Control algorithm termination

In this examples we are going to expose ways to control the termination of optimization and simulation algorithms using callbacks.

import openturns as ot

ot.Log.Show(ot.Log.NONE)

Define an event to compute a probability

myFunction = ot.SymbolicFunction(["E", "F", "L", "I"], ["-F*L^3/(3.0*E*I)"])
dim = myFunction.getInputDimension()
mean = [50.0, 1.0, 10.0, 5.0]
sigma = [1.0] * dim
R = ot.IdentityMatrix(dim)
myDistribution = ot.Normal(mean, sigma, R)
vect = ot.RandomVector(myDistribution)
output = ot.CompositeRandomVector(myFunction, vect)
myEvent = ot.ThresholdEvent(output, ot.Less(), -3.0)

Stop a FORM algorithm using a calls number limit

A FORM algorithm termination can be controlled by the maximum number of iterations

of its underlying optimization solver, but not directly by a maximum number of evaluations.

Create the optimization algorithm

myCobyla = ot.Cobyla()
myCobyla.setMaximumCallsNumber(400)
myCobyla.setMaximumAbsoluteError(1.0e-10)
myCobyla.setMaximumRelativeError(1.0e-10)
myCobyla.setMaximumResidualError(1.0e-10)
myCobyla.setMaximumConstraintError(1.0e-10)

Define the stopping criterion

def stop():
    return myFunction.getCallsNumber() > 100


myCobyla.setStopCallback(stop)

Run FORM

myAlgo = ot.FORM(myCobyla, myEvent, mean)
myAlgo.run()
result = myAlgo.getResult()
print("event probability:", result.getEventProbability())
print("calls number:", myFunction.getCallsNumber())

event probability: 0.15642619197777585
calls number: 1

Stop a simulation algorithm using a time limit

Here we will create a callback to not exceed a specified simulation time.

Create simulation

experiment = ot.MonteCarloExperiment()
myAlgo = ot.ProbabilitySimulationAlgorithm(myEvent, experiment)
myAlgo.setMaximumOuterSampling(1000000)
myAlgo.setMaximumCoefficientOfVariation(-1.0)

Define the stopping criterion

myAlgo.setMaximumTimeDuration(0.01)

Run algorithm

myAlgo.run()
result = myAlgo.getResult()
print("event probability:", result.getProbabilityEstimate())
print("calls number:", myFunction.getCallsNumber())

event probability: 0.13995680345572342
calls number: 4631