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@ -15,20 +15,18 @@ TrOchi
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# Licence: <your licence>
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#-------------------------------------------------------------------------------
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#!/usr/bin/env python
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from __future__ import division
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from scipy.optimize import brentq
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from numpy import (sqrt, atleast_1d, abs, imag, sign, where, cos, arccos, ceil, #@UnresolvedImport
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expm1, log1p, pi) #@UnresolvedImport
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import numpy as np
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import warnings
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from core import TrCommon
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__all__=['TrHermite','TrOchi']
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__all__ = ['TrHermite', 'TrLinear', 'TrOchi']
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_example = '''
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>>> std = 7./4
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>>> g = <generic>(sigma=std, ysigma=std)
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>>> g.dist2gauss()
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3.9858776379926808
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Simulate a Transformed Gaussian process:
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>>> import numpy as np
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@ -43,8 +41,9 @@ _example = '''
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>>> xs = g2.gauss2dat(ys[:,1:]) # Transformed to the real world
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'''
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class TrHermite(TrCommon):
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__doc__ = TrCommon.__doc__.replace('<generic>','Hermite') + """
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__doc__ = TrCommon.__doc__.replace('<generic>', 'Hermite') + """
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pardef : scalar, integer
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1 Winterstein et. al. (1994) parametrization [1]_ (default)
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2 Winterstein (1988) parametrization [2]_
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@ -79,7 +78,9 @@ class TrHermite(TrCommon):
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Example:
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--------
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""" + _example.replace('<generic>','TrHermite') + """
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""" + _example.replace('<generic>', 'TrHermite') + """
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>>> g.dist2gauss()
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3.9858776379926808
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See also
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--------
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@ -96,9 +97,9 @@ class TrHermite(TrCommon):
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'Nonlinear vibration models for extremes and fatigue.'
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J. Engng. Mech., ASCE, Vol 114, No 10, pp 1772-1790
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"""
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def __init__(self,*args, **kwds):
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def __init__(self, *args, **kwds):
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super(TrHermite, self).__init__(*args, **kwds)
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self.pardef = kwds.get('pardef',1)
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self.pardef = kwds.get('pardef', 1)
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self._c3 = None
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self._c4 = None
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self._forward = None
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@ -108,32 +109,32 @@ class TrHermite(TrCommon):
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def _poly_par_from_stats(self):
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skew = self.skew
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ga2 = self.kurt-3.0
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ga2 = self.kurt - 3.0
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if ga2 <= 0:
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self._c4 = ga2/24.
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self._c3 = skew/6.
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self._c4 = ga2 / 24.
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self._c3 = skew / 6.
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elif self.pardef == 2:
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# Winterstein 1988 parametrization
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if skew**2>8*(ga2+3.)/9.:
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if skew ** 2 > 8 * (ga2 + 3.) / 9.:
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warnings.warn('Kurtosis too low compared to the skewness')
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self._c4 = (sqrt(1.+1.5*ga2)-1.)/18.
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self._c3 = skew/(6.*(1+6.*self._c4))
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self._c4 = (sqrt(1. + 1.5 * ga2) - 1.) / 18.
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self._c3 = skew / (6. * (1 + 6. * self._c4))
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else:
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# Winterstein et. al. 1994 parametrization intended to
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# apply for the range: 0 <= ga2 < 12 and 0<= skew^2 < 2*ga2/3
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if skew**2 > 2*(ga2)/3:
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if skew ** 2 > 2 * (ga2) / 3:
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warnings.warn('Kurtosis too low compared to the skewness')
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if (ga2 < 0) or (12 < ga2):
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warnings.warn('Kurtosis must be between 0 and 12')
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self._c3 = skew/6*(1-0.015*abs(skew)+0.3*skew**2)/(1+0.2*ga2)
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self._c3 = skew / 6 * (1 - 0.015 * abs(skew) + 0.3 * skew ** 2) / (1 + 0.2 * ga2)
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if ga2 == 0.:
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self._c4 = 0.0
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else:
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c41 = (1.-1.43*skew**2./ga2)**(1.-0.1*(ga2+3.)**0.8)
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self._c4 = 0.1*((1.+1.25*ga2)**(1./3.)-1.)*c41
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c41 = (1. - 1.43 * skew ** 2. / ga2) ** (1. - 0.1 * (ga2 + 3.) ** 0.8)
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self._c4 = 0.1 * ((1. + 1.25 * ga2) ** (1. / 3.) - 1.) * c41
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if not np.isfinite(self._c3) or not np.isfinite(self._c4):
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raise ValueError('Unable to calculate the polynomial')
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@ -150,31 +151,31 @@ class TrHermite(TrCommon):
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c4 = self._c4
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ma = self.mean
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sa = self.sigma
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if abs(c4)<sqrt(eps):
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if abs(c4) < sqrt(eps):
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c4 = 0.0
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#gdef = self.kurt-3.0
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if self.kurt<3.0:
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p = np.poly1d([-c4, -c3, 1.+3.*c4, c3]) # forward, g
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if self.kurt < 3.0:
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p = np.poly1d([-c4, -c3, 1. + 3. * c4, c3]) # forward, g
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self._forward = p
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self._backward = None
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else:
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Km1 = np.sqrt(1.+2.*c3**2+6*c4**2)
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p = np.poly1d(np.r_[c4, c3, 1.-3.*c4, -c3]/Km1) # backward G
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Km1 = np.sqrt(1. + 2. * c3 ** 2 + 6 * c4 ** 2)
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p = np.poly1d(np.r_[c4, c3, 1. - 3. * c4, -c3] / Km1) # backward G
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self._forward = None
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self._backward = p
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#% Check if it is a strictly increasing function.
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dp = p.deriv(m=1) #% Derivative
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r = dp.r #% Find roots of the derivative
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r = r[where(abs(imag(r))<eps)] # Keep only real roots
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r = dp.r #% Find roots of the derivative
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r = r[where(abs(imag(r)) < eps)] # Keep only real roots
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if r.size>0:
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if r.size > 0:
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# Compute where it is possible to invert the polynomial
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if self.kurt<3.:
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if self.kurt < 3.:
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self._x_limit = r
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else:
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self._x_limit = sa*p(r)+ma
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self._x_limit = sa * p(r) + ma
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txt1 = '''
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The polynomial is not a strictly increasing function.
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The derivative of g(x) is infinite at x = %g''' % self._x_limit
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@ -183,82 +184,82 @@ class TrHermite(TrCommon):
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def check_forward(self, x):
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if not (self._x_limit is None):
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x00 = self._x_limit
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txt2 = 'for the given interval x = [%g, %g]' % (x[0],x[-1])
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txt2 = 'for the given interval x = [%g, %g]' % (x[0], x[-1])
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if any(np.logical_and(x[0]<= x00, x00 <= x[-1])):
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if any(np.logical_and(x[0] <= x00, x00 <= x[-1])):
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cdef = 1
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else:
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cdef = sum( np.logical_xor(x00 <= x[0] , x00 <= x[-1]))
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cdef = sum(np.logical_xor(x00 <= x[0] , x00 <= x[-1]))
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if np.mod(cdef,2):
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if np.mod(cdef, 2):
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errtxt = 'Unable to invert the polynomial \n %s' % txt2
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raise ValueError(errtxt)
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np.disp('However, successfully inverted the polynomial\n %s' % txt2)
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def _dat2gauss(self,x, *xi):
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if len(xi)>0:
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def _dat2gauss(self, x, *xi):
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if len(xi) > 0:
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raise ValueError('Transforming derivatives is not implemented!')
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xn = atleast_1d(x)
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self.check_forward(xn)
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xn = (xn-self.mean)/self.sigma
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xn = (xn - self.mean) / self.sigma
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if self._forward is None:
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#Inverting the polynomial
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yn = self._poly_inv(self._backward,xn)
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yn = self._poly_inv(self._backward, xn)
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else:
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yn = self._forward(xn)
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return yn*self.ysigma + self.ymean
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return yn * self.ysigma + self.ymean
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def _gauss2dat(self, y, *yi):
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if len(yi)>0:
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if len(yi) > 0:
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raise ValueError('Transforming derivatives is not implemented!')
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yn = (atleast_1d(y)-self.mean)/self.ysigma
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yn = (atleast_1d(y) - self.ymean) / self.ysigma
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#self.check_forward(y)
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if self._backward is None:
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#% Inverting the polynomial
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#%~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
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xn = self._poly_inv(self._forward,yn)
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xn = self._poly_inv(self._forward, yn)
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else:
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xn = self._backward(yn)
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return self.sigma*xn + self.mean
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return self.sigma * xn + self.mean
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def _poly_inv(self, p, xn):
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'''
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Invert polynomial
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'''
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if p.order<2:
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if p.order < 2:
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return xn
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elif p.order==2:
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elif p.order == 2:
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# Quadratic: Solve a*u**2+b*u+c = xn
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coefs = p.coeffs
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a = coefs[0]
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b = coefs[1]
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c = coefs[2]-xn
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t = 0.5*(b+sign(b)*sqrt(b**2-4*a*c))
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c = coefs[2] - xn
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t = 0.5 * (b + sign(b) * sqrt(b ** 2 - 4 * a * c))
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#so1 = t/a # largest solution
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so2 = -c/t # smallest solution
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so2 = -c / t # smallest solution
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return so2
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elif p.order==3:
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elif p.order == 3:
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# Solve
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# K*(c4*u^3+c3*u^2+(1-3*c4)*u-c3) = xn = (x-ma)/sa
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# -c4*xn^3-c3*xn^2+(1+3*c4)*xn+c3 = u
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coefs = p.coeffs[1::]/p.coeffs[0]
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coefs = p.coeffs[1::] / p.coeffs[0]
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a = coefs[0]
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b = coefs[1]
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c = coefs[2]-xn/p.coeffs[0]
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c = coefs[2] - xn / p.coeffs[0]
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x0 = a/3.
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x0 = a / 3.
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#% substitue xn = z-x0 and divide by c4 => z^3 + 3*p1*z+2*q0 = 0
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p1 = b/3-x0**2
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p1 = b / 3 - x0 ** 2
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#p1 = (b-a**2/3)/3
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#q0 = (c + x0*(2.*x0/3.-b))/2.
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#q0 = x0**3 -a*b/6 +c/2
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q0 = x0*(x0**2-b/2)+c/2
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q0 = x0 * (x0 ** 2 - b / 2) + c / 2
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## # z^3+3*p1*z+2*q0=0
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## c3 = self._c3
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@ -272,24 +273,59 @@ class TrHermite(TrCommon):
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#q0 = x0**3-1.5*b1*(x0+xn)
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if not (self._x_limit is None): # % Three real roots
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d = sqrt(-p1)
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theta1 = arccos(-q0/d**3)/3
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th2 = np.r_[0, -2*pi/3, 2*pi/3]
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x1 = abs(2*d*cos(theta1[ceil(len(xn)/2)] + th2)-x0)
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theta1 = arccos(-q0 / d ** 3) / 3
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th2 = np.r_[0, -2 * pi / 3, 2 * pi / 3]
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x1 = abs(2 * d * cos(theta1[ceil(len(xn) / 2)] + th2) - x0)
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ix = x1.argmin() # % choose the smallest solution
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return 2.*d*cos(theta1 + th2[ix])-x0
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return 2. * d * cos(theta1 + th2[ix]) - x0
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else: # %Only one real root exist
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q1 = sqrt((q0)**2+p1**3)
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q1 = sqrt((q0) ** 2 + p1 ** 3)
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#% Find the real root of the monic polynomial
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A0 = (q1-q0)**(1./3.)
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B0 = -(q1+q0)**(1./3.)
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return A0+B0-x0 #% real root
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A0 = (q1 - q0) ** (1. / 3.)
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B0 = -(q1 + q0) ** (1. / 3.)
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return A0 + B0 - x0 #% real root
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#%% The other complex roots are given by
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#%x= -(A0+B0)/2+(A0-B0)*sqrt(3)/2-x0
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#%x=-(A0+B0)/2+(A0-B0)*sqrt(-3)/2-x0
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class TrLinear(TrCommon):
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__doc__ = TrCommon.__doc__.replace('<generic>', 'Linear') + """
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Description
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-----------
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The linear transformation model is monotonic linear polynomial, calibrated
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such that the first 2 moments of the transformed model G(y)=g^-1(y) match
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the moments of the true process.
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Example:
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--------
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""" + _example.replace('<generic>', 'TrLinear') + """
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>>> g.dist2gauss()
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0.0
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See also
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--------
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spec2skew, ochitr, lc2tr, dat2tr
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"""
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def _dat2gauss(self, x, *xi):
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sratio = atleast_1d(self.ysigma / self.sigma)
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y = (atleast_1d(x) - self.mean) * sratio + self.ymean
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if len(xi) > 0:
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y = [y, ] + [ ix * sratio for ix in xi]
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return y
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def _gauss2dat(self, y, *yi):
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sratio = atleast_1d(self.sigma / self.ysigma)
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x = (atleast_1d(y) - self.ymean) * sratio + self.mean
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if len(yi) > 0:
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x = [x, ] + [iy * sratio for iy in yi]
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return x
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class TrOchi(TrCommon):
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__doc__ = TrCommon.__doc__.replace('<generic>','Ochi') + """
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__doc__ = TrCommon.__doc__.replace('<generic>', 'Ochi') + """
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Description
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-----------
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@ -322,7 +358,9 @@ class TrOchi(TrCommon):
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Example
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-------
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""" + _example.replace('<generic>','TrOchi') + """
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""" + _example.replace('<generic>', 'TrOchi') + """
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>>> g.dist2gauss()
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5.9322684525265501
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See also
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--------
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@ -347,13 +385,13 @@ class TrOchi(TrCommon):
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def _par_from_stats(self):
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skew = self.skew
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if abs(skew)>2.82842712474619:
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if abs(skew) > 2.82842712474619:
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raise ValueError('Skewness must be less than 2.82842')
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mean1 = self.mean
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sigma1 = self.sigma
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if skew==0:
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if skew == 0:
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self._phat = [sigma1, mean1, 0, 0, 1, 0]
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return
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@ -367,22 +405,22 @@ class TrOchi(TrCommon):
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# Set up the 2D non-linear equations for a and sig2^2:
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# g1='[x(2)-2.*x(1).^2.*x(2).^2-P1, 2.*x(1).*x(2).^2.*(3-8.*x(1).^2.*x(2))-P2 ]'
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# Or solve the following 1D non-linear equation for sig2^2:
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g2 = lambda x: -sqrt(abs(x-1)*2)*(3.*x-4*abs(x-1))+abs(skew)
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g2 = lambda x:-sqrt(abs(x - 1) * 2) * (3. * x - 4 * abs(x - 1)) + abs(skew)
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a1 = 1. # % Start interval where sig2^2 is located.
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a2 = 2.
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sig22 = brentq(g2,a1,a2) #% smallest solution for sig22
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a = sign(skew)*sqrt(abs(sig22-1)/2)/sig22
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gam_a = 1.28*a
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gam_b = 3*a
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sig22 = brentq(g2, a1, a2) #% smallest solution for sig22
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a = sign(skew) * sqrt(abs(sig22 - 1) / 2) / sig22
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gam_a = 1.28 * a
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gam_b = 3 * a
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sigma2 = sqrt(sig22)
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|
#% Solve the following 2nd order equation to obtain ma2
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|
#% a*(sig2^2+ma2^2)+ma2 = 0
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|
my2 = (-1.-sqrt(1.-4.*a**2*sig22))/a #% Largest mean
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|
mean2 = a*sig22/my2 #% choose the smallest mean
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my2 = (-1. - sqrt(1. - 4. * a ** 2 * sig22)) / a #% Largest mean
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|
mean2 = a * sig22 / my2 #% choose the smallest mean
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|
self._phat = [sigma1, mean1, gam_a, gam_b, sigma2, mean2]
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|
|
return
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|
|
@ -391,8 +429,8 @@ class TrOchi(TrCommon):
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|
|
'''
|
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|
|
Returns ga, gb, sigma2, mean2
|
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|
'''
|
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|
|
|
if (self._phat is None or self.sigma!=self._phat[0]
|
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|
|
or self.mean!=self._phat[1]):
|
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|
|
|
if (self._phat is None or self.sigma != self._phat[0]
|
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|
|
|
or self.mean != self._phat[1]):
|
|
|
|
|
self._par_from_stats()
|
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|
|
|
#sigma1 = self._phat[0]
|
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|
|
|
#mean1 = self._phat[1]
|
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|
|
@ -402,63 +440,63 @@ class TrOchi(TrCommon):
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|
|
mean2 = self._phat[5]
|
|
|
|
|
return ga, gb, sigma2, mean2
|
|
|
|
|
|
|
|
|
|
def _dat2gauss(self,x, *xi):
|
|
|
|
|
if len(xi)>0:
|
|
|
|
|
def _dat2gauss(self, x, *xi):
|
|
|
|
|
if len(xi) > 0:
|
|
|
|
|
raise ValueError('Transforming derivatives is not implemented!')
|
|
|
|
|
ga, gb, sigma2, mean2 = self._get_par()
|
|
|
|
|
mean = self.mean
|
|
|
|
|
sigma = self.sigma
|
|
|
|
|
xn = atleast_1d(x)
|
|
|
|
|
xn = (xn-mean)/sigma
|
|
|
|
|
xn = (xn - mean) / sigma
|
|
|
|
|
igp, = where(0 <= xn)
|
|
|
|
|
igm, = where(xn < 0)
|
|
|
|
|
|
|
|
|
|
g = xn.copy()
|
|
|
|
|
|
|
|
|
|
if ga!=0:
|
|
|
|
|
np.put(g,igp,(-expm1(-ga*xn[igp]))/ga)
|
|
|
|
|
if ga != 0:
|
|
|
|
|
np.put(g, igp, (-expm1(-ga * xn[igp])) / ga)
|
|
|
|
|
|
|
|
|
|
if gb!=0:
|
|
|
|
|
np.put(g,igm,(-expm1(-gb*xn[igm]))/gb)
|
|
|
|
|
if gb != 0:
|
|
|
|
|
np.put(g, igm, (-expm1(-gb * xn[igm])) / gb)
|
|
|
|
|
|
|
|
|
|
return (g-mean2)*self.ysigma/sigma2 + self.ymean
|
|
|
|
|
return (g - mean2) * self.ysigma / sigma2 + self.ymean
|
|
|
|
|
|
|
|
|
|
def _gauss2dat(self,y, *yi):
|
|
|
|
|
if len(yi)>0:
|
|
|
|
|
def _gauss2dat(self, y, *yi):
|
|
|
|
|
if len(yi) > 0:
|
|
|
|
|
raise ValueError('Transforming derivatives is not implemented!')
|
|
|
|
|
|
|
|
|
|
ga, gb, sigma2, mean2 = self._get_par()
|
|
|
|
|
mean = self.mean
|
|
|
|
|
sigma = self.sigma
|
|
|
|
|
|
|
|
|
|
yn = (atleast_1d(y)-self.ymean)/self.ysigma
|
|
|
|
|
xn = sigma2*yn+mean2
|
|
|
|
|
yn = (atleast_1d(y) - self.ymean) / self.ysigma
|
|
|
|
|
xn = sigma2 * yn + mean2
|
|
|
|
|
|
|
|
|
|
igp, = where(0 <= xn)
|
|
|
|
|
igm, = where(xn < 0)
|
|
|
|
|
|
|
|
|
|
if ga!=0:
|
|
|
|
|
np.put(xn, igp, -log1p(-ga*xn[igp])/ga)
|
|
|
|
|
if ga != 0:
|
|
|
|
|
np.put(xn, igp, -log1p(-ga * xn[igp]) / ga)
|
|
|
|
|
|
|
|
|
|
if gb!=0:
|
|
|
|
|
np.put(xn, igm, -log1p(-gb*xn[igm])/gb)
|
|
|
|
|
if gb != 0:
|
|
|
|
|
np.put(xn, igm, -log1p(-gb * xn[igm]) / gb)
|
|
|
|
|
|
|
|
|
|
return sigma*xn + mean
|
|
|
|
|
return sigma * xn + mean
|
|
|
|
|
|
|
|
|
|
def main():
|
|
|
|
|
import pylab
|
|
|
|
|
g = TrHermite(skew=0.1,kurt=3.01)
|
|
|
|
|
g = TrHermite(skew=0.1, kurt=3.01)
|
|
|
|
|
g.dist2gauss()
|
|
|
|
|
#g = TrOchi(skew=0.56)
|
|
|
|
|
x = np.linspace(-5,5)
|
|
|
|
|
x = np.linspace(-5, 5)
|
|
|
|
|
y = g(x)
|
|
|
|
|
pylab.plot(np.abs(x-g.gauss2dat(y)))
|
|
|
|
|
pylab.plot(np.abs(x - g.gauss2dat(y)))
|
|
|
|
|
#pylab.plot(x,y,x,x,':',g.gauss2dat(y),y,'r')
|
|
|
|
|
|
|
|
|
|
pylab.show()
|
|
|
|
|
np.disp('finito')
|
|
|
|
|
|
|
|
|
|
if __name__=='__main__':
|
|
|
|
|
if __name__ == '__main__':
|
|
|
|
|
if True : # False: #
|
|
|
|
|
import doctest
|
|
|
|
|
doctest.testmod()
|
|
|
|
|