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Refactored Profile

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master
Per.Andreas.Brodtkorb 12 years ago
parent 4087577ec0
commit 542a4d16c8
1 changed files with 169 additions and 74 deletions
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pywafo/src/wafo/stats/estimation.py
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@ -205,6 +205,7 @@ class Profile(object):
>>> Lsf.plot()
>>> sf_ci = Lsf.get_bounds(alpha=0.2)
'''
def __init__(self, fit_dist, **kwds):
try:
@ -230,7 +231,8 @@ class Profile(object):
Lmax = fit_dist.LPSmax
else:
raise ValueError("PROFILE is only valid for ML- or MPS- estimators")
if fit_dist.par_fix == None:
if fit_dist.par_fix is None:
isnotfixed = np.ones(fit_dist.par.shape, dtype=bool)
else:
isnotfixed = 1 - numpy.isfinite(fit_dist.par_fix)
@ -280,43 +282,43 @@ class Profile(object):
self.xlabel = self.xlabel + ' (' + fit_dist.dist.name + ')'
phatfree = phatv[self.i_free].copy()
mylogfun = self._nlogfun
if True:
## Check that par are actually at the optimum
phatfree = optimize.fmin(mylogfun, phatfree, args=(p_opt,) , disp=0)
LLt = -mylogfun(phatfree, p_opt)
if LLt>Lmax:
#foundNewphat = True
warnings.warn('The fitted parameters does not provide the optimum fit. Something wrong with fit')
dL = Lmax-LLt
self.alpha_cross_level -= dL
self.Lmax = LLt
pvec = self._get_pvec(p_opt)
self.data = numpy.empty_like(pvec)
self.data[:] = nan
k1 = (pvec >= p_opt).argmax()
for ix in xrange(k1, -1, -1):
phatfree = optimize.fmin(mylogfun, phatfree, args=(pvec[ix],) , disp=0)
self.data[ix] = -mylogfun(phatfree, pvec[ix])
if self.data[ix] < self.alpha_cross_level:
pvec[:ix] = nan
break
phatfree = phatv[self.i_free].copy()
self._set_profile(phatfree, p_opt)
phatfree = phatv[self.i_free].copy()
for ix in xrange(k1 + 1, pvec.size):
phatfree = optimize.fmin(mylogfun, phatfree, args=(pvec[ix],) , disp=0)
self.data[ix] = -mylogfun(phatfree, pvec[ix])
if self.data[ix] < self.alpha_cross_level:
pvec[ix + 1:] = nan
break
# prettify result
def _correct_Lmax(self, Lmax):
if Lmax > self.Lmax: #foundNewphat = True
warnings.warn('The fitted parameters does not provide the optimum fit. Something wrong with fit')
dL = self.Lmax - Lmax
self.alpha_cross_level -= dL
self.Lmax = Lmax
def _profile_optimum(self, phatfree0, p_opt):
phatfree = optimize.fmin(self._profile_fun, phatfree0, args=(p_opt, ), disp=0)
Lmax = -self._profile_fun(phatfree, p_opt)
self._correct_Lmax(Lmax)
return Lmax, phatfree
def _set_profile(self, phatfree0, p_opt):
pvec = self._get_pvec(phatfree0, p_opt)
self.data = numpy.ones_like(pvec) * nan
k1 = (pvec >= p_opt).argmax()
for size, step in ((-1,-1), (pvec.size, 1)):
phatfree = phatfree0.copy()
for ix in xrange(k1, size, step):
Lmax, phatfree = self._profile_optimum(phatfree, pvec[ix])
self.data[ix] = Lmax
if self.data[ix] < self.alpha_cross_level:
break
np.putmask(pvec, np.isnan(self.data), nan)
self.args = pvec
self._prettify_profile()
def _prettify_profile(self):
pvec = self.args
ix = nonzero(numpy.isfinite(pvec))
self.data = self.data[ix]
self.args = pvec[ix]
@ -327,54 +329,104 @@ class Profile(object):
ind1 = numpy.where(ind == 0, ind, ind - 1)
cl = self.alpha_cross_level - self.alpha_Lrange / 2.0
t0 = ecross(self.args, self.data, ind1, cl)
self.data.put(ind, cl)
self.args.put(ind, t0)
def _get_variance(self):
if self.profile_par:
pvar = self.fit_dist.par_cov[self.i_fixed, :][:, self.i_fixed]
else:
i_notfixed = self.i_notfixed
phatv = self._par
if self.profile_x:
gradfun = numdifftools.Gradient(self._myinvfun)
else:
gradfun = numdifftools.Gradient(self._myprbfun)
drl = gradfun(phatv[self.i_notfixed])
def _get_pvec(self, p_opt):
pcov = self.fit_dist.par_cov[i_notfixed, :][:, i_notfixed]
pvar = sum(numpy.dot(drl, pcov) * drl)
return pvar
def _get_pvec(self, phatfree0, p_opt):
''' return proper interval for the variable to profile
'''
linspace = numpy.linspace
if self.pmin == None or self.pmax == None:
if self.profile_par:
pvar = self.fit_dist.par_cov[self.i_fixed, :][:, self.i_fixed]
else:
i_notfixed = self.i_notfixed
phatv = self._par
if self.profile_x:
gradfun = numdifftools.Gradient(self._myinvfun)
else:
gradfun = numdifftools.Gradient(self._myprbfun)
drl = gradfun(phatv[self.i_notfixed])
pcov = self.fit_dist.par_cov[i_notfixed, :][:, i_notfixed]
pvar = sum(numpy.dot(drl, pcov) * drl)
if pvar<0:
pvar = -pvar*2
elif numpy.isnan(pvar):
pvar = p_opt*0.5
pvar = self._get_variance()
if pvar<=1e-5 or numpy.isnan(pvar):
pvar = max(abs(p_opt)*0.5, 0.5)
p_crit = -norm_ppf(self.alpha / 2.0) * sqrt(numpy.ravel(pvar)) * 1.5
if self.pmin == None:
self.pmin = p_opt - 5.0 * p_crit
self.pmin = self._search_pmin(phatfree0, p_opt - 5.0 * p_crit, p_opt)
p_crit_low = (p_opt-self.pmin)/5
if self.pmax == None:
self.pmax = p_opt + 5.0 * p_crit
self.pmax = self._search_pmax(phatfree0,p_opt + 5.0 * p_crit, p_opt)
p_crit_up = (self.pmax-p_opt)/5
N4 = numpy.floor(self.N / 4.0)
pvec1 = linspace(self.pmin, p_opt - p_crit, N4 + 1)
pvec2 = linspace(p_opt - p_crit, p_opt + p_crit, self.N - 2 * N4)
pvec3 = linspace(p_opt + p_crit, self.pmax, N4 + 1)
pvec1 = linspace(self.pmin, p_opt - p_crit_low, N4 + 1)
pvec2 = linspace(p_opt - p_crit_low, p_opt + p_crit_up, self.N - 2 * N4)
pvec3 = linspace(p_opt + p_crit_up, self.pmax, N4 + 1)
pvec = numpy.unique(numpy.hstack((pvec1, p_opt, pvec2, pvec3)))
else:
pvec = linspace(self.pmin, self.pmax, self.N)
return pvec
def _search_pmin(self, phatfree0, p_min0, p_opt):
phatfree = phatfree0.copy()
dp = p_opt-p_min0
if dp<1e-2:
dp = 0.1
p_min_opt = p_min0
Lmax, phatfree = self._profile_optimum(phatfree, p_opt)
for _j in range(50):
p_min = p_opt - dp
Lmax, phatfree = self._profile_optimum(phatfree, p_min)
if np.isnan(Lmax):
dp *= 0.33
elif Lmax < self.alpha_cross_level-self.alpha_Lrange*2:
p_min_opt = p_min
dp *= 0.33
elif Lmax<self.alpha_cross_level:
p_min_opt = p_min
break
else:
dp *= 1.67
return p_min_opt
def _search_pmax(self, phatfree0, p_max0, p_opt):
phatfree = phatfree0.copy()
dp = p_max0-p_opt
if dp<1e-2:
dp = 0.1
p_max_opt = p_max0
Lmax, phatfree = self._profile_optimum(phatfree, p_opt)
for _j in range(50):
p_max = p_opt + dp
Lmax, phatfree = self._profile_optimum(phatfree, p_max)
if np.isnan(Lmax):
dp *= 0.33
elif Lmax < self.alpha_cross_level-self.alpha_Lrange*2:
p_max_opt = p_max
dp *= 0.33
elif Lmax<self.alpha_cross_level:
p_max_opt = p_max
break
else:
dp *= 1.67
return p_max_opt
def _myinvfun(self, phatnotfixed):
mphat = self._par.copy()
mphat[self.i_notfixed] = phatnotfixed;
@ -388,13 +440,12 @@ class Profile(object):
return np.where(np.isfinite(logSF), logSF, np.nan)
def _nlogfun(self, free_par, fix_par):
def _profile_fun(self, free_par, fix_par):
''' Return negative of loglike or logps function
free_par - vector of free parameters
fix_par - fixed parameter, i.e., either quantile (return level),
probability (return period) or distribution parameter
'''
par = self._par.copy()
par[self.i_free] = free_par
@ -403,11 +454,10 @@ class Profile(object):
return self.fit_dist.fitfun(par)
def get_bounds(self, alpha=0.05):
'''Return confidence interval
'''Return confidence interval for profiled parameter
'''
if alpha < self.alpha:
raise ValueError('Unable to return CI with alpha less than %g' % self.alpha)
warnings.warn('Might not be able to return CI with alpha less than %g' % self.alpha)
cross_level = self.Lmax - 0.5 * chi2isf(alpha, 1)
ind = findcross(self.data, cross_level)
N = len(ind)
@ -415,6 +465,7 @@ class Profile(object):
warnings.warn('''Number of crossings is zero, i.e.,
upper and lower bound is not found!''')
CI = (self.pmin, self.pmax)
elif N == 1:
x0 = ecross(self.args, self.data, ind, cross_level)
isUpcrossing = self.data[ind] > self.data[ind + 1]
@ -441,7 +492,49 @@ class Profile(object):
plotbackend.title(self.title)
plotbackend.ylabel(self.ylabel)
plotbackend.xlabel(self.xlabel)
def _discretize_adaptive(fun, a, b, tol=0.005, n=5):
'''
Automatic discretization of function, adaptive gridding.
'''
tiny = floatinfo.tiny
n += (np.mod(n, 2) == 0) # make sure n is odd
x = np.linspace(a, b, n)
fx = fun(x)
n2 = (n - 1) / 2
erri = np.hstack((np.zeros((n2, 1)), np.ones((n2, 1)))).ravel()
err = erri.max()
err0 = np.inf
#while (err != err0 and err > tol and n < nmax):
for j in range(50):
if err != err0 and np.any(erri > tol):
err0 = err
# find top errors
I, = np.where(erri > tol)
# double the sample rate in intervals with the most error
y = (np.vstack(((x[I] + x[I - 1]) / 2, (x[I + 1] + x[I]) / 2)).T).ravel()
fy = fun(y)
fy0 = np.interp(y, x, fx)
erri = 0.5 * (abs((fy0 - fy) / (abs(fy0 + fy) + tiny)))
err = erri.max()
x = np.hstack((x, y))
I = x.argsort()
x = x[I]
erri = np.hstack((zeros(len(fx)), erri))[I]
fx = np.hstack((fx, fy))[I]
else:
break
else:
warnings.warn('Recursion level limit reached j=%d' % j)
return x, fx
# class to fit given distribution to data
class FitDistribution(rv_frozen):
'''
@ -1013,11 +1106,13 @@ def test_doctstrings():
def test1():
import wafo.stats as ws
R = ws.weibull_min.rvs(1,size=100);
phat = FitDistribution(ws.weibull_min, R, method='mps')
dist = ws.weibull_min
dist = ws.bradford
R = dist.rvs(0.3,size=1000);
phat = FitDistribution(dist, R, method='ml')
# # Better CI for phat.par[i=0]
Lp1 = Profile(phat, i=1) #@UnusedVariable
Lp1 = Profile(phat, i=0) #@UnusedVariable
# Lp2 = Profile(phat, i=2)
# SF = 1./990
# x = phat.isf(SF)
@ -1084,5 +1179,5 @@ def test1():
# lp = pht.profile()
if __name__ == '__main__':
#test1()
test_doctstrings()
test1()
#test_doctstrings()

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