MCMC

class MCMC(*args)

Monte-Carlo Markov Chain.

Available constructor:

MCMC(prior, conditional, observations, initialState)

MCMC(prior, conditional, model, parameters, observations, initialState)

Parameters:

prior : Distribution

Prior distribution of the parameters of the underlying Bayesian statistical model.

conditional : Distribution

Required distribution to define the likelihood of the underlying Bayesian statistical model.

model : Function

Function required to define the likelihood.

observations : 2-d sequence of float

Observations required to define the likelihood.

initialState : sequence of float

Initial state of the Monte-Carlo Markov chain on which the Sampler is based.

parameters : 2-d sequence of float

Parameters of the model to be fixed.

Notes

MCMC provides a implementation of the concept of sampler, using a Monte-Carlo Markov Chain (MCMC) algorithm starting from initialState. More precisely, let t(.) be the PDF of its target distribution and d_{\theta} its dimension, \pi(.) be the PDF of the prior distribution, f(.|\vect{w}) be the PDF of the conditional distribution when its parameters are set to \vect{w}, d_w be the number of scalar parameters of conditional distribution (which corresponds to the dimension of the above \vect{w}), g(.) be the function corresponding to model and (\vect{y}^1, \dots, \vect{y}^n) be the sample observations (of size n):

In the first usage, it creates a sampler based on a MCMC algorithm whose target distribution is defined by:

t(\vect{\theta})
\quad \propto \quad
\underbrace{~\pi(\vect{\theta})~}_{\mbox{prior}} \quad
\underbrace{~\prod_{i=1}^n f(\vect{y}^i|\vect{\theta})~}_{\mbox{likelihood}}

In the first usage, it creates a sampler based on a MCMC algorithm whose target distribution is defined by:

t(\vect{\theta})
\quad \propto \quad
\underbrace{~\pi(\vect{\theta})~}_{\mbox{prior}} \quad
\underbrace{~\prod_{i=1}^n f(\vect{y}^i|g^i(\vect{\theta}))~}_{\mbox{likelihood}}

where the g^i: \Rset^{d_{\theta}} \rightarrow\Rset^{d_w} (1\leq{}i\leq{}n) are such that:

\begin{array}{rcl}
    g:\Rset^{d_\theta} & \longrightarrow & \Rset^{n\,d_w}\\
    \vect{\theta} & \longmapsto &
    g(\vect{\theta}) = \Tr{(\Tr{g^1(\vect{\theta})}, \cdots, \Tr{g^n(\vect{\theta})})}
    \end{array}

In fact, the first usage is a particular case of the second.

The MCMC method implemented in OpenTURNS is the Random Walk Metropolis-Hastings algorithm. A sample can be generated only through the MCMC’s derived class: RandomWalkMetropolisHastings.

Methods

computeLogLikelihood(currentState) Compute the logarithm of the likelihood w.r.t.
getAntecedent() Accessor to the antecedent RandomVector in case of a composite RandomVector.
getBurnIn() Get the length of the burn-in period.
getClassName() Accessor to the object’s name.
getConditional() Get the conditional distribution.
getCovariance() Accessor to the covariance of the RandomVector.
getDescription() Accessor to the description of the RandomVector.
getDimension() Accessor to the dimension of the RandomVector.
getDistribution() Accessor to the distribution of the RandomVector.
getDomain() Get the domain failure.
getFunction() Accessor to the Function in case of a composite RandomVector.
getHistory() Get the history storage.
getId() Accessor to the object’s id.
getMarginal(*args) Get the random vector corresponding to the i^{th} marginal component(s).
getMean() Accessor to the mean of the RandomVector.
getModel() Get the model.
getName() Accessor to the object’s name.
getNonRejectedComponents() Get the components to be always accepted.
getObservations() Get the observations.
getOperator() Accessor to the comparaison operator of the Event.
getParameters() Get the parameters.
getPrior() Get the prior distribution.
getProcess() Get the stochastic process.
getRealization() Compute one realization of the RandomVector.
getSample(size) Compute realizations of the RandomVector.
getShadowedId() Accessor to the object’s shadowed id.
getThinning() Get the thinning parameter.
getThreshold() Accessor to the threshold of the Event.
getVerbose() Tell whether the verbose mode is activated or not.
getVisibility() Accessor to the object’s visibility state.
hasName() Test if the object is named.
hasVisibleName() Test if the object has a distinguishable name.
isComposite() Accessor to know if the RandomVector is a composite one.
setBurnIn(burnIn) Set the length of the burn-in period.
setDescription(description) Accessor to the description of the RandomVector.
setHistory(strategy) Set the history storage.
setName(name) Accessor to the object’s name.
setNonRejectedComponents(nonRejectedComponents) Set the components to be always accepted.
setObservations(observations) Set the observations.
setParameters(parameters) Set the parameters.
setPrior(prior) Set the prior distribution.
setShadowedId(id) Accessor to the object’s shadowed id.
setThinning(thinning) Set the thinning parameter.
setVerbose(verbose) Set the verbose mode.
setVisibility(visible) Accessor to the object’s visibility state.
__init__(*args)
computeLogLikelihood(currentState)

Compute the logarithm of the likelihood w.r.t. observations.

Parameters:

currentState : sequence of float

Current state.

Returns:

logLikelihood : float

Logarithm of the likelihood w.r.t. observations (\vect{y}^1, \dots, \vect{y}^n).

getAntecedent()

Accessor to the antecedent RandomVector in case of a composite RandomVector.

Returns:

antecedent : RandomVector

Antecedent RandomVector \vect{X} in case of a CompositeRandomVector such as: \vect{Y}=f(\vect{X}).

getBurnIn()

Get the length of the burn-in period.

Returns:

lenght : int

Length of the burn-in period, that is the number of first iterates of the MCMC chain which will be thrown away when generating the sample.

getClassName()

Accessor to the object’s name.

Returns:

class_name : str

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

getConditional()

Get the conditional distribution.

Returns:

conditional : Distribution

Distribution taken into account in the definition of the likelihood, whose PDF with parameters \vect{w} corresponds to f(.|\vect{w}) in the equations of the target distribution’s PDF.

getCovariance()

Accessor to the covariance of the RandomVector.

Returns:

covariance : CovarianceMatrix

Covariance of the considered UsualRandomVector.

Examples

>>> import openturns as ot
>>> distribution = ot.Normal([0.0, 0.5], [1.0, 1.5], ot.CorrelationMatrix(2))
>>> randomVector = ot.RandomVector(distribution)
>>> ot.RandomGenerator.SetSeed(0)
>>> print(randomVector.getCovariance())
[[ 1    0    ]
 [ 0    2.25 ]]
getDescription()

Accessor to the description of the RandomVector.

Returns:

description : Description

Describes the components of the RandomVector.

getDimension()

Accessor to the dimension of the RandomVector.

Returns:

dimension : positive int

Dimension of the RandomVector.

getDistribution()

Accessor to the distribution of the RandomVector.

Returns:

distribution : Distribution

Distribution of the considered UsualRandomVector.

Examples

>>> import openturns as ot
>>> distribution = ot.Normal([0.0, 0.0], [1.0, 1.0], ot.CorrelationMatrix(2))
>>> randomVector = ot.RandomVector(distribution)
>>> ot.RandomGenerator.SetSeed(0)
>>> print(randomVector.getDistribution())
Normal(mu = [0,0], sigma = [1,1], R = [[ 1 0 ]
 [ 0 1 ]])
getDomain()

Get the domain failure.

Returns:

domain : Domain

Domain failure used to define the Event.

getFunction()

Accessor to the Function in case of a composite RandomVector.

Returns:

function : Function

Function used to define a CompositeRandomVector as the image through this function of the antecedent \vect{X}: \vect{Y}=f(\vect{X}).

getHistory()

Get the history storage.

Returns:

history : HistoryStrategy

Used to record the chain.

getId()

Accessor to the object’s id.

Returns:

id : int

Internal unique identifier.

getMarginal(*args)

Get the random vector corresponding to the i^{th} marginal component(s).

Parameters:

i : int or list of ints, 0\leq i < dim

Indicates the component(s) concerned. dim is the dimension of the RandomVector.

Returns:

vector : RandomVector

RandomVector restricted to the concerned components.

Notes

Let’s note \vect{Y}=\Tr{(Y_1,\dots,Y_n)} a random vector and I \in [1,n] a set of indices. If \vect{Y} is a UsualRandomVector, the subvector is defined by \tilde{\vect{Y}}=\Tr{(Y_i)}_{i \in I}. If \vect{Y} is a CompositeRandomVector, defined by \vect{Y}=f(\vect{X}) with f=(f_1,\dots,f_n), f_i some scalar functions, the subvector is \tilde{\vect{Y}}=(f_i(\vect{X}))_{i \in I}.

Examples

>>> import openturns as ot
>>> distribution = ot.Normal([0.0, 0.0], [1.0, 1.0], ot.CorrelationMatrix(2))
>>> randomVector = ot.RandomVector(distribution)
>>> ot.RandomGenerator.SetSeed(0)
>>> print(randomVector.getMarginal(1).getRealization())
[0.608202]
>>> print(randomVector.getMarginal(1).getDistribution())
Normal(mu = 0, sigma = 1)
getMean()

Accessor to the mean of the RandomVector.

Returns:

mean : Point

Mean of the considered UsualRandomVector.

Examples

>>> import openturns as ot
>>> distribution = ot.Normal([0.0, 0.5], [1.0, 1.5], ot.CorrelationMatrix(2))
>>> randomVector = ot.RandomVector(distribution)
>>> ot.RandomGenerator.SetSeed(0)
>>> print(randomVector.getMean())
[0,0.5]
getModel()

Get the model.

Returns:

model : Function

Model take into account in the definition of the likelihood, which corresponds to g, that is the functions g^i (1\leq i \leq n) in the equation of the target distribution’s PDF.

getName()

Accessor to the object’s name.

Returns:

name : str

The name of the object.

getNonRejectedComponents()

Get the components to be always accepted.

Returns:

nonRejectedComponents : Indices

The indices of the components that are not tuned, and sampled according to the prior distribution in order to take into account the intrinsic uncertainty, as opposed to the epistemic uncertainty corresponding to the tuned variables.

getObservations()

Get the observations.

Returns:

observations : Sample

Sample taken into account in the definition of the likelihood, which corresponds to the n-tuple of the \vect{y}^i (1\leq i \leq n) in equations of the target distribution’s PDF.

getOperator()

Accessor to the comparaison operator of the Event.

Returns:

operator : ComparisonOperator

Comparaison operator used to define the Event.

getParameters()

Get the parameters.

Returns:

parameters : Point

Fixed parameters of the model g required to define the likelihood.

getPrior()

Get the prior distribution.

Returns:

prior : Distribution

The prior distribution of the parameter of the underlying Bayesian statistical model, whose PDF corresponds to \pi in the equations of the target distribution’s PDF.

getProcess()

Get the stochastic process.

Returns:

process : Process

Stochastic process used to define the Event.

getRealization()

Compute one realization of the RandomVector.

Returns:

aRealization : Point

Sequence of values randomly determined from the RandomVector definition. In the case of an event: one realization of the event (considered as a Bernoulli variable) which is a boolean value (1 for the realization of the event and 0 else).

See also

getSample

Examples

>>> import openturns as ot
>>> distribution = ot.Normal([0.0, 0.0], [1.0, 1.0], ot.CorrelationMatrix(2))
>>> randomVector = ot.RandomVector(distribution)
>>> ot.RandomGenerator.SetSeed(0)
>>> print(randomVector.getRealization())
[0.608202,-1.26617]
>>> print(randomVector.getRealization())
[-0.438266,1.20548]
getSample(size)

Compute realizations of the RandomVector.

Parameters:

n : int, n \geq 0

Number of realizations needed.

Returns:

realizations : Sample

n sequences of values randomly determined from the RandomVector definition. In the case of an event: n realizations of the event (considered as a Bernoulli variable) which are boolean values (1 for the realization of the event and 0 else).

See also

getRealization

Examples

>>> import openturns as ot
>>> distribution = ot.Normal([0.0, 0.0], [1.0, 1.0], ot.CorrelationMatrix(2))
>>> randomVector = ot.RandomVector(distribution)
>>> ot.RandomGenerator.SetSeed(0)
>>> print(randomVector.getSample(3))
    [ X0        X1        ]
0 : [  0.608202 -1.26617  ]
1 : [ -0.438266  1.20548  ]
2 : [ -2.18139   0.350042 ]
getShadowedId()

Accessor to the object’s shadowed id.

Returns:

id : int

Internal unique identifier.

getThinning()

Get the thinning parameter.

Returns:

thinning : int

Thinning parameter: storing only every k^{th} point after the burn-in period.

Notes

When generating a sample of size q, the number of MCMC iterations performed is l+1+(q-1)k where l is the burn-in period length and k the thinning parameter.

getThreshold()

Accessor to the threshold of the Event.

Returns:

threshold : float

Threshold of the Event.

getVerbose()

Tell whether the verbose mode is activated or not.

Returns:

isVerbose : bool

The verbose mode is activated if it is True, desactivated otherwise.

getVisibility()

Accessor to the object’s visibility state.

Returns:

visible : bool

Visibility flag.

hasName()

Test if the object is named.

Returns:

hasName : bool

True if the name is not empty.

hasVisibleName()

Test if the object has a distinguishable name.

Returns:

hasVisibleName : bool

True if the name is not empty and not the default one.

isComposite()

Accessor to know if the RandomVector is a composite one.

Returns:

isComposite : bool

Indicates if the RandomVector is of type Composite or not.

setBurnIn(burnIn)

Set the length of the burn-in period.

Parameters:

lenght : int

Length of the burn-in period, that is the number of first iterates of the MCMC chain which will be thrown away when generating the sample.

setDescription(description)

Accessor to the description of the RandomVector.

Parameters:

description : str or sequence of str

Describes the components of the RandomVector.

setHistory(strategy)

Set the history storage.

Parameters:

history : HistoryStrategy

Used to record the chain.

setName(name)

Accessor to the object’s name.

Parameters:

name : str

The name of the object.

setNonRejectedComponents(nonRejectedComponents)

Set the components to be always accepted.

Parameters:

nonRejectedComponents : sequence of int

The indices of the components that are not tuned, and sampled according to the prior distribution in order to take into account the intrinsic uncertainty, as opposed to the epistemic uncertainty corresponding to the tuned variables.

setObservations(observations)

Set the observations.

Parameters:

observations : 2-d sequence of float

Sample taken into account in the definition of the likelihood, which corresponds to the n-tuple of the \vect{y}^i (1\leq i \leq n) in the equations of the target distribution’s PDF.

setParameters(parameters)

Set the parameters.

Parameters:

parameters : sequence of float

Fixed parameters of the model g required to define the likelihood.

setPrior(prior)

Set the prior distribution.

Parameters:

prior : Distribution

The prior distribution of the parameter of the underlying Bayesian statistical model, whose PDF corresponds to \pi in the equations of the target distribution’s PDF.

setShadowedId(id)

Accessor to the object’s shadowed id.

Parameters:

id : int

Internal unique identifier.

setThinning(thinning)

Set the thinning parameter.

Parameters:

thinning : int, k \geq 0

Thinning parameter: storing only every k^{th} point after the burn-in period.

Notes

When generating a sample of size q, the number of MCMC iterations performed is l+1+(q-1)k where l is the burn-in period length and k the thinning parameter.

setVerbose(verbose)

Set the verbose mode.

Parameters:

isVerbose : bool

The verbose mode is activated if it is True, desactivated otherwise.

setVisibility(visible)

Accessor to the object’s visibility state.

Parameters:

visible : bool

Visibility flag.