Trend computation

In this example we are going to estimate a trend from a field.

We note the values of the initial field associated to the mesh of , where and the values of the resulting stationary field.

The object TrendFactory allows to estimate a trend and is built from:

• a regression strategy that generates a basis using the Least Angle Regression method thanks to the object LARS,

• a fitting algorithm that estimates the empirical error on each sub-basis using the leave one out strategy, thanks to the object CorrectedLeaveOneOut or the k-fold algorithm thanks to the object KFold.

Then, the trend transformation is estimated from the initial field and a function basis thanks to the method build of the object TrendFactory, which produces an object of type TrendTransform. This last object allows to:

• add the trend to a given field defined on the same mesh : the resulting field shares the same mesh than the initial field. For example, it may be useful to add the trend to a realization of the stationary process in order to get a realization of the process

• get the function defined in that evaluates the trend thanks to the method getEvaluation();

• create the inverse trend transformation in order to remove the trend the intiail field and to create the resulting stationary field such that:

where is the simplex associated to the value .

This creation of the inverse trend function is done thanks to the method getInverse() which produces an object of type InverseTrendTransform that can be evaluated on a a field. For example, it may be useful in order to get the stationary field and then analyze it with methods adapted to stationary processes (ARMA decomposition for example).

from __future__ import print_function
import openturns as ot
import openturns.viewer as viewer
from matplotlib import pylab as plt
import math as m
ot.Log.Show(ot.Log.NONE)

Define a bi dimensional mesh

myIndices = [40, 20]
myMesher = ot.IntervalMesher(myIndices)
lowerBound = [0., 0.]
upperBound = [2., 1.]
myInterval = ot.Interval(lowerBound, upperBound)
myMesh = myMesher.build(myInterval)

# Define a scalar temporal normal process on the mesh
# this process is stationary
amplitude = [1.0]
scale = [0.01]*2
myCovModel = ot.ExponentialModel(scale, amplitude)
myXProcess = ot.GaussianProcess(myCovModel, myMesh)

# Create a trend function
# fTrend : R^2 --> R
#          (t,s) --> 1+2t+2s
fTrend = ot.SymbolicFunction(['t', 's'], ['1+2*t+2*s'])
fTemp = ot.TrendTransform(fTrend, myMesh)

# Add the trend to the initial process
myYProcess = ot.CompositeProcess(fTemp, myXProcess)

# Get a field from myYtProcess
myYField = myYProcess.getRealization()

CASE 1 : we estimate the trend from the field

# Define the regression stategy using the LAR method
myBasisSequenceFactory = ot.LARS()

# Define the fitting algorithm using the
# Corrected Leave One Out or KFold algorithms
myFittingAlgorithm = ot.CorrectedLeaveOneOut()
myFittingAlgorithm_2 = ot.KFold()

# Define the basis function
# For example composed of 5 functions
myFunctionBasis = list(map(lambda fst: ot.SymbolicFunction(['t', 's'], [fst]), ['1', 't', 's', 't^2', 's^2']))

# Define the trend function factory algorithm
myTrendFactory = ot.TrendFactory(myBasisSequenceFactory, myFittingAlgorithm)

# Create the trend transformation  of type TrendTransform
myTrendTransform = myTrendFactory.build(myYField, ot.Basis(myFunctionBasis))

# Check the estimated trend function
print('Trend function = ', myTrendTransform)

Out:

Trend function =  0.948141 * ([t,s]->[1]) + 2.33801 * ([t,s]->[t]) + 1.86694 * ([t,s]->[s]) - 0.181334 * ([t,s]->[t^2])

CASE 2 : we impose the trend (or its inverse)

# The function g computes the trend : R^2 -> R
# g :      R^2 --> R
#          (t,s) --> 1+2t+2s
g = ot.SymbolicFunction(['t', 's'], ['1+2*t+2*s'])
gTemp = ot.TrendTransform(g, myMesh)

# Get the inverse trend transformation
# from the trend transform already defined
myInverseTrendTransform = myTrendTransform.getInverse()
print('Inverse trend fucntion = ', myInverseTrendTransform)

# Sometimes it is more useful to define
# the opposite trend h : R^2 -> R
# in fact h = -g
h = ot.SymbolicFunction(['t', 's'], ['-(1+2*t+2*s)'])
myInverseTrendTransform_2 = ot.InverseTrendTransform(h, myMesh)

Out:

Inverse trend fucntion =  0.948141 * ([t,s]->[1]) + 2.33801 * ([t,s]->[t]) + 1.86694 * ([t,s]->[s]) - 0.181334 * ([t,s]->[t^2])

Remove the trend from the field myYField myXField = myYField - f(t,s)

myXField2 = myTrendTransform.getInverse()(myYField)
# or from the class InverseTrendTransform
myXField3 = myInverseTrendTransform(myYField)

# Add the trend to the field myXField2
# myYField = f(t,s) + myXField2
myInitialYField = myTrendTransform(myXField2)

# Get the trend function f(t,s)
myEvaluation_f = myTrendTransform.getTrendFunction()

# Evaluate the trend function f at a particular vertex
# which is the lower corner of the mesh
myMesh = myYField.getMesh()
vertices = myMesh.getVertices()
vertex = vertices.getMin()
trend_t = myEvaluation_f(vertex)