EventSimulation

class EventSimulation(*args)

Base class for sampling methods.

Available constructor:

EventSimulation(event, verbose=True, convergenceStrategy=ot.Compact())

Parameters:
eventRandomVector

The event we are computing the probability of.

verbosebool

If True, make the computation verbose.

convergenceStrategyHistoryStrategy

Storage strategy used to store the values of the probability estimator and its variance during the simulation algorithm.

See also

SimulationResult

Notes

Base class for sampling methods, using the probability distribution of a random vector \vect{X} to evaluate the failure probability:

P_f = \int_{\Rset^{n_X}} \mathbf{1}_{\{g(\ux,\underline{d}) \leq 0 \}}f_{\uX}(\ux)\di{\ux}
    = \Prob{g\left( \vect{X},\vect{d} \right) \leq 0}

Here, \vect{X} is a random vector, \vect{d} a deterministic vector, g(\vect{X},\vect{d}) the function known as limit state function which enables the definition of the event \cD_f = \{\vect{X} \in \Rset^n \, | \, g(\vect{X},\vect{d}) \le 0\}. \mathbf{1}_{ \left\{ g(\vect{x}_i,\vect{d}) \leq 0 \right\} } describes the indicator function equal to 1 if g(\vect{x}_i,\vect{d}) \leq 0 and equal to 0 otherwise.

The EventSimulation object provides a generic simulation service for non-composite events, and its derived classes provide dedicated algorithms:

Methods

drawProbabilityConvergence(*args)

Draw the probability convergence at a given level.

getBlockSize()

Accessor to the block size.

getClassName()

Accessor to the object's name.

getConvergenceStrategy()

Accessor to the convergence strategy.

getEvent()

Accessor to the event.

getId()

Accessor to the object's id.

getMaximumCoefficientOfVariation()

Accessor to the maximum coefficient of variation.

getMaximumOuterSampling()

Accessor to the maximum sample size.

getMaximumStandardDeviation()

Accessor to the maximum standard deviation.

getName()

Accessor to the object's name.

getResult()

Accessor to the results.

getShadowedId()

Accessor to the object's shadowed id.

getVerbose()

Accessor to verbosity.

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 simulation.

setBlockSize(blockSize)

Accessor to the block size.

setConvergenceStrategy(convergenceStrategy)

Accessor to the convergence strategy.

setMaximumCoefficientOfVariation(...)

Accessor to the maximum coefficient of variation.

setMaximumOuterSampling(maximumOuterSampling)

Accessor to the maximum sample size.

setMaximumStandardDeviation(...)

Accessor to the maximum standard deviation.

setName(name)

Accessor to the object's name.

setProgressCallback(*args)

Set up a progress callback.

setShadowedId(id)

Accessor to the object's shadowed id.

setStopCallback(*args)

Set up a stop callback.

setVerbose(verbose)

Accessor to verbosity.

setVisibility(visible)

Accessor to the object's visibility state.

__init__(*args)
drawProbabilityConvergence(*args)

Draw the probability convergence at a given level.

Parameters:
levelfloat, optional

The probability convergence is drawn at this given confidence length level. By default level is 0.95.

Returns:
grapha Graph

probability convergence graph

getBlockSize()

Accessor to the block size.

Returns:
blockSizeint

Number of terms in the probability simulation estimator grouped together. It is set by default to 1.

getClassName()

Accessor to the object’s name.

Returns:
class_namestr

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

getConvergenceStrategy()

Accessor to the convergence strategy.

Returns:
storage_strategyHistoryStrategy

Storage strategy used to store the values of the probability estimator and its variance during the simulation algorithm.

getEvent()

Accessor to the event.

Returns:
eventRandomVector

Event we want to evaluate the probability.

getId()

Accessor to the object’s id.

Returns:
idint

Internal unique identifier.

getMaximumCoefficientOfVariation()

Accessor to the maximum coefficient of variation.

Returns:
coefficientfloat

Maximum coefficient of variation of the simulated sample.

getMaximumOuterSampling()

Accessor to the maximum sample size.

Returns:
outerSamplingint

Maximum number of groups of terms in the probability simulation estimator.

getMaximumStandardDeviation()

Accessor to the maximum standard deviation.

Returns:
sigmafloat, \sigma > 0

Maximum standard deviation of the estimator.

getName()

Accessor to the object’s name.

Returns:
namestr

The name of the object.

getResult()

Accessor to the results.

Returns:
resultsSimulationResult

Structure containing all the results obtained after simulation and created by the method run().

getShadowedId()

Accessor to the object’s shadowed id.

Returns:
idint

Internal unique identifier.

getVerbose()

Accessor to verbosity.

Returns:
verbosity_enabledbool

If True, the computation is verbose. By default it is verbose.

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 simulation.

Notes

It launches the simulation and creates a SimulationResult, structure containing all the results obtained after simulation. It computes the probability of occurrence of the given event by computing the empirical mean of a sample of size at most outerSampling * blockSize, this sample being built by blocks of size blockSize. It allows one to use efficiently the distribution of the computation as well as it allows one to deal with a sample size > 2^{32} by a combination of blockSize and outerSampling.

setBlockSize(blockSize)

Accessor to the block size.

Parameters:
blockSizeint, blockSize \geq 1

Number of terms in the probability simulation estimator grouped together. It is set by default to 1.

Notes

For Monte Carlo, LHS and Importance Sampling methods, this allows one to save space while allowing multithreading, when available we recommend to use the number of available CPUs; for the Directional Sampling, we recommend to set it to 1.

setConvergenceStrategy(convergenceStrategy)

Accessor to the convergence strategy.

Parameters:
storage_strategyHistoryStrategy

Storage strategy used to store the values of the probability estimator and its variance during the simulation algorithm.

setMaximumCoefficientOfVariation(maximumCoefficientOfVariation)

Accessor to the maximum coefficient of variation.

Parameters:
coefficientfloat

Maximum coefficient of variation of the simulated sample.

setMaximumOuterSampling(maximumOuterSampling)

Accessor to the maximum sample size.

Parameters:
outerSamplingint

Maximum number of groups of terms in the probability simulation estimator.

setMaximumStandardDeviation(maximumStandardDeviation)

Accessor to the maximum standard deviation.

Parameters:
sigmafloat, \sigma > 0

Maximum standard deviation of the estimator.

setName(name)

Accessor to the object’s name.

Parameters:
namestr

The name of the object.

setProgressCallback(*args)

Set up a progress callback.

Can be used to programmatically report the progress of a simulation.

Parameters:
callbackcallable

Takes a float as argument as percentage of progress.

Examples

>>> import sys
>>> import openturns as ot
>>> experiment = ot.MonteCarloExperiment()
>>> X = ot.RandomVector(ot.Normal())
>>> Y = ot.CompositeRandomVector(ot.SymbolicFunction(['X'], ['1.1*X']), X)
>>> event = ot.ThresholdEvent(Y, ot.Less(), -2.0)
>>> algo = ot.ProbabilitySimulationAlgorithm(event, experiment)
>>> algo.setMaximumOuterSampling(100)
>>> algo.setMaximumCoefficientOfVariation(-1.0)
>>> def report_progress(progress):
...     sys.stderr.write('-- progress=' + str(progress) + '%\n')
>>> algo.setProgressCallback(report_progress)
>>> algo.run()
setShadowedId(id)

Accessor to the object’s shadowed id.

Parameters:
idint

Internal unique identifier.

setStopCallback(*args)

Set up a stop callback.

Can be used to programmatically stop a simulation.

Parameters:
callbackcallable

Returns an int deciding whether to stop or continue.

Examples

Stop a Monte Carlo simulation algorithm using a time limit

>>> import openturns as ot
>>> experiment = ot.MonteCarloExperiment()
>>> X = ot.RandomVector(ot.Normal())
>>> Y = ot.CompositeRandomVector(ot.SymbolicFunction(['X'], ['1.1*X']), X)
>>> event = ot.ThresholdEvent(Y, ot.Less(), -2.0)
>>> algo = ot.ProbabilitySimulationAlgorithm(event, experiment)
>>> algo.setMaximumOuterSampling(10000000)
>>> algo.setMaximumCoefficientOfVariation(-1.0)
>>> timer = ot.TimerCallback(0.1)
>>> algo.setStopCallback(timer)
>>> algo.run()
setVerbose(verbose)

Accessor to verbosity.

Parameters:
verbosity_enabledbool

If True, make the computation verbose. By default it is verbose.

setVisibility(visible)

Accessor to the object’s visibility state.

Parameters:
visiblebool

Visibility flag.

Examples using the class

Create a process from random vectors and processes

Create a process from random vectors and processes

Estimate a probability with Latin Hypercube Sampling

Estimate a probability with Latin Hypercube Sampling

Estimate a probability with Monte Carlo

Estimate a probability with Monte Carlo

Use a randomized QMC algorithm

Use a randomized QMC algorithm

Use the Adaptive Directional Stratification Algorithm

Use the Adaptive Directional Stratification Algorithm

Use the post-analytical importance sampling algorithm

Use the post-analytical importance sampling algorithm

Use the Directional Sampling Algorithm

Use the Directional Sampling Algorithm

Specify a simulation algorithm

Specify a simulation algorithm

Use the Importance Sampling algorithm

Use the Importance Sampling algorithm

Estimate a probability with Monte-Carlo on axial stressed beam: a quick start guide to reliability

Estimate a probability with Monte-Carlo on axial stressed beam: a quick start guide to reliability

Exploitation of simulation algorithm results

Exploitation of simulation algorithm results

Non parametric Adaptive Importance Sampling (NAIS)

Non parametric Adaptive Importance Sampling (NAIS)

Subset Sampling

Subset Sampling

Create a domain event

Create a domain event

Time variant system reliability problem

Time variant system reliability problem

Axial stressed beam : comparing different methods to estimate a probability

Axial stressed beam : comparing different methods to estimate a probability

Create unions or intersections of events

Create unions or intersections of events

Cross Entropy Importance Sampling

Cross Entropy Importance Sampling

Estimate a process-based event probability

Estimate a process-based event probability

Control algorithm termination

Control algorithm termination