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# Advanced polynomial chaos construction¶

In this example we are going to expose advanced elements in the construction of a polynomial chaos algorithm:

construction of the multivariate orthonormal basis,

truncature strategy of the multivariate orthonormal basis,

evaluation strategy of the approximation coefficients.

In this example, we consider the following function :

for any .

We assume that the inputs have normal, uniform, gamma and beta distributions :

and , , and are independent.

## Define the model and the input distribution¶

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

```
model = ot.SymbolicFunction(['x1', 'x2', 'x3', 'x4'], [
'1+x1*x2 + 2*x3^2+x4^4'])
```

Create a distribution of dimension 4.

```
distribution = ot.ComposedDistribution(
[ot.Normal(), ot.Uniform(), ot.Gamma(2.75, 1.0), ot.Beta(2.5, 1.0, -1.0, 2.0)])
```

```
inputDimension = distribution.getDimension()
inputDimension
```

Out:

```
4
```

## STEP 1: Construction of the multivariate orthonormal basis¶

Create the univariate polynomial family collection which regroups the polynomial families for each direction.

```
polyColl = ot.PolynomialFamilyCollection(inputDimension)
```

We could use the Krawtchouk and Charlier families (for discrete distributions).

```
polyColl[0] = ot.KrawtchoukFactory()
polyColl[1] = ot.CharlierFactory()
```

We could also use the automatic selection of the polynomial which corresponds to the distribution: this is done with the StandardDistributionPolynomialFactory class.

```
for i in range(inputDimension):
marginal = distribution.getMarginal(i)
polyColl[i] = ot.StandardDistributionPolynomialFactory(marginal)
```

In our specific case, we use specific polynomial factories.

```
polyColl[0] = ot.HermiteFactory()
polyColl[1] = ot.LegendreFactory()
polyColl[2] = ot.LaguerreFactory(2.75)
# Parameter for the Jacobi factory : 'Probabilty' encoded with 1
polyColl[3] = ot.JacobiFactory(2.5, 3.5, 1)
```

Create the enumeration function.

The first possibility is to use the LinearEnumerateFunction.

```
enumerateFunction = ot.LinearEnumerateFunction(inputDimension)
```

Another possibility is to use the HyperbolicAnisotropicEnumerateFunction, which gives less weight to interactions.

```
q = 0.4
enumerateFunction_1 = ot.HyperbolicAnisotropicEnumerateFunction(
inputDimension, q)
```

Create the multivariate orthonormal basis which is the the cartesian product of the univariate basis.

```
multivariateBasis = ot.OrthogonalProductPolynomialFactory(
polyColl, enumerateFunction)
```

Ask how many polynomials have total degrees equal to k=5.

```
k = 5
enumerateFunction.getStrataCardinal(k)
```

Out:

```
56
```

Ask how many polynomials have degrees lower or equal to k=5.

```
enumerateFunction.getStrataCumulatedCardinal(k)
```

Out:

```
126
```

Give the k-th term of the multivariate basis. To calculate its degree, add the integers.

```
k = 5
enumerateFunction(k)
```

Build a term of the basis as a Function. Generally, we do not need to construct manually any term, all terms are constructed automatically by a strategy of construction of the basis.

```
i = 5
Psi_i = multivariateBasis.build(i)
Psi_i
```

Get the measure mu associated to the multivariate basis.

```
distributionMu = multivariateBasis.getMeasure()
distributionMu
```

## STEP 2: Truncature strategy of the multivariate orthonormal basis¶

FixedStrategy : all the polynomials af degree lower or equal to 2 which corresponds to the 15 first ones.

```
p = 15
truncatureBasisStrategy = ot.FixedStrategy(multivariateBasis, p)
```

SequentialStrategy : among the maximumCardinalBasis = 100 first polynomials of the multivariate basis those verfying the convergence criterion.

```
maximumCardinalBasis = 100
truncatureBasisStrategy_1 = ot.SequentialStrategy(
multivariateBasis, maximumCardinalBasis)
```

CleaningStrategy : among the maximumConsideredTerms = 500 first polynomials, those which have the mostSignificant = 50 most significant contributions with significance criterion significanceFactor equal to The True boolean indicates if we are interested in the online monitoring of the current basis update (removed or added coefficients).

```
maximumConsideredTerms = 500
mostSignificant = 50
significanceFactor = 1.0e-4
truncatureBasisStrategy_2 = ot.CleaningStrategy(
multivariateBasis, maximumConsideredTerms, mostSignificant, significanceFactor, True)
```

## STEP 3: Evaluation strategy of the approximation coefficients¶

The technique illustrated is the Least Squares technique where the points come from an design of experiments. Here : the Monte Carlo sampling technique.

```
sampleSize = 100
evaluationCoeffStrategy = ot.LeastSquaresStrategy(
ot.MonteCarloExperiment(sampleSize))
```

You can specify the approximation algorithm. This is the algorithm that generates a sequence of basis using Least Angle Regression.

```
basisSequenceFactory = ot.LARS()
```

This algorithm estimates the empirical error on each sub-basis using Leave One Out strategy.

```
fittingAlgorithm = ot.CorrectedLeaveOneOut()
# Finally the metamodel selection algorithm embbeded in LeastSquaresStrategy
approximationAlgorithm = ot.LeastSquaresMetaModelSelectionFactory(
basisSequenceFactory, fittingAlgorithm)
evaluationCoeffStrategy_2 = ot.LeastSquaresStrategy(
ot.MonteCarloExperiment(sampleSize), approximationAlgorithm)
```

Try integration.

```
marginalDegrees = [2] * inputDimension
evaluationCoeffStrategy_3 = ot.IntegrationStrategy(
ot.GaussProductExperiment(distributionMu, marginalDegrees))
```

## STEP 4: Creation of the Functional Chaos Algorithm¶

The FunctionalChaosAlgorithm class combines

the model : model

the distribution of the input random vector : distribution

the truncature strategy of the multivariate basis

and the evaluation strategy of the coefficients

```
polynomialChaosAlgorithm = ot.FunctionalChaosAlgorithm(
model, distribution, truncatureBasisStrategy, evaluationCoeffStrategy)
```

**Total running time of the script:** ( 0 minutes 0.006 seconds)