Convergence of estimators on Ishigami

In this example, we present the convergence of the sensitivity indices of the Ishigami test function.

We compare different estimators. * Sampling methods with different estimators: Saltelli, Mauntz-Kucherenko, Martinez, Jansen, * Sampling methods with different design of experiments: Monte-Carlo, LHS, Quasi-Monte-Carlo, * Polynomial chaos.

import openturns as ot
import otbenchmark as otb
import openturns.viewer as otv
import numpy as np

When we estimate Sobol’ indices, we may encounter the following warning messages: ` WRN - The estimated first order Sobol index (2) is greater than its total order index... WRN - The estimated total order Sobol index (2) is lesser than first order index ... ` Lots of these messages are printed in the current Notebook. This is why we disable them with:

ot.Log.Show(ot.Log.NONE)
problem = otb.IshigamiSensitivity()
print(problem)
name = Ishigami
distribution = ComposedDistribution(Uniform(a = -3.14159, b = 3.14159), Uniform(a = -3.14159, b = 3.14159), Uniform(a = -3.14159, b = 3.14159), IndependentCopula(dimension = 3))
function = ParametricEvaluation([X1,X2,X3,a,b]->[sin(X1) + a * sin(X2)^2 + b * X3^4 * sin(X1)], parameters positions=[3,4], parameters=[a : 7, b : 0.1], input positions=[0,1,2])
firstOrderIndices = [0.313905,0.442411,0]
totalOrderIndices = [0.557589,0.442411,0.243684]
distribution = problem.getInputDistribution()
model = problem.getFunction()

Exact first and total order

exact_first_order = problem.getFirstOrderIndices()
print(exact_first_order)
exact_total_order = problem.getTotalOrderIndices()
print(exact_total_order)
[0.313905,0.442411,0]
[0.557589,0.442411,0.243684]

Perform sensitivity analysis

Create X/Y data

ot.RandomGenerator.SetSeed(0)
size = 10000
inputDesign = ot.SobolIndicesExperiment(distribution, size).generate()
outputDesign = model(inputDesign)

Compute first order indices using the Saltelli estimator

sensitivityAnalysis = ot.SaltelliSensitivityAlgorithm(inputDesign, outputDesign, size)
computed_first_order = sensitivityAnalysis.getFirstOrderIndices()
computed_total_order = sensitivityAnalysis.getTotalOrderIndices()

Compare with exact results

print("Sample size : ", size)
# First order
# Compute absolute error (the LRE cannot be computed,
# because S can be zero)
print("Computed first order = ", computed_first_order)
print("Exact first order    = ", exact_first_order)
# Total order
print("Computed total order = ", computed_total_order)
print("Exact total order    = ", exact_total_order)
Sample size :  10000
Computed first order =  [0.302745,0.460846,0.0066916]
Exact first order    =  [0.313905,0.442411,0]
Computed total order =  [0.574996,0.427126,0.256689]
Exact total order    =  [0.557589,0.442411,0.243684]
dimension = distribution.getDimension()

Compute componentwise absolute error.

first_order_AE = ot.Point(np.abs(exact_first_order - computed_first_order))
total_order_AE = ot.Point(np.abs(exact_total_order - computed_total_order))
print("Absolute error")
for i in range(dimension):
    print(
        "AE(S%d) = %.4f, AE(T%d) = %.4f" % (i, first_order_AE[i], i, total_order_AE[i])
    )
Absolute error
AE(S0) = 0.0112, AE(T0) = 0.0174
AE(S1) = 0.0184, AE(T1) = 0.0153
AE(S2) = 0.0067, AE(T2) = 0.0130
metaSAAlgorithm = otb.SensitivityBenchmarkMetaAlgorithm(problem)
for estimator in ["Saltelli", "Martinez", "Jansen", "MauntzKucherenko", "Janon"]:
    print("Estimator:", estimator)
    benchmark = otb.SensitivityConvergence(
        problem,
        metaSAAlgorithm,
        numberOfRepetitions=4,
        maximum_elapsed_time=2.0,
        sample_size_initial=20,
        estimator=estimator,
    )
    grid = benchmark.plotConvergenceGrid(verbose=False)
    view = otv.View(grid)
    figure = view.getFigure()
    _ = figure.suptitle("%s, %s" % (problem.getName(), estimator))
    figure.set_figwidth(10.0)
    figure.set_figheight(5.0)
    figure.subplots_adjust(wspace=0.4, hspace=0.4)
  • Ishigami, Saltelli
  • Ishigami, Martinez
  • Ishigami, Jansen
  • Ishigami, MauntzKucherenko
  • Ishigami, Janon
Estimator: Saltelli
Estimator: Martinez
Estimator: Jansen
Estimator: MauntzKucherenko
Estimator: Janon
benchmark = otb.SensitivityConvergence(
    problem,
    metaSAAlgorithm,
    numberOfRepetitions=4,
    maximum_elapsed_time=2.0,
    sample_size_initial=20,
    estimator="Saltelli",
    sampling_method="MonteCarlo",
)
graph = benchmark.plotConvergenceCurve()
_ = otv.View(graph)
Ishigami, Saltelli, MonteCarlo
grid = ot.GridLayout(1, 3)
maximum_absolute_error = 1.0
minimum_absolute_error = 1.0e-5
sampling_method_list = ["MonteCarlo", "LHS", "QMC"]
for sampling_method_index in range(3):
    sampling_method = sampling_method_list[sampling_method_index]
    benchmark = otb.SensitivityConvergence(
        problem,
        metaSAAlgorithm,
        numberOfRepetitions=4,
        maximum_elapsed_time=2.0,
        sample_size_initial=20,
        estimator="Saltelli",
        sampling_method=sampling_method,
    )
    graph = benchmark.plotConvergenceCurve()
    # Change bounding box
    box = graph.getBoundingBox()
    bound = box.getLowerBound()
    bound[1] = minimum_absolute_error
    box.setLowerBound(bound)
    bound = box.getUpperBound()
    bound[1] = maximum_absolute_error
    box.setUpperBound(bound)
    graph.setBoundingBox(box)
    grid.setGraph(0, sampling_method_index, graph)
_ = otv.View(grid)
, Ishigami, Saltelli, MonteCarlo, Ishigami, Saltelli, LHS, Ishigami, Saltelli, QMC

Use polynomial chaos.

benchmark = otb.SensitivityConvergence(
    problem,
    metaSAAlgorithm,
    numberOfExperiments=12,
    numberOfRepetitions=1,
    maximum_elapsed_time=5.0,
    sample_size_initial=20,
    use_sampling=False,
    total_degree=20,
    hyperbolic_quasinorm=1.0,
)
graph = benchmark.plotConvergenceCurve(verbose=True)
graph.setLegendPosition("bottomleft")
_ = otv.View(graph)
Ishigami, P.C., Degree=20
Elapsed = 0.0 (s), Sample size = 40
Elapsed = 0.0 (s), Sample size = 80
Elapsed = 0.1 (s), Sample size = 160
Elapsed = 0.6 (s), Sample size = 320
Elapsed = 3.1 (s), Sample size = 640
Elapsed = 18.45 (s)
otv.View.ShowAll()

Total running time of the script: (0 minutes 46.734 seconds)