Add Bq test problems (#838)

* first Genz function * another Genz function * Test functions for integration on [0,1]^d * Function to transform integrands from the cube to R^d * Integration test functions for Gaussian distributions * Monte Carlo tests for integrands and their integrals against uniform on [0,1]^d * adding missing packages for Monte Carlo tests * missing directory for Monte Carlo tests * Update test_quadproblems_uniform.py * Apply suggestions from code review Co-authored-by: Marvin Pförtner <[email protected]> * Apply suggestions from code review Co-authored-by: Marvin Pförtner <[email protected]> * Apply suggestions from code review Co-authored-by: Marvin Pförtner <[email protected]> * add rst file for documentation * Implemented Marvin's suggestions * fixed uniform_to_gaussian according to Marvin's comments * fixed sum_polynomials according to Marvin's comments * fixed sum_polynomials function * moved uniform_to_gaussian function to quadproblems_gaussian and added a version of the Genz continuous function transformed to R^d * Update _quadproblems_gaussian.py * Fixed uniform_to_gaussian_quadprob * Updated the documentation for quadproblems_gaussian * added shapes to documentation following Maren's comment * updated tests and removed stochasticity * load QuadratureProblems in all files where needed * Remove .DS_Store files * Fix tests * Fix pylint messages in `_quadproblems_uniform.py` * Fix more pylint messages * fix more pylint messages * Fix docs * Fix final pylint message * Fix `black` error * `Float{ArgType->Like}` * PyLint fixes * Add some more coverage * More test coverage in _quadproblems_uniform * increase test coverage * increase test coverage * Add some LaTeX math in docstrings * Update to latest probnum version (#585) * Add tests for integrands with Gaussian measure (#585) * rename var -> std in uniform_to_gaussian_quadprob * use pytest-cases * Fix example in uniform_to_gaussian_quadprob * Update docs/source/api/problems/zoo.quad.rst Co-authored-by: Jonathan Wenger <[email protected]> * Update src/probnum/problems/zoo/quad/_quadproblems_gaussian.py Co-authored-by: Jonathan Wenger <[email protected]> * Reduce runtime of MC sampling tests (#585) * samples 10000000 -> 100000 --------- Co-authored-by: Francois-Xavier Briol <[email protected]> Co-authored-by: Marvin Pförtner <[email protected]> Co-authored-by: kat <[email protected]> Co-authored-by: Jonathan Wenger <[email protected]> Co-authored-by: Jonathan Wenger <[email protected]>
probabilistic-numerics · Oct 25, 2023 · 60c2584 · 60c2584
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diff --git a/src/probnum/problems/zoo/__init__.py b/src/probnum/problems/zoo/__init__.py
@@ -1,7 +1,6 @@
 """Collection of test problems for probabilistic numerical methods.
 
-Subpackage offering implementations of standard example problems or
-convenient interfaces to benchmark problems for probabilistic numerical
-methods. These test problems are meant for rapid experimentation and
-prototyping.
+Subpackage offering implementations of standard example problems or convenient
+interfaces to benchmark problems for probabilistic numerical methods. These test
+problems are meant for rapid experimentation and prototyping.
 """
diff --git a/src/probnum/problems/zoo/quad/__init__.py b/src/probnum/problems/zoo/quad/__init__.py
@@ -1,6 +1,26 @@
 """Test problems for numerical integration/ quadrature."""
 
 from ._emukit_problems import circulargaussian2d, hennig1d, hennig2d, sombrero2d
+from ._quadproblems_gaussian import *
+from ._quadproblems_uniform import *
 
 # Public classes and functions. Order is reflected in documentation.
-__all__ = ["circulargaussian2d", "hennig1d", "hennig2d", "sombrero2d"]
+__all__ = [
+    "circulargaussian2d",
+    "hennig1d",
+    "hennig2d",
+    "sombrero2d",
+    "uniform_to_gaussian_quadprob",
+    "sum_polynomials",
+    "genz_continuous",
+    "genz_cornerpeak",
+    "genz_discontinuous",
+    "genz_gaussian",
+    "genz_oscillatory",
+    "genz_productpeak",
+    "bratley1992",
+    "roos_arnold",
+    "gfunction",
+    "morokoff_caflisch_1",
+    "morokoff_caflisch_2",
+]
diff --git a/src/probnum/problems/zoo/quad/_quadproblems_gaussian.py b/src/probnum/problems/zoo/quad/_quadproblems_gaussian.py
@@ -0,0 +1,232 @@
+"""Test problems for integration against a Gaussian measure."""
+
+from typing import Callable, Union
+
+import numpy as np
+from scipy import special
+from scipy.stats import norm
+
+from probnum.problems import QuadratureProblem
+from probnum.quad.integration_measures import GaussianMeasure
+from probnum.typing import FloatLike
+
+__all__ = [
+    "uniform_to_gaussian_quadprob",
+    "sum_polynomials",
+]
+
+
+# Construct transformation of the integrand
+def uniform_to_gaussian_integrand(
+    fun: Callable[[np.ndarray], np.ndarray],
+    mean: Union[float, np.floating, np.ndarray] = 0.0,
+    std: Union[float, np.floating, np.ndarray] = 1.0,
+) -> Callable[[np.ndarray], np.ndarray]:
+    # mean and var should be either one-dimensional
+    if isinstance(mean, np.ndarray):
+        if len(mean.shape) != 1:
+            raise TypeError(
+                "The mean parameter should be a float or a d-dimensional array."
+            )
+
+    if isinstance(std, np.ndarray):
+        if len(std.shape) != 1:
+            raise TypeError(
+                "The std parameter should be a float or a d-dimensional array."
+            )
+
+    def new_func(x):
+        return fun(norm.cdf(x, loc=mean, scale=std))
+
+    return new_func
+
+
+def uniform_to_gaussian_quadprob(
+    quadprob: QuadratureProblem,
+    mean: Union[float, np.floating, np.ndarray] = 0.0,
+    std: Union[float, np.floating, np.ndarray] = 1.0,
+) -> QuadratureProblem:
+    r"""Creates a new QuadratureProblem for integration against a Gaussian on
+    :math:`\mathbb{R}^d` by using an existing QuadratureProblem whose integrand is
+    suitable for integration against the Lebesgue measure on :math:`[0,1]^d`.
+
+    The multivariate Gaussian is of the form :math:`\mathcal{N}(mean \cdot (1, \dotsc,
+    1)^\top, var^2 \cdot I_d)`.
+
+    Using the change of variable formula, we have that
+
+    .. math::  \int_{[0,1]^d} f(x) dx = \int_{\mathbb{R}^d} h(x) \phi(x) dx
+
+    where :math:`h(x)=f(\Phi((x-mean)/var))`, :math:`\phi(x)` is the Gaussian
+    probability density function and :math:`\Phi(x)` an elementwise application of the
+    Gaussian cumulative distribution function. See [1]_.
+
+    Parameters
+    ----------
+    quadprob
+        A QuadratureProblem instance which includes an integrand defined on [0,1]^d
+    mean
+        Mean of the Gaussian distribution. If `float`, mean is set to the same value
+        across all dimensions. Else, specifies the mean as a d-dimensional array.
+    std
+        Diagonal element for the covariance matrix of the Gaussian distribution. If
+        `float`, the covariance matrix has the same diagonal value for all dimensions.
+        Else, specifies the covariance matrix via a d-dimensional array.
+
+    Returns
+    -------
+    problem
+        A new Quadrature Problem instance with a transformed integrand taking inputs in
+        :math:`\mathbb{R}^d`.
+
+    Raises
+    ------
+    ValueError
+        If the original quadrature problem is over a domain other than [0, 1]^d or if it
+        does not have a scalar solution.
+
+    Example
+    -------
+    Convert the uniform continuous Genz problem to a Gaussian quadrature problem.
+
+    >>> import numpy as np
+    >>> from probnum.problems.zoo.quad import genz_continuous
+    >>> gaussian_quadprob = uniform_to_gaussian_quadprob(genz_continuous(1))
+    >>> gaussian_quadprob.fun(np.array([[0.]]))
+    array([[1.]])
+
+    References
+    ----------
+    .. [1] Si, S., Oates, C. J., Duncan, A. B., Carin, L. & Briol. F-X. (2021). Scalable
+       control variates for Monte Carlo methods via stochastic optimization. Proceedings
+       of the 14th Monte Carlo and Quasi-Monte Carlo Methods (MCQMC) conference 2020.
+       arXiv:2006.07487.
+    """
+    lower_bd, upper_bd = quadprob.measure.domain
+
+    # Check that the original quadrature problem was defined on [0,1]^d
+    if np.any(lower_bd != 0.0):
+        raise ValueError("quadprob is not an integration problem over [0,1]^d")
+    if np.any(upper_bd != 1.0):
+        raise ValueError("quadprob is not an integration problem over [0,1]^d")
+
+    # Check that the original quadrature problem has a scalar valued solution
+    if np.ndim(quadprob.solution) != 0:
+        raise ValueError("The solution of quadprob is not a scalar.")
+
+    dim = lower_bd.shape[0]
+
+    cov = std**2
+    if isinstance(std, np.ndarray):
+        cov = np.eye(dim) * cov
+    gaussian_measure = GaussianMeasure(mean=mean, cov=cov, input_dim=dim)
+    return QuadratureProblem(
+        fun=uniform_to_gaussian_integrand(fun=quadprob.fun, mean=mean, std=std),
+        measure=gaussian_measure,
+        solution=quadprob.solution,
+    )
+
+
+def sum_polynomials(
+    dim: int, a: np.ndarray = None, b: np.ndarray = None, var: FloatLike = 1.0
+) -> QuadratureProblem:
+    r"""Quadrature problem with an integrand taking the form of a sum of polynomials
+    over :math:`\mathbb{R}^d`.
+
+    .. math::  f(x) = \sum_{j=0}^p \prod_{i=1}^dim a_{ji} x_i^{b_ji}
+
+    The integrand is integrated against a multivariate normal :math:`\mathcal{N}(0,var *
+    I_d)`. See [1]_.
+
+    Parameters
+    ----------
+    dim
+        Dimension d of the integration domain
+    a
+        2d-array of size (p+1)xd giving coefficients of the polynomials.
+    b
+        2d-array of size (p+1)xd giving orders of the polynomials. All entries
+        should be natural numbers.
+    var
+        diagonal elements of the covariance function.
+
+    Returns
+    -------
+    f
+        array of size (n,1) giving integrand evaluations at points in 'x'.
+
+    Raises
+    ------
+    ValueError
+        If the given parameters have the wrong shape or contain invalid values.
+
+    References
+    ----------
+    .. [1] Si, S., Oates, C. J., Duncan, A. B., Carin, L. & Briol. F-X. (2021). Scalable
+       control variates for Monte Carlo methods via stochastic optimization. Proceedings
+       of the 14th Monte Carlo and Quasi-Monte Carlo Methods (MCQMC) conference 2020.
+       arXiv:2006.07487.
+    """
+
+    # Specify default values of parameters a and u
+    if a is None:
+        a = np.broadcast_to(1.0, (1, dim))
+    if b is None:
+        b = np.broadcast_to(1, (1, dim))
+
+    if len(a.shape) != 2:
+        raise ValueError(
+            f"Invalid shape {a.shape} for parameter `a`. "
+            f"Expected parameters of shape (p+1)xdim"
+        )
+
+    if len(b.shape) != 2:
+        raise ValueError(
+            f"Invalid shape {b.shape} for parameter `b`. "
+            f"Expected parameters of shape (p+1)xdim"
+        )
+
+    # Check that the parameters have valid values and shape
+    if a.shape[1] != dim:
+        raise ValueError(
+            f"Invalid shape {a.shape} for parameter `a`. Expected {dim} columns."
+        )
+
+    if b.shape[1] != dim:
+        raise ValueError(
+            f"Invalid shape {b.shape} for parameter `b`. Expected {dim} columns."
+        )
+
+    if np.any(b < 0):
+        raise ValueError("The parameters `b` must be non-negative.")
+
+    def integrand(x: np.ndarray) -> np.ndarray:
+        n = x.shape[0]
+
+        # Compute function values
+        f = np.sum(
+            np.prod(
+                a[np.newaxis, :, :] * (x[:, np.newaxis, :] ** b[np.newaxis, :, :]),
+                axis=2,
+            ),
+            axis=1,
+        )
+
+        # Return function values as a 2d array with one column.
+        return f.reshape((n, 1))
+
+    # Return function values as a 2d array with one column.
+    delta = (np.remainder(b, 2) - 1) ** 2
+    doublefact = special.factorial2(b - 1)
+    solution = np.sum(np.prod(a * delta * (var**b) * doublefact, axis=1))
+    if isinstance(var, float):
+        mean = 0.0
+    else:
+        mean = np.zeros(dim)
+
+    gaussian_measure = GaussianMeasure(mean=mean, cov=var, input_dim=dim)
+    return QuadratureProblem(
+        fun=integrand,
+        measure=gaussian_measure,
+        solution=solution,
+    )