ParameterDistributions

Parameterized <: ParameterDistributionType

A distribution constructed from a parameterized formula (e.g Julia Distributions.jl)

Fields

• distribution::Distributions.Distribution

  A parameterized distribution

Samples{FT <: Real} <: ParameterDistributionType

A distribution comprised of only samples, stored as columns of parameters.

Fields

• distribution_samples::AbstractMatrix{FT} where FT<:Real

  Samples defining an empirical distribution, stored as columns

VectorOfParameterized <: ParameterDistributionType

A distribution built from an array of Parametrized distributions. A utility to help stacking of distributions where a multivariate equivalent doesn't exist.

Fields

• distribution::AbstractVector{DT} where DT<:Distributions.Distribution

  A vector of parameterized distributions

Constraint{T} <: ConstraintType

Class describing a 1D bijection between constrained and unconstrained spaces. Included parametric types for T:

• NoConstraint
• BoundedBelow
• BoundedAbove
• Bounded

Fields

• constrained_to_unconstrained::Function

  A map from constrained domain -> (-Inf,Inf)

• c_to_u_jacobian::Function

  The jacobian of the map from constrained domain -> (-Inf,Inf)

• unconstrained_to_constrained::Function

  Map from (-Inf,Inf) -> constrained domain

• bounds::Union{Nothing, Dict}

  Dictionary of values used to build the Constraint (e.g. "lowerbound" or "upperbound")

no_constraint()

Constructs a Constraint with no constraints, enforced by maps x -> x and x -> x.

bounded_below(lower_bound::FT) where {FT <: Real}

Constructs a Constraint with provided lower bound, enforced by maps x -> log(x - lower_bound) and x -> exp(x) + lower_bound.

bounded_above(upper_bound::FT) where {FT <: Real}

Constructs a Constraint with provided upper bound, enforced by maps x -> log(upper_bound - x) and x -> upper_bound - exp(x).

bounded(lower_bound::Real, upper_bound::Real)

Constructs a Constraint with provided upper and lower bounds, enforced by maps x -> log((x - lower_bound) / (upper_bound - x)) and x -> (upper_bound * exp(x) + lower_bound) / (exp(x) + 1).

length(c<:ConstraintType)

A constraint has length 1.

size(c<:ConstraintType)

A constraint has size 1.

ParameterDistribution

Structure to hold a parameter distribution, always stored as an array of distributions internally.

Fields

• distribution::AbstractVector{PDType} where PDType<:EnsembleKalmanProcesses.ParameterDistributions.ParameterDistributionType

  Vector of parameter distributions, defined in unconstrained space

• constraint::AbstractVector{CType} where CType<:EnsembleKalmanProcesses.ParameterDistributions.ConstraintType

  Vector of constraints defining transformations between constrained and unconstrained space

• name::AbstractVector{ST} where ST<:AbstractString

  Vector of parameter names

Constructors

ParameterDistribution(distribution, constraint, name)

defined at /home/runner/work/EnsembleKalmanProcesses.jl/EnsembleKalmanProcesses.jl/src/ParameterDistributions.jl:289.

ParameterDistribution(param_dist_dict)

defined at /home/runner/work/EnsembleKalmanProcesses.jl/EnsembleKalmanProcesses.jl/src/ParameterDistributions.jl:305.

ParameterDistribution(distribution, constraint, name)

defined at /home/runner/work/EnsembleKalmanProcesses.jl/EnsembleKalmanProcesses.jl/src/ParameterDistributions.jl:389.

ParameterDistribution(distribution_samples, constraint, name)

defined at /home/runner/work/EnsembleKalmanProcesses.jl/EnsembleKalmanProcesses.jl/src/ParameterDistributions.jl:431.

constrained_gaussian(
    name::AbstractString,
    μ_c::Real,
    σ_c::Real,
    lower_bound::Real,
    upper_bound::Real;
    repeats = 1,
    optim_algorithm::Optim.AbstractOptimizer = NelderMead(),
    optim_kwargs...,
)

Constructor for a 1D ParameterDistribution consisting of a transformed Gaussian, constrained to have support on [lower_bound, upper_bound], with first two moments μ_c and σ_c^2. The moment integrals can't be done in closed form, so we set the parameters of the distribution with numerical optimization.

n_samples(d<:Samples)

The number of samples in the array.

get_name(pd::ParameterDistribution)

Returns a list of ParameterDistribution names.

get_dimensions(pd::ParameterDistribution; function_parameter_opt = "dof")

The number of dimensions of the parameter space. (Also represents other dimensions of interest for FunctionParameterDistributionTypes with keyword argument)

get_n_samples(pd::ParameterDistribution)

The number of samples in a Samples distribution

get_all_constraints(pd::ParameterDistribution; return_dict = false)

Returns the (flattened) array of constraints of the parameter distribution. or as a dictionary ("param_name" => constraints)

get_bounds(c::Constraint{T})

Gets the parametric type T.

get_bounds(c::Constraint)

Gets the bounds field from the Constraint.

batch(pd::ParameterDistribution; function_parameter_opt = "dof")

Returns a list of contiguous [collect(1:i), collect(i+1:j),... ] used to split parameter arrays by distribution dimensions. function_parameter_opt is passed to ndims in the special case of FunctionParameterDistributionTypes.

get_distribution(pd::ParameterDistribution)

Returns a Dict of ParameterDistribution distributions, with the parameter names as dictionary keys. For parameters represented by Samples, the samples are returned as a 2D (parameter_dimension x n_samples) array.

gets the, distribution over the coefficients

sample([rng], pd::ParameterDistribution, [n_draws])

Draws n_draws samples from the parameter distributions pd. Returns an array, with parameters as columns. rng is optional and defaults to Random.GLOBAL_RNG. n_draws is optional and defaults to 1. Performed in computational space.

sample([rng], d::Samples, [n_draws])

Draws n_draws samples from the parameter distributions d. Returns an array, with parameters as columns. rng is optional and defaults to Random.GLOBAL_RNG. n_draws is optional and defaults to 1. Performed in computational space.

sample([rng], d::Parameterized, [n_draws])

Draws n_draws samples from the parameter distributions d. Returns an array, with parameters as columns. rng is optional and defaults to Random.GLOBAL_RNG. n_draws is optional and defaults to 1. Performed in computational space.

sample([rng], d::VectorOfParameterized, [n_draws])

Draws n_draws samples from the parameter distributions d. Returns an array, with parameters as columns. rng is optional and defaults to Random.GLOBAL_RNG. n_draws is optional and defaults to 1. Performed in computational space.

logpdf(pd::ParameterDistribution, xarray::Array{<:Real,1})

Obtains the independent logpdfs of the parameter distributions at xarray (non-Samples Distributions only), and returns their sum.

mean(pd::ParameterDistribution)

Returns a concatenated mean of the parameter distributions.

var(pd::ParameterDistribution)

Returns a flattened variance of the distributions

cov(pd::ParameterDistribution)

Returns a dense blocked (co)variance of the distributions.

transform_constrained_to_unconstrained(pd::ParameterDistribution, x::Array{Array{<:Real,2},1})

Apply the transformation to map parameter sample ensembles x from the (possibly) constrained space into unconstrained space. Here, x is an iterable of parameters sample ensembles for different EKP iterations.

transform_constrained_to_unconstrained(pd::ParameterDistribution, x::Array{Array{<:Real,2},1})

Apply the transformation to map parameter sample ensembles x from the (possibly) constrained space into unconstrained space. Here, x is an iterable of parameters sample ensembles for different EKP iterations.

transform_constrained_to_unconstrained(d::ParameterDistribution, x::Dict)

Apply the transformation to map (possibly constrained) parameter samples x into the unconstrained space. Here, x contains parameter names as keys, and 1- or 2-arrays as parameter samples.

transform_unconstrained_to_constrained(pd::ParameterDistribution, x::Array{Array{<:Real,2},1})

Apply the transformation to map parameter sample ensembles x from the unconstrained space into (possibly constrained) space. Here, x is an iterable of parameters sample ensembles for different EKP iterations.

transform_unconstrained_to_constrained(pd::ParameterDistribution, x::Array{Array{<:Real,2},1})

Apply the transformation to map parameter sample ensembles x from the unconstrained space into (possibly constrained) space. Here, x is an iterable of parameters sample ensembles for different EKP iterations.

transform_unconstrained_to_constrained(d::ParameterDistribution, x::Dict)

Apply the transformation to map (possibly constrained) parameter samples x into the unconstrained space. Here, x contains parameter names as keys, and 1- or 2-arrays as parameter samples.

abstract type GaussianRandomFieldsPackage

Type to dispatch which Gaussian Random Field package to use:

• GRFJL uses the Julia Package GaussianRandomFields.jl

struct GaussianRandomFieldInterface <: FunctionParameterDistributionType

GaussianRandomFieldInterface object based on a GRF package. Only a ND->1D output-dimension field interface is implemented.

Fields

• gaussian_random_field::Any

  GRF object, containing the mapping from the field of coefficients to the discrete function

• package::EnsembleKalmanProcesses.ParameterDistributions.GaussianRandomFieldsPackage

  the choice of GRF package

• distribution::EnsembleKalmanProcesses.ParameterDistributions.ParameterDistribution

  the distribution of the coefficients that we shall compute with

ndims(grfi::GaussianRandomFieldInterface, function_parameter_opt = "dof")

Provides a relevant number of dimensions in different circumstances, If function_parameter_opt =

• "dof" : returns n_dofs(grfi), the degrees of freedom in the function
• "eval" : returns n_eval_pts(grfi), the number of discrete evaluation points of the function
• "constraint": returns 1, the number of constraints in the evaluation space

get_all_constraints(grfi::GaussianRandomFieldInterface) = get_all_constraints(get_distribution(grfi))

gets all the constraints of the internally stored coefficient prior distribution of the GRFI

transform_constrained_to_unconstrained(d::GaussianRandomFieldInterface, constraint::AbstractVector, x::AbstractVector)

Assume x is a flattened vector of evaluation points. Remove the constraint from constraint to the output space of the function. Note this is the inverse of transform_unconstrained_to_constrained(...,build_flag=false)

transform_constrained_to_unconstrained(d::GaussianRandomFieldInterface, constraint::AbstractVector, x::AbstractMatrix)

Assume x is a matrix with columns as flattened samples of evaluation points. Remove the constraint from constraint to the output space of the function. Note this is the inverse of transform_unconstrained_to_constrained(...,build_flag=false)

transform_unconstrained_to_constrained(d::GaussianRandomFieldInterface, constraint::AbstractVector, x::AbstractVector)

Optional Args build_flag::Bool = true

Two functions, depending on build_flag If true, assume x is a vector of coefficients. Perform the following 3 maps.

1. Apply the transformation to map (possibly constrained) parameter samples x into the unconstrained space. Using internally stored constraints (given by the coefficient prior)
2. Build the unconstrained (flattened) function sample at the evaluation points from these constrained coefficients.
3. Apply the constraint from constraint to the output space of the function.

If false, Assume x is a flattened vector of evaluation points. Apply only step 3. above to x.

transform_unconstrained_to_constrained(d::GaussianRandomFieldInterface, constraint::AbstractVector, x::AbstractMatri)

Optional args: build_flag::Bool = true

Two functions, depending on build_flag If true, assume x is a matrix with columns of coefficient samples. Perform the following 3 maps.

1. Apply the transformation to map (possibly constrained) parameter samples x into the unconstrained space. Using internally stored constraints (given by the coefficient prior)
2. Build the unconstrained (flattened) function sample at the evaluation points from these constrained coefficients.
3. Apply the constraint from constraint to the output space of the function.

If false, Assume x is a matrix with columns as flattened samples of evaluation points. Apply only step 3. above to x.