Resolving some test problem consistency and apparent UKI instability #294
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plot consistently rm verbose removed the inappropriate localizations in EKP/runtest notation formatting UKI tested on nonlinear problems too format using \alpha to get convergence with UKI 100 iterations update UKI update default hyperparameters format and remove hard-code flag new 3D output test format and all test pass add abs in nonlinear inverse problem test; update UKI default format docs note for UKI impose_prior setting docs update default prior to initial cov/mean and make constructor a little more flexible tests for default prior to init codecov format...
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Zhengyu-Huang
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Jun 14, 2023
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bors r+ |
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Purpose
Closes #287
Content
more consistent plotting between tests
adjustments to the test problems
removed inappropriate Localization tests in
EnsembleKalmanProcess/runtests.jlexamples, (they are already properly tested inLocalizers/runtests.jl) - These caused blow up without disturbing the ensemble mean, therefore added some spread-checking too to ensure the tr(ensemble cov) does not increase too muchtest UKI with nonlinear problems, not just linear ones
Added prior Tikhonov regularization for UKI, modified test checks to account for the regularization.
Changed the default
update_freqin UKI from 1 to 0. I.e. uses prior cov not current cov by default.Minor type change in UKI constructor to allow arrays to be converted to float type internally
added note to docs RE this update
UPDATED Example:
To reproduce run
julia --project; ENV["CES_TEST_PLOT_OUTPUT"] = true; ]; testand look for the figuresXYZ_test_4.pngin the runtest directory.Problem:
x in R^2, andy = (||x-x*||_1,||x-x*||_2, ||x-x*||_infty ) + N(0,0.01), 100 iterations of methods:Prior bounded by
[-2,2]in x axisEKI & EKS
Tikhonov UKI quad & simplex