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Added MarginalUniformOrderStatistics
This distribution is a specialization of the MarginalDistribution for the case where the PDF is known and the CDF is most efficiently computed using the generic algorithm of the MarginalDistribution.
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lib/src/Uncertainty/Distribution/MarginalUniformOrderStatistics.cxx
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| // -*- C++ -*- | ||
| /** | ||
| * @brief The MarginalUniformOrderStatistics distribution | ||
| * | ||
| * Copyright 2005-2024 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 "openturns/MarginalUniformOrderStatistics.hxx" | ||
| #include "openturns/PersistentObjectFactory.hxx" | ||
| #include "openturns/SimplicialCubature.hxx" | ||
| #include "openturns/CubaIntegration.hxx" | ||
| #include "openturns/GaussLegendre.hxx" | ||
| #include "openturns/IntervalMesher.hxx" | ||
| #include "openturns/UniformOrderStatistics.hxx" | ||
| #include "openturns/DistFunc.hxx" | ||
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| BEGIN_NAMESPACE_OPENTURNS | ||
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| CLASSNAMEINIT(MarginalUniformOrderStatistics) | ||
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| static const Factory<MarginalUniformOrderStatistics> Factory_MarginalUniformOrderStatistics; | ||
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| /* Default constructor */ | ||
| MarginalUniformOrderStatistics::MarginalUniformOrderStatistics() | ||
| : MarginalDistribution(UniformOrderStatistics(1), {0}) | ||
| { | ||
| setName("MarginalUniformOrderStatistics"); | ||
| } | ||
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| /* Parameters constructor */ | ||
| MarginalUniformOrderStatistics::MarginalUniformOrderStatistics(const UnsignedInteger n, | ||
| const Indices & indices) | ||
| : MarginalDistribution(UniformOrderStatistics(n), indices) | ||
| { | ||
| setName("MarginalUniformOrderStatistics"); | ||
| // compute the log-PDF normalization factor | ||
| // Waiting for a more accurate computation... | ||
| const UnsignedInteger m = indices.getSize(); | ||
| if (m == 0) throw InvalidArgumentException(HERE) << "Error: cannot build a MarginalUniformOrderStatistics based on an empty Indice"; | ||
| logNormalizationFactor_ = SpecFunc::LogGamma(n + 1) - SpecFunc::LogGamma(indices[0] + 1); | ||
| for (UnsignedInteger i = 1; i < m; ++i) | ||
| logNormalizationFactor_ -= SpecFunc::LogGamma(indices[i] - indices[i - 1]); | ||
| logNormalizationFactor_ -= SpecFunc::LogGamma(n - indices[indices.getSize() - 1]); | ||
| simplex_ = IntervalMesher(Indices(m, 1)).build(Interval(m)); | ||
| } | ||
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| /* Comparison operator */ | ||
| Bool MarginalUniformOrderStatistics::operator ==(const MarginalUniformOrderStatistics & other) const | ||
| { | ||
| if (this == &other) return true; | ||
| return (getN() == other.getN()) && (indices_ == other.indices_); | ||
| } | ||
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| Bool MarginalUniformOrderStatistics::equals(const DistributionImplementation & other) const | ||
| { | ||
| const MarginalUniformOrderStatistics* p_other = dynamic_cast<const MarginalUniformOrderStatistics*>(&other); | ||
| if (p_other) return (*this == *p_other); | ||
| return MarginalDistribution::equals(other); | ||
| } | ||
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| /* Virtual constructor */ | ||
| MarginalUniformOrderStatistics * MarginalUniformOrderStatistics::clone() const | ||
| { | ||
| return new MarginalUniformOrderStatistics(*this); | ||
| } | ||
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| /* Get the PDF of the distribution */ | ||
| Scalar MarginalUniformOrderStatistics::computePDF(const Point & point) const | ||
| { | ||
| const Scalar logPDF = computeLogPDF(point); | ||
| if (logPDF == SpecFunc::LowestScalar) return 0.0; | ||
| return std::exp(logPDF); | ||
| } | ||
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| Scalar MarginalUniformOrderStatistics::computeLogPDF(const Point & point) const | ||
| { | ||
| if (point.getDimension() != getDimension()) throw InvalidArgumentException(HERE) << "Error: the given point must have dimension=" << getDimension() << ", here dimension=" << point.getDimension(); | ||
| if (!point.isIncreasing()) return SpecFunc::LowestScalar; | ||
| // Now, we know that the components of point are in increasing order | ||
| if ((point[0] <= 0.0) || (point[dimension_ - 1] >= 1.0)) return SpecFunc::LowestScalar; | ||
| // First term, only u_{i0} | ||
| Scalar logPDF = logNormalizationFactor_ + indices_[0] * std::log(point[0]); | ||
| // Central terms, functions of (u_{i_j}-u_{i_{j-1}}) | ||
| for (UnsignedInteger j = 1; j < dimension_; ++j) | ||
| logPDF += (indices_[j] - indices_[j - 1] - 1.0) * std::log(point[j] - point[j - 1]); | ||
| // Last term, function of u_{i_{n-1}} | ||
| logPDF += (getN() - indices_[dimension_ - 1] - 1.0) * std::log1p(-point[dimension_ - 1]); | ||
| return logPDF; | ||
| } | ||
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| /* Get the CDF of the distribution */ | ||
| Scalar MarginalUniformOrderStatistics::computeCDF(const Point & point) const | ||
| { | ||
| if (point.getDimension() != getDimension()) throw InvalidArgumentException(HERE) << "Error: the given point must have dimension=" << getDimension() << ", here dimension=" << point.getDimension(); | ||
| // If the marginal distribution is a permutation of the underlying distribution | ||
| if (getN() == dimension_) return MarginalDistribution::computeCDF(point); | ||
| // 1D case is trivial | ||
| if (dimension_ == 1) | ||
| return DistFunc::pBeta(indices_[0] + 1.0, getN() - indices_[0], point[0]); | ||
| // Large N case leads to a stack overflow | ||
| if (getN() > ResourceMap::GetAsUnsignedInteger("MarginalUniformOrderStatistics-LargeCaseCDF")) | ||
| { | ||
| // std::cerr << "In the large N case, N=" << getN() << std::endl; | ||
| //SimplicialCubature algo; | ||
| //algo.setMaximumCallsNumber(1000000); | ||
| //const Mesh domain(simplex_.getVertices() * point, simplex_.getSimplices()); | ||
| //std::cerr << "domain=" << domain << std::endl; | ||
| //return SpecFunc::Clip01(algo.integrate(Function(PDFWrapper(this)), domain)[0]); | ||
| CubaIntegration algo("cuhre"); | ||
| return SpecFunc::Clip01(algo.integrate(Function(PDFWrapper(this)), Interval(Point(dimension_), point))[0]); | ||
| } | ||
| // std::cerr << "In the small N case, N=" << getN() << std::endl; | ||
| return MarginalDistribution::computeCDF(point); | ||
| } | ||
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| /* Get the distribution of the marginal distribution corresponding to indices dimensions */ | ||
| Distribution MarginalUniformOrderStatistics::getMarginal(const Indices & indices) const | ||
| { | ||
| const UnsignedInteger dimension = getDimension(); | ||
| if (!indices.check(dimension)) throw InvalidArgumentException(HERE) << "The indices of a marginal distribution must be in the range [0, dim-1] and must be different"; | ||
| if (dimension == 1) return clone(); | ||
| // Build the indices associated to the marginal of the marginal | ||
| const UnsignedInteger outputDimension = indices.getSize(); | ||
| Indices marginalIndices(outputDimension); | ||
| for (UnsignedInteger i = 0; i < outputDimension; ++i) | ||
| marginalIndices[i] = indices_[indices[i]]; | ||
| MarginalUniformOrderStatistics marginal(distribution_.getDimension(), marginalIndices); | ||
| return marginal.clone(); | ||
| } // getMarginal(Indices) | ||
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| /* N accessor */ | ||
| UnsignedInteger MarginalUniformOrderStatistics::getN() const | ||
| { | ||
| return distribution_.getDimension(); | ||
| } | ||
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| /* Method save() stores the object through the StorageManager */ | ||
| void MarginalUniformOrderStatistics::save(Advocate & adv) const | ||
| { | ||
| MarginalDistribution::save(adv); | ||
| adv.saveAttribute("logNormalizationFactor_", logNormalizationFactor_); | ||
| adv.saveAttribute("simplex_", simplex_); | ||
| } | ||
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| /* Method load() reloads the object from the StorageManager */ | ||
| void MarginalUniformOrderStatistics::load(Advocate & adv) | ||
| { | ||
| MarginalDistribution::load(adv); | ||
| adv.loadAttribute("logNormalizationFactor_", logNormalizationFactor_); | ||
| adv.loadAttribute("simplex_", simplex_); | ||
| computeRange(); | ||
| } | ||
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| END_NAMESPACE_OPENTURNS |
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99
lib/src/Uncertainty/Distribution/openturns/MarginalUniformOrderStatistics.hxx
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| Original file line number | Diff line number | Diff line change |
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| @@ -0,0 +1,99 @@ | ||
| // -*- C++ -*- | ||
| /** | ||
| * @brief The MarginalUniformOrderStatistics distribution | ||
| * | ||
| * Copyright 2005-2024 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_MARGINALUNIFORMORDERSTATISTICS_HXX | ||
| #define OPENTURNS_MARGINALUNIFORMORDERSTATISTICS_HXX | ||
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| #include "openturns/OTprivate.hxx" | ||
| #include "openturns/MarginalDistribution.hxx" | ||
| #include "openturns/Mesh.hxx" | ||
| #include "openturns/Distribution.hxx" | ||
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| BEGIN_NAMESPACE_OPENTURNS | ||
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| /** | ||
| * @class MarginalUniformOrderStatistics | ||
| * | ||
| * The MarginalUniformOrderStatistics distribution. | ||
| */ | ||
| class OT_API MarginalUniformOrderStatistics | ||
| : public MarginalDistribution | ||
| { | ||
| CLASSNAME | ||
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| public: | ||
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| /** Default constructor */ | ||
| MarginalUniformOrderStatistics(); | ||
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| /** Parameters constructor */ | ||
| MarginalUniformOrderStatistics(const UnsignedInteger n, | ||
| const Indices & indices); | ||
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| /** N accessor */ | ||
| UnsignedInteger getN() const; | ||
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| /** Comparison operator */ | ||
| using MarginalDistribution::operator ==; | ||
| Bool operator ==(const MarginalUniformOrderStatistics & other) const; | ||
| protected: | ||
| Bool equals(const DistributionImplementation & other) const override; | ||
| public: | ||
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| /* Interface inherited from Distribution */ | ||
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| /** Virtual constructor */ | ||
| MarginalUniformOrderStatistics * clone() const override; | ||
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| /** Compute the PDF of the distribution */ | ||
| using MarginalDistribution::computePDF; | ||
| Scalar computePDF(const Point & point) const override; | ||
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| using MarginalDistribution::computeLogPDF; | ||
| Scalar computeLogPDF(const Point & point) const override; | ||
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| /** Compute the PDF of the distribution */ | ||
| using MarginalDistribution::computeCDF; | ||
| Scalar computeCDF(const Point & point) const override; | ||
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| /** Get the distribution of the marginal distribution corresponding to indices dimensions */ | ||
| using MarginalDistribution::getMarginal; | ||
| Distribution getMarginal(const Indices & indices) const override; | ||
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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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| private: | ||
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| /** Log-normalization factor for the PDF */ | ||
| Scalar logNormalizationFactor_ = 0.0; | ||
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| /** Actual domain of the distribution */ | ||
| Mesh simplex_; | ||
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| }; /* class MarginalUniformOrderStatistics */ | ||
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| END_NAMESPACE_OPENTURNS | ||
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| #endif /* OPENTURNS_MARGINALUNIFORMORDERSTATISTICS_HXX */ |
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| // SWIG file MarginalUniformOrderStatistics.i | ||
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| %{ | ||
| #include "openturns/MarginalUniformOrderStatistics.hxx" | ||
| %} | ||
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| %include MarginalUniformOrderStatistics_doc.i | ||
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| %copyctor OT::MarginalUniformOrderStatistics; | ||
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| %include openturns/MarginalUniformOrderStatistics.hxx |
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