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pypredvar.py
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pypredvar.py
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import numpy as np
import scipy
import pandas
import mat_handler as mhand
import pst_handler as phand
import pypredvar as pvar
class predvar():
'''
takes scaled q^(1/2)X so doesn't need param unc information
X should be scaled and shouldn't contain any zero-weight obs or regul obs
assumes pred vectors have been aligned with corrected X
'''
def __init__(self,jco,pred_vectors,singular_values,ref_var=1.0,\
verbose=False,jco_struct=None,pred_vectors_struct=None,\
struct_cov=None,par_cov=None,obs_cov=None,qhalf=None):
self.jco = jco
self.pred_vectors = pred_vectors
self.singular_values = singular_values
self.ref_var = ref_var
self.verbose = bool(verbose)
self.jco_struct = jco_struct
self.pred_vectors_struct = pred_vectors_struct
self.struct_cov = struct_cov
self.par_cov = par_cov
self.obs_cov = obs_cov
self.qhalf = qhalf
def calc(self):
print 'SVD on scaled q^(1/2)X'
try:
u,s_vec,vt = np.linalg.svd(self.jco)
v = vt.transpose()
except Exception as e:
print str(e)
print 'svd failed, trying SVD on (q^(1/2)X)^T'
try:
v,s_vec,u = scipy.linalg.svd(self.jco.transpose())
except Exception as e:
print 'both attempts of SVD failed...shit out of luck'
print str(e)
u = u.transpose()
#s_vec = s_vec **2
#--for testing
#u = np.loadtxt('u_py.mat')
#s_vec = np.loadtxt('s_py.mat')
#v = np.loadtxt('vt_py.mat').transpose()
if self.verbose:
np.savetxt('u_py.mat',u,fmt='%25.10E')
np.savetxt('s_py.mat',s_vec,fmt='%25.10E')
np.savetxt('vt_py.mat',vt,fmt='%25.10E')
s_inv = 1.0/s_vec
nrow,ncol = self.jco.shape
for i,[name,p] in enumerate(self.pred_vectors.iteritems()):
f = open(name,'w',0)
f.write('{0:10s} {1:15s} {2:15s}'.format('sing_val','first_term','second_term'))
f.write(' {0:15s}'.format('third_term'))
f.write(' {0:15s} {1:15s}\n'.format('total_var','st_dev'))
for sv in self.singular_values:
print name,sv,'\r',
if sv > self.jco.shape[1]:
first = 0.0
elif self.par_cov is None:
first = np.dot(p.transpose(),v[:,sv:])
first = np.dot(first,v[:,sv:].transpose())
first = np.dot(first,p)
else:
temp = np.dot(p.transpose(),v[:,sv:])
temp = np.dot(temp,v[:,sv:].transpose())
first = np.dot(temp,self.par_cov)
first = np.dot(first,temp.transpose())
if sv == 0.0:
second = 0.0
else:
if sv > s_vec.shape[0]:
second = 1.0e+35
else:
temp = np.dot(p.transpose(),v[:,:sv])
second = 0.0
for i in range(sv):
second += temp[0,i] * s_inv[i] * s_inv[i] * temp[0,i]
#if self.obs_cov is None:
# second = 0.0
# for i in range(sv):
# second += temp[0,i] * s_inv[i] * s_inv[i] * temp[0,i]
#else:
# for i in range(sv):
# temp[0,i] *= s_inv[i]
# temp = np.dot(temp,u[:,:sv].transpose())
# second = np.dot(temp,self.obs_cov)
# second = np.dot(second,temp.transpose())
#temp = np.dot(p.transpose(),v[:,:sv])
#for i in range(sv):
# temp[0,i] *= s_inv[i]
#temp = np.dot(temp,u[:,:sv].transpose())
#temp = np.dot(temp,self.qhalf)
#if self.obs_cov is None:
# second = np.dot(temp,temp.transpose())
#else:
# second = np.dot(temp,self.obs_cov)
# second = np.dot(second,temp.transpose())
if self.jco_struct is not None:
if sv > s_vec.shape[0]:
third = 1.0e+35
else:
ps = self.pred_vectors_struct[name]
temp = np.dot(p.transpose(),v[:,:sv])
for i in range(sv):
temp[0,i] *= s_inv[i]
temp = np.dot(temp,u[:,:sv].transpose())
#temp = np.dot(temp,self.qhalf)
temp = np.dot(temp,self.jco_struct).transpose()
temp -= ps
if self.struct_cov is None:
third = np.dot(temp.transpose(),temp)
else:
third = np.dot(temp.transpose(),self.struct_cov)
#print third.shape,temp.shape,self.struct_cov.shape
third = np.dot(third,temp)
else:
third = 0.0
tot_var = first + second + third
stdev = np.sqrt(tot_var)
line = '{0:10d} {1:15.6E} {2:15.6E} {3:15.6E} {4:15.6E} {5:15.6E}\n'\
.format(sv,float(first),float(second),float(third),float(tot_var),float(stdev))
f.write(line)
if second >= 1.0e+35:
break
f.close()