GaussianLinearCalibration

class GaussianLinearCalibration(*args)

Gaussian linear calibration algorithm (Best Linear Unbiased Estimator or BLUE).

Available constructors:

GaussianLinearCalibration(model, inputObservations, outputObservations, candidate, parameterCovariance, errorCovariance, methodName)

GaussianLinearCalibration(modelObservations, gradientObservations, outputObservations, candidate, parameterCovariance, errorCovariance, methodName)

Parameters

modelFunction

The parametric function to be calibrated.

inputObservations2-d sequence of float

The sample of input observations. Can have dimension 0 to specify no observations.

outputObservations2-d sequence of float

The sample of output observations.

candidatesequence of float

The mean of the gaussian prior distribution of the parameter.

parameterCovariance2-d sequence of float

The covariance matrix of the gaussian prior distribution of the parameter.

errorCovariance2-d sequence of float

The covariance matrix of the gaussian distribution of the observations error.

methodNamestr

The name of the least-squares method to use for the calibration. By default, equal to QR. Possible values are SVD, QR, Cholesky.

modelObservations2-d sequence of float

The sample of output values of the model.

gradientObservations2-d sequence of float

The Jacobian matrix of the model with respect to the parameter.

See also

LinearLeastSquaresCalibration, NonLinearLeastSquaresCalibration, GaussianNonLinearCalibration

Notes

GaussianLinearCalibration is known as the Best Linear Unbiased Estimator or BLUE. It is the minimum variance estimator of the parameter of a given model under the assumption that this parameter acts linearly in the model.

The given observation error covariance can be either local, ie the same matrix applies for each observation and is of dimension the output dimension of the model, or global, ie the matrix describes the full set of observation errors, in which case its dimension is the product of the output dimension of the model and the number of observations.

The prior distribution of the parameter is a Normal.

The posterior distribution of the parameter is Normal.

The resulting error distribution is Normal with a zero mean and with a covariance matrix equal to the errorCovariance input argument.

Examples

Calibrate a nonlinear model using GaussianLinearCalibration:

>>> import openturns as ot
>>> ot.RandomGenerator.SetSeed(0)
>>> m = 10
>>> x = [[0.5 + i] for i in range(m)]
>>> inVars = ['a', 'b', 'c', 'x']
>>> formulas = ['a + b * exp(c * x)']
>>> model = ot.SymbolicFunction(inVars, formulas)
>>> p_ref = [2.8, 1.2, 0.5]
>>> params = [0, 1, 2]
>>> modelX = ot.ParametricFunction(model, params, p_ref)
>>> y = modelX(x)
>>> y += ot.Normal(0.0, 0.05).getSample(m)
>>> candidate = [1.0]*3
>>> priorCovariance = ot.CovarianceMatrix(3)
>>> errorCovariance = ot.CovarianceMatrix(1, [0.1])
>>> method = 'SVD'
>>> algo = ot.GaussianLinearCalibration(modelX, x, y, candidate, priorCovariance, errorCovariance, method)
>>> algo.run()
>>> print(algo.getResult().getParameterMAP())
[8.11483,0.0770992,0.992927]

Methods

getCandidate()	Accessor to the parameter candidate.
getClassName()	Accessor to the object's name.
getErrorCovariance()	Accessor to the observation error covariance.
getGlobalErrorCovariance()	Accessor to the flag for a global observation error covariance.
getGradientObservations()	Accessor to the model gradient at the candidate.
getId()	Accessor to the object's id.
getInputObservations()	Accessor to the input data to be fitted.
getMethodName()	Accessor to the name of least-squares method used for the resolution.
getModel()	Accessor to the model to be fitted.
getModelObservations()	Accessor to the model evaluation at the candidate.
getName()	Accessor to the object's name.
getOutputObservations()	Accessor to the output data to be fitted.
getParameterCovariance()	Accessor to the parameter prior covariance.
getParameterPrior()	Accessor to the parameter prior distribution.
getResult()	Get the result structure.
getShadowedId()	Accessor to the object's shadowed id.
getVisibility()	Accessor to the object's visibility state.
hasName()	Test if the object is named.
hasVisibleName()	Test if the object has a distinguishable name.
run()	Launch the algorithm.
setName(name)	Accessor to the object's name.
setResult(result)	Accessor to optimization result.
setShadowedId(id)	Accessor to the object's shadowed id.
setVisibility(visible)	Accessor to the object's visibility state.

__init__(*args)

getCandidate()

Accessor to the parameter candidate.

Returns

candidatePoint

Parameter candidate.

getClassName()

Accessor to the object’s name.

Returns

class_namestr

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

getErrorCovariance()

Accessor to the observation error covariance.

Returns

errorCovarianceMatrix

Observation error covariance.

getGlobalErrorCovariance()

Accessor to the flag for a global observation error covariance.

Returns

flagbool

Flag telling if the given observation error covariance is global or not.

getGradientObservations()

Accessor to the model gradient at the candidate.

Returns

gradientObservationMatrix

Gradient of the model at the candidate point.

getId()

Accessor to the object’s id.

Returns

idint

Internal unique identifier.

getInputObservations()

Accessor to the input data to be fitted.

Returns

dataSample

The input data to be fitted.

getMethodName()

Accessor to the name of least-squares method used for the resolution.

Returns

nameString

Name of least-squares method used for the resolution.

getModel()

Accessor to the model to be fitted.

Returns

dataFunction

The model to be fitted.

getModelObservations()

Accessor to the model evaluation at the candidate.

Returns

modelObservationSample

Evaluation of the model at the candidate point.

getName()

Accessor to the object’s name.

Returns

namestr

The name of the object.

getOutputObservations()

Accessor to the output data to be fitted.

Returns

dataSample

The output data to be fitted.

getParameterCovariance()

Accessor to the parameter prior covariance.

Returns

priorCovarianceMatrix

Parameter prior covariance.

getParameterPrior()

Accessor to the parameter prior distribution.

Returns

priorDistribution

The parameter prior distribution.

getResult()

Get the result structure.

Returns

resCalibration: CalibrationResult

The structure containing all the results of the calibration problem.

Notes

The structure contains all the results of the calibration problem.

getShadowedId()

Accessor to the object’s shadowed id.

Returns

idint

Internal unique identifier.

getVisibility()

Accessor to the object’s visibility state.

Returns

visiblebool

Visibility flag.

hasName()

Test if the object is named.

Returns

hasNamebool

True if the name is not empty.

hasVisibleName()

Test if the object has a distinguishable name.

Returns

hasVisibleNamebool

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

run()

Launch the algorithm.

Notes

It launches the algorithm and creates a CalibrationResult, structure containing all the results.

setName(name)

Accessor to the object’s name.

Parameters

namestr

The name of the object.

setResult(result)

Accessor to optimization result.

Parameters

resultCalibrationResult

Result class.

setShadowedId(id)

Accessor to the object’s shadowed id.

Parameters

idint

Internal unique identifier.

setVisibility(visible)

Accessor to the object’s visibility state.

Parameters

visiblebool

Visibility flag.