax
from numpy import array
from numpy import nan
from numpy.typing import NDArray


[docs]class Pilot(metaclass=ABCGoogleDocstringInheritanceMeta): r"""The base pilot for multilevel algorithms. A pilot is associated with a statistic, e.g. mean. The method [compute_next_level_and_statistic()][gemseo_umdo.statistics.multilevel.pilot.Pilot.compute_next_level_and_statistic] returns a multilevel estimation of the statistic based on the current samples and the next level $\ell^*$ of the telescopic sum to sample in order to improve this estimation. This level $\ell^*$ maximizes the criterion $$\frac{\mathcal{V}_\ell} {r_\ell n_\ell^2(\mathcal{C}_\ell+\mathcal{C}_{\ell-1})}$$ where $\mathcal{C}_{\ell}$ is the unit evaluation cost of the model $f_\ell$ (with $\mathcal{C}_{-1}=0$), $n_\ell$ is the current number of evaluations of $f_\ell$ and $r_\ell$ is the factor by which $n_\ell$ would be increased by choosing the level $\ell$. Regarding $\mathcal{V}_\ell$, it represents the variance of the $\ell$-th term of the telescopic sum characteristic of the MLMC techniques. For instance, $\mathcal{V}_\ell=\mathbb{E}[Y_\ell-Y_{\ell}]$ in the case of the expectation. See Also: El Amri et al., Algo. 1, Multilevel Surrogate-based Control Variates, 2023. """ V_l: NDArray[float] r"""The terms variances $\mathcal{V}_0,\ldots,\mathcal{V}_L$.""" __costs: NDArray[float] r"""The unit sampling costs of each level of the telescopic sum. Namely, $(\mathcal{C}_{\ell-1}+\mathcal{C}_\ell)_{\ell\in\{0,\ldots,L\}}$ with $\mathcal{C}_{-1}=0$. """ __r_l: NDArray[float] r"""The sampling ratios of each level of the telescopic sum. Namely, $r_0,r_1,\ldots,r_L$. """ def __init__(self, sampling_ratios: NDArray[float], costs: NDArray[float]) -> None: r""" Args: sampling_ratios: The sampling ratios $r_0,\ldots,r_L$; the sampling ratio $r_\ell$ is the factor by which $n_\ell$ is increased between two sampling steps on the level $ell$. costs: The unit sampling costs of each level of the telescopic sum. Namely, $(\mathcal{C}_{\ell-1}+\mathcal{C}_\ell)_{\ell\in\{0,\ldots,L\}}$ with $\mathcal{C}_{-1}=0$. """ # noqa: D205 D212 D415 self.__costs = costs self.__r_l = sampling_ratios self.V_l = array([nan] * len(self.__r_l))
[docs] def compute_next_level_and_statistic( self, levels: Iterable[int], total_n_samples: NDArray[int], samples: Sequence[NDArray[float]], *pilot_parameters: Any, ) -> tuple[int, NDArray[float]]: r"""Compute the next level $\ell^*$ to sample and estimate the statistic. Args: levels: The levels that have just been sampled. total_n_samples: The total number of samples of each level. samples: The samples of the different quantities of each level. *pilot_parameters: The parameters of the pilot. Returns: The next level $\ell^*$ to sample and an estimation of the statistic. """ self.V_l = self._compute_V_l(levels, samples, *pilot_parameters) # WARNING: do not replace "/ total_n_samples / total_n_samples" # by "/ total_n_samples**2" # to avoid numerical division issue due to an excessively big number. return ( argmax( self.V_l / self.__r_l / total_n_samples / total_n_samples / self.__costs ), self._compute_statistic(), )
@abstractmethod def _compute_statistic(self) -> float: """Estimate the statistic associated with this pilot.""" @abstractmethod def _compute_V_l( # noqa N802 self, levels: Iterable[int], samples: Sequence[NDArray[float]], *pilot_parameters: Any, ) -> NDArray[float]: r"""Compute the terms variances $\mathcal{V}_0,\ldots,\mathcal{V}_L$. Args: levels: The previous sampled levels. samples: The samples of the different quantities for each level. *pilot_parameters: The parameters of the pilot. Returns: The terms variances $\mathcal{V}_0,\ldots,\mathcal{V}_L$. """