Add module for calibrating impact functions

AUTHORS.md

@@ -29,3 +29,4 @@
 * Raphael Portmann
 * Nicolas Colombi
 * Leonie Villiger
+* Timo Schmid

CHANGELOG.md

@@ -12,6 +12,8 @@ Code freeze date: YYYY-MM-DD
 
 ### Added
 
+- `climada.util.calibrate` module for calibrating impact functions [#692](https://github.com/CLIMADA-project/climada_python/pull/692)
+
 ### Changed
 
 - Update `CONTRIBUTING.md` to better explain types of contributions to this repository [#797](https://github.com/CLIMADA-project/climada_python/pull/797)

climada/test/test_util_calibrate.py

@@ -0,0 +1,244 @@
+"""
+This file is part of CLIMADA.
+
+Copyright (C) 2017 ETH Zurich, CLIMADA contributors listed in AUTHORS.
+
+CLIMADA is free software: you can redistribute it and/or modify it under the
+terms of the GNU General Public License as published by the Free
+Software Foundation, version 3.
+
+CLIMADA is distributed in the hope that it will be useful, but WITHOUT ANY
+WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A
+PARTICULAR PURPOSE.  See the GNU General Public License for more details.
+
+You should have received a copy of the GNU General Public License along
+with CLIMADA. If not, see <https://www.gnu.org/licenses/>.
+
+---
+Integration tests for calibration module
+"""
+
+import unittest
+
+import pandas as pd
+import numpy as np
+import numpy.testing as npt
+from scipy.optimize import NonlinearConstraint
+from sklearn.metrics import mean_squared_error
+from matplotlib.axes import Axes
+
+from climada.entity import ImpactFuncSet, ImpactFunc
+
+from climada.util.calibrate import (
+    Input,
+    ScipyMinimizeOptimizer,
+    BayesianOptimizer,
+    OutputEvaluator,
+    BayesianOptimizerOutputEvaluator,
+)
+
+from climada.util.calibrate.test.test_base import hazard, exposure
+
+
+class TestScipyMinimizeOptimizer(unittest.TestCase):
+    """Test the TestScipyMinimizeOptimizer"""
+
+    def setUp(self) -> None:
+        """Prepare input for optimization"""
+        self.hazard = hazard()
+        self.hazard.frequency = np.ones_like(self.hazard.event_id)
+        self.hazard.date = self.hazard.frequency
+        self.hazard.event_name = ["event"] * len(self.hazard.event_id)
+        self.exposure = exposure()
+        self.events = [10, 1]
+        self.hazard = self.hazard.select(event_id=self.events)
+        self.data = pd.DataFrame(
+            data={"a": [3, 1], "b": [0.2, 0.01]}, index=self.events
+        )
+        self.impact_to_dataframe = lambda impact: impact.impact_at_reg(["a", "b"])
+        self.impact_func_creator = lambda slope: ImpactFuncSet(
+            [
+                ImpactFunc(
+                    intensity=np.array([0, 10]),
+                    mdd=np.array([0, 10 * slope]),
+                    paa=np.ones(2),
+                    id=1,
+                )
+            ]
+        )
+        self.input = Input(
+            self.hazard,
+            self.exposure,
+            self.data,
+            self.impact_func_creator,
+            self.impact_to_dataframe,
+            mean_squared_error,
+        )
+
+    def test_single(self):
+        """Test with single parameter"""
+        optimizer = ScipyMinimizeOptimizer(self.input)
+        output = optimizer.run(params_init={"slope": 0.1})
+
+        # Result should be nearly exact
+        self.assertTrue(output.result.success)
+        self.assertAlmostEqual(output.params["slope"], 1.0)
+        self.assertAlmostEqual(output.target, 0.0)
+
+    def test_bound(self):
+        """Test with single bound"""
+        self.input.bounds = {"slope": (-1.0, 0.91)}
+        optimizer = ScipyMinimizeOptimizer(self.input)
+        output = optimizer.run(params_init={"slope": 0.1})
+
+        # Result should be very close to the bound
+        self.assertTrue(output.result.success)
+        self.assertGreater(output.params["slope"], 0.89)
+        self.assertAlmostEqual(output.params["slope"], 0.91, places=2)
+
+    def test_multiple_constrained(self):
+        """Test with multiple constrained parameters"""
+        # Set new generator
+        self.input.impact_func_creator = lambda intensity_1, intensity_2: ImpactFuncSet(
+            [
+                ImpactFunc(
+                    intensity=np.array([0, intensity_1, intensity_2]),
+                    mdd=np.array([0, 1, 3]),
+                    paa=np.ones(3),
+                    id=1,
+                )
+            ]
+        )
+
+        # Constraint: param[0] < param[1] (intensity_1 < intensity_2)
+        self.input.constraints = NonlinearConstraint(
+            lambda params: params[0] - params[1], -np.inf, 0.0
+        )
+        self.input.bounds = {"intensity_1": (0, 3.1), "intensity_2": (0, 3.1)}
+
+        # Run optimizer
+        optimizer = ScipyMinimizeOptimizer(self.input)
+        output = optimizer.run(
+            params_init={"intensity_1": 2, "intensity_2": 2},
+            options=dict(gtol=1e-5, xtol=1e-5),
+        )
+
+        # Check results (low accuracy)
+        self.assertTrue(output.result.success)
+        print(output.result.message)
+        print(output.result.status)
+        self.assertAlmostEqual(output.params["intensity_1"], 1.0, places=2)
+        self.assertGreater(output.params["intensity_2"], 2.8)  # Should be 3.0
+        self.assertAlmostEqual(output.target, 0.0, places=3)
+
+
+class TestBayesianOptimizer(unittest.TestCase):
+    """Integration tests for the BayesianOptimizer"""
+
+    def setUp(self) -> None:
+        """Prepare input for optimization"""
+        self.hazard = hazard()
+        self.hazard.frequency = np.ones_like(self.hazard.event_id)
+        self.hazard.date = self.hazard.frequency
+        self.hazard.event_name = ["event"] * len(self.hazard.event_id)
+        self.exposure = exposure()
+        self.events = [10, 1]
+        self.hazard = self.hazard.select(event_id=self.events)
+        self.data = pd.DataFrame(
+            data={"a": [3, 1], "b": [0.2, 0.01]}, index=self.events
+        )
+        self.impact_to_dataframe = lambda impact: impact.impact_at_reg(["a", "b"])
+        self.impact_func_creator = lambda slope: ImpactFuncSet(
+            [
+                ImpactFunc(
+                    intensity=np.array([0, 10]),
+                    mdd=np.array([0, 10 * slope]),
+                    paa=np.ones(2),
+                    id=1,
+                )
+            ]
+        )
+        self.input = Input(
+            self.hazard,
+            self.exposure,
+            self.data,
+            self.impact_func_creator,
+            self.impact_to_dataframe,
+            mean_squared_error,
+        )
+
+    def test_single(self):
+        """Test with single parameter"""
+        self.input.bounds = {"slope": (-1, 3)}
+        optimizer = BayesianOptimizer(self.input)
+        output = optimizer.run(init_points=10, n_iter=20, random_state=1)
+
+        # Check result (low accuracy)
+        self.assertAlmostEqual(output.params["slope"], 1.0, places=2)
+        self.assertAlmostEqual(output.target, 0.0, places=3)
+        self.assertEqual(output.p_space.dim, 1)
+        self.assertTupleEqual(output.p_space_to_dataframe().shape, (30, 2))
+
+    def test_multiple_constrained(self):
+        """Test with multiple constrained parameters"""
+        # Set new generator
+        self.input.impact_func_creator = lambda intensity_1, intensity_2: ImpactFuncSet(
+            [
+                ImpactFunc(
+                    intensity=np.array([0, intensity_1, intensity_2]),
+                    mdd=np.array([0, 1, 3]),
+                    paa=np.ones(3),
+                    id=1,
+                )
+            ]
+        )
+
+        # Constraint: param[0] < param[1] (intensity_1 < intensity_2)
+        self.input.constraints = NonlinearConstraint(
+            lambda intensity_1, intensity_2: intensity_1 - intensity_2, -np.inf, 0.0
+        )
+        self.input.bounds = {"intensity_1": (-1, 4), "intensity_2": (-1, 4)}
+        # Run optimizer
+        optimizer = BayesianOptimizer(self.input)
+        output = optimizer.run(n_iter=200, random_state=1)
+
+        # Check results (low accuracy)
+        self.assertEqual(output.p_space.dim, 2)
+        self.assertAlmostEqual(output.params["intensity_1"], 1.0, places=2)
+        self.assertAlmostEqual(output.params["intensity_2"], 3.0, places=1)
+        self.assertAlmostEqual(output.target, 0.0, places=3)
+
+        # Check constraints in parameter space
+        p_space = output.p_space_to_dataframe()
+        self.assertSetEqual(
+            set(p_space.columns.to_list()),
+            {
+                ("Parameters", "intensity_1"),
+                ("Parameters", "intensity_2"),
+                ("Calibration", "Cost Function"),
+                ("Calibration", "Constraints Function"),
+                ("Calibration", "Allowed"),
+            },
+        )
+        self.assertTupleEqual(p_space.shape, (300, 5))
+        p_allowed = p_space.loc[p_space["Calibration", "Allowed"], "Parameters"]
+        npt.assert_array_equal(
+            (p_allowed["intensity_1"] < p_allowed["intensity_2"]).to_numpy(),
+            np.full_like(p_allowed["intensity_1"].to_numpy(), True),
+        )
+
+    def test_plots(self):
+        """Check if executing the default plots works"""
+        self.input.bounds = {"slope": (-1, 3)}
+        optimizer = BayesianOptimizer(self.input)
+        output = optimizer.run(init_points=10, n_iter=20, random_state=1)
+
+        output_eval = OutputEvaluator(self.input, output)
+        output_eval.impf_set.plot()
+        output_eval.plot_at_event()
+        output_eval.plot_at_region()
+        output_eval.plot_event_region_heatmap()
+
+        output_eval = BayesianOptimizerOutputEvaluator(self.input, output)
+        ax = output_eval.plot_impf_variability()
+        self.assertIsInstance(ax, Axes)

climada/util/calibrate/__init__.py

@@ -0,0 +1,23 @@
+"""
+This file is part of CLIMADA.
+
+Copyright (C) 2017 ETH Zurich, CLIMADA contributors listed in AUTHORS.
+
+CLIMADA is free software: you can redistribute it and/or modify it under the
+terms of the GNU General Public License as published by the Free
+Software Foundation, version 3.
+
+CLIMADA is distributed in the hope that it will be useful, but WITHOUT ANY
+WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A
+PARTICULAR PURPOSE.  See the GNU General Public License for more details.
+
+You should have received a copy of the GNU General Public License along
+with CLIMADA. If not, see <https://www.gnu.org/licenses/>.
+
+---
+Impact function calibration module
+"""
+
+from .base import Input, OutputEvaluator
+from .bayesian_optimizer import BayesianOptimizer, BayesianOptimizerOutputEvaluator
+from .scipy_optimizer import ScipyMinimizeOptimizer