Source code for TransportMaps.Samplers.Routines

# This file is part of TransportMaps.
# TransportMaps is free software: you can redistribute it and/or modify
# it under the terms of the GNU Lesser General Public License as published by
# the Free Software Foundation, either version 3 of the License, or
# (at your option) any later version.
# TransportMaps is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# GNU Lesser General Public License for more details.
# You should have received a copy of the GNU Lesser General Public License
# along with TransportMaps.  If not, see <>.
# Transport Maps Library
# Copyright (C) 2015-2018 Massachusetts Institute of Technology
# Uncertainty Quantification group
# Department of Aeronautics and Astronautics
# Author: Transport Map Team
# Website:
# Support:

import numpy as np
import numpy.linalg as npla
import scipy.stats as stats
import scipy.signal as signal

__all__ = ['ess']

[docs]def ess(samps, quantile=0.99, do_xcorr=False, plotting=False, plot_lag=50, fig=None): r""" Compute the Effective Sample Size (ESS) of a sample The minimum ESS over all the dimension is returned. Cross-correlation can be optionally used as well in the determination of the ESS. Plotting of the correlation decay can be shown. The ESS is computed as :math:`\lfloor m/\kappa \rfloor`, where .. math:: \kappa = 1 + \sum_{c_i>b_i} c_i \;, :math:`c_i` is the auto-correlation at lag :math:`i` and :math:`b_i` is the ``quantile``-confidence interval for the :math:`i`-th value of auto-correlation (i.e. only significant auto-correlation values are summed up). Args: samps (:class:`ndarray<numpy.ndarray>` [:math:`m,d`]): :math:`d`-dimensional sample on which to compute the ESS quantile (float): condifence interval quantile do_xcorr (bool): whether to compute and use the auto-correlation function plotting (bool): whether to plot auto/cross-correlation decays plot_lag (int): how many lags to plot fig (figure): handle to a figure Returns: (:class:`int`) -- minimum ESS across the :math:`d` dimensions """ nsamps = samps.shape[0] dim = samps.shape[1] xcorr = [] abs_xcorr = [] for d1 in range(dim): if do_xcorr: for d2 in range(d1+1): s1 = samps[:,d1] - np.mean(samps[:,d1]) s2 = samps[:,d2] - np.mean(samps[:,d2]) s1 /= npla.norm(s1) s2 /= npla.norm(s2) # c = np.correlate(s1, s2, mode='full')[nsamps-1:] c = signal.correlate(s1, s2, mode='full')[nsamps-1:] xcorr.append(c) abs_xcorr.append( np.abs(xcorr[-1]) ) else: s = samps[:,d1] - np.mean(samps[:,d1]) s /= npla.norm(s) # c = np.correlate(s, s, mode='full')[nsamps-1:] c = signal.correlate(s, s, mode='full')[nsamps-1:] xcorr.append(c) abs_xcorr.append( np.abs(xcorr[-1]) ) # Confidence interval var = 1. / np.arange(nsamps, 0, -1) alpha = 1. - (1. - quantile)/2. confint = stats.norm.ppf(alpha) * np.sqrt(var) # ESS ess = [] min_ess = nsamps for axc in abs_xcorr: sig_corr = axc[axc >= confint] kappa = 1. + 2. * np.sum(sig_corr[1:]) ess.append( int(np.floor( float(nsamps) / kappa ) ) ) if ess[-1] < min_ess: min_ess = ess[-1] if plotting: import matplotlib.pyplot as plt if fig is None: fig = plt.figure() ax_list = [] if do_xcorr: for d1 in range(dim): for d2 in range(dim): if d2 <= d1: ax_list.append( fig.add_subplot(dim,dim,d1*dim+d2+1) ) else: for d1 in range(dim): ax_list.append( fig.add_subplot(1,dim,d1+1) ) for ax, c in zip(ax_list, xcorr): ax.vlines(range(plot_lag+1), np.zeros(plot_lag+1), c[:plot_lag+1]) ax.plot(confint[:plot_lag+1], '--r') ax.plot(-confint[:plot_lag+1], '--r') ax.tick_params( axis='x', # changes apply to the x-axis which='both', # both major and minor ticks are affected bottom='off', # ticks along the bottom edge are off top='off', # ticks along the top edge are off labelbottom='off') # labels along the bottom edge are off ax.tick_params( axis='y', # changes apply to the x-axis which='both', # both major and minor ticks are affected left='off', # ticks along the bottom edge are off right='off', # ticks along the top edge are off labelleft='off') # labels along the bottom edge are off plt.tight_layout()
return min_ess