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Add delta method for transforming mean and variance only #771

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@sgreenbury sgreenbury commented Aug 25, 2025 •
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Closes #750.

This PR:

  • Add delta method for calculating transformed mean and variances only (ignores covariance)
  • Add tests
  • Update default output_from_samples=False
  • Update dim reduction notebook to use method
  • Adds notebook comparing delta method with sampling approach performance and speed
  • Enables fast computation when transforms affine
  • Adds Jacobian caching when affine

Next steps:

  • Test implementation further and compare with sampling approach
  • Consider optional support for higher order terms for variance. Update: I think this could be left for a separate issue and would be good to motivate by a requirement for additional precision in the variance as will make the calculation more expensive (like for second order mean)
  • Consider supporting covariance for inputs and impact on accuracy
  • Add support for calculating mean only with second order terms
  • Add property to TransformedEmulator to indicate if all y transforms are affine
  • Consider adding support for caching Jacobian for delta method if all y transforms are affine
  • Add tests back to transformed emulator to support full covariance and output from samples paths

@sgreenbury
Add delta_method for transformed mean/variance
db26d0a 
- Add delta_method with new submodule
- Add tests
- Update default `output_from_samples=False`
- Update dim reduction notebook to use method
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@sgreenbury sgreenbury linked an issue Aug 25, 2025 that may be closed by this pull request
Improve efficiency of predict with transformed emulator #750
Open
@sgreenbury
Add support for covariance, refactor, update tests
2bd3e28
@sgreenbury
Fix comment
a4c7d2c
@sgreenbury
Add tests for using input covariance
994bb6c
@sgreenbury
Add support for mean-only calculation
1710145
@sgreenbury
Add predict_mean override
3402fd7
@sgreenbury
Add support for checking if transforms all affine
9b38b56
@sgreenbury
Refactor to remove obsolete early check
a618093
@sgreenbury
Add notebook benchmarking approaches
5ced2af
@sgreenbury
Fix affine check
6312267
@sgreenbury
Add test for affine detection
c379fcc
@sgreenbury
Add warm start for benchmark
34bddf4
@sgreenbury
Revise attribute name
dfdd608
@sgreenbury
Refactor assignment
08eacee
@sgreenbury
Refactor variable names
41af1ad
@sgreenbury
Add condition to exclude second order if all affine
1f7755f
@sgreenbury
Update docstring to match base class
7b234d2
@sgreenbury
Update docstring and method to support overriding n_samples
41ec83f
@sgreenbury
Update to use separate generator
bb17a93
@sgreenbury
Refactor test for robustness
ce09b5e
@sgreenbury
Merge remote-tracking branch 'origin/main' into 750-mean-and-var-delt…
eeface3 
…a-method
@sgreenbury
Update ruff and fix lints
1483308 
- add to dev deps
- update pre-commit
- fix lints
- update lock
@sgreenbury
Add caching for Jacobian
f5e15de
@sgreenbury sgreenbury marked this pull request as ready for review September 4, 2025 17:26
@sgreenbury sgreenbury requested a review from radka-j September 5, 2025 12:57
@sgreenbury
Add back tests for TransformedEmulator cases
eb0b22c 
- Readd test when `full_covariance=True` and `output_from_samples=True`
- Remove obsolete TODOs
@sgreenbury
Merge remote-tracking branch 'origin/main' into 750-mean-and-var-delt…
873a190 
…a-method
This was referenced Sep 9, 2025
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@radka-j radka-j Awaiting requested review from radka-j

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Improve efficiency of predict with transformed emulator
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@sgreenbury