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Dakota
Version 6.15
Explore and Predict with Confidence
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Performs Multifidelity Monte Carlo sampling for UQ. More...
Public Member Functions | |
NonDControlVariateSampling (ProblemDescDB &problem_db, Model &model) | |
standard constructor More... | |
~NonDControlVariateSampling () | |
destructor | |
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NonDHierarchSampling (ProblemDescDB &problem_db, Model &model) | |
standard constructor More... | |
virtual | ~NonDHierarchSampling () |
destructor (virtual declaration should be redundant with ~Iterator, but this is top of MLMF diamond so doesn't hurt to be explicit) | |
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NonDEnsembleSampling (ProblemDescDB &problem_db, Model &model) | |
standard constructor More... | |
~NonDEnsembleSampling () | |
destructor (virtual declaration should be redundant with ~Iterator, but this is top of MLMF diamond so doesn't hurt to be explicit) | |
bool | resize () |
reinitializes iterator based on new variable size | |
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NonDSampling (Model &model, const RealMatrix &sample_matrix) | |
alternate constructor for evaluating and computing statistics for the provided set of samples More... | |
~NonDSampling () | |
destructor | |
void | compute_statistics (const RealMatrix &vars_samples, const IntResponseMap &resp_samples) |
For the input sample set, computes mean, standard deviation, and probability/reliability/response levels (aleatory uncertainties) or intervals (epsitemic or mixed uncertainties) | |
void | compute_intervals (RealRealPairArray &extreme_fns) |
called by compute_statistics() to calculate min/max intervals using allResponses | |
void | compute_intervals (const IntResponseMap &samples) |
called by compute_statistics() to calculate extremeValues from samples | |
void | compute_intervals (RealRealPairArray &extreme_fns, const IntResponseMap &samples) |
called by compute_statistics() to calculate min/max intervals using samples | |
void | compute_moments (const RealVectorArray &fn_samples) |
calculates sample moments from a matrix of observations for a set of QoI | |
void | compute_moments (const IntResponseMap &samples) |
calculate sample moments and confidence intervals from a map of response observations | |
void | compute_moments (const IntResponseMap &samples, RealMatrix &moment_stats, RealMatrix &moment_grads, RealMatrix &moment_conf_ints, short moments_type, const StringArray &labels) |
convert IntResponseMap to RealVectorArray and invoke helpers | |
void | compute_moment_gradients (const RealVectorArray &fn_samples, const RealMatrixArray &grad_samples, const RealMatrix &moment_stats, RealMatrix &moment_grads, short moments_type) |
compute moment_grads from function and gradient samples | |
void | compute_moment_confidence_intervals (const RealMatrix &moment_stats, RealMatrix &moment_conf_ints, const SizetArray &sample_counts, short moments_type) |
compute moment confidence intervals from moment values | |
void | archive_moments (size_t inc_id=0) |
archive moment statistics in results DB | |
void | archive_moment_confidence_intervals (size_t inc_id=0) |
archive moment confidence intervals in results DB | |
void | archive_extreme_responses (size_t inc_id=0) |
archive extreme values (epistemic result) in results DB | |
void | compute_level_mappings (const IntResponseMap &samples) |
called by compute_statistics() to calculate CDF/CCDF mappings of z to p/beta and of p/beta to z as well as PDFs More... | |
void | print_statistics (std::ostream &s) const |
prints the statistics computed in compute_statistics() | |
void | print_intervals (std::ostream &s) const |
prints the intervals computed in compute_intervals() with default qoi_type and moment_labels | |
void | print_intervals (std::ostream &s, String qoi_type, const StringArray &interval_labels) const |
prints the intervals computed in compute_intervals() | |
void | print_moments (std::ostream &s) const |
prints the moments computed in compute_moments() with default qoi_type and moment_labels | |
void | print_moments (std::ostream &s, String qoi_type, const StringArray &moment_labels) const |
prints the moments computed in compute_moments() | |
void | print_wilks_stastics (std::ostream &s) const |
prints the Wilks stastics | |
void | update_final_statistics () |
update finalStatistics from minValues/maxValues, momentStats, and computedProbLevels/computedRelLevels/computedRespLevels | |
void | transform_samples (Pecos::ProbabilityTransformation &nataf, bool x_to_u=true) |
transform allSamples imported by alternate constructor. This is needed since random variable distribution parameters are not updated until run time and an imported sample_matrix is typically in x-space. More... | |
void | transform_samples (Pecos::ProbabilityTransformation &nataf, RealMatrix &sample_matrix, int num_samples=0, bool x_to_u=true) |
transform the specified samples matrix from x to u or u to x | |
unsigned short | sampling_scheme () const |
return sampleType | |
const String & | random_number_generator () const |
return rngName | |
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void | requested_levels (const RealVectorArray &req_resp_levels, const RealVectorArray &req_prob_levels, const RealVectorArray &req_rel_levels, const RealVectorArray &req_gen_rel_levels, short resp_lev_tgt, short resp_lev_tgt_reduce, bool cdf_flag, bool pdf_output) |
set requestedRespLevels, requestedProbLevels, requestedRelLevels, requestedGenRelLevels, respLevelTarget, cdfFlag, and pdfOutput (used in combination with alternate ctors) | |
void | print_level_mappings (std::ostream &s) const |
prints the z/p/beta/beta* mappings reflected in {requested,computed}{Resp,Prob,Rel,GenRel}Levels for default qoi_type and qoi_labels | |
void | print_level_mappings (std::ostream &s, String qoi_type, const StringArray &qoi_labels) const |
prints the z/p/beta/beta* mappings reflected in {requested,computed}{Resp,Prob,Rel,GenRel}Levels More... | |
void | print_level_mappings (std::ostream &s, const RealVector &level_maps, bool moment_offset, const String &prepend="") |
print level mapping statistics using optional pre-pend More... | |
bool | pdf_output () const |
get pdfOutput | |
void | pdf_output (bool output) |
set pdfOutput | |
short | final_moments_type () const |
get finalMomentsType | |
void | final_moments_type (short type) |
set finalMomentsType | |
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const VariablesArray & | all_variables () |
return the complete set of evaluated variables | |
const RealMatrix & | all_samples () |
return the complete set of evaluated samples | |
const IntResponseMap & | all_responses () const |
return the complete set of computed responses | |
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Iterator (std::shared_ptr< TraitsBase > traits=std::shared_ptr< TraitsBase >(new TraitsBase())) | |
default constructor More... | |
Iterator (ProblemDescDB &problem_db, std::shared_ptr< TraitsBase > traits=std::shared_ptr< TraitsBase >(new TraitsBase())) | |
alternate envelope constructor that assigns a representation pointer More... | |
Iterator (ProblemDescDB &problem_db, Model &model, std::shared_ptr< TraitsBase > traits=std::shared_ptr< TraitsBase >(new TraitsBase())) | |
alternate envelope constructor which uses the ProblemDescDB but accepts a model from a higher level (meta-iterator) context, instead of constructing its own More... | |
Iterator (const String &method_string, Model &model, std::shared_ptr< TraitsBase > traits=std::shared_ptr< TraitsBase >(new TraitsBase())) | |
alternate envelope constructor for instantiations by name without the ProblemDescDB More... | |
Iterator (const Iterator &iterator) | |
copy constructor More... | |
virtual | ~Iterator () |
destructor | |
Iterator | operator= (const Iterator &iterator) |
assignment operator | |
virtual void | derived_free_communicators (ParLevLIter pl_iter) |
derived class contributions to freeing the communicators associated with this Iterator instance | |
virtual void | post_input () |
read tabular data for post-run mode | |
virtual void | reset () |
restore initial state for repeated sub-iterator executions | |
virtual void | nested_variable_mappings (const SizetArray &c_index1, const SizetArray &di_index1, const SizetArray &ds_index1, const SizetArray &dr_index1, const ShortArray &c_target2, const ShortArray &di_target2, const ShortArray &ds_target2, const ShortArray &dr_target2) |
set primaryA{CV,DIV,DRV}MapIndices, secondaryA{CV,DIV,DRV}MapTargets within derived Iterators; supports computation of higher-level sensitivities in nested contexts (e.g., derivatives of statistics w.r.t. inserted design variables) | |
virtual void | nested_response_mappings (const RealMatrix &primary_coeffs, const RealMatrix &secondary_coeffs) |
set primaryResponseCoefficients, secondaryResponseCoefficients within derived Iterators; Necessary for scalarization case in MLMC NonDMultilevelSampling to map scalarization in nested context | |
virtual void | initialize_iterator (int job_index) |
used by IteratorScheduler to set the starting data for a run | |
virtual void | pack_parameters_buffer (MPIPackBuffer &send_buffer, int job_index) |
used by IteratorScheduler to pack starting data for an iterator run | |
virtual void | unpack_parameters_buffer (MPIUnpackBuffer &recv_buffer, int job_index) |
used by IteratorScheduler to unpack starting data for an iterator run | |
virtual void | unpack_parameters_initialize (MPIUnpackBuffer &recv_buffer, int job_index) |
used by IteratorScheduler to unpack starting data and initialize an iterator run | |
virtual void | pack_results_buffer (MPIPackBuffer &send_buffer, int job_index) |
used by IteratorScheduler to pack results data from an iterator run | |
virtual void | unpack_results_buffer (MPIUnpackBuffer &recv_buffer, int job_index) |
used by IteratorScheduler to unpack results data from an iterator run | |
virtual void | update_local_results (int job_index) |
used by IteratorScheduler to update local results arrays | |
virtual bool | accepts_multiple_points () const |
indicates if this iterator accepts multiple initial points. Default return is false. Override to return true if appropriate. | |
virtual void | initial_point (const Variables &pt) |
sets the initial point for this iterator (user-functions mode for which Model updating is not used) | |
virtual void | initial_point (const RealVector &pt) |
sets the initial point (active continuous variables) for this iterator (user-functions mode for which Model updating is not used) | |
virtual void | initial_points (const VariablesArray &pts) |
sets the multiple initial points for this iterator. This should only be used if accepts_multiple_points() returns true. | |
virtual void | variable_bounds (const RealVector &cv_lower_bnds, const RealVector &cv_upper_bnds) |
assign nonlinear inequality and equality constraint allowables for this iterator (user-functions mode for which Model updating is not used) | |
virtual void | linear_constraints (const RealMatrix &lin_ineq_coeffs, const RealVector &lin_ineq_lb, const RealVector &lin_ineq_ub, const RealMatrix &lin_eq_coeffs, const RealVector &lin_eq_tgt) |
assign linear inequality and linear equality constraints for this iterator (user-functions mode for which Model updating is not used) | |
virtual void | nonlinear_constraints (const RealVector &nln_ineq_lb, const RealVector &nln_ineq_ub, const RealVector &nln_eq_tgt) |
assign nonlinear inequality and equality constraint allowables for this iterator (user-functions mode for which Model updating is not used) | |
virtual void | initialize_graphics (int iterator_server_id=1) |
initialize the 2D graphics window and the tabular graphics data More... | |
virtual unsigned short | uses_method () const |
return name of any enabling iterator used by this iterator More... | |
virtual void | method_recourse () |
perform a method switch, if possible, due to a detected conflict | |
virtual void | sampling_increment () |
increment to next in sequence of refinement samples | |
virtual IntIntPair | estimate_partition_bounds () |
estimate the minimum and maximum partition sizes that can be utilized by this Iterator | |
virtual void | declare_sources () |
Declare sources to the evaluations database. | |
void | init_communicators (ParLevLIter pl_iter) |
initialize the communicators associated with this Iterator instance | |
void | set_communicators (ParLevLIter pl_iter) |
set the communicators associated with this Iterator instance | |
void | free_communicators (ParLevLIter pl_iter) |
free the communicators associated with this Iterator instance | |
void | resize_communicators (ParLevLIter pl_iter, bool reinit_comms) |
Resize the communicators. This is called from the letter's resize() | |
void | parallel_configuration_iterator (ParConfigLIter pc_iter) |
set methodPCIter | |
ParConfigLIter | parallel_configuration_iterator () const |
return methodPCIter | |
void | run (ParLevLIter pl_iter) |
invoke set_communicators(pl_iter) prior to run() | |
void | run () |
orchestrate initialize/pre/core/post/finalize phases More... | |
void | assign_rep (std::shared_ptr< Iterator > iterator_rep) |
replaces existing letter with a new one More... | |
void | iterated_model (const Model &model) |
set the iteratedModel (iterators and meta-iterators using a single model instance) | |
Model & | iterated_model () |
return the iteratedModel (iterators & meta-iterators using a single model instance) | |
ProblemDescDB & | problem_description_db () const |
return the problem description database (probDescDB) | |
ParallelLibrary & | parallel_library () const |
return the parallel library (parallelLib) | |
void | method_name (unsigned short m_name) |
set the method name to an enumeration value | |
unsigned short | method_name () const |
return the method name via its native enumeration value | |
void | method_string (const String &m_str) |
set the method name by string | |
String | method_string () const |
return the method name by string | |
String | method_enum_to_string (unsigned short method_enum) const |
convert a method name enumeration value to a string | |
unsigned short | method_string_to_enum (const String &method_str) const |
convert a method name string to an enumeration value | |
String | submethod_enum_to_string (unsigned short submethod_enum) const |
convert a sub-method name enumeration value to a string | |
const String & | method_id () const |
return the method identifier (methodId) | |
int | maximum_evaluation_concurrency () const |
return the maximum evaluation concurrency supported by the iterator | |
void | maximum_evaluation_concurrency (int max_conc) |
set the maximum evaluation concurrency supported by the iterator | |
size_t | maximum_iterations () const |
return the maximum iterations for this iterator | |
void | maximum_iterations (size_t max_iter) |
set the maximum iterations for this iterator | |
void | convergence_tolerance (Real conv_tol) |
set the method convergence tolerance (convergenceTol) | |
Real | convergence_tolerance () const |
return the method convergence tolerance (convergenceTol) | |
void | output_level (short out_lev) |
set the method output level (outputLevel) | |
short | output_level () const |
return the method output level (outputLevel) | |
void | summary_output (bool summary_output_flag) |
Set summary output control; true enables evaluation/results summary. | |
size_t | num_final_solutions () const |
return the number of solutions to retain in best variables/response arrays | |
void | num_final_solutions (size_t num_final) |
set the number of solutions to retain in best variables/response arrays | |
void | active_set (const ActiveSet &set) |
set the default active set (for use with iterators that employ evaluate_parameter_sets()) | |
const ActiveSet & | active_set () const |
return the default active set (used by iterators that employ evaluate_parameter_sets()) | |
void | active_set_request_vector (const ShortArray &asv) |
return the default active set request vector (used by iterators that employ evaluate_parameter_sets()) | |
const ShortArray & | active_set_request_vector () const |
return the default active set request vector (used by iterators that employ evaluate_parameter_sets()) | |
void | active_set_request_values (short asv_val) |
return the default active set request vector (used by iterators that employ evaluate_parameter_sets()) | |
void | sub_iterator_flag (bool si_flag) |
set subIteratorFlag (and update summaryOutputFlag if needed) | |
bool | is_null () const |
function to check iteratorRep (does this envelope contain a letter?) | |
std::shared_ptr< Iterator > | iterator_rep () const |
returns iteratorRep for access to derived class member functions that are not mapped to the top Iterator level | |
virtual void | eval_tag_prefix (const String &eval_id_str) |
set the hierarchical eval ID tag prefix More... | |
std::shared_ptr< TraitsBase > | traits () const |
returns methodTraits for access to derived class member functions that are not mapped to the top TraitsBase level | |
bool | top_level () |
Return whether the iterator is the top level iterator. | |
void | top_level (const bool &tflag) |
Set the iterator's top level flag. | |
Protected Member Functions | |
void | core_run () |
bool | lf_increment (const RealVector &eval_ratios, const SizetArray &N_lf, const SizetArray &N_hf, size_t iter, size_t lev) |
perform LF sample increment as indicated by the evaluation ratio More... | |
void | compute_mf_control (Real sum_L, Real sum_H, Real sum_LL, Real sum_LH, size_t N_shared, Real &beta) |
compute scalar control variate parameters | |
void | compute_mf_control (const RealMatrix &sum_L, const RealMatrix &sum_H, const RealMatrix &sum_LL, const RealMatrix &sum_LH, const SizetArray &N_shared, size_t lev, RealVector &beta) |
compute matrix control variate parameters | |
void | compute_mf_correlation (Real sum_L, Real sum_H, Real sum_LL, Real sum_LH, Real sum_HH, size_t N_shared, Real &var_H, Real &rho2_LH) |
compute scalar variance and correlation parameters for control variates | |
void | apply_mf_control (Real sum_H, Real sum_L_shared, size_t N_shared, Real sum_L_refined, size_t N_refined, Real beta, Real &H_raw_mom) |
apply scalar control variate parameter (beta) to approximate HF moment | |
void | apply_mf_control (const RealMatrix &sum_H, const RealMatrix &sum_L_shared, const SizetArray &N_shared, const RealMatrix &sum_L_refined, const SizetArray &N_refined, size_t lev, const RealVector &beta, RealVector &H_raw_mom) |
apply matrix control variate parameter (beta) to approximate HF moment | |
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void | uncorrected_surrogate_mode () |
synchronize iteratedModel and activeSet on UNCORRECTED_SURROGATE mode | |
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virtual void | print_variance_reduction (std::ostream &s) |
void | pre_run () |
pre-run portion of run (optional); re-implemented by Iterators which can generate all Variables (parameter sets) a priori More... | |
void | post_run (std::ostream &s) |
post-run portion of run (optional); verbose to print results; re-implemented by Iterators that can read all Variables/Responses and perform final analysis phase in a standalone way More... | |
void | print_results (std::ostream &s, short results_state=FINAL_RESULTS) |
print the final iterator results More... | |
void | aggregated_models_mode () |
synchronize iteratedModel and activeSet on AGGREGATED_MODELS mode | |
void | bypass_surrogate_mode () |
synchronize iteratedModel and activeSet on BYPASS_SURROGATE mode | |
void | assign_specification_sequence (size_t index) |
advance any sequence specifications | |
int | random_seed (size_t index) const |
extract current random seed from randomSeedSeqSpec More... | |
void | compute_mc_estimator_variance (const RealVector &var_l, const SizetArray &N_l, RealVector &mc_est_var) |
compute the variance of the mean estimator (Monte Carlo sample average) | |
void | project_mc_estimator_variance (const RealVector &var_l, const SizetArray &N_l, size_t new_samp, RealVector &mc_est_var) |
compute the variance of the mean estimator (Monte Carlo sample average) after projection with additional samples (var_l remains fixed) | |
void | export_all_samples (String root_prepend, const Model &model, size_t iter, size_t step) |
export allSamples to tagged tabular file | |
void | convert_moments (const RealMatrix &raw_mom, RealMatrix &final_mom) |
convert uncentered raw moments (multilevel expectations) to standardized moments | |
Real | sum (const Real *vec, size_t vec_len) const |
compute sum of a set of observations | |
Real | average (const Real *vec, size_t vec_len) const |
compute average of a set of observations | |
Real | average (const RealVector &vec) const |
compute average of a set of observations | |
Real | average (const SizetArray &sa) const |
compute average of a set of observations | |
void | average (const RealMatrix &mat, size_t avg_index, RealVector &avg_vec) const |
compute row-averages for each column or column-averages for each row | |
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NonDSampling (ProblemDescDB &problem_db, Model &model) | |
constructor More... | |
NonDSampling (unsigned short method_name, Model &model, unsigned short sample_type, int samples, int seed, const String &rng, bool vary_pattern, short sampling_vars_mode) | |
alternate constructor for sample generation and evaluation "on the fly" More... | |
NonDSampling (unsigned short sample_type, int samples, int seed, const String &rng, const RealVector &lower_bnds, const RealVector &upper_bnds) | |
alternate constructor for sample generation "on the fly" More... | |
NonDSampling (unsigned short sample_type, int samples, int seed, const String &rng, const RealVector &means, const RealVector &std_devs, const RealVector &lower_bnds, const RealVector &upper_bnds, RealSymMatrix &correl) | |
alternate constructor for sample generation of correlated normals "on the fly" More... | |
void | pre_run () |
pre-run portion of run (optional); re-implemented by Iterators which can generate all Variables (parameter sets) a priori More... | |
void | core_run () |
int | num_samples () const |
void | sampling_reset (int min_samples, bool all_data_flag, bool stats_flag) |
resets number of samples and sampling flags More... | |
void | sampling_reference (int samples_ref) |
set reference number of samples, which is a lower bound during reset | |
void | random_seed (int seed) |
assign randomSeed | |
void | vary_pattern (bool pattern_flag) |
set varyPattern | |
void | get_parameter_sets (Model &model) |
Uses lhsDriver to generate a set of samples from the distributions/bounds defined in the incoming model. More... | |
void | get_parameter_sets (Model &model, const int num_samples, RealMatrix &design_matrix) |
Uses lhsDriver to generate a set of samples from the distributions/bounds defined in the incoming model and populates the specified design matrix. More... | |
void | get_parameter_sets (Model &model, const int num_samples, RealMatrix &design_matrix, bool write_msg) |
core of get_parameter_sets that accepts message print control | |
void | get_parameter_sets (const RealVector &lower_bnds, const RealVector &upper_bnds) |
Uses lhsDriver to generate a set of uniform samples over lower_bnds/upper_bnds. More... | |
void | get_parameter_sets (const RealVector &means, const RealVector &std_devs, const RealVector &lower_bnds, const RealVector &upper_bnds, RealSymMatrix &correl) |
Uses lhsDriver to generate a set of normal samples. More... | |
void | update_model_from_sample (Model &model, const Real *sample_vars) |
Override default update of continuous vars only. | |
void | sample_to_variables (const Real *sample_vars, Variables &vars) |
override default mapping of continuous variables only | |
void | variables_to_sample (const Variables &vars, Real *sample_vars) |
override default mapping of continuous variables only | |
const RealVector & | response_error_estimates () const |
return error estimates associated with each of the finalStatistics | |
void | initialize_lhs (bool write_message, int num_samples) |
increments numLHSRuns, sets random seed, and initializes lhsDriver | |
void | active_set_mapping () |
in the case of sub-iteration, map from finalStatistics.active_set() requests to activeSet used in evaluate_parameter_sets() More... | |
void | mode_counts (const Variables &vars, size_t &cv_start, size_t &num_cv, size_t &div_start, size_t &num_div, size_t &dsv_start, size_t &num_dsv, size_t &drv_start, size_t &num_drv) const |
compute sampled subsets (all, active, uncertain) within all variables (acv/adiv/adrv) from samplingVarsMode and model More... | |
void | mode_bits (const Variables &vars, BitArray &active_vars, BitArray &active_corr) const |
define subset views for sampling modes | |
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NonD (ProblemDescDB &problem_db, Model &model) | |
constructor | |
NonD (unsigned short method_name, Model &model) | |
alternate constructor for sample generation and evaluation "on the fly" | |
NonD (unsigned short method_name, const RealVector &lower_bnds, const RealVector &upper_bnds) | |
alternate constructor for sample generation "on the fly" | |
~NonD () | |
destructor | |
void | derived_set_communicators (ParLevLIter pl_iter) |
derived class contributions to setting the communicators associated with this Iterator instance | |
void | initialize_run () |
utility function to perform common operations prior to pre_run(); typically memory initialization; setting of instance pointers More... | |
void | finalize_run () |
utility function to perform common operations following post_run(); deallocation and resetting of instance pointers More... | |
const Response & | response_results () const |
return the final statistics from the nondeterministic iteration | |
void | response_results_active_set (const ActiveSet &set) |
set the active set within finalStatistics | |
virtual void | initialize_response_covariance () |
initializes respCovariance | |
virtual void | initialize_final_statistics () |
initializes finalStatistics for storing NonD final results More... | |
void | pull_level_mappings (RealVector &level_maps, size_t offset) |
concatenate computed{Resp,Prob,Rel,GenRel}Levels into level_maps | |
void | push_level_mappings (const RealVector &level_maps, size_t offset) |
update computed{Resp,Prob,Rel,GenRel}Levels from level_maps | |
void | configure_sequence (size_t &num_steps, size_t &fixed_index, short &seq_type) |
configure fidelity/level counts from model hierarchy More... | |
void | configure_cost (unsigned short num_steps, bool multilevel, RealVector &cost) |
extract cost estimates from model hierarchy (forms or resolutions) | |
bool | query_cost (unsigned short num_steps, bool multilevel, RealVector &cost) |
extract cost estimates from model hierarchy, if available | |
void | load_pilot_sample (const SizetArray &pilot_spec, size_t num_steps, SizetArray &delta_N_l) |
distribute pilot sample specification across model forms or levels | |
void | load_pilot_sample (const SizetArray &pilot_spec, const Sizet3DArray &N_l, Sizet2DArray &delta_N_l) |
distribute pilot sample specification across model forms and levels | |
void | inflate_final_samples (const Sizet2DArray &N_l_2D, bool multilev, size_t fixed_index, Sizet3DArray &N_l_3D) |
update the relevant slice of N_l_3D from the final 2D multilevel or 2D multifidelity sample profile | |
void | resize_final_statistics_gradients () |
resizes finalStatistics::functionGradients based on finalStatistics ASV | |
void | update_aleatory_final_statistics () |
update finalStatistics::functionValues from momentStats and computed{Prob,Rel,GenRel,Resp}Levels | |
void | update_system_final_statistics () |
update system metrics from component metrics within finalStatistics | |
void | update_system_final_statistics_gradients () |
update finalStatistics::functionGradients | |
void | initialize_level_mappings () |
size computed{Resp,Prob,Rel,GenRel}Levels | |
void | compute_densities (const RealRealPairArray &min_max_fns, bool prob_refinement=false, bool all_levels_computed=false) |
compute the PDF bins from the CDF/CCDF values and store in computedPDF{Abscissas,Ordinates} More... | |
void | print_densities (std::ostream &s) const |
output the PDFs reflected in computedPDF{Abscissas,Ordinates} using default qoi_type and pdf_labels | |
void | print_densities (std::ostream &s, String qoi_type, const StringArray &pdf_labels) const |
output the PDFs reflected in computedPDF{Abscissas,Ordinates} | |
void | print_system_mappings (std::ostream &s) const |
print system series/parallel mappings for response levels | |
void | print_multilevel_evaluation_summary (std::ostream &s, const SizetArray &N_samp) |
print evaluation summary for multilevel sampling across 1D profile | |
void | print_multilevel_evaluation_summary (std::ostream &s, const Sizet2DArray &N_samp) |
print evaluation summary for multilevel sampling across 2D profile | |
void | print_multilevel_evaluation_summary (std::ostream &s, const Sizet3DArray &N_samp, String type="Final") |
print evaluation summary for multilevel sampling across 3D profile | |
void | construct_lhs (Iterator &u_space_sampler, Model &u_model, unsigned short sample_type, int num_samples, int seed, const String &rng, bool vary_pattern, short sampling_vars_mode=ACTIVE) |
assign a NonDLHSSampling instance within u_space_sampler | |
unsigned short | sub_optimizer_select (unsigned short requested_sub_method, unsigned short default_sub_method=SUBMETHOD_SQP) |
utility for vetting sub-method request against optimizers within the package configuration | |
size_t | one_sided_delta (Real current, Real target) |
compute a one-sided sample increment for multilevel methods to move current sampling level to a new target | |
size_t | one_sided_delta (const SizetArray ¤t, const RealVector &targets, size_t power) |
compute a one-sided sample increment for multilevel methods to move current sampling level to a new target | |
void | archive_allocate_mappings () |
allocate results array storage for distribution mappings | |
void | archive_from_resp (size_t fn_index, size_t inc_id=0) |
archive the mappings from specified response levels for specified fn | |
void | archive_to_resp (size_t fn_index, size_t inc_id=0) |
archive the mappings to computed response levels for specified fn and (optional) increment id. | |
void | archive_allocate_pdf () |
allocate results array storage for pdf histograms | |
void | archive_pdf (size_t fn_index, size_t inc_id=0) |
archive a single pdf histogram for specified function | |
void | archive_equiv_hf_evals (const Real equiv_hf_evals) |
archive the equivalent number of HF evals (used by ML/MF methods) | |
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Analyzer () | |
default constructor | |
Analyzer (ProblemDescDB &problem_db, Model &model) | |
standard constructor | |
Analyzer (unsigned short method_name, Model &model) | |
alternate constructor for instantiations "on the fly" with a Model | |
Analyzer (unsigned short method_name) | |
alternate constructor for instantiations "on the fly" without a Model | |
~Analyzer () | |
destructor | |
virtual void | update_model_from_variables (Model &model, const Variables &vars) |
update model's current variables with data from vars | |
void | update_from_model (const Model &model) |
set inherited data attributes based on extractions from incoming model | |
void | pre_output () |
const Model & | algorithm_space_model () const |
const Variables & | variables_results () const |
return a single final iterator solution (variables) | |
const VariablesArray & | variables_array_results () |
return multiple final iterator solutions (variables). This should only be used if returns_multiple_points() returns true. | |
const ResponseArray & | response_array_results () |
return multiple final iterator solutions (response). This should only be used if returns_multiple_points() returns true. | |
bool | compact_mode () const |
returns Analyzer::compactMode | |
bool | returns_multiple_points () const |
indicates if this iterator returns multiple final points. Default return is false. Override to return true if appropriate. | |
void | evaluate_parameter_sets (Model &model, bool log_resp_flag, bool log_best_flag) |
perform function evaluations to map parameter sets (allVariables) into response sets (allResponses) More... | |
void | get_vbd_parameter_sets (Model &model, int num_samples) |
generate replicate parameter sets for use in variance-based decomposition More... | |
void | compute_vbd_stats (const int num_samples, const IntResponseMap &resp_samples) |
compute VBD-based Sobol indices More... | |
void | archive_sobol_indices () const |
archive VBD-based Sobol indices More... | |
virtual void | archive_model_variables (const Model &, size_t idx) const |
archive model evaluation points | |
virtual void | archive_model_response (const Response &, size_t idx) const |
archive model evaluation responses | |
void | read_variables_responses (int num_evals, size_t num_vars) |
convenience function for reading variables/responses (used in derived classes post_input) More... | |
void | print_sobol_indices (std::ostream &s) const |
Printing of VBD results. More... | |
void | samples_to_variables_array (const RealMatrix &sample_matrix, VariablesArray &vars_array) |
convert samples array to variables array; e.g., allSamples to allVariables | |
void | variables_array_to_samples (const VariablesArray &vars_array, RealMatrix &sample_matrix) |
convert variables array to samples array; e.g., allVariables to allSamples | |
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Iterator (BaseConstructor, ProblemDescDB &problem_db, std::shared_ptr< TraitsBase > traits=std::shared_ptr< TraitsBase >(new TraitsBase())) | |
constructor initializes the base class part of letter classes (BaseConstructor overloading avoids infinite recursion in the derived class constructors - Coplien, p. 139) More... | |
Iterator (NoDBBaseConstructor, unsigned short method_name, Model &model, std::shared_ptr< TraitsBase > traits=std::shared_ptr< TraitsBase >(new TraitsBase())) | |
alternate constructor for base iterator classes constructed on the fly More... | |
Iterator (NoDBBaseConstructor, unsigned short method_name, std::shared_ptr< TraitsBase > traits=std::shared_ptr< TraitsBase >(new TraitsBase())) | |
alternate constructor for base iterator classes constructed on the fly More... | |
virtual void | derived_init_communicators (ParLevLIter pl_iter) |
derived class contributions to initializing the communicators associated with this Iterator instance | |
virtual const VariablesArray & | initial_points () const |
gets the multiple initial points for this iterator. This will only be meaningful after a call to initial_points mutator. | |
StrStrSizet | run_identifier () const |
get the unique run identifier based on method name, id, and number of executions | |
void | initialize_model_graphics (Model &model, int iterator_server_id) |
helper function that encapsulates initialization operations, modular on incoming Model instance More... | |
void | export_final_surrogates (Model &data_fit_surr_model) |
export final surrogates generated, e.g., GP in EGO and friends More... | |
Protected Attributes | |
bool | finalCVRefinement |
if defined, complete the final CV refinement when terminating MLCV based on maxIterations (the total number of refinements beyond the pilot sample will be one more for CV than for ML). This approach is consistent with normal termination based on l1_norm(delta_N_hf) = 0. | |
Private Member Functions | |
void | control_variate_mc () |
Perform control variate Monte Carlo across two model forms. More... | |
void | shared_increment (const Pecos::ActiveKey &agg_key, size_t iter, size_t lev) |
perform a shared increment of LF and HF samples for purposes of computing/updating the evaluation ratio and the MSE ratio | |
bool | lf_increment (const Pecos::ActiveKey &lf_key, const RealVector &eval_ratios, const SizetArray &N_lf, const RealVector &hf_targets, size_t iter, size_t lev) |
perform final LF sample increment as indicated by the evaluation ratio More... | |
bool | lf_increment (size_t iter, size_t lev) |
core parameter set definition and evaluation for LF sample increment More... | |
void | lf_increment_samples (const RealVector &eval_ratios, const SizetArray &N_lf, const RealVector &hf_targets) |
output information header for LF sample increment More... | |
void | compute_mf_equivalent_cost (size_t raw_N_hf, size_t raw_N_lf, Real cost_ratio) |
update equivHFEvals from HF, LF evaluation counts | |
void | increment_mf_equivalent_cost (size_t new_N_hf, size_t new_N_lf, Real cost_ratio) |
update equivHFEvals from HF, LF evaluation increment | |
void | increment_mf_equivalent_cost (size_t new_N_lf, Real cost_ratio) |
update equivHFEvals from LF evaluation increment | |
void | initialize_mf_sums (IntRealVectorMap &sum_L_shared, IntRealVectorMap &sum_L_refined, IntRealVectorMap &sum_H, IntRealVectorMap &sum_LL, IntRealVectorMap &sum_LH) |
initialize the CV accumulators for computing means, variances, and covariances across fidelity levels | |
void | accumulate_mf_sums (IntRealVectorMap &sum_L, const RealVector &offset, SizetArray &num_L) |
update running sums for one model (sum_L) using set of model evaluations within allResponses | |
void | accumulate_mf_sums (IntRealVectorMap &sum_L_shared, IntRealVectorMap &sum_L_refined, IntRealVectorMap &sum_H, IntRealVectorMap &sum_LL, IntRealVectorMap &sum_LH, RealVector &sum_HH, const RealVector &offset, SizetArray &num_L, SizetArray &num_H) |
update running sums for two models (sum_L, sum_H, and sum_LH) from set of low/high fidelity model evaluations within allResponses | |
void | allocate_budget (const RealVector &eval_ratios, Real cost_ratio, RealVector &hf_targets) |
scale sample profile to meeet a specified budget | |
void | compute_eval_ratios (const RealVector &sum_L_shared, const RealVector &sum_H, const RealVector &sum_LL, const RealVector &sum_LH, const RealVector &sum_HH, Real cost_ratio, const SizetArray &N_shared, RealVector &var_H, RealVector &rho2_LH, RealVector &eval_ratios) |
compute the LF/HF evaluation ratios across the QoI vector | |
void | compute_MSE_ratios (const RealVector &eval_ratios, const RealVector &var_H, const RealVector &rho2_LH, size_t iter, const SizetArray &N_hf, RealVector &mse_ratios) |
compute ratios of MC and CVMC mean squared errors across the QoI vector | |
void | cv_raw_moments (IntRealVectorMap &sum_L_shared, IntRealVectorMap &sum_H, IntRealVectorMap &sum_LL, IntRealVectorMap &sum_LH, const SizetArray &N_shared, IntRealVectorMap &sum_L_refined, const SizetArray &N_refined, const RealVector &rho2_LH, RealMatrix &H_raw_mom) |
compute control variate parameters for CVMC and estimate raw moments | |
void | compute_mf_control (const RealVector &sum_L, const RealVector &sum_H, const RealVector &sum_LL, const RealVector &sum_LH, const SizetArray &N_shared, RealVector &beta) |
compute vector control variate parameters | |
void | apply_mf_control (const RealVector &sum_H, const RealVector &sum_L_shared, const SizetArray &N_shared, const RealVector &sum_L_refined, const SizetArray &N_refined, const RealVector &beta, RealVector &H_raw_mom) |
apply vector control variate parameter (beta) to approximate HF moment | |
Additional Inherited Members | |
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static void | compute_moments (const RealVectorArray &fn_samples, SizetArray &sample_counts, RealMatrix &moment_stats, short moments_type, const StringArray &labels) |
core compute_moments() implementation with all data as inputs | |
static void | compute_moments (const RealVectorArray &fn_samples, RealMatrix &moment_stats, short moments_type) |
core compute_moments() implementation with all data as inputs | |
static void | compute_moments (const RealMatrix &fn_samples, RealMatrix &moment_stats, short moments_type) |
alternate RealMatrix samples API for use by external clients | |
static void | print_moments (std::ostream &s, const RealMatrix &moment_stats, const RealMatrix moment_cis, String qoi_type, short moments_type, const StringArray &moment_labels, bool print_cis) |
core print moments that can be called without object | |
static int | compute_wilks_sample_size (unsigned short order, Real alpha, Real beta, bool twosided=false) |
calculates the number of samples using the Wilks formula Static so I can test without instantiating a NonDSampling object - RWH | |
static Real | compute_wilks_residual (unsigned short order, int nsamples, Real alpha, Real beta, bool twosided) |
Helper function - calculates the Wilks residual. | |
static Real | compute_wilks_alpha (unsigned short order, int nsamples, Real beta, bool twosided=false) |
calculates the alpha paramter given number of samples using the Wilks formula Static so I can test without instantiating a NonDSampling object - RWH | |
static Real | compute_wilks_beta (unsigned short order, int nsamples, Real alpha, bool twosided=false) |
calculates the beta paramter given number of samples using the Wilks formula Static so I can test without instantiating a NonDSampling object - RWH | |
static Real | get_wilks_alpha_min () |
Get the lower and upper bounds supported by Wilks bisection solves. | |
static Real | get_wilks_alpha_max () |
static Real | get_wilks_beta_min () |
static Real | get_wilks_beta_max () |
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static void | uncentered_to_centered (Real rm1, Real rm2, Real rm3, Real rm4, Real &cm1, Real &cm2, Real &cm3, Real &cm4, size_t Nlq) |
convert uncentered (raw) moments to centered moments; biased estimators More... | |
static void | uncentered_to_centered (Real rm1, Real rm2, Real rm3, Real rm4, Real &cm1, Real &cm2, Real &cm3, Real &cm4) |
convert uncentered (raw) moments to centered moments; unbiased estimators More... | |
static void | centered_to_standard (Real cm1, Real cm2, Real cm3, Real cm4, Real &sm1, Real &sm2, Real &sm3, Real &sm4) |
convert centered moments to standardized moments | |
static void | check_negative (Real &cm) |
detect, warn, and repair a negative central moment (for even orders) | |
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static NonD * | nondInstance |
pointer to the active object instance used within static evaluator functions in order to avoid the need for static data | |
Performs Multifidelity Monte Carlo sampling for UQ.
Multifidelity Monte Carlo (MFMC) is a variance-reduction technique that utilitizes lower fidelity simulations that have response QoI that are correlated with the high-fidelity response QoI.
NonDControlVariateSampling | ( | ProblemDescDB & | problem_db, |
Model & | model | ||
) |
standard constructor
This constructor is called for a standard letter-envelope iterator instantiation. In this case, set_db_list_nodes has been called and probDescDB can be queried for settings from the method specification.
References NonDEnsembleSampling::NLev.
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protectedvirtual |
The primary run function manages the general case: a hierarchy of model forms (from the ordered model fidelities within a HierarchSurrModel), each of which may contain multiple discretization levels.
Reimplemented from Iterator.
Reimplemented in NonDMultilevControlVarSampling.
References NonDControlVariateSampling::control_variate_mc(), Iterator::iteratedModel, and Model::multifidelity_precedence().
Referenced by NonDMultilevControlVarSampling::core_run().
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protected |
perform LF sample increment as indicated by the evaluation ratio
version without LF key
References NonDControlVariateSampling::lf_increment_samples(), Analyzer::numFunctions, and NonDSampling::numSamples.
Referenced by NonDControlVariateSampling::control_variate_mc(), NonDControlVariateSampling::lf_increment(), NonDMultilevControlVarSampling::multilevel_control_variate_mc_Qcorr(), and NonDMultilevControlVarSampling::multilevel_control_variate_mc_Ycorr().
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private |
Perform control variate Monte Carlo across two model forms.
This function performs control variate MC across two combinations of model form and discretization level.
References NonDControlVariateSampling::accumulate_mf_sums(), Model::active_model_key(), NonDEnsembleSampling::aggregated_models_mode(), NonDControlVariateSampling::allocate_budget(), NonDEnsembleSampling::average(), NonDControlVariateSampling::compute_eval_ratios(), NonDEnsembleSampling::compute_mc_estimator_variance(), NonDControlVariateSampling::compute_MSE_ratios(), NonD::configure_cost(), NonD::configure_sequence(), Iterator::convergenceTol, NonDEnsembleSampling::convert_moments(), NonDControlVariateSampling::cv_raw_moments(), NonDControlVariateSampling::increment_mf_equivalent_cost(), NonDControlVariateSampling::initialize_mf_sums(), Iterator::iteratedModel, NonDControlVariateSampling::lf_increment(), NonD::load_pilot_sample(), Iterator::maxFunctionEvals, Iterator::maxIterations, NonDEnsembleSampling::mlmfIter, NonD::momentStats, NonDEnsembleSampling::NLev, Analyzer::numFunctions, NonDSampling::numSamples, NonD::one_sided_delta(), NonDEnsembleSampling::pilotSamples, NonDControlVariateSampling::shared_increment(), Model::solution_level_cost(), Model::solution_level_cost_index(), Model::surrogate_model(), Dakota::SZ_MAX, and Model::truth_model().
Referenced by NonDControlVariateSampling::core_run().
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private |
perform final LF sample increment as indicated by the evaluation ratio
version with LF key
References Model::active_model_key(), Iterator::iteratedModel, NonDControlVariateSampling::lf_increment(), NonDControlVariateSampling::lf_increment_samples(), NonDSampling::numSamples, and NonDHierarchSampling::uncorrected_surrogate_mode().
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private |
core parameter set definition and evaluation for LF sample increment
shared helper
References Analyzer::evaluate_parameter_sets(), NonDEnsembleSampling::export_all_samples(), NonDEnsembleSampling::exportSampleSets, NonDControlVariateSampling::finalCVRefinement, NonDSampling::get_parameter_sets(), Iterator::iteratedModel, Iterator::maxIterations, and Model::surrogate_model().
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private |
output information header for LF sample increment
shared helper
References NonDEnsembleSampling::average(), Analyzer::numFunctions, NonDSampling::numSamples, NonD::one_sided_delta(), and Iterator::outputLevel.
Referenced by NonDControlVariateSampling::lf_increment().