Randomized qmc

Project.toml

@@ -4,6 +4,7 @@ authors = ["ludoro <[email protected]>, Chris Rackauckas <accounts@chrisra
 version = "0.3.0"
 
 [deps]
+Accessors = "7d9f7c33-5ae7-4f3b-8dc6-eff91059b697"
 ConcreteStructs = "2569d6c7-a4a2-43d3-a901-331e8e4be471"
 Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"
 LatticeRules = "73f95e8e-ec14-4e6a-8b18-0d2e271c4e55"

README.md

@@ -72,16 +72,21 @@ all sampled from the same low-discrepancy sequence.
 
 ## Available Sampling Methods
 
-* `GridSample(dx)` where the grid is given by `lb:dx[i]:ub` in the ith direction.
-* `UniformSample` for uniformly distributed random numbers.
-* `SobolSample` for the Sobol sequence.
-* `LatinHypercubeSample` for a Latin Hypercube.
-* `LatticeRuleSample` for a randomly-shifted rank-1 lattice rule.
-* `HaltonSample(base)` where `base[i]` is the base in the ith direction.
-* `GoldenSample` for a Golden Ratio sequence.
-* `KroneckerSample(alpha, s0)` for a Kronecker sequence, where alpha is an length-d vector of irrational numbers (often sqrt(d)) and s0 is a length-d seed vector (often 0).
-* `SectionSample(x0, sampler)` where `sampler` is any sampler above and `x0` is a vector of either `NaN` for a free dimension or some scalar for a constrained dimension.
-* Additionally, any `Distribution` can be used, and it will be sampled from.
+Sampling methods `SamplingAlgorithm` are divided into two subtypes
+
+- `DeterministicSamplingAlgorithm`
+  - `GridSample(dx)` where the grid is given by `lb:dx[i]:ub` in the ith direction.
+  - `SobolSample` for the Sobol' sequence.
+  - `FaureSample` for the Faure sequence.
+  - `LatticeRuleSample` for a randomly-shifted rank-1 lattice rule.
+  - `HaltonSample(base)` where `base[i]` is the base in the ith direction.
+  - `GoldenSample` for a Golden Ratio sequence.
+  - `KroneckerSample(alpha, s0)` for a Kronecker sequence, where alpha is an length-`d` vector of irrational numbers (often `sqrt(d`)) and `s0` is a length-`d` seed vector (often `0`).
+- `RandomSamplingAlgorithm`
+  - `UniformSample` for uniformly distributed random numbers.
+  - `LatinHypercubeSample` for a Latin Hypercube.
+  - Additionally, any `Distribution` can be used, and it will be sampled from.
+  <!-- - `SectionSample(x0, sampler)` where `sampler` is any sampler above and `x0` is a vector of either `NaN` for a free dimension or some scalar for a constrained dimension. Not currently supported. -->
 
 ## Adding a new sampling method
 
@@ -107,3 +112,76 @@ function sample(n,lb,ub,::NewAmazingSamplingAlgorithm)
     end
 end
 ```
+
+## Randomization of QMC sequences
+
+Most of the previous methods are deterministic i.e. `sample(n, d, Sampler()::DeterministicSamplingAlgorithm)` always produces the same sequence $X = (X_1, \dots, X_n)$.
+The API to randomize sequence is either 
+- Directly use `QuasiMonteCarlo.sample(n, d, DeterministicSamplingAlgorithm(R = RandomizationMethod()))` or `sample(n, lb, up, DeterministicSamplingAlgorithm(R = RandomizationMethod()))`
+- Or given any matrix $X$ ($d\times n$) of $n$ points all in dimension $d$ in $[0,1]^d$ one can do `randomize(x, ::RandomizationMethod())`
+
+There are the following randomization methods:
+
+- Scrambling methods `ScramblingMethods(base, pad, rng)` where `base` is the base used to scramble and `pad` the number of bits in `b`-ary decomposition.
+`pad` is generally chosen as $\gtrsim \log_b(n)$.
+The implemented `ScramblingMethods` are
+  - `DigitalShift` 
+  - `MatousekScramble` a.k.a Linear Matrix Scramble.
+  - `OwenScramble` a.k.a Nested Uniform Scramble is the most understood theoretically but is more costly to operate.
+- `Shift(rng)` a.k.a. Cranley Patterson Rotation. 
+
+For numerous independent randomization, use `generate_design_matrices(n, d, ::DeterministicSamplingAlgorithm), ::RandomizationMethod, num_mats)` where `num_mats` is the number of independent `X` generated.
+
+### Example
+
+Randomization of a Faure sequence with various methods.
+
+```julia
+using QuasiMonteCarlo
+m = 4
+d = 3
+b = QuasiMonteCarlo.nextprime(d)
+N = b^m # Number of points
+pad = m # Length of the b-ary decomposition number = sum(y[k]/b^k for k in 1:pad)
+
+# Unrandomized low discrepency sequence
+x_faure = QuasiMonteCarlo.sample(N, d, FaureSample())
+
+# Randomized version
+x_nus = randomize(x_faure, OwenScramble(base = b, pad = pad)) # equivalent to sample(N, d, FaureSample(R = OwenScramble(base = b, pad = pad)))
+x_lms = randomize(x_faure, MatousekScramble(base = b, pad = pad))
+x_digital_shift = randomize(x_faure, DigitalShift(base = b, pad = pad))
+x_shift = randomize(x_faure, Shift())
+x_uniform = rand(d, N) # plain i.i.d. uniform
+```
+
+```julia
+using Plots
+# Setting I like for plotting
+default(fontfamily="Computer Modern", linewidth=1, label=nothing, grid=true, framestyle=:default)
+```
+
+Plot the resulting sequences along dimensions `1` and `3`.
+
+```julia
+d1 = 1
+d2 = 3 # you can try every combination of dimension (d1, d2)
+sequences = [x_uniform, x_faure, x_shift, x_digital_shift, x_lms, x_nus]
+names = ["Uniform", "Faure (deterministic)", "Shift", "Digital Shift", "Matousek Scramble", "Owen Scramble"]
+p = [plot(thickness_scaling=1.5, aspect_ratio=:equal) for i in sequences]
+for (i, x) in enumerate(sequences)
+    scatter!(p[i], x[d1, :], x[d2, :], ms=0.9, c=1, grid=false)
+    title!(names[i])
+    xlims!(p[i], (0, 1))
+    ylims!(p[i], (0, 1))
+    yticks!(p[i], [0, 1])
+    xticks!(p[i], [0, 1])
+    hline!(p[i], range(0, 1, step=1 / 4), c=:gray, alpha=0.2)
+    vline!(p[i], range(0, 1, step=1 / 4), c=:gray, alpha=0.2)
+    hline!(p[i], range(0, 1, step=1 / 2), c=:gray, alpha=0.8)
+    vline!(p[i], range(0, 1, step=1 / 2), c=:gray, alpha=0.8)
+end
+plot(p..., size=(1500, 900))
+```
+
+![Different randomize methods of the same initial set of points](img/various_randomization.svg)

docs/pages.jl

@@ -3,4 +3,5 @@
 pages = [
     "Home" => "index.md",
     "samplers.md",
+    "randomization.md",
 ]

docs/src/randomization.md

@@ -0,0 +1,135 @@
+# Randomization methods
+
+Most of the methods presented in [sampler.jl Samplers](@ref) are deterministic i.e. `sample(n, d, Sampler()::DeterministicSamplingAlgorithm)` always produces the same sequence $X = (X_1, \dots, X_n)$.
+
+The main issue with deterministic Quasi Monte Carlo sampling is that it does not allow easy error estimation as opposed to plain Monte Carlo where the variance can be estimated.
+
+A Randomized Quasi Monte Carlo method must respect the two following criteria
+
+1. Have $X_i\sim \mathbb{U}([0,1]^d)$ for each $i\in \{1,\cdots, n\}$.
+2. Preserve the QMC (low discrepancy) properties of $X$.
+
+This randomized version can be used to obtain confidence interval or sensitivity analysis for example.
+
+## API
+
+To randomize one can directly use a sampling algorithm with a randomization method as `sample(n, d, DeterministicSamplingAlgorim(R = RandomizationMethod()))` or `sample(n, lb, up, DeterministicSamplingAlgorim(R = RandomizationMethod()))`.
+
+Randomization methods can also be used independently, that is, given a matrix $X$ ($d\times n$) of $n$ points in dimension $d$ in $[0,1]^d$ one can directly randomize it using `randomize(x, ::RandomizationMethod())`
+```@docs
+randomize
+```
+
+## Scrambling methods 
+
+`ScramblingMethods(base, pad, rng)` are well suited for $(t,m,d)$-nets. `base` is the base used to scramble and `pad` the number of bits in `b`-ary decomposition i.e. $y \simeq \sum_{k=1}^{\texttt{pad}} y_k/\texttt{base}^k $.
+`pad` is generally chosen as $\gtrsim \log_b(n)$.
+The implemented `ScramblingMethods` are
+  - `DigitalShift` the simplest and faster method. For a point $x\in [0,1]^d$ it does $y_k = (x_k + U_k) \mod b$ where $U_k ∼ \mathbb{U}(\{0, \cdots, b-1\})$
+  ```@docs
+  DigitalShift
+  ```
+  - `MatousekScramble` a.k.a Linear Matrix Scramble is what people use in practice. Indeed, the observed performances are similar to `OwenScramble` for a lesser numerical cost.
+    ```@docs
+    MatousekScramble
+    ```
+  - `OwenScramble` a.k.a Nested Uniform Scramble is the most understood theoretically but is more costly to operate.
+    ```@docs
+    OwenScramble
+    ```
+    s
+## Other methods
+
+`Shift(rng)` a.k.a. Cranley Patterson Rotation. It is by far the fastest method, it is used in `LatticeRuleScramble` for example.
+```@docs
+  Shift
+```
+
+## Design Matrices
+
+For numerous independent randomization, use `generate_design_matrices(n, d, ::DeterministicSamplingAlgorithm), ::RandomizationMethod, num_mats)` where `num_mats` is the number of independent `X` generated.
+```@docs
+  generate_design_matrices
+```
+
+## Example
+
+Randomization of a Faure sequence with various methods.
+
+```julia
+using QuasiMonteCarlo
+m = 4
+d = 3
+b = QuasiMonteCarlo.nextprime(d)
+N = b^m # Number of points
+pad = m # Can also choose something as `2m` to get "better" randomization
+
+# Unrandomized low discrepency sequence
+x_faure = QuasiMonteCarlo.sample(N, d, FaureSample())
+
+# Randomized version
+x_nus = randomize(x_faure, OwenScramble(base = b, pad = pad)) # equivalent to sample(N, d, FaureSample(R = OwenScramble(base = b, pad = pad)))
+x_lms = randomize(x_faure, MatousekScramble(base = b, pad = pad))
+x_digital_shift = randomize(x_faure, DigitalShift(base = b, pad = pad))
+x_shift = randomize(x_faure, Shift())
+x_uniform = rand(d, N) # plain i.i.d. uniform
+```
+
+```julia
+using Plots
+# Setting I like for plotting
+default(fontfamily="Computer Modern", linewidth=1, label=nothing, grid=true, framestyle=:default)
+```
+
+Plot the resulting sequences along dimensions `1` and `3`.
+
+```julia
+d1 = 1
+d2 = 3 # you can try every combination of dimension (d1, d2)
+sequences = [x_uniform, x_faure, x_shift, x_digital_shift, x_lms, x_nus]
+names = ["Uniform", "Faure (deterministic)", "Shift", "Digital Shift", "Matousek Scramble", "Owen Scramble"]
+p = [plot(thickness_scaling=1.5, aspect_ratio=:equal) for i in sequences]
+for (i, x) in enumerate(sequences)
+    scatter!(p[i], x[d1, :], x[d2, :], ms=0.9, c=1, grid=false)
+    title!(names[i])
+    xlims!(p[i], (0, 1))
+    ylims!(p[i], (0, 1))
+    yticks!(p[i], [0, 1])
+    xticks!(p[i], [0, 1])
+    hline!(p[i], range(0, 1, step=1 / 4), c=:gray, alpha=0.2)
+    vline!(p[i], range(0, 1, step=1 / 4), c=:gray, alpha=0.2)
+    hline!(p[i], range(0, 1, step=1 / 2), c=:gray, alpha=0.8)
+    vline!(p[i], range(0, 1, step=1 / 2), c=:gray, alpha=0.8)
+end
+plot(p..., size=(1500, 900))
+```
+
+![Different randomize methods of the same initial set of points](../../img/various_randomization.svg)
+
+Faure nets and scrambled versions of Faure nets are digital $(t,m,d)$-net ([see this nice book by A. Owen](https://artowen.su.domains/mc/qmcstuff.pdf)). It basically means that they have strong equipartition properties.
+Here we can (visually) verify that with Nested Uniform Scrambling (it also works with Linear Matrix Scrambling and Digital Shift).
+You must see one point per rectangle of volume $1/b^m$. Points on the "left" border of rectangles are included while those on the "right" are excluded.
+
+```julia
+begin
+    d1 = 1 
+    d2 = 3 # you can try every combination of dimension (d1, d2)
+    x = x_nus # Owen Scramble, you can try x_lms and x_digital_shift
+    p = [plot(thickness_scaling=1.5, aspect_ratio=:equal) for i in 0:m]
+    for i in 0:m
+        j = m - i
+        xᵢ = range(0, 1, step=1 / b^(i))
+        xⱼ = range(0, 1, step=1 / b^(j))
+        scatter!(p[i+1], x[d1, :], x[d2, :], ms=2, c=1, grid=false)
+        xlims!(p[i+1], (0, 1.01))
+        ylims!(p[i+1], (0, 1.01))
+        yticks!(p[i+1], [0, 1])
+        xticks!(p[i+1], [0, 1])
+        hline!(p[i+1], xᵢ, c=:gray, alpha=0.2)
+        vline!(p[i+1], xⱼ, c=:gray, alpha=0.2)
+    end
+    plot(p..., size=(1500, 900))
+end
+```
+
+![All the different elementary rectangle contain only one points](../../img/equidistribution.svg)

docs/src/samplers.md

@@ -8,14 +8,28 @@ sample
 
 ## Samplers
 
+Samplers are divided into two subtypes
+```julia
+abstract type SamplingAlgorithm end
+abstract type RandomSamplingAlgorithm <: SamplingAlgorithm end
+abstract type DeterministicSamplingAlgorithm <: SamplingAlgorithm end
+```
+
+### Deterministic Sampling Algorithm
+
 ```@docs
 GridSample
-UniformSample
 SobolSample
-LatinHypercubeSample
 LatticeRuleSample
 HaltonSample
 GoldenSample
 KroneckerSample
-SectionSample
 ```
+
+### Random Sampling Algorithm
+
+```@docs
+UniformSample
+LatinHypercubeSample
+<!-- SectionSample -->
+```