SubsetSampling¶

class SubsetSampling(*args)¶

Subset simulation.

Parameters:

eventRandomVector: Event we are computing the probability.
proposalRangefloat, optional: Proposal range length
targetProbabilityfloat, optional: Value of $P(F_i|F_{i-1})$ between successive steps

See also

EventSimulation

Notes

The goal is to estimate the following probability

$P_f = \int_{\mathcal D_f} f_{\uX}(\ux)\di{\ux}\\ = \int_{\mathbb R^{n_X}} \mathbf{1}_{\{g(\ux,\underline{d}) \:\leq 0\: \}}f_{\uX}(\ux)\di{\ux}\\ = \Prob {\{g(\uX,\underline{d}) \leq 0\}}$

The idea of the subset simulation method [au2001] is to replace simulating a rare failure event in the original probability space by a sequence of simulations of more frequent conditional events $F_i$

$F_1 \supset F_2 \supset \dots \supset F_m = F$

The original probability estimate rewrites

$P_f = P(F_m) = P(\bigcap \limits_{i=1}^m F_i) = P(F_1) \prod_{i=2}^m P(F_i|F_{i-1})$

And each conditional subset failure region is chosen by setting the threshold $g_i$ so that $P(F_i|F_{i-1})$ leads to a conditional failure probability of order $0.1$

$F_i =\Prob {\{g(\uX,\underline{d}) \leq g_i\}}$

The conditional samples are generated by the means of Markov Chains, using the Metropolis Hastings algorithm.

$N$ being the number of simulations per subset, and $p_{0i}$ the conditional probability of each subset event, and $\gamma_i$ the autocorrelation between Markov chain samples.

$\delta^2 = \sum_{i=1}^m \delta^2_i = \sum_{i=1}^m (1+\gamma_i) \frac{1-p_{0i}}{p_{0i}N}$

The first event $F_1$ not being conditional, $\delta^2_1$ expresses as the classic Monte Carlo c.o.v.

Methods

`drawProbabilityConvergence`(*args)	Draw the probability convergence at a given level.
`getBlockSize`()	Accessor to the block size.
`getClassName`()	Accessor to the object's name.
`getCoefficientOfVariationPerStep`()	Coefficient of variation per step accessor.
`getConditionalProbability`()	Conditional probability accessor.
`getConvergenceStrategy`()	Accessor to the convergence strategy.
`getEvent`()	Accessor to the event.
`getGammaPerStep`()	Autocorrelation accessor.
`getInitialExperiment`()	Initial experiment accessor.
`getInputSample`(*args)	Input sample accessor.
`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.
`getMinimumProbability`()	Minimum probability accessor.
`getName`()	Accessor to the object's name.
`getOutputSample`(*args)	Output sample accessor.
`getProbabilityEstimatePerStep`()	Probability estimate accessor.
`getProposalRange`()	Proposal range length accessor.
`getResult`()	Accessor to the results.
`getStepsNumber`()	Subset steps number accessor.
`getThresholdPerStep`()	Threshold accessor.
`hasName`()	Test if the object is named.
`run`()	Launch simulation.
`setBlockSize`(blockSize)	Accessor to the block size.
`setConditionalProbability`(conditionalProbability)	Conditional probability accessor.
`setConvergenceStrategy`(convergenceStrategy)	Accessor to the convergence strategy.
`setInitialExperiment`(initialExperiment)	Initial experiment accessor.
`setKeepSample`(keepSample)	Sample storage accessor.
`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.
`setMinimumProbability`(minimumProbability)	Minimum probability accessor.
`setName`(name)	Accessor to the object's name.
`setProgressCallback`(*args)	Set up a progress callback.
`setProposalRange`(proposalRange)	Proposal range length accessor.
`setStopCallback`(*args)	Set up a stop callback.

__init__(*args)¶

drawProbabilityConvergence(*args)¶

Draw the probability convergence at a given level.

Parameters:

levelfloat, optional: The probability convergence is drawn at this given confidence length level. By default level is 0.95.

Returns:

grapha Graph: probability convergence graph

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__).

getCoefficientOfVariationPerStep()¶

Coefficient of variation per step accessor.

Returns:

coefPoint: Coefficient of variation at each subset step.

getConditionalProbability()¶

Conditional probability accessor.

Value of $P(F_i|F_{i-1})$ between successive steps.

Returns:

probfloat: Conditional probability value.

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.

getEvent()¶

Accessor to the event.

Returns:

eventRandomVector: Event we want to evaluate the probability.

getGammaPerStep()¶

Autocorrelation accessor.

Returns:

probPoint: Autocorrelation values at each step.

getInitialExperiment()¶

Initial experiment accessor.

Returns:

initialExperimentWeightedExperiment: Experiment for first step.

getInputSample(*args)¶

Input sample accessor.

Parameters:

stepint

Iteration index

selectint, optional

Selection flag:

EVENT0 : points not realizing the event are selected
EVENT1 : points realizing the event are selected
BOTH : all points are selected (default)

Returns:

inputSampleSample: Input sample.

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.

getMinimumProbability()¶

Minimum probability accessor.

Returns:

prob_minfloat: Minimum probability.

getName()¶

Accessor to the object’s name.

Returns:

namestr: The name of the object.

getOutputSample(*args)¶

Output sample accessor.

Parameters:

stepint

Iteration index

selectint, optional

Selection flag:

EVENT0 : points not realizing the event are selected
EVENT1 : points realizing the event are selected
BOTH : all points are selected (default)

Returns:

outputSampleSample: Output sample.

getProbabilityEstimatePerStep()¶

Probability estimate accessor.

Returns:

probPoint: Probability estimate at each step.

getProposalRange()¶

Proposal range length accessor.

Returns:

rangefloat: Range length.

getResult()¶

Accessor to the results.

Returns:

resultsSimulationResult: Structure containing all the results obtained after simulation and created by the method run().

getStepsNumber()¶

Subset steps number accessor.

Returns:

nint: Number of subset steps, including the initial Monte Carlo sampling.

getThresholdPerStep()¶

Threshold accessor.

Returns:

thresholdPoint: Threshold values at each step.

hasName()¶

Test if the object is named.

Returns:

hasNamebool: True if the name is not empty.

run()¶

Launch simulation.

See also

openturns.EventSimulation.setBlockSize
openturns.EventSimulation.setMaximumOuterSampling
openturns.ResourceMap
openturns.SimulationResult

Notes

It launches the simulation and creates a SimulationResult, structure containing all the results obtained after simulation. It computes the probability of occurrence of the given event by computing the empirical mean of 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.

setConditionalProbability(conditionalProbability)¶

Conditional probability accessor.

Value of $P(F_i|F_{i-1})$ between successive steps.

Parameters:

probfloat: Conditional probability value.

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.

setInitialExperiment(initialExperiment)¶

Initial experiment accessor.

Parameters:

initialExperimentWeightedExperiment: Experiment for first step.

setKeepSample(keepSample)¶

Sample storage accessor.

Parameters:

keepsamplebool: Whether to keep the working samples at each iteration.

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.

setMinimumProbability(minimumProbability)¶

Minimum probability accessor.

Allows one to stop the algorithm if the probability becomes too small.

Parameters:

prob_minfloat, defaults to the square root of SpecFunc.MinScalar: Minimum probability.

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()

setProposalRange(proposalRange)¶

Proposal range length accessor.

Parameters:

rangefloat: Range length.

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()

Examples using the class¶

Subset Sampling

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An Open source initiative for the Treatment of Uncertainties, Risks'N Statistics

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SubsetSampling¶

Examples using the class¶