Evaluation of uncertainties

The evaluation of uncertainties is a fundamental part of the measurement analysis in metrology. The analysis of dynamic measurements typically involves methods from signal processing, such as digital filtering, the discrete Fourier transform (DFT), or simple tasks like interpolation. For most of these tasks, methods are readily available, for instance, as part of scipy.signal. This module of PyDynamic provides the corresponding methods for the evaluation of uncertainties.

The package consists of the following modules:

Uncertainty evaluation for convolutions

This module assists in uncertainty propagation for the convolution operation

The convolution operation is a common operation in signal and data processing. Convolving signals is mathematically similar to a filter application.

This module contains the following function:

  • convolve_unc(): Convolution with uncertainty propagation based on FIR-filter

PyDynamic.uncertainty.propagate_convolution.convolve_unc(x1, U1, x2, U2, mode='full')[source]

Discrete convolution of two signals with uncertainty propagation

This function supports the convolution modes of numpy.convolve() and scipy.ndimage.convolve1d().

Note

The option to provide the uncertainties as 1D-arrays of standard uncertainties is given for convenience only. It does not result in any performance benefits, as they are internally just converted into a diagonal covariance matrix. Moreover, the output will always be a full covariance matrix (and will almost always have off-diagonal entries in practical scenarios).

Parameters
  • x1 (np.ndarray, (N,)) – first input signal

  • U1 (np.ndarray, (N,) or (N, N)) –

    • 1D-array: standard uncertainties associated with x1 (corresponding to uncorrelated entries of x1)

    • 2D-array: full 2D-covariance matrix associated with x1

    • None: corresponds to a fully certain signal x1, results in more efficient calculation (compared to using np.zeros(…))

  • x2 (np.ndarray, (M,)) – second input signal

  • U2 (np.ndarray, (M,) or (M, M)) –

    • 1D-array: standard uncertainties associated with x2 (corresponding to uncorrelated entries of x2)

    • 2D-array: full 2D-covariance matrix associated with x2

    • None: corresponds to a fully certain signal x2, results in more efficient calculation (compared to using np.zeros(…))

  • mode (str, optional) –

    numpy.convolve()-modes:

    • full: len(y) == N+M-1 (default)

    • valid: len(y) == max(M, N) - min(M, N) + 1

    • same: len(y) == max(M, N) (value+covariance are padded with zeros)

    scipy.ndimage.convolve1d()-modes:

    • nearest: len(y) == N (value+covariance are padded with by stationary assumption)

    • reflect: len(y) == N

    • mirror: len(y) == N

Returns

  • conv (np.ndarray) – convoluted output signal

  • Uconv (np.ndarray) – full 2D-covariance matrix of y

References

Uncertainty evaluation for the DFT

Functions for the propagation of uncertainties in the application of the DFT

The PyDynamic.uncertainty.propagate_DFT module implements functions for the propagation of uncertainties in the application of the DFT, inverse DFT, deconvolution and multiplication in the frequency domain, transformation from amplitude and phase to real and imaginary parts and vice versa.

The corresponding scientific publications is

S. Eichstädt und V. Wilkens GUM2DFT — a software tool for uncertainty evaluation of transient signals in the frequency domain. Measurement Science and Technology, 27(5), 055001, 2016. [DOI: 10.1088/0957-0233/27/5/055001]

This module contains the following functions:

  • GUM_DFT(): Calculation of the DFT of the time domain signal x and propagation of the squared uncertainty Ux associated with the time domain sequence x to the real and imaginary parts of the DFT of x

  • GUM_iDFT(): GUM propagation of the squared uncertainty UF associated with the DFT values F through the inverse DFT

  • GUM_DFTfreq(): Return the Discrete Fourier Transform sample frequencies

  • DFT_transferfunction(): Calculation of the transfer function H = Y/X in the frequency domain with X being the Fourier transform of the system’s input signal and Y that of the output signal

  • DFT_deconv(): Deconvolution in the frequency domain

  • DFT_multiply(): Multiplication in the frequency domain

  • AmpPhase2DFT(): Transformation from magnitude and phase to real and imaginary parts

  • DFT2AmpPhase(): Transformation from real and imaginary parts to magnitude and phase

  • AmpPhase2Time(): Transformation from amplitude and phase to time domain

  • Time2AmpPhase(): Transformation from time domain to amplitude and phase

PyDynamic.uncertainty.propagate_DFT.AmpPhase2DFT(A: ndarray, P: ndarray, UAP: ndarray, keep_sparse: bool = False) Tuple[ndarray, ndarray][source]

Transformation from magnitude and phase to real and imaginary parts

Calculate the vector F=[real,imag] and propagate the covariance matrix UAP associated with [A, P]

Parameters
  • A (np.ndarray of shape (N,)) – vector of magnitude values

  • P (np.ndarray of shape (N,)) – vector of phase values (in radians)

  • UAP (np.ndarray of shape (2N,2N) or of shape (2N,)) – covariance matrix associated with (A,P) or vector of squared standard uncertainties [u^2(A),u^2(P)]

  • keep_sparse (bool, optional) – whether to transform sparse matrix to numpy array or not

Returns

  • F (np.ndarray of shape (2N,)) – vector of real and imaginary parts of DFT result

  • UF (np.ndarray of shape (2N,2N)) – covariance matrix associated with F

Raises

ValueError – If dimensions of A, P and UAP do not match.

PyDynamic.uncertainty.propagate_DFT.AmpPhase2Time(A: ndarray, P: ndarray, UAP: ndarray) Tuple[ndarray, ndarray][source]

Transformation from amplitude and phase to time domain

GUM propagation of covariance matrix UAP associated with DFT amplitude A and phase P to the result of the inverse DFT. Uncertainty UAP is assumed to be given for amplitude and phase with blocks: UAP = [[u(A,A), u(A,P)],[u(P,A),u(P,P)]]

Parameters
  • A (np.ndarray of shape (N, )) – vector of amplitude values

  • P (np.ndarray of shape (N, )) – vector of phase values (in rad)

  • UAP (np.ndarray of shape (2N, 2N)) – covariance matrix associated with [A,P]

Returns

  • x (np.ndarray of shape (N, )) – vector of time domain values

  • Ux (np.ndarray of shape (2N, 2N)) – covariance matrix associated with x

Raises

ValueError – If dimension of UAP is not even.

PyDynamic.uncertainty.propagate_DFT.DFT2AmpPhase(F: ndarray, UF: ndarray, keep_sparse: bool = False, tol: float = 1.0, return_type: str = 'separate') Union[Tuple[ndarray, ndarray], Tuple[ndarray, ndarray, ndarray]][source]

Transformation from real and imaginary parts to magnitude and phase

Calculate the matrix U_AP = [[U1,U2],[U2^T,U3]] associated with magnitude and phase of the vector F=[real,imag] with associated covariance matrix U_F=[[URR,URI],[URI^T,UII]]

Parameters
  • F (np.ndarray of shape (2M,)) – vector of real and imaginary parts of a DFT result

  • UF (np.ndarray of shape (2M,2M)) – covariance matrix associated with F

  • keep_sparse (bool, optional) – if true then UAP will be sparse if UF is one-dimensional

  • tol (float, optional) – lower bound for A/uF below which a warning will be issued concerning unreliable results

  • return_type (str, optional) – If “separate” then magnitude and phase are returned as separate arrays A and P. Otherwise the list [A, P] is returned

  • separate (If return_type ==) –

Returns

  • A (np.ndarray) – vector of magnitude values

  • P (np.ndarray) – vector of phase values in radians, in the range [-pi, pi], but only present if return_type = 'separate'

  • UAP (np.ndarray) – covariance matrix associated with (A,P)

  • Otherwise

Returns

  • AP (np.ndarray) – vector of magnitude and phase values

  • UAP (np.ndarray) – covariance matrix associated with AP

PyDynamic.uncertainty.propagate_DFT.DFT_deconv(H: ndarray, Y: ndarray, UH: ndarray, UY: ndarray) Tuple[ndarray, Union[Tuple[ndarray, ndarray, ndarray], ndarray]][source]

Deconvolution in the frequency domain

GUM propagation of uncertainties for the deconvolution X = Y/H with Y and H being the Fourier transform of the measured signal and of the system’s impulse response, respectively.

This function returns the covariance matrix as a tuple of blocks if too large for complete storage in memory.

Parameters
  • H (np.ndarray of shape (2M,)) – real and imaginary parts of frequency response values (M an even integer)

  • Y (np.ndarray of shape (2M,)) – real and imaginary parts of DFT values

  • UH (np.ndarray of shape (2M,2M) or (2M,)) – full covariance or diagonal of the covariance matrix associated with H

  • UY (np.ndarray of shape (2M,2M) or (2M,)) – full covariance or diagonal of the covariance matrix associated with Y

Returns

  • X (np.ndarray of shape (2M,)) – real and imaginary parts of DFT values of deconv result

  • UX (np.ndarray of shape (2M,2M) or 3-tuple of np.ndarray of shape (M,M)) – Covariance matrix associated with real and imaginary part of X. If the matrix fully assembled does not fit the memory, we return the auto-covariance for the real parts URRX and the imaginary parts UIIX and the covariance between the real and imaginary parts URIX as separate np.ndarrays arranged as follows: (URRX, URIX, UIIX)

References

Raises

ValueError – If dimensions of H, Y, UY and UH do not match accordingly.

PyDynamic.uncertainty.propagate_DFT.DFT_multiply(Y: ndarray, F: ndarray, UY: ndarray, UF: Optional[ndarray] = None) Tuple[ndarray, ndarray][source]

Multiplication in the frequency domain

GUM uncertainty propagation for multiplication in the frequency domain, where the second factor F may have an associated uncertainty. This method can be used, for instance, for the application of a low-pass filter in the frequency domain or the application of deconvolution as a multiplication with an inverse of known uncertainty.

Parameters
  • Y (np.ndarray of shape (2M,)) – real and imaginary parts of the first factor

  • F (np.ndarray of shape (2M,)) – real and imaginary parts of the second factor

  • UY (np.ndarray either of shape (2M,) or of shape (2M,2M)) – covariance matrix or squared uncertainty associated with Y

  • UF (np.ndarray of shape (2M,2M), optional) – covariance matrix associated with F

Returns

  • YF (np.ndarray of shape (2M,)) – the product of Y and F

  • UYF (np.ndarray of shape (2M,2M)) – the uncertainty associated with YF

Raises

ValueError – If dimensions of Y and F do not match.

PyDynamic.uncertainty.propagate_DFT.DFT_transferfunction(X, Y, UX, UY)[source]

Calculation of the transfer function H = Y/X in the frequency domain

Calculate the transfer function with X being the Fourier transform of the system’s input signal and Y that of the output signal.

Parameters
  • X (np.ndarray) – real and imaginary parts of the system’s input signal

  • Y (np.ndarray) – real and imaginary parts of the system’s output signal

  • UX (np.ndarray) – covariance matrix associated with X

  • UY (np.ndarray) – covariance matrix associated with Y

Returns

  • H (np.ndarray) – real and imaginary parts of the system’s frequency response

  • UH (np.ndarray) – covariance matrix associated with H

  • This function only calls DFT_deconv.

PyDynamic.uncertainty.propagate_DFT.GUM_DFT(x: ndarray, Ux: Union[ndarray, float], N: Optional[int] = None, window: Optional[ndarray] = None, CxCos: Optional[ndarray] = None, CxSin: Optional[ndarray] = None, returnC: bool = False, mask: Optional[ndarray] = None) Union[Tuple[ndarray, Union[Tuple[ndarray, ndarray, ndarray], ndarray]], Tuple[ndarray, Union[Tuple[ndarray, ndarray, ndarray], ndarray], Dict[str, ndarray]]][source]

Calculation of the DFT with propagation of uncertainty

Calculation of the DFT of the time domain signal x and propagation of the squared uncertainty Ux associated with the time domain sequence x to the real and imaginary parts of the DFT of x.

Parameters
  • x (np.ndarray of shape (M,)) – vector of time domain signal values

  • Ux (np.ndarray of shape (M,) or of shape (M,M) or float) – covariance matrix associated with x, or vector of squared standard uncertainties, or noise variance as float

  • N (int, optional) – length of time domain signal for DFT; N>=len(x)

  • window (np.ndarray of shape (M,), optional) – vector of the time domain window values

  • CxCos (np.ndarray, optional) – cosine part of sensitivity matrix

  • CxSin (np.ndarray, optional) – sine part of sensitivity matrix

  • returnC (bool, optional) – if True, return sensitivity matrix blocks, if False (default) do not return them

  • mask (ndarray of dtype bool, optional) – calculate DFT values and uncertainties only at those frequencies where mask is True

Returns

  • F (np.ndarray) – vector of complex valued DFT values or of its real and imaginary parts

  • UF (np.ndarray) – covariance matrix associated with real and imaginary part of F

  • CxCos and CxSin (Dict) – Keys are “CxCos”, “CxSin” and values the respective sensitivity matrix entries

References

Raises

ValueError – If N < len(x)

PyDynamic.uncertainty.propagate_DFT.GUM_DFTfreq(N, dt=1)[source]

Return the Discrete Fourier Transform sample frequencies

Parameters
  • N (int) – window length

  • dt (float) – sample spacing (inverse of sampling rate)

Returns

f – Array of length n//2 + 1 containing the sample frequencies

Return type

ndarray

See also

None

:numpy.fft.rfftfreq

PyDynamic.uncertainty.propagate_DFT.GUM_iDFT(F: ndarray, UF: ndarray, Nx: Optional[int] = None, Cc: Optional[ndarray] = None, Cs: Optional[ndarray] = None, returnC: bool = False) Union[Tuple[ndarray, ndarray], Tuple[ndarray, ndarray, Dict[str, ndarray]]][source]

Propagation of squared uncertainties UF associated with the DFT values F

GUM propagation of the squared uncertainties UF associated with the DFT values F through the inverse DFT.

The matrix UF is assumed to be for real and imaginary part with blocks: UF = [[u(R,R), u(R,I)],[u(I,R),u(I,I)]] and real and imaginary part obtained from calling rfft (DFT for real-valued signal)

Parameters
  • F (np.ndarray of shape (2M,)) – vector of real and imaginary parts of a DFT result

  • UF (np.ndarray of shape (2M,2M)) – covariance matrix associated with real and imaginary parts of F

  • Nx (int, optional) – number of samples of iDFT result

  • Cc (np.ndarray, optional) – cosine part of sensitivities (without scaling factor 1/N)

  • Cs (np.ndarray, optional) – sine part of sensitivities (without scaling factor 1/N)

  • returnC (bool, optional) – If True, return sensitivity matrix blocks (without scaling factor 1/N), if False do not return them

Returns

  • x (np.ndarray) – vector of time domain signal values

  • Ux (np.ndarray) – covariance matrix associated with x

  • Cc and Cs (Dict) – Keys are “Cc”, “Cs” and values the respective sensitivity matrix entries

References

Raises

ValueError – If Nx is not smaller than dimension of UF - 2

PyDynamic.uncertainty.propagate_DFT.Time2AmpPhase(x: ndarray, Ux: Union[ndarray, float]) Tuple[ndarray, ndarray, ndarray][source]

Transformation from time domain to amplitude and phase via DFT

Parameters
  • x (np.ndarray of shape (N,)) – time domain signal

  • Ux (np.ndarray of shape (N,) or of shape (N,N) or float) – covariance matrix associated with x, or vector of squared standard uncertainties, or noise variance as float

Returns

  • A (np.ndarray) – amplitude values

  • P (np.ndarray) – phase values

  • UAP (np.ndarray) – covariance matrix associated with [A,P]

PyDynamic.uncertainty.propagate_DFT.Time2AmpPhase_multi(x, Ux, selector=None)[source]

Transformation from time domain to amplitude and phase

Perform transformation for a set of M signals of the same type.

Parameters
  • x (np.ndarray of shape (M, nx)) – M time domain signals of length nx

  • Ux (np.ndarray of shape (M,)) – squared standard deviations representing noise variances of the signals x

  • selector (np.ndarray of shape (L,), optional) – indices of amplitude and phase values that should be returned; default is 0:N-1

Returns

  • A (np.ndarray of shape (M,N)) – amplitude values

  • P (np.ndarray of shape (M,N)) – phase values

  • UAP (np.ndarray of shape (M, 3N)) – diagonals of the covariance matrices: [diag(UAA), diag(UAP), diag(UPP)]

Uncertainty evaluation for the DWT

This module assists in uncertainty propagation for the discrete wavelet transform

The PyDynamic.uncertainty.propagate_DWT module implements methods for the propagation of uncertainties in the application of the discrete wavelet transform (DWT).

This modules contains the following functions:

PyDynamic.uncertainty.propagate_DWT.dwt(x, Ux, lowpass, highpass, states=None, realtime=False, subsample_start=1)[source]

Apply low-pass lowpass and high-pass highpass to time-series data x

The uncertainty is propagated through the transformation by using PyDynamic.uncertainty.propagate_filter.IIRuncFilter().

Return the subsampled results.

Parameters
  • x (np.ndarray) – filter input signal

  • Ux (float or np.ndarray) – float: standard deviation of white noise in x 1D-array: point-wise standard uncertainties of non-stationary white noise

  • lowpass (np.ndarray) – FIR filter coefficients representing a low-pass for decomposition

  • highpass (np.ndarray) – FIR filter coefficients representing a high-pass for decomposition

  • states (dictionary of internal high/lowpass-filter states, optional (default: None)) – allows to continue at the last used internal state from previous call

  • realtime (Boolean, optional (default: False)) – for realtime applications, no signal padding has to be done before decomposition

  • subsample_start (int, optional (default: 1)) – At which position the subsampling should start, typically 1 (default) or 0. You should be happy with the default. We only need this to realize wave_dec_realtime().

Returns

  • c_approx (np.ndarray) – subsampled low-pass output signal

  • U_approx (np.ndarray) – subsampled low-pass output uncertainty

  • c_detail (np.ndarray) – subsampled high-pass output signal

  • U_detail (np.ndarray) – subsampled high-pass output uncertainty

  • states (dictionary of internal high/lowpass-filter states) – allows to continue at the last used internal state in next call

PyDynamic.uncertainty.propagate_DWT.dwt_max_level(data_length, filter_length)[source]

Return the highest achievable DWT level, given the provided data/filter lengths

Parameters
  • data_length (int) – length of the data x, on which the DWT will be performed

  • filter_length (int) – length of the lowpass which will be used to perform the DWT

Returns

n_max

Return type

int

PyDynamic.uncertainty.propagate_DWT.filter_design(kind)[source]

Provide low- and highpass filters suitable for discrete wavelet transformation

This wraps pywt.Wavelet.

Parameters

kind (string) –

filter name, i.e. db4, coif6, gaus9, rbio3.3, …

Returns

  • ld (np.ndarray) – low-pass filter for decomposition

  • hd (np.ndarray) – high-pass filter for decomposition

  • lr (np.ndarray) – low-pass filter for reconstruction

  • hr (np.ndarray) – high-pass filter for reconstruction

PyDynamic.uncertainty.propagate_DWT.inv_dwt(c_approx, U_approx, c_detail, U_detail, lowpass, highpass, states=None, realtime=False)[source]

Single step of inverse discrete wavelet transform

Parameters
  • c_approx (np.ndarray) – low-pass output signal

  • U_approx (np.ndarray) – low-pass output uncertainty

  • c_detail (np.ndarray) – high-pass output signal

  • U_detail (np.ndarray) – high-pass output uncertainty

  • lowpass (np.ndarray) – FIR filter coefficients representing a low-pass for reconstruction

  • highpass (np.ndarray) – FIR filter coefficients representing a high-pass for reconstruction

  • states (dict, optional (default: None)) – internal high/lowpass-filter states, allows to continue at the last used internal state from previous call

  • realtime (Boolean, optional (default: False)) – for realtime applications, no signal padding has to be undone after reconstruction

Returns

  • x (np.ndarray) – upsampled reconstructed signal

  • Ux (np.ndarray) – upsampled uncertainty of reconstructed signal

  • states (dictionary of internal high/lowpass-filter states) – allows to continue at the last used internal state in next call

PyDynamic.uncertainty.propagate_DWT.wave_dec(x, Ux, lowpass, highpass, n=-1)[source]

Multilevel discrete wavelet transformation of time-series x with uncertainty Ux

Parameters
  • x (np.ndarray) – input signal

  • Ux (float or np.ndarray) – float: standard deviation of white noise in x 1D-array: point-wise standard uncertainties of non-stationary white noise

  • lowpass (np.ndarray) – decomposition low-pass for wavelet_block

  • highpass (np.ndarray) – decomposition high-pass for wavelet_block

  • n (int, optional (default: -1)) – consecutive repetitions of wavelet_block user is warned, if it is not possible to reach the specified depth use highest possible level if set to -1 (default)

Returns

  • coeffs (list of arrays) – order of arrays within list is: [cAn, cDn, cDn-1, …, cD2, cD1]

  • Ucoeffs (list of arrays) – uncertainty of coeffs, same order as coeffs

  • original_length (int) – equals to len(x) necessary to restore correct length

PyDynamic.uncertainty.propagate_DWT.wave_dec_realtime(x, Ux, lowpass, highpass, n=1, level_states=None)[source]

Multilevel discrete wavelet transformation of time-series x with uncertainty Ux

Similar to wave_dec(), but allows to start from the internal_state of a previous call.

Parameters
  • x (np.ndarray) – input signal

  • Ux (float or np.ndarray) – float: standard deviation of white noise in x 1D-array: point-wise standard uncertainties of non-stationary white noise

  • lowpass (np.ndarray) – decomposition low-pass for wavelet_block

  • highpass (np.ndarray) – decomposition high-pass for wavelet_block

  • n (int, optional (default: 1)) – consecutive repetitions of wavelet_block There is no maximum level in continuous wavelet transform, so the default is n=1

  • level_states (dict, optional (default: None)) – internal state from previous call

Returns

  • coeffs (list of arrays) – order of arrays within list is: [cAn, cDn, cDn-1, …, cD2, cD1]

  • Ucoeffs (list of arrays) – uncertainty of coeffs, same order as coeffs

  • original_length (int) – equals to len(x) necessary to restore correct length

  • level_states (dict) – last internal state

PyDynamic.uncertainty.propagate_DWT.wave_rec(coeffs, Ucoeffs, lowpass, highpass, original_length=None)[source]

Multilevel discrete wavelet reconstruction from levels back into time-series

Parameters
  • coeffs (list of arrays) –

    order of arrays within list is: [cAn, cDn, cDn-1, …, cD2, cD1] where:

    • cAi: approximation coefficients array from i-th level

    • cDi: detail coefficients array from i-th level

  • Ucoeffs (list of arrays) – uncertainty of coeffs, same order as coeffs

  • lowpass (np.ndarray) – reconstruction low-pass for wavelet_block

  • highpass (np.ndarray) – reconstruction high-pass for wavelet_block

  • original_length (int, optional (default: None)) – necessary to restore correct length of original time-series

Returns

  • x (np.ndarray) – reconstructed signal

  • Ux (np.ndarray) – uncertainty of reconstructed signal

Uncertainty evaluation for digital filtering

This module contains functions for the propagation of uncertainties through the application of a digital filter using the GUM approach.

This modules contains the following functions:

Note

The Elster-Link paper for FIR filters assumes that the autocovariance is known and that noise is stationary!

PyDynamic.uncertainty.propagate_filter.FIRuncFilter(y, sigma_noise, theta, Utheta=None, shift=0, blow=None, kind='corr', return_full_covariance=False)[source]

Uncertainty propagation for signal y and uncertain FIR filter theta

A preceding FIR low-pass filter with coefficients blow can be provided optionally.

This method keeps the signature of PyDynamic.uncertainty.FIRuncFilter, but internally works differently and can return a full covariance matrix. Also, sigma_noise can be a full covariance matrix.

Parameters
  • y (np.ndarray) – filter input signal

  • sigma_noise (float or np.ndarray) –

    • float: standard deviation of white noise in y

    • 1D-array: interpretation depends on kind

    • 2D-array: full covariance of input

  • theta (np.ndarray) – FIR filter coefficients

  • Utheta (np.ndarray, optional) –

    • 1D-array: coefficient-wise standard uncertainties of filter

    • 2D-array: covariance matrix associated with theta

    if the filter is fully certain, use Utheta = None (default) to make use of more efficient calculations. see also the comparison given in <examplesDigital filteringFIRuncFilter_runtime_comparison.py>

  • shift (int, optional) – time delay of filter output signal (in samples) (defaults to 0)

  • blow (np.ndarray, optional) – optional FIR low-pass filter

  • kind (string, optional) –

    only meaningful in combination with sigma_noise a 1D numpy array

    • ”diag”: point-wise standard uncertainties of non-stationary white noise

    • ”corr”: single sided autocovariance of stationary colored noise (default)

  • return_full_covariance (bool, optional) – whether or not to return a full covariance of the output, defaults to False

Returns

  • x (np.ndarray) – FIR filter output signal

  • Ux (np.ndarray) –

    • return_full_covariance == False : point-wise standard uncertainties associated with x (default)

    • return_full_covariance == True : covariance matrix containing uncertainties associated with x

References

PyDynamic.uncertainty.propagate_filter.IIR_get_initial_state(b, a, Uab=None, x0=1.0, U0=1.0, Ux=None)[source]

Calculate the internal state for the IIRuncFilter-function corresponding to stationary non-zero input signal.

Parameters
  • b (np.ndarray) – filter numerator coefficients

  • a (np.ndarray) – filter denominator coefficients

  • Uab (np.ndarray, optional (default: None)) – covariance matrix for (a[1:],b)

  • x0 (float, optional (default: 1.0)) – stationary input value

  • U0 (float, optional (default: 1.0)) – stationary input uncertainty

  • Ux (np.ndarray, optional (default: None)) – single sided autocovariance of stationary (colored/correlated) noise (needed in the kind=”corr” case of IIRuncFilter())

Returns

internal_state – dictionary of state

Return type

dict

PyDynamic.uncertainty.propagate_filter.IIRuncFilter(x, Ux, b, a, Uab=None, state=None, kind='corr')[source]

Uncertainty propagation for the signal x and the uncertain IIR filter (b,a)

Parameters
  • x (np.ndarray) – filter input signal

  • Ux (float or np.ndarray) – float: standard deviation of white noise in x (requires kind=”diag”) 1D-array: interpretation depends on kind

  • b (np.ndarray) – filter numerator coefficients

  • a (np.ndarray) – filter denominator coefficients

  • Uab (np.ndarray, optional (default: None)) – covariance matrix for (a[1:],b)

  • state (dict, optional (default: None)) –

    An internal state (z, dz, P, cache) to start from - e.g. from a previous run of IIRuncFilter.

    • If not given, (z, dz, P) are calculated such that the signal was constant before the given range

    • If given, the input parameters (b, a, Uab) are ignored to avoid repetitive rebuild of the internal system description (instead, the cache is used). However a valid new state (i.e. with new b, a, Uab) can always be generated by using IIR_get_initial_state().

  • kind (string, optional (default: "corr")) – defines the interpretation of Ux, if Ux is a 1D-array “diag”: point-wise standard uncertainties of non-stationary white noise “corr”: single sided autocovariance of stationary (colored/correlated) noise (default)

Returns

  • y (np.ndarray) – filter output signal

  • Uy (np.ndarray) – uncertainty associated with y

  • state (dict) – dictionary of updated internal state

Note

In case of a == [1.0] (FIR filter), the results of IIRuncFilter() and FIRuncFilter() might differ! This is because IIRuncFilter propagates uncertainty according to the (first-order Taylor series of the) GUM, whereas FIRuncFilter takes full variance information into account (which leads to an additional term). This is documented in the description of formula (33) of [Elster2008] . The difference can be visualized by running PyDynamic/examples/digital_filtering/validate_FIR_IIR_MC.py

References

Monte Carlo methods for digital filtering

“Monte Carlo methods for the propagation of uncertainties for digital filtering

The propagation of uncertainties via the FIR and IIR formulae alone does not enable the derivation of credible intervals, because the underlying distribution remains unknown. The GUM-S2 Monte Carlo method provides a reference method for the calculation of uncertainties for such cases.

This module contains the following functions:

  • MC(): Standard Monte Carlo method for application of digital filter

  • SMC(): Sequential Monte Carlo method with reduced computer memory requirements

  • UMC(): Update Monte Carlo method for application of digital filters with reduced computer memory requirements

  • UMC_generic(): Update Monte Carlo method with reduced computer memory requirements

PyDynamic.uncertainty.propagate_MonteCarlo.MC(x, Ux, b, a, Uab, runs=1000, blow=None, alow=None, return_samples=False, shift=0, verbose=True)[source]

Standard Monte Carlo method

Monte Carlo based propagation of uncertainties for a digital filter (b,a) with uncertainty matrix \(U_{\theta}\) for \(\theta=(a_1,\ldots,a_{N_a},b_0,\ldots,b_{N_b})^T\)

Parameters
  • x (np.ndarray) – filter input signal

  • Ux (float or np.ndarray) – standard deviation of signal noise (float), point-wise standard uncertainties or covariance matrix associated with x

  • b (np.ndarray) – filter numerator coefficients

  • a (np.ndarray) – filter denominator coefficients

  • Uab (np.ndarray) – uncertainty matrix \(U_\theta\)

  • runs (int,optional) – number of Monte Carlo runs

  • return_samples (bool, optional) – whether samples or mean and std are returned

Returns

  • y, Uy (np.ndarray) – filtered output signal and associated uncertainties, only returned if return_samples is False

  • Y (np.ndarray) – array of Monte Carlo results, only returned if return_samples is True

References

PyDynamic.uncertainty.propagate_MonteCarlo.SMC(x, noise_std, b, a, Uab=None, runs=1000, Perc=None, blow=None, alow=None, shift=0, return_samples=False, phi=None, theta=None, Delta=0.0)[source]

Sequential Monte Carlo method

Sequential Monte Carlo propagation for a digital filter (b,a) with uncertainty matrix \(U_{\theta}\) for \(\theta=(a_1,\ldots,a_{N_a},b_0,\ldots,b_{N_b})^T\)

Parameters
  • x (np.ndarray) – filter input signal

  • noise_std (float) – standard deviation of signal noise

  • b (np.ndarray) – filter numerator coefficients

  • a (np.ndarray) – filter denominator coefficients

  • Uab (np.ndarray) – uncertainty matrix \(U_\theta\)

  • runs (int, optional) – number of Monte Carlo runs

  • Perc (list, optional) – list of percentiles for quantile calculation

  • blow (np.ndarray) – optional low-pass filter numerator coefficients

  • alow (np.ndarray) – optional low-pass filter denominator coefficients

  • shift (int) – integer for time delay of output signals

  • return_samples (bool, otpional) – whether to return y and Uy or the matrix Y of MC results

  • phi (np.ndarray, optional) – parameters for AR(MA) noise model \(\epsilon(n) = \sum_k \phi_k\epsilon(n-k) + \sum_k \theta_k w(n-k) + w(n)\) with \(w(n)\sim N(0,noise_std^2)\)

  • theta (np.ndarray, optional) – parameters for AR(MA) noise model \(\epsilon(n) = \sum_k \phi_k\epsilon(n-k) + \sum_k \theta_k w(n-k) + w(n)\) with \(w(n)\sim N(0,noise_std^2)\)

  • Delta (float,optional) – upper bound on systematic error of the filter

If return_samples is False, the method returns:

Returns

  • y (np.ndarray) – filter output signal (Monte Carlo mean)

  • Uy (np.ndarray) – uncertainties associated with y (Monte Carlo point-wise std)

  • Quant (np.ndarray) – quantiles corresponding to percentiles Perc (if not None)

Otherwise the method returns:

Returns

Y – array of all Monte Carlo results

Return type

np.ndarray

References

PyDynamic.uncertainty.propagate_MonteCarlo.UMC(x, b, a, Uab, runs=1000, blocksize=8, blow=1.0, alow=1.0, phi=0.0, theta=0.0, sigma=1, Delta=0.0, runs_init=100, nbins=1000, credible_interval=0.95)[source]

Batch Monte Carlo for filtering using update formulae for mean, variance and (approximated) histogram. This is a wrapper for the UMC_generic function, specialised on filters

Parameters
  • x (np.ndarray, shape (nx, )) – filter input signal

  • b (np.ndarray, shape (nbb, )) – filter numerator coefficients

  • a (np.ndarray, shape (naa, )) – filter denominator coefficients, normalization (a[0] == 1.0) is assumed

  • Uab (np.ndarray, shape (naa + nbb - 1, )) – uncertainty matrix \(U_\theta\)

  • runs (int, optional) – number of Monte Carlo runs

  • blocksize (int, optional) – how many samples should be evaluated for at a time

  • blow (float or np.ndarray, optional) – filter coefficients of optional low pass filter

  • alow (float or np.ndarray, optional) – filter coefficients of optional low pass filter

  • phi (np.ndarray, optional,) – see misc.noise.ARMA noise model

  • theta (np.ndarray, optional) – see misc.noise.ARMA noise model

  • sigma (float, optional) – see misc.noise.ARMA noise model

  • Delta (float, optional) – upper bound of systematic correction due to regularisation (assume uniform distribution)

  • runs_init (int, optional) – how many samples to evaluate to form initial guess about limits

  • nbins (int, list of int, optional) – number of bins for histogram

  • credible_interval (float, optional) – must be in [0,1] central credible interval size

By default, phi, theta, sigma are chosen such, that N(0,1)-noise is added to the input signal.

Returns

  • y (np.ndarray) – filter output signal

  • Uy (np.ndarray) – uncertainty associated with

  • y_cred_low (np.ndarray) – lower boundary of credible interval

  • y_cred_high (np.ndarray) – upper boundary of credible interval

  • happr (dict) – dictionary keys: given nbin dictionary values: bin-edges val[“bin-edges”], bin-counts val[“bin-counts”]

References

  • Eichstädt, Link, Harris, Elster [Eichst2012]

  • ported to python in 2019-08 from matlab-version of Sascha Eichstaedt (PTB) from 2011-10-12

  • copyright on updating formulae parts is by Peter Harris (NPL)

PyDynamic.uncertainty.propagate_MonteCarlo.UMC_generic(draw_samples, evaluate, runs=100, blocksize=8, runs_init=10, nbins=100, return_samples=False, n_cpu=2)[source]

Generic Batch Monte Carlo using update formulae for mean, variance and (approximated) histogram. Assumes that the input and output of evaluate are numeric vectors (but not necessarily of same dimension). If the output of evaluate is multi-dimensional, it will be flattened into 1D.

Parameters
  • draw_samples (function(int nDraws)) – function that draws nDraws from a given distribution / population needs to return a list of (multi dimensional) numpy.ndarrays

  • evaluate (function(sample)) – function that evaluates a sample and returns the result needs to return a (multi dimensional) numpy.ndarray

  • runs (int, optional) – number of Monte Carlo runs

  • blocksize (int, optional) – how many samples should be evaluated for at a time

  • runs_init (int, optional) – how many samples to evaluate to form initial guess about limits

  • nbins (int, list of int, optional) – number of bins for histogram

  • return_samples (bool, optional) – see return-value of documentation

  • n_cpu (int, optional) – number of CPUs to use for multiprocessing, defaults to all available CPUs

Example

draw samples from multivariate normal distribution: draw_samples = lambda size: np.random.multivariate_normal(x, Ux, size)

build a function, that only accepts one argument by masking additional kwargs: evaluate = functools.partial(_UMCevaluate, nbb=b.size, x=x, Delta=Delta, phi=phi, theta=theta, sigma=sigma, blow=blow, alow=alow) evaluate = functools.partial(bigFunction, **dict_of_kwargs)

By default the method

Returns

  • y (np.ndarray) – mean of flattened/raveled simulation output i.e.: y = np.ravel(evaluate(sample))

  • Uy (np.ndarray) – covariance associated with y

  • happr (dict) – dictionary of bin-edges and bin-counts

  • output_shape (tuple) – shape of the unraveled simulation output can be used to reshape y and np.diag(Uy) into original shape

If return_samples is True, the method additionally returns all evaluated samples. This should only be done for testing and debugging reasons, as this removes all memory-improvements of the UMC-method.

Returns

sims – dict of samples and corresponding results of every evaluated simulation samples and results are saved in their original shape

Return type

dict

References

Uncertainty evaluation for interpolation

This module assists in uncertainty propagation for 1-dimensional interpolation

The PyDynamic.uncertainty.interpolate module implements methods for the propagation of uncertainties in the application of standard interpolation methods as provided by scipy.interpolate.interp1d.

This module contains the following functions:

  • interp1d_unc(): Interpolate arbitrary time series considering the associated uncertainties

  • make_equidistant(): Interpolate a 1-D function equidistantly considering associated uncertainties

PyDynamic.uncertainty.interpolate.interp1d_unc(x_new: ndarray, x: ndarray, y: ndarray, uy: ndarray, kind: Optional[str] = 'linear', copy=True, bounds_error: Optional[bool] = None, fill_value: Optional[Union[float, Tuple[float, float], str]] = nan, fill_unc: Optional[Union[float, Tuple[float, float], str]] = nan, assume_sorted: Optional[bool] = True, returnC: Optional[bool] = False) Union[Tuple[ndarray, ndarray, ndarray], Tuple[ndarray, ndarray, ndarray, ndarray]][source]

Interpolate a 1-D function considering the associated uncertainties

x and y are arrays of values used to approximate some function \(f \colon y = f(x)\).

Note that calling interp1d_unc() with NaNs present in input values results in undefined behaviour.

An equal number of each of the original x and y values and associated uncertainties is required.

Parameters
  • x_new ((M,) array_like) – A 1-D array of real values to evaluate the interpolant at. x_new can be sorted in any order.

  • x ((N,) array_like) – A 1-D array of real values.

  • y ((N,) array_like) – A 1-D array of real values. The length of y must be equal to the length of x.

  • uy ((N,) array_like) – A 1-D array of real values representing the standard uncertainties associated with y.

  • kind (str, optional) – Specifies the kind of interpolation for y as a string (‘previous’, ‘next’, ‘nearest’, ‘linear’ or ‘cubic’). Default is ‘linear’.

  • copy (bool, optional) – If True, the method makes internal copies of x and y. If False, references to x and y are used. The default is to copy.

  • bounds_error (bool, optional) – If True, a ValueError is raised any time interpolation is attempted on a value outside of the range of x (where extrapolation is necessary). If False, out of bounds values are assigned fill_value. By default, an error is raised unless fill_value="extrapolate".

  • fill_value (array-like or (array-like, array_like) or “extrapolate”, optional) –

    • if a ndarray (or float), this value will be used to fill in for requested points outside of the data range. If not provided, then the default is NaN. The array-like must broadcast properly to the dimensions of the non-interpolation axes.

    • If a two-element tuple, then the first element is used as a fill value for x_new < t[0] and the second element is used for x_new > t[-1]. Anything that is not a 2-element tuple (e.g., list or ndarray, regardless of shape) is taken to be a single array-like argument meant to be used for both bounds as below, above = fill_value, fill_value.

    • If “extrapolate”, then points outside the data range will be set to the first or last element of the values.

    • If cubic-interpolation, C2-continuity at the transition to the extrapolation-range is not guaranteed. This behavior might change in future implementations, see issue #210 for details.

    Both parameters fill_value and fill_unc should be provided to ensure desired behaviour in the extrapolation range.

  • fill_unc (array-like or (array-like, array_like) or “extrapolate”, optional) – Usage and behaviour as described in fill_value but for the uncertainties. Both parameters fill_value and fill_unc should be provided to ensure desired behaviour in the extrapolation range.

  • assume_sorted (bool, optional) – If False, values of x can be in any order and they are sorted first. If True, x has to be an array of monotonically increasing values.

  • returnC (bool, optional) – If True, return sensitivity coefficients for later use. This is only available for interpolation kind ‘linear’ and for fill_unc=”extrapolate” at the moment. If False sensitivity coefficients are not returned and internal computation is slightly more efficient.

Returns

  • x_new ((M,) array_like) – values at which the interpolant is evaluated

  • y_new ((M,) array_like) – interpolated values

  • uy_new ((M,) array_like) – interpolated associated standard uncertainties

  • C ((M,N) array_like) – sensitivity matrix \(C\), which is used to compute the uncertainties \(U_{y_{new}} = C \cdot \operatorname{diag}(u_y^2) \cdot C^T\), only returned if returnC is False, which is the default behaviour.

References

PyDynamic.uncertainty.interpolate.make_equidistant(x: ndarray, y: ndarray, uy: ndarray, dx: Optional[float] = 0.05, kind: Optional[str] = 'linear') Tuple[ndarray, ndarray, ndarray][source]

Interpolate a 1-D function equidistantly considering associated uncertainties

Interpolate function values equidistantly and propagate uncertainties accordingly.

x and y are arrays of values used to approximate some function \(f \colon y = f(x)\).

Note that calling interp1d_unc() with NaNs present in input values results in undefined behaviour.

An equal number of each of the original x and y values and associated uncertainties is required.

Parameters
  • x ((N,) array_like) – A 1-D array of real values.

  • y ((N,) array_like) – A 1-D array of real values. The length of y must be equal to the length of x.

  • uy ((N,) array_like) – A 1-D array of real values representing the standard uncertainties associated with y.

  • dx (float, optional) – desired interval length (defaults to 5e-2)

  • kind (str, optional) – Specifies the kind of interpolation for y as a string (‘previous’, ‘next’, ‘nearest’, ‘linear’ or ‘cubic’). Default is ‘linear’.

Returns

  • x_new ((M,) array_like) – values at which the interpolant is evaluated

  • y_new ((M,) array_like) – interpolated values

  • uy_new ((M,) array_like) – interpolated associated standard uncertainties

References