From 5ea6a8031772e799070fe1504521e4b7cc16b7af Mon Sep 17 00:00:00 2001
From: Le Roux Erwan <erwan.le-roux@irstea.fr>
Date: Fri, 20 Mar 2020 19:04:02 +0100
Subject: [PATCH] [quantile regression project] improve display for the
quantile regression simulation framework
---
.../AbstractSimulation.py | 21 +++++++++++++---
.../GevSimulation.py | 14 ++++++++++-
.../main_quantile_regression.py | 25 ++++++++++++-------
.../test_gev_simulations.py | 6 ++---
4 files changed, 50 insertions(+), 16 deletions(-)
diff --git a/projects/quantile_regression_vs_evt/AbstractSimulation.py b/projects/quantile_regression_vs_evt/AbstractSimulation.py
index bb35b518..f17d7b1c 100644
--- a/projects/quantile_regression_vs_evt/AbstractSimulation.py
+++ b/projects/quantile_regression_vs_evt/AbstractSimulation.py
@@ -32,6 +32,7 @@ class AbstractSimulation(object):
self.quantile = quantile
self.time_series_lengths = time_series_lengths
self.nb_time_series = nb_time_series
+ self.uncertainty_interval_size = 0.5
def generate_all_observation(self, nb_time_series, length) -> List[AbstractSpatioTemporalObservations]:
raise NotImplementedError
@@ -83,7 +84,8 @@ class AbstractSimulation(object):
length_to_error_values = OrderedDict()
for length, estimators_fitted in d_sub.items():
errors = self.compute_errors(length, estimators_fitted)
- error_values = [np.quantile(errors, q=0.025), np.mean(errors), np.quantile(errors, q=0.975)]
+ leftover = (1 - self.uncertainty_interval_size) / 2
+ error_values = [np.quantile(errors, q=leftover), np.mean(errors), np.quantile(errors, q=1-leftover)]
length_to_error_values[length] = error_values
d[model_class] = length_to_error_values
return d
@@ -92,15 +94,28 @@ class AbstractSimulation(object):
raise NotImplementedError
def plot_error_for_last_year_quantile(self, show=True):
+ # Display properties
+ alpha = 0.1
+ colors = ['green', 'orange', 'blue', 'red']
ax = plt.gca()
- for model_class, length_to_error_values in self.model_class_to_error_last_year_quantile.items():
+ for color, (model_class, length_to_error_values) in zip(colors, self.model_class_to_error_last_year_quantile.items()):
lengths = list(length_to_error_values.keys())
errors_values = np.array(list(length_to_error_values.values()))
mean_error = errors_values[:, 1]
label = get_display_name_from_object_type(model_class)
ax.plot(lengths, mean_error, label=label)
ax.set_xlabel('# Data')
- ax.set_ylabel('Relative error for the {} quantile at the last coordinate'.format(self.quantile))
+ ax.set_ylabel('Average (out of {} samples) relative error\nfor the {} quantile at the last coordinate (%)'.format(self.nb_time_series,
+ self.quantile))
+
+ lower_bound = errors_values[:, 0]
+ upper_bound = errors_values[:, 2]
+ # confidence_interval_str = '95 \% confidence interval'
+ ax.fill_between(lengths, lower_bound, upper_bound, color=color, alpha=alpha)
+ title = "{} + {}".format(get_display_name_from_object_type(type(self)),
+ get_display_name_from_object_type(self.transformation_class))
+ ax.set_title(title)
+
ax.legend()
if show:
plt.show()
diff --git a/projects/quantile_regression_vs_evt/GevSimulation.py b/projects/quantile_regression_vs_evt/GevSimulation.py
index a1dc5697..b14b36e7 100644
--- a/projects/quantile_regression_vs_evt/GevSimulation.py
+++ b/projects/quantile_regression_vs_evt/GevSimulation.py
@@ -59,7 +59,7 @@ class StationarySimulation(GevSimulation):
fit_method=TemporalMarginFitMethod.extremes_fevd_mle)
-class NonStationaryLocationSimulation(GevSimulation):
+class NonStationaryLocationGumbelSimulation(GevSimulation):
def create_model(self, coordinates):
gev_param_name_to_coef_list = {
@@ -69,3 +69,15 @@ class NonStationaryLocationSimulation(GevSimulation):
}
return NonStationaryLocationTemporalModel.from_coef_list(coordinates, gev_param_name_to_coef_list,
fit_method=TemporalMarginFitMethod.extremes_fevd_mle)
+
+
+class NonStationaryLocationGevSimulation(GevSimulation):
+
+ def create_model(self, coordinates):
+ gev_param_name_to_coef_list = {
+ GevParams.LOC: [0, 1],
+ GevParams.SHAPE: [0.3],
+ GevParams.SCALE: [1],
+ }
+ return NonStationaryLocationTemporalModel.from_coef_list(coordinates, gev_param_name_to_coef_list,
+ fit_method=TemporalMarginFitMethod.extremes_fevd_mle)
diff --git a/projects/quantile_regression_vs_evt/main_quantile_regression.py b/projects/quantile_regression_vs_evt/main_quantile_regression.py
index c13d6da7..6618762a 100644
--- a/projects/quantile_regression_vs_evt/main_quantile_regression.py
+++ b/projects/quantile_regression_vs_evt/main_quantile_regression.py
@@ -1,17 +1,24 @@
from extreme_fit.model.margin_model.linear_margin_model.temporal_linear_margin_models import StationaryTemporalModel, \
- NonStationaryLocationTemporalModel
+ NonStationaryLocationTemporalModel, NonStationaryLocationGumbelModel
from extreme_fit.model.quantile_model.quantile_regression_model import ConstantQuantileRegressionModel, \
TemporalCoordinatesQuantileRegressionModel
-from projects.quantile_regression_vs_evt.GevSimulation import StationarySimulation, NonStationaryLocationSimulation
+from projects.quantile_regression_vs_evt.GevSimulation import StationarySimulation, \
+ NonStationaryLocationGumbelSimulation, NonStationaryLocationGevSimulation
+from spatio_temporal_dataset.coordinates.transformed_coordinates.transformation.abstract_transformation import \
+ CenteredScaledNormalization, IdentityTransformation
+from spatio_temporal_dataset.coordinates.transformed_coordinates.transformation.uniform_normalization import \
+ BetweenZeroAndOneNormalization
nb_time_series = 10
-quantile = 0.9
+quantile = 0.98
time_series_lengths = [50, 100, 200]
+transformation_class = [IdentityTransformation, CenteredScaledNormalization][0]
+model_classes = [NonStationaryLocationTemporalModel, TemporalCoordinatesQuantileRegressionModel, NonStationaryLocationGumbelModel]
+simulation_class = [NonStationaryLocationGumbelSimulation, NonStationaryLocationGevSimulation][0]
-# simulation = StationarySimulation(nb_time_series=nb_time_series, quantile=quantile, time_series_lengths=time_series_lengths,
-# model_classes=[StationaryTemporalModel, ConstantQuantileRegressionModel])
-# simulation.plot_error_for_last_year_quantile()
-
-simulation = NonStationaryLocationSimulation(nb_time_series=nb_time_series, quantile=quantile, time_series_lengths=time_series_lengths,
- model_classes=[NonStationaryLocationTemporalModel, TemporalCoordinatesQuantileRegressionModel][:])
+simulation = NonStationaryLocationGumbelSimulation(nb_time_series=nb_time_series,
+ quantile=quantile,
+ time_series_lengths=time_series_lengths,
+ model_classes=model_classes,
+ transformation_class=transformation_class)
simulation.plot_error_for_last_year_quantile()
diff --git a/test/test_projects/test_quantile_regression/test_gev_simulations.py b/test/test_projects/test_quantile_regression/test_gev_simulations.py
index c2657ac6..b18321f3 100644
--- a/test/test_projects/test_quantile_regression/test_gev_simulations.py
+++ b/test/test_projects/test_quantile_regression/test_gev_simulations.py
@@ -5,7 +5,7 @@ from extreme_fit.model.margin_model.linear_margin_model.temporal_linear_margin_m
from extreme_fit.model.quantile_model.quantile_regression_model import ConstantQuantileRegressionModel, \
TemporalCoordinatesQuantileRegressionModel
from projects.quantile_regression_vs_evt.GevSimulation import GevSimulation, StationarySimulation, \
- NonStationaryLocationSimulation
+ NonStationaryLocationGumbelSimulation
class TestGevSimulations(unittest.TestCase):
@@ -17,8 +17,8 @@ class TestGevSimulations(unittest.TestCase):
simulation.plot_error_for_last_year_quantile(self.DISPLAY)
def test_non_stationary_run(self):
- simulation = NonStationaryLocationSimulation(nb_time_series=1, quantile=0.5, time_series_lengths=[50, 60],
- model_classes=[NonStationaryLocationTemporalModel,
+ simulation = NonStationaryLocationGumbelSimulation(nb_time_series=1, quantile=0.5, time_series_lengths=[50, 60],
+ model_classes=[NonStationaryLocationTemporalModel,
TemporalCoordinatesQuantileRegressionModel])
simulation.plot_error_for_last_year_quantile(self.DISPLAY)
--
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