.. _mfck-ref-label: Multi-Fidelity Co-Kriging (MFCK) ================================ MFCK is a multi-fidelity modeling method similar to MFK which uses an autoregressive model of order 1 (AR1). .. math :: y_\text{high}({\bf x})=\rho(x) \cdot y_\text{low}({\bf x}) + \delta({\bf x}) where :math:`\rho(x)` is a scaling/correlation factor (constant for MFCK) and :math:`\delta(\cdot)` is a discrepancy function. The additive AR1 formulation was first introduced by Kennedy and O'Hagan [1]_. While MFK follows the recursive formulation of Le Gratiet [2]_. MFCK uses ab block-wise matrix construction for :math:`n` levels of fidelity offering freedom in terms of data input assumptions. References ---------- .. [1] Kennedy, M.C. and O'Hagan, A., Bayesian calibration of computer models. Journal of the Royal Statistical Society. 2001 .. [2] Le Gratiet, L., Multi-fidelity Gaussian process regression for computer experiments. PhD Thesis. 2013 Usage ----- .. code-block:: python import matplotlib.pyplot as plt import numpy as np from smt.applications.mfck import MFCK from smt.sampling_methods import LHS # low fidelity model def lf_function(x): import numpy as np return ( 0.5 * ((x * 6 - 2) ** 2) * np.sin((x * 6 - 2) * 2) + (x - 0.5) * 10.0 - 5 ) # high fidelity model def hf_function(x): import numpy as np return ((x * 6 - 2) ** 2) * np.sin((x * 6 - 2) * 2) rnd_state = 1 # Problem set up xlimits = np.array([[0.0, 1.0]]) # Example with non-nested input data Obs_HF = 7 # Number of observations of HF Obs_LF = 14 # Number of observations of LF # Creation of LHS for non-nested LF data sampling = LHS( xlimits=xlimits, criterion="ese", random_state=rnd_state, ) xt_e_non = sampling(Obs_HF) xt_c_non = sampling(Obs_LF) # Evaluate the LF function yt_e_non = hf_function(xt_e_non) yt_c_non = lf_function(xt_c_non) sm_non_nested = MFCK( theta0=xt_e_non.shape[1] * [0.5], theta_bounds=[1e-2, 100], corr="squar_exp" ) sm_non_nested.options["lambda"] = 0.0 # Without regularization # low-fidelity dataset names being integers from 0 to level-1 sm_non_nested.set_training_values(xt_c_non, yt_c_non, name=0) # high-fidelity dataset without name sm_non_nested.set_training_values(xt_e_non, yt_e_non) # train the model sm_non_nested.train() x = np.linspace(0, 1, 101, endpoint=True).reshape(-1, 1) m_non_nested, c_non_nested = sm_non_nested.predict_all_levels(x) plt.figure() plt.title("Example with non-nested input data") plt.plot(x, hf_function(x), label="reference HF") plt.plot(x, lf_function(x), label="reference LF") plt.plot(x, m_non_nested[1], linestyle="-.", label="mean_gp_non_nested") plt.scatter(xt_e_non, yt_e_non, marker="o", color="k", label="HF doe") plt.scatter( xt_c_non, yt_c_non, marker="*", color="c", label="LF non-nested doe" ) plt.legend(loc=0) plt.ylim(-10, 17) plt.xlim(-0.1, 1.1) plt.xlabel(r"$x$") plt.ylabel(r"$y$") plt.show() .. figure:: mfck_TestMFCK_run_mfck_example.png :scale: 80 % :align: center Options ------- .. list-table:: List of options :header-rows: 1 :widths: 15, 10, 20, 20, 30 :stub-columns: 0 * - Option - Default - Acceptable values - Acceptable types - Description * - print_global - True - None - ['bool'] - Global print toggle. If False, all printing is suppressed * - print_training - True - None - ['bool'] - Whether to print training information * - print_prediction - True - None - ['bool'] - Whether to print prediction information * - print_problem - True - None - ['bool'] - Whether to print problem information * - print_solver - True - None - ['bool'] - Whether to print solver information * - poly - constant - ['constant', 'linear', 'quadratic'] - ['str'] - Regression function type * - corr - squar_exp - ['pow_exp', 'abs_exp', 'squar_exp', 'act_exp', 'matern52', 'matern32'] - ['str', 'Kernel'] - Correlation function type * - pow_exp_power - 1.9 - None - ['float'] - Power for the pow_exp kernel function (valid values in (0.0, 2.0]). This option is set automatically when corr option is squar, abs, or matern. * - categorical_kernel - MixIntKernelType.CONT_RELAX - [, , , , ] - None - The kernel to use for categorical inputs. Only for non continuous Kriging * - hierarchical_kernel - MixHrcKernelType.ALG_KERNEL - [, ] - None - The kernel to use for mixed hierarchical inputs. Only for non continuous Kriging * - nugget - 2.220446049250313e-14 - None - ['float'] - a jitter for numerical stability * - theta0 - [0.01] - None - ['list', 'ndarray'] - Initial hyperparameters * - theta_bounds - [1e-06, 20.0] - None - ['list', 'ndarray'] - bounds for hyperparameters * - hyper_opt - TNC - ['Cobyla', 'TNC', 'NoOp'] - None - Optimiser for hyperparameters optimisation * - eval_noise - False - [True, False] - ['bool'] - noise evaluation flag * - noise0 - [0.0] - None - ['list', 'ndarray'] - Initial noise hyperparameters * - noise_bounds - [2.220446049250313e-14, 10000000000.0] - None - ['list', 'ndarray'] - bounds for noise hyperparameters * - use_het_noise - False - [True, False] - ['bool'] - heteroscedastic noise evaluation flag * - n_start - 10 - None - ['int'] - number of optimizer runs (multistart method) * - xlimits - None - None - ['list', 'ndarray'] - definition of a design space of float (continuous) variables: array-like of size nx x 2 (lower, upper bounds) * - design_space - None - None - ['BaseDesignSpace', 'list', 'ndarray'] - definition of the (hierarchical) design space: use `smt.design_space.DesignSpace` as the main API. Also accepts list of float variable bounds * - is_ri - False - None - ['bool'] - activate reinterpolation for noisy cases * - random_state - 41 - None - ['NoneType', 'int', 'RandomState'] - Numpy RandomState object or seed number which controls random draws for internal optim (set by default to get reproductibility) * - rho0 - 1.0 - None - ['float'] - Initial rho for the autoregressive model , (scalar factor between two consecutive fidelities, e.g., Y_HF = (Rho) * Y_LF + Gamma * - rho_bounds - [-5.0, 5.0] - None - ['list', 'ndarray'] - Bounds for the rho parameter used in the autoregressive model * - sigma0 - 1.0 - None - ['float'] - Initial variance parameter * - sigma_bounds - [0.01, 100] - None - ['list', 'ndarray'] - Bounds for the variance parameter * - lambda - 0.1 - None - ['float'] - Regularization parameter