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NonDACVSampling Class Reference

Perform Approximate Control Variate Monte Carlo sampling for UQ. More...

Inheritance diagram for NonDACVSampling:
NonDNonHierarchSampling NonDEnsembleSampling NonDSampling NonD Analyzer Iterator

Public Member Functions

 NonDACVSampling (ProblemDescDB &problem_db, Model &model)
 standard constructor More...
 
 ~NonDACVSampling ()
 destructor
 
- Public Member Functions inherited from NonDNonHierarchSampling
 NonDNonHierarchSampling (ProblemDescDB &problem_db, Model &model)
 standard constructor More...
 
 ~NonDNonHierarchSampling ()
 destructor
 
- Public Member Functions inherited from NonDEnsembleSampling
 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
 
- Public Member Functions inherited from NonDSampling
 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
 
- Public Member Functions inherited from NonD
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
 
- Public Member Functions inherited from Analyzer
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
 
- Public Member Functions inherited from Iterator
 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)
 
Modeliterated_model ()
 return the iteratedModel (iterators & meta-iterators using a single model instance)
 
ProblemDescDBproblem_description_db () const
 return the problem description database (probDescDB)
 
ParallelLibraryparallel_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 ActiveSetactive_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< Iteratoriterator_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< TraitsBasetraits () 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 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 ()
 
void print_results (std::ostream &s, short results_state=FINAL_RESULTS)
 print the final iterator results More...
 
void print_variance_reduction (std::ostream &s)
 
void approximate_control_variate ()
 
void approximate_control_variate_offline_pilot ()
 
void approximate_control_variate_pilot_projection ()
 
bool approx_increment (const RealVector &avg_eval_ratios, const Sizet2DArray &N_L_refined, Real hf_target, size_t iter, size_t start, size_t end)
 
void approx_increments (IntRealMatrixMap &sum_L_baselineH, IntRealVectorMap &sum_H, IntRealSymMatrixArrayMap &sum_LL, IntRealMatrixMap &sum_LH, const Sizet2DArray &N_L_baselineH, const SizetSymMatrixArray &N_LL, const Sizet2DArray &N_LH, const RealVector &avg_eval_ratios, Real avg_hf_target)
 
Real allocate_budget (const RealVector &avg_eval_ratios, const RealVector &cost)
 
void scale_to_budget_with_pilot (Real budget, RealVector &avg_eval_ratios, const RealVector &cost, Real avg_N_H)
 
void compute_ratios (const SizetArray &N_H, const RealMatrix &var_L, const RealVector &var_H, const RealMatrix &cov_LH, const RealVector &cost, RealVector &avg_eval_ratios, Real &avg_acv_estvar, Real &avg_estvar_ratio, Real &avg_hf_target)
 
- Protected Member Functions inherited from NonDNonHierarchSampling
void pre_run ()
 pre-run portion of run (optional); re-implemented by Iterators which can generate all Variables (parameter sets) a priori More...
 
void shared_increment (size_t iter)
 
void shared_approx_increment (size_t iter)
 
void assign_active_key (size_t num_steps, size_t secondary_index, bool multilev)
 
void initialize_sums (IntRealMatrixMap &sum_L_baseline, IntRealVectorMap &sum_H, IntRealMatrixMap &sum_LH, RealVector &sum_HH)
 
void initialize_counts (Sizet2DArray &num_L_baseline, SizetArray &num_H, Sizet2DArray &num_LH)
 
void finalize_counts (Sizet2DArray &N_L)
 
void ensemble_sample_increment (size_t iter, size_t step)
 
void increment_samples (SizetArray &N_l, size_t num_samples)
 
void increment_equivalent_cost (size_t new_samp, const RealVector &cost, size_t start, size_t end)
 
void compute_variance (Real sum_Q, Real sum_QQ, size_t num_Q, Real &var_Q)
 
void compute_variance (const RealVector &sum_Q, const RealVector &sum_QQ, const SizetArray &num_Q, RealVector &var_Q)
 
void compute_correlation (Real sum_Q1, Real sum_Q2, Real sum_Q1Q1, Real sum_Q1Q2, Real sum_Q2Q2, size_t num_Q1, size_t num_Q2, size_t num_Q1Q2, Real &var_Q2, Real &rho2_Q1Q2)
 
void compute_covariance (Real sum_Q1, Real sum_Q2, Real sum_Q1Q2, size_t num_Q1, size_t num_Q2, size_t num_Q1Q2, Real &cov_Q1Q2)
 
void mfmc_eval_ratios (const RealMatrix &rho2_LH, const RealVector &cost, RealMatrix &eval_ratios)
 
void apply_control (Real sum_L_shared, size_t num_shared, Real sum_L_refined, size_t num_refined, Real beta, Real &H_raw_mom)
 
- Protected Member Functions inherited from NonDEnsembleSampling
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
 
- Protected Member Functions inherited from NonDSampling
 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
 
- Protected Member Functions inherited from NonD
 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 Responseresponse_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 &current, 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)
 
- Protected Member Functions inherited from Analyzer
 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 Modelalgorithm_space_model () const
 
const Variablesvariables_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
 
- Protected Member Functions inherited from Iterator
 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...
 

Private Member Functions

void initialize_acv_sums (IntRealMatrixMap &sum_L_baseline, IntRealVectorMap &sum_H, IntRealSymMatrixArrayMap &sum_LL, IntRealMatrixMap &sum_LH, RealVector &sum_HH)
 
void initialize_acv_counts (Sizet2DArray &num_L_baseline, SizetArray &num_H, SizetSymMatrixArray &num_LL, Sizet2DArray &num_LH)
 
void accumulate_acv_sums (IntRealMatrixMap &sum_L_baseline, IntRealVectorMap &sum_H, IntRealSymMatrixArrayMap &sum_LL, IntRealMatrixMap &sum_LH, RealVector &sum_HH, Sizet2DArray &num_L_baseline, SizetArray &num_H, SizetSymMatrixArray &num_LL, Sizet2DArray &num_LH)
 
void accumulate_acv_sums (RealMatrix &sum_L_baseline, RealVector &sum_H, RealSymMatrixArray &sum_LL, RealMatrix &sum_LH, RealVector &sum_HH, Sizet2DArray &num_L_baseline, SizetArray &num_H, SizetSymMatrixArray &num_LL, Sizet2DArray &num_LH)
 
void accumulate_acv_sums (IntRealMatrixMap &sum_L_baseline, IntRealSymMatrixArrayMap &sum_LL, Sizet2DArray &num_L_baseline, SizetSymMatrixArray &num_LL)
 
void accumulate_acv_sums (IntRealMatrixMap &sum_L_refined, Sizet2DArray &num_L_refined, size_t approx_start, size_t approx_end)
 
void compute_LH_covariance (const RealMatrix &sum_L_shared, const RealVector &sum_H, const RealMatrix &sum_LH, const Sizet2DArray &num_L, const SizetArray &num_H, const Sizet2DArray &num_LH, RealMatrix &cov_LH)
 
void compute_LL_covariance (const RealMatrix &sum_L_shared, const RealSymMatrixArray &sum_LL, const Sizet2DArray &num_L, const SizetSymMatrixArray &num_LL, RealSymMatrixArray &cov_LL)
 
void covariance_to_correlation_sq (const RealMatrix &cov_LH, const RealMatrix &var_L, const RealVector &var_H, RealMatrix &rho2_LH)
 
void compute_L_variance (const RealMatrix &sum_L, const RealSymMatrixArray &sum_LL, const Sizet2DArray &num_L, RealMatrix &var_L)
 
void compute_F_matrix (const RealVector &avg_eval_ratios, RealSymMatrix &F)
 
void invert_CF (const RealSymMatrix &C, const RealSymMatrix &F, RealSymMatrix &CF_inv)
 
void compute_A_vector (const RealSymMatrix &F, const RealMatrix &c, size_t qoi, RealVector &A)
 
void compute_A_vector (const RealSymMatrix &F, const RealMatrix &c, size_t qoi, Real var_H_q, RealVector &A)
 
void compute_Rsq (const RealSymMatrix &CF_inv, const RealVector &A, Real var_H_q, Real &R_sq_q)
 
void acv_raw_moments (IntRealMatrixMap &sum_L_shared, IntRealMatrixMap &sum_L_refined, IntRealVectorMap &sum_H, IntRealSymMatrixArrayMap &sum_LL, IntRealMatrixMap &sum_LH, const RealVector &avg_eval_ratios, const Sizet2DArray &num_L_shared, const Sizet2DArray &num_L_refined, const SizetArray &num_H, const SizetSymMatrixArray &num_LL, const Sizet2DArray &num_LH, RealMatrix &H_raw_mom)
 
void compute_acv_control (const RealSymMatrix &cov_LL, const RealSymMatrix &F, const RealMatrix &cov_LH, size_t qoi, RealVector &beta)
 
void compute_acv_control (RealMatrix &sum_L, Real sum_H_q, RealSymMatrix &sum_LL_q, RealMatrix &sum_LH, const Sizet2DArray &num_L, size_t num_H_q, const SizetSymMatrix &num_LL_q, const Sizet2DArray &num_LH, const RealSymMatrix &F, size_t qoi, RealVector &beta)
 
void update_projected_samples (Real avg_hf_target, const RealVector &avg_eval_ratios, SizetArray &N_H_projected, Sizet2DArray &N_L_projected)
 
Real objective_function (const RealVector &r_and_N)
 objective helper function shared by NPSOL/OPT++ static evaluators
 
Real nonlinear_constraint (const RealVector &r_and_N)
 constraint helper function shared by NPSOL/OPT++ static evaluators
 
void nonlinear_constraint_gradient (const RealVector &r_and_N, RealVector &grad_c)
 constraint gradient helper function shared by NPSOL/OPT++ static evaluators
 

Static Private Member Functions

static void npsol_objective_evaluator (int &mode, int &n, double *x, double &f, double *grad_f, int &nstate)
 static function used by NPSOL for the objective function More...
 
static void optpp_objective_evaluator (int n, const RealVector &x, double &f, int &result_mode)
 static function used by OPT++ for the objective function More...
 
static void npsol_constraint_evaluator (int &mode, int &ncnln, int &n, int &nrowj, int *needc, double *x, double *c, double *cjac, int &nstate)
 static function used by NPSOL for the nonlinear constraints, if present
 
static void optpp_constraint_evaluator (int mode, int n, const RealVector &x, RealVector &g, RealMatrix &grad_g, int &result_mode)
 static function used by OPT++ for the nonlinear constraints, if present More...
 

Private Attributes

unsigned short acvSubMethod
 approximate control variate algorithm selection: SUBMETHOD_ACV_{IS,MF,KL}
 
unsigned short optSubProblemForm
 formulation for optimization sub-problem that minimizes R^2 subject to different variable sets and different linear/nonlinear constraints
 
bool truthFixedByPilot
 user specification to suppress any increments in the number of HF evaluations (e.g., because too expensive and no more can be performed)
 
RealMatrix covLH
 covariances between each LF approximation and HF truth (the c vector in ACV); organized numFunctions x numApprox
 
RealSymMatrixArray covLL
 covariances among all LF approximations (the C matrix in ACV); organized as a numFunctions array of symmetic numApprox x numApprox matrices
 
Iterator varianceMinimizer
 the minimizer used to minimize the estimator variance over parameters of number of truth model samples and approximation eval_ratios
 
Real avgACVEstVar
 final estimator variance (minimization result), averaged across QoI
 
Real avgMSERatio
 ratio of final ACV estimator variance (minimization result averaged across QoI) and final MC estimator variance (final varH / numH)
 

Static Private Attributes

static NonDACVSamplingacvInstance
 pointer to NonDACV instance used in static member functions
 

Additional Inherited Members

- Static Public Member Functions inherited from NonDSampling
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 ()
 
- Static Protected Member Functions inherited from NonDEnsembleSampling
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)
 
- Protected Attributes inherited from NonDNonHierarchSampling
size_t numApprox
 number of approximation models managed by non-hierarchical iteratedModel
 
short solutionMode
 enumeration for solution modes: ONLINE_PILOT (default), OFFLINE_PILOT, PILOT_PROJECTION
 
short sequenceType
 type of model sequence enumerated with primary MF/ACV loop over steps
 
size_t secondaryIndex
 setting for the inactive model dimension not traversed by primary MF/ACV loop over steps
 
RealVector sequenceCost
 relative costs of models within sequence of steps
 
RealVector varH
 variances for HF truth (length numFunctions)
 
SizetArray numH
 number of evaluations of HF truth model (length numFunctions)
 
RealVector mseIter0
 initial estimator variance from shared pilot (no CV reduction)
 
- Static Protected Attributes inherited from NonD
static NonDnondInstance
 pointer to the active object instance used within static evaluator functions in order to avoid the need for static data
 

Detailed Description

Perform Approximate Control Variate Monte Carlo sampling for UQ.

Approximate Control Variate (ACV) is a variance-reduction technique that utilitizes lower fidelity simulations that have response QoI that are correlated with the high-fidelity response QoI.

Constructor & Destructor Documentation

NonDACVSampling ( ProblemDescDB problem_db,
Model model 
)

Member Function Documentation

void pre_run ( )
protectedvirtual

pre-run portion of run (optional); re-implemented by Iterators which can generate all Variables (parameter sets) a priori

pre-run phase, which a derived iterator may optionally reimplement; when not present, pre-run is likely integrated into the derived run function. This is a virtual function; when re-implementing, a derived class must call its nearest parent's pre_run(), if implemented, typically before performing its own implementation steps.

Reimplemented from Analyzer.

References NonDACVSampling::acvInstance, and NonDNonHierarchSampling::pre_run().

void core_run ( )
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.

References Dakota::abort_handler(), NonDACVSampling::acvSubMethod, NonDACVSampling::approximate_control_variate(), NonDACVSampling::approximate_control_variate_offline_pilot(), NonDACVSampling::approximate_control_variate_pilot_projection(), and NonDNonHierarchSampling::solutionMode.

void print_results ( std::ostream &  s,
short  results_state = FINAL_RESULTS 
)
protectedvirtual

print the final iterator results

This virtual function provides additional iterator-specific final results outputs beyond the function evaluation summary printed in finalize_run().

Reimplemented from Analyzer.

References NonDEnsembleSampling::NLev, NonD::print_multilevel_evaluation_summary(), NonDEnsembleSampling::print_results(), and NonDNonHierarchSampling::solutionMode.

void approximate_control_variate ( )
protected
void approximate_control_variate_offline_pilot ( )
protected
void approximate_control_variate_pilot_projection ( )
protected
void accumulate_acv_sums ( IntRealMatrixMap &  sum_L_baseline,
IntRealVectorMap &  sum_H,
IntRealSymMatrixArrayMap &  sum_LL,
IntRealMatrixMap &  sum_LH,
RealVector &  sum_HH,
Sizet2DArray &  num_L_baseline,
SizetArray &  num_H,
SizetSymMatrixArray &  num_LL,
Sizet2DArray &  num_LH 
)
private
void accumulate_acv_sums ( RealMatrix &  sum_L_baseline,
RealVector &  sum_H,
RealSymMatrixArray &  sum_LL,
RealMatrix &  sum_LH,
RealVector &  sum_HH,
Sizet2DArray &  num_L_baseline,
SizetArray &  num_H,
SizetSymMatrixArray &  num_LL,
Sizet2DArray &  num_LH 
)
private

This version used by ACV following shared_increment()

References Analyzer::allResponses, Response::function_values(), NonDNonHierarchSampling::numApprox, and Analyzer::numFunctions.

void accumulate_acv_sums ( IntRealMatrixMap &  sum_L_shared,
IntRealSymMatrixArrayMap &  sum_LL,
Sizet2DArray &  num_L_shared,
SizetSymMatrixArray &  num_LL 
)
private

This version used by ACV following shared_approx_increment()

References Analyzer::allResponses, Response::function_values(), NonDNonHierarchSampling::numApprox, and Analyzer::numFunctions.

void accumulate_acv_sums ( IntRealMatrixMap &  sum_L_refined,
Sizet2DArray &  num_L_refined,
size_t  approx_start,
size_t  approx_end 
)
private

This version used by ACV following approx_increment()

References Analyzer::allResponses, Response::function_values(), and Analyzer::numFunctions.

void npsol_objective_evaluator ( int &  mode,
int &  n,
double *  x,
double &  f,
double *  grad_f,
int &  nstate 
)
staticprivate

static function used by NPSOL for the objective function

NPSOL objective functions evaluator for solution of homotopy constraint relaxation parameter optimization. This constrained optimization problem performs the update of the tau parameter in the homotopy heuristic approach used to relax the constraints in the original problem .

References NonDACVSampling::acvInstance, and NonDACVSampling::objective_function().

Referenced by NonDACVSampling::NonDACVSampling().

void optpp_objective_evaluator ( int  n,
const RealVector &  x,
double &  f,
int &  result_mode 
)
staticprivate

static function used by OPT++ for the objective function

API for FDNLF1 objective (see SNLLOptimizer::nlf0_evaluator())

References NonDACVSampling::acvInstance, and NonDACVSampling::objective_function().

Referenced by NonDACVSampling::NonDACVSampling().

void optpp_constraint_evaluator ( int  mode,
int  n,
const RealVector &  x,
RealVector &  c,
RealMatrix &  grad_c,
int &  result_mode 
)
staticprivate

static function used by OPT++ for the nonlinear constraints, if present

API for NLF1 constraint (see SNLLOptimizer::constraint1_evaluator())

References NonDACVSampling::acvInstance, NonDACVSampling::nonlinear_constraint(), and NonDACVSampling::nonlinear_constraint_gradient().

Referenced by NonDACVSampling::NonDACVSampling().


The documentation for this class was generated from the following files: