SURGroup / UQpy

UQpy (Uncertainty Quantification with python) is a general purpose Python toolbox for modeling uncertainty in physical and mathematical systems.
MIT License
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Adding checks to identify incompatible non-gaussian normalized correlation values in ITAM #92

Open lohitv96 opened 3 years ago

lohitv96 commented 3 years ago

Incompatibility between non-gaussian and gaussian correlation values because of correlation distortion At the core of ITAM iterations, an inverse translation scheme is carried out to identify the gaussian correlation distorts to the given non-gaussian correlation. This distortion means that in many cases particularly in large negative correlation values there is no gaussian correlation that maps to the required non-gaussian correlation.

Adding a check to identify if the input non-gaussian correlation function is compatible or not Given a distribution it is possible to compute the "compatible interval" for the normalized non-gaussian correlation function. This PR will add a function to compute the "compatible interval" of that distribution and check if the input autocorrelation function lies in "compatible interval" or not and print a warning stating that exact convergence cannot be expected because of the incompatibility.