RandomVectorMetropolisHastings¶

class RandomVectorMetropolisHastings(*args)¶

Simple Metropolis-Hastings sampler defined from a random variable.

Refer to Bayesian calibration, The Metropolis-Hastings Algorithm.

Parameters

randomVectorRandomVector: The random variable from which to update the chain
initialStatesequence of float: Initial state of the chain
marginalIndicessequence of int, optional: Indices of the components to be updated. If not specified, all components are updated. The number of updated components must be equal to the dimension of proposal.
linkFunctionFunction, optional: Link between the state of the chain and the parameters of randomVector. If not provided, then the parameters of randomVector are not updated, which means that samples from randomVector are produced independently from the state of the Markov chain.

See also

Gibbs, RandomWalkMetropolisHastings

Notes

This class creates a Markov chain from a RandomVector. It updates the parameters of the random vector based on the current state of the Markov chain, gets a realization from the random vector with the updated parameters, and then uses it to update the Markov chain.

If no likelihood is set with the setLikelihood() method, then it can be viewed as trivial Metropolis-Hastings algorithm where the proposal distribution is equal to the target distribution, so the Metropolis-Hastings ratio is always equal to 1 and the candidate is always accepted.

If a likelihood is set, then the Metropolis-Hastings ratio is the ratio of the likelihoods of the new and of the current state.

Examples

>>> import openturns as ot
>>> ot.RandomGenerator.SetSeed(0)

Build a random vector and choose the initial state of the Markov chain:

>>> randomVector = ot.RandomVector(ot.Normal())
>>> initialState = [3.0]

We can also link the parameters of the random vector to the state of the chain, Let us link the parameters of the random vector to the state of the chain. Here the parameters of the random vector are the parameters of its distribution:

>>> linkFunction = ot.SymbolicFunction(['x'], ['x', '0.1'])

The link function makes the first parameter of the normal distribution (the mean) equal to the current value of the Markov chain. Its standard deviation remains constant: $0.1$ . That way we construct a random walk with normal steps of standard deviation $0.1$ .

>>> sampler = ot.RandomVectorMetropolisHastings(randomVector, initialState, [0], linkFunction)
>>> x = sampler.getSample(10)

Methods

`computeLogLikelihood`(state)	Compute the logarithm of the likelihood w.r.t.
`computeLogPosterior`(state)	Compute the logarithm of the unnormalized posterior density.
`getAcceptanceRate`()	Get acceptance rate.
`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.
`getCovariates`()	Get the parameters.
`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`()	Accessor to the domain of the Event.
`getFunction`()	Accessor to the Function in case of a composite RandomVector.
`getHistory`()	Get the history storage.
`getId`()	Accessor to the object's id.
`getInitialState`()	Get the initial state.
`getLinkFunction`()	Get the model.
`getMarginal`(*args)	Get the random vector corresponding to the $i^{th}$ marginal component(s).
`getMarginalIndices`()	Get the indices of the sampled components.
`getMean`()	Accessor to the mean of the RandomVector.
`getName`()	Accessor to the object's name.
`getObservations`()	Get the observations.
`getOperator`()	Accessor to the comparaison operator of the Event.
`getParameter`()	Accessor to the parameter of the distribution.
`getParameterDescription`()	Accessor to the parameter description of the distribution.
`getProcess`()	Get the stochastic process.
`getRandomVector`()	Random vector accessor.
`getRealization`()	Compute one realization of the RandomVector.
`getSample`(size)	Compute realizations of the RandomVector.
`getShadowedId`()	Accessor to the object's shadowed id.
`getTargetDistribution`()	Get the target distribution.
`getTargetLogPDF`()	Get the target log-pdf.
`getTargetLogPDFSupport`()	Get the target log-pdf support.
`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.
`isEvent`()	Whether the random vector is an event.
`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.
`setLikelihood`(*args)	Set the likelihood.
`setName`(name)	Accessor to the object's name.
`setParameter`(parameters)	Accessor to the parameter of the distribution.
`setRandomVector`(randomVector)	Random vector accessor.
`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(state)¶

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

Parameters

currentStatesequence of float: Current state.

Returns

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

computeLogPosterior(state)¶

Compute the logarithm of the unnormalized posterior density.

Parameters

currentStatesequence of float: Current state.

Returns

logPosteriorfloat: Target log-PDF plus log-likelihood if the log-likelihood is defined

getAcceptanceRate()¶

Get acceptance rate.

Returns

acceptanceRatefloat: Global acceptance rates over all the MCMC iterations performed.

getAntecedent()¶

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

Returns

antecedentRandomVector: 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

burninint: 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_namestr: The object class name (object.__class__.__name__).

getConditional()¶

Get the conditional distribution.

Returns

conditionalDistribution: The conditional argument provided to setLikelihood()

getCovariance()¶

Accessor to the covariance of the RandomVector.

Returns

covarianceCovarianceMatrix: 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 ]]

getCovariates()¶

Get the parameters.

Returns

parametersPoint: Fixed parameters of the model $g$ required to define the likelihood.

getDescription()¶

Accessor to the description of the RandomVector.

Returns

descriptionDescription: Describes the components of the RandomVector.

getDimension()¶

Accessor to the dimension of the RandomVector.

Returns

dimensionpositive int: Dimension of the RandomVector.

getDistribution()¶

Accessor to the distribution of the RandomVector.

Returns

distributionDistribution: 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()¶

Accessor to the domain of the Event.

Returns

domainDomain: Describes the domain of an event.

getFunction()¶

Accessor to the Function in case of a composite RandomVector.

Returns

functionFunction: 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

historyHistoryStrategy: Used to record the chain.

getId()¶

Accessor to the object’s id.

Returns

idint: Internal unique identifier.

getInitialState()¶

Get the initial state.

Returns

initialStatesequence of float: Initial state of the chain

getLinkFunction()¶

Get the model.

Returns

linkFunctionFunction: The linkFunction argument provided to setLikelihood()

getMarginal(*args)¶

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

Parameters

iint or list of ints, $0\leq i < dim$: Indicates the component(s) concerned. $dim$ is the dimension of the RandomVector.

Returns

vectorRandomVector: 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)

getMarginalIndices()¶

Get the indices of the sampled components.

Returns

marginalIndicesIndices: The marginalIndices argument provided to the constructor

getMean()¶

Accessor to the mean of the RandomVector.

Returns

meanPoint: 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]

getName()¶

Accessor to the object’s name.

Returns

namestr: The name of the object.

getObservations()¶

Get the observations.

Returns

observationsSample: The observations argument provided to setLikelihood()

getOperator()¶

Accessor to the comparaison operator of the Event.

Returns

operatorComparisonOperator: Comparaison operator used to define the RandomVector.

getParameter()¶

Accessor to the parameter of the distribution.

Returns

parameterPoint: Parameter values.

getParameterDescription()¶

Accessor to the parameter description of the distribution.

Returns

descriptionDescription: Parameter names.

getProcess()¶

Get the stochastic process.

Returns

processProcess: Stochastic process used to define the RandomVector.

getRandomVector()¶

Random vector accessor.

Returns

randomVectorRandomVector: The random variable from which to update the chain

getRealization()¶

Compute one realization of the RandomVector.

Returns

aRealizationPoint: 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

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

idint: Internal unique identifier.

getTargetDistribution()¶

Get the target distribution.

Returns

targetDistributionDistribution: The targetDistribution argument provided to the constructor

getTargetLogPDF()¶

Get the target log-pdf.

Returns

targetLogPDFFunction: The targetLogPDF argument provided to the constructor

getTargetLogPDFSupport()¶

Get the target log-pdf support.

Returns

supportInterval: The support argument provided to the constructor

getThinning()¶

Get the thinning parameter.

Returns

thinningint: 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

thresholdfloat: Threshold of the RandomVector.

getVerbose()¶

Tell whether the verbose mode is activated or not.

Returns

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

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.

isComposite()¶

Accessor to know if the RandomVector is a composite one.

Returns

isCompositebool: Indicates if the RandomVector is of type Composite or not.

isEvent()¶

Whether the random vector is an event.

Returns

isEventbool: Whether it takes it values in {0, 1}.

setBurnIn(burnIn)¶

Set the length of the burn-in period.

Parameters

burninint: 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

descriptionstr or sequence of str: Describes the components of the RandomVector.

setHistory(strategy)¶

Set the history storage.

Parameters

historyHistoryStrategy: Used to record the chain.

setLikelihood(*args)¶

Set the likelihood.

Parameters

conditionalDistribution: Required distribution to define the likelihood of the underlying Bayesian statistical model.
observations2-d sequence of float: Observations $\vect y^i$ required to define the likelihood.
linkFunctionFunction, optional: Function $g$ that maps the chain into the conditional distribution parameters. If provided, its input dimension must match the chain dimension and its output dimension must match the conditional distribution parameter dimension. Else it is set to the identity.
covariates2-d sequence of float, optional: Parameters $\vect c^i$ of the linkFunction for each observation $\vect y^i$ . If provided, their dimension must match the parameter dimension of linkFunction.

Notes

Once this method is called, the class no longer samples from the distribution targetDistribution or from the distribution defined by targetLogPDF and support, but considers that distribution as being the prior. Let $\pi(\vect \theta)$ be the PDF of the prior at the point $\vect \theta$ . The class now samples from the posterior, whose PDF is proportional to $L(\vect\theta) \, \pi(\vect\theta)$ , the likelihood $L(\vect \theta)$ being defined from the arguments of this method.

The optional parameters linkFunction and covariates allow several options to define the likelihood $L(\vect \theta)$ . Letting $f$ be the PDF of the distribution conditional:

Without linkFunction and covariates the likelihood term reads:

$L(\vect \theta) = \prod_{i=1}^n f(\vect{y}^i|\vect{\theta})$
If only the linkFunction is provided:

$L(\vect \theta) = \prod_{i=1}^n f(\vect{y}^i|g(\vect{\theta}))$
If both the linkFunction and covariates are provided:

$L(\vect \theta) = \prod_{i=1}^n f(\vect{y}^i|g_{\vect c^i}(\vect{\theta}))$

setName(name)¶

Accessor to the object’s name.

Parameters

namestr: The name of the object.

setParameter(parameters)¶

Accessor to the parameter of the distribution.

Parameters

parametersequence of float: Parameter values.

setRandomVector(randomVector)¶

Random vector accessor.

Parameters

randomVectorRandomVector: The random variable from which to update the chain

setShadowedId(id)¶

Accessor to the object’s shadowed id.

Parameters

idint: Internal unique identifier.

setThinning(thinning)¶

Set the thinning parameter.

Parameters

thinningint, $k \geq 0$: 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

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

setVisibility(visible)¶

Accessor to the object’s visibility state.

Parameters

visiblebool: Visibility flag.

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