SimulationAlgorithm¶

class SimulationAlgorithm(*args)¶

Base class for simulation algorithms.

See also

ProbabilitySimulationAlgorithm, ExpectationSimulationAlgorithm

Methods

`getBlockSize`()	Accessor to the block size.
`getClassName`()	Accessor to the object's name.
`getConvergenceStrategy`()	Accessor to the convergence strategy.
`getMaximumCoefficientOfVariation`()	Accessor to the maximum coefficient of variation.
`getMaximumOuterSampling`()	Accessor to the maximum sample size.
`getMaximumStandardDeviation`()	Accessor to the maximum standard deviation.
`getMaximumTimeDuration`()	Accessor to the maximum duration.
`getName`()	Accessor to the object's name.
`hasName`()	Test if the object is named.
`run`()	Launch simulation.
`setBlockSize`(blockSize)	Accessor to the block size.
`setConvergenceStrategy`(convergenceStrategy)	Accessor to the convergence strategy.
`setMaximumCoefficientOfVariation`(...)	Accessor to the maximum coefficient of variation.
`setMaximumOuterSampling`(maximumOuterSampling)	Accessor to the maximum sample size.
`setMaximumStandardDeviation`(...)	Accessor to the maximum standard deviation.
`setMaximumTimeDuration`(maximumTimeDuration)	Accessor to the maximum duration.
`setName`(name)	Accessor to the object's name.
`setProgressCallback`(*args)	Set up a progress callback.
`setStopCallback`(*args)	Set up a stop callback.

__init__(*args)¶

getBlockSize()¶

Accessor to the block size.

Returns:

blockSizeint: Number of terms in the probability simulation estimator grouped together. It is set by default to 1.

getClassName()¶

Accessor to the object’s name.

Returns:

class_namestr: The object class name (object.__class__.__name__).

getConvergenceStrategy()¶

Accessor to the convergence strategy.

Returns:

storage_strategyHistoryStrategy: Storage strategy used to store the values of the probability estimator and its variance during the simulation algorithm.

getMaximumCoefficientOfVariation()¶

Accessor to the maximum coefficient of variation.

Returns:

coefficientfloat: Maximum coefficient of variation of the simulated sample.

getMaximumOuterSampling()¶

Accessor to the maximum sample size.

Returns:

outerSamplingint: Maximum number of groups of terms in the probability simulation estimator.

getMaximumStandardDeviation()¶

Accessor to the maximum standard deviation.

Returns:

sigmafloat, $\sigma > 0$: Maximum standard deviation of the estimator.

getMaximumTimeDuration()¶

Accessor to the maximum duration.

Returns:

maximumTimeDurationfloat: Maximum optimization duration in seconds.

getName()¶

Accessor to the object’s name.

Returns:

namestr: The name of the object.

hasName()¶

Test if the object is named.

Returns:

hasNamebool: True if the name is not empty.

run()¶

Launch simulation.

See also

setBlockSize, setMaximumOuterSampling, ResourceMap, SimulationResult

Notes

It launches the simulation on a sample of size at most outerSampling * blockSize, this sample being built by blocks of size blockSize. It allows one to use efficiently the distribution of the computation as well as it allows one to deal with a sample size $> 2^{32}$ by a combination of blockSize and outerSampling.

setBlockSize(blockSize)¶

Accessor to the block size.

Parameters:

blockSizeint, $blockSize \geq 1$: Number of terms in the probability simulation estimator grouped together. It is set by default to 1.

Notes

For Monte Carlo, LHS and Importance Sampling methods, this allows one to save space while allowing multithreading, when available we recommend to use the number of available CPUs; for the Directional Sampling, we recommend to set it to 1.

setConvergenceStrategy(convergenceStrategy)¶

Accessor to the convergence strategy.

Parameters:

storage_strategyHistoryStrategy: Storage strategy used to store the values of the probability estimator and its variance during the simulation algorithm.

setMaximumCoefficientOfVariation(maximumCoefficientOfVariation)¶

Accessor to the maximum coefficient of variation.

Parameters:

coefficientfloat: Maximum coefficient of variation of the simulated sample.

setMaximumOuterSampling(maximumOuterSampling)¶

Accessor to the maximum sample size.

Parameters:

outerSamplingint: Maximum number of groups of terms in the probability simulation estimator.

setMaximumStandardDeviation(maximumStandardDeviation)¶

Accessor to the maximum standard deviation.

Parameters:

sigmafloat, $\sigma > 0$: Maximum standard deviation of the estimator.

setMaximumTimeDuration(maximumTimeDuration)¶

Accessor to the maximum duration.

Parameters:

maximumTimeDurationfloat: Maximum optimization duration in seconds.

setName(name)¶

Accessor to the object’s name.

Parameters:

namestr: The name of the object.

setProgressCallback(*args)¶

Set up a progress callback.

Can be used to programmatically report the progress of a simulation.

Parameters:

callbackcallable: Takes a float as argument as percentage of progress.

Examples

>>> import sys
>>> import openturns as ot
>>> experiment = ot.MonteCarloExperiment()
>>> X = ot.RandomVector(ot.Normal())
>>> Y = ot.CompositeRandomVector(ot.SymbolicFunction(['X'], ['1.1*X']), X)
>>> event = ot.ThresholdEvent(Y, ot.Less(), -2.0)
>>> algo = ot.ProbabilitySimulationAlgorithm(event, experiment)
>>> algo.setMaximumOuterSampling(100)
>>> algo.setMaximumCoefficientOfVariation(-1.0)
>>> def report_progress(progress):
...     sys.stderr.write('-- progress=' + str(progress) + '%\n')
>>> algo.setProgressCallback(report_progress)
>>> algo.run()

setStopCallback(*args)¶

Set up a stop callback.

Can be used to programmatically stop a simulation.

Parameters:

callbackcallable: Returns an int deciding whether to stop or continue.

Examples

Stop a Monte Carlo simulation algorithm using a time limit

>>> import openturns as ot
>>> experiment = ot.MonteCarloExperiment()
>>> X = ot.RandomVector(ot.Normal())
>>> Y = ot.CompositeRandomVector(ot.SymbolicFunction(['X'], ['1.1*X']), X)
>>> event = ot.ThresholdEvent(Y, ot.Less(), -2.0)
>>> algo = ot.ProbabilitySimulationAlgorithm(event, experiment)
>>> algo.setMaximumOuterSampling(10000000)
>>> algo.setMaximumCoefficientOfVariation(-1.0)
>>> algo.setMaximumTimeDuration(0.1)
>>> algo.run()