vec sem::update_d(double tol, int max_iter)
{
int i;
double conv_crit = 1.0;
int counter = 0;
double old_obj, new_obj;
new_obj = get_objective();
//pre-allocate memory for gradient, hessian and update
vec grad(v_ + gamma_indices_.n_elem);
mat hessian(v_ + gamma_indices_.n_elem, v_ + gamma_indices_.n_elem);
vec update(v_ + gamma_indices_.n_elem);
while(conv_crit > tol && counter < max_iter) {
old_obj = new_obj;
// build in backtracking if necessary
set_gradient_hessian(grad, hessian);
update = join_cols(lambda_, gamma_) - solve(hessian, grad);
lambda_ = update(0, v_ - 1);
gamma_ = update(v_, v_ + gamma_indices_.n_elem);
new_obj = get_objective();
conv_crit = fabs((new_obj - old_obj)/old_obj);
counter++;
}
}
void hessian(const F& functional,
const Eigen::VectorXd& x,
Eigen::MatrixXd& H) {
double f;
Eigen::VectorXd g(x.size());
hessian(functional, x, f, g, H);
}
double BLSSS::find_posterior_mode() {
BinomialLogitUnNormalizedLogPosterior logpost(m_, pri_.get());
const Selector &inc(m_->coef().inc());
Vector beta(m_->included_coefficients());
int dim = beta.size();
if (dim == 0) {
return negative_infinity();
// TODO: This logic prohibits an empty model. Better to return
// the actual value of the un-normalized posterior, which in
// this case would just be the likelihood portion.
} else {
Vector gradient(dim);
Matrix hessian(dim, dim);
double logf;
std::string error_message;
bool ok = max_nd2_careful(beta,
gradient,
hessian,
logf,
Target(logpost),
dTarget(logpost),
d2Target(logpost),
1e-5,
error_message);
if (ok) {
m_->set_included_coefficients(beta, inc);
return logf;
} else {
return negative_infinity();
}
}
}
bool Snake::shift_frame(bool direction) {
if (!direction) {
int position = vid.get(CV_CAP_PROP_POS_FRAMES);
if (position < 1) {
return true;
}
vid.set(CV_CAP_PROP_POS_FRAMES, position - 1);
}
if (!vid.read(img)) {
return false;
}
update_raw_img();
grad = gradient(img, 1);
hess = hessian(img, 1);
#ifdef PRINT_META
save_double_heat_map(grad.first, "/Users/ivan/.supp/code/snakes/hgx.jpg");
save_double_heat_map(grad.second, "/Users/ivan/.supp/code/snakes/hgy.jpg");
save_double_heat_map(hess, "/Users/ivan/.supp/code/snakes/hh.jpg");
#endif
abs_threshold(grad.first, threshold);
abs_threshold(grad.second, threshold);
abs_threshold(hess, threshold);
#ifdef PRINT_META
save_double_heat_map(grad.first, "/Users/ivan/.supp/code/snakes/thgx.jpg");
save_double_heat_map(grad.second, "/Users/ivan/.supp/code/snakes/thgy.jpg");
save_double_heat_map(hess, "/Users/ivan/.supp/code/snakes/thh.jpg");
#endif
return true;
}
bool erf(void)
{ bool ok = true;
ok &= old_example();
# if CPPAD_USE_CPLUSPLUS_2011
ok &= hessian();
# endif
return ok;
}
void test_hessian_dot_vector(const F& functional,
const Eigen::VectorXd& x,
const Eigen::VectorXd& v) {
Eigen::MatrixXd H_auto(x.size(), x.size());
try {
hessian(functional, x, H_auto);
} catch (nomad_error& e) {
std::cout << "Cannot compute Hessian Doc Vector Test" << std::endl;
throw e;
}
Eigen::VectorXd H_dot_v_auto(x.size());
try {
hessian_dot_vector(functional, x, v, H_dot_v_auto);
} catch (nomad_error& e) {
std::cout << "Cannot compute Hessian Doc Vector Test" << std::endl;
throw e;
}
std::cout.precision(6);
int width = 12;
int n_column = 3;
std::cout << "Hessian Dot Vector Test:" << std::endl;
std::cout << " " << std::setw(n_column * width) << std::setfill('-')
<< "" << std::setfill(' ') << std::endl;
std::cout << " "
<< std::setw(width) << std::left << "Component"
<< std::setw(width) << std::left << "Automatic"
<< std::setw(width) << std::left << "Exact"
<< std::endl;
std::cout << " "
<< std::setw(width) << std::left << "(i)"
<< std::setw(width) << std::left << "Derivative"
<< std::setw(width) << std::left << ""
<< std::endl;
std::cout << " " << std::setw(n_column * width) << std::setfill('-')
<< "" << std::setfill(' ') << std::endl;
Eigen::VectorXd H_dot_v = H_auto * v;
for (eigen_idx_t i = 0; i < x.size(); ++i) {
std::cout << " "
<< std::setw(width) << std::left << i
<< std::setw(width) << std::left << H_dot_v_auto(i)
<< std::setw(width) << std::left << H_dot_v(i)
<< std::endl;
}
std::cout << " " << std::setw(n_column * width) << std::setfill('-')
<< "" << std::setfill(' ') << std::endl;
std::cout << std::endl;
}
//---------------------------------------------------------------
// This function is called by Tao to evaluate the Hessian at x
PetscErrorCode
__libmesh_tao_hessian(Tao /*tao*/, Vec x, Mat h, Mat pc, void * ctx)
{
START_LOG("hessian()", "TaoOptimizationSolver");
PetscErrorCode ierr = 0;
libmesh_assert(x);
libmesh_assert(h);
libmesh_assert(pc);
libmesh_assert(ctx);
// ctx should be a pointer to the solver (it was passed in as void *)
TaoOptimizationSolver<Number> * solver =
static_cast<TaoOptimizationSolver<Number> *> (ctx);
OptimizationSystem & sys = solver->system();
// We'll use current_local_solution below, so let's ensure that it's consistent
// with the vector x that was passed in.
PetscVector<Number> & X_sys = *cast_ptr<PetscVector<Number> *>(sys.solution.get());
PetscVector<Number> X(x, sys.comm());
// Perform a swap so that sys.solution points to X
X.swap(X_sys);
// Impose constraints on X
sys.get_dof_map().enforce_constraints_exactly(sys);
// Update sys.current_local_solution based on X
sys.update();
// Swap back
X.swap(X_sys);
// Let's also wrap pc and h in PetscMatrix objects for convenience
PetscMatrix<Number> PC(pc, sys.comm());
PetscMatrix<Number> hessian(h, sys.comm());
PC.attach_dof_map(sys.get_dof_map());
hessian.attach_dof_map(sys.get_dof_map());
if (solver->hessian_object != libmesh_nullptr)
{
// Following PetscNonlinearSolver by passing in PC. It's not clear
// why we pass in PC and not hessian though?
solver->hessian_object->hessian(*(sys.current_local_solution), PC, sys);
}
else
libmesh_error_msg("Hessian function not defined in __libmesh_tao_hessian");
PC.close();
hessian.close();
STOP_LOG("hessian()", "TaoOptimizationSolver");
return ierr;
}
double el_sem_naive::update_dual(double tol, int max_iter)
{
//pre-allocate memory for gradient, hessian and update
vec grad(v_ + (v_ *(v_ + 1) )/ 2 );
mat hessian(v_ + (v_ *(v_ + 1) )/ 2 ,v_ + (v_ *(v_ + 1) )/ 2 );
vec update(v_ + (v_ *(v_ + 1) )/ 2 );
grad.zeros();
hessian.zeros();
update.zeros();
// backtracking parameters
double backtracking_scaling_const = .4;
int back_tracking_counter;
int max_back_track = 20; // steps required to scale update by 1e-8
while(conv_crit_ > tol && counter_ < max_iter) {
// build in backtracking if necessary
set_gradient_hessian(grad, hessian);
// back tracking line search
update = solve(hessian, grad);
//back track to ensure everything is greater than 1/n
back_tracking_counter = 0;
while(!backtracking(update) && back_tracking_counter < max_back_track) {
update *= backtracking_scaling_const;
back_tracking_counter++;
}
//if back tracking does not terminate because of max iterations update
//else terminate
if(back_tracking_counter < max_back_track) {
dual_ -= update;
} else {
return -99999;
}
conv_crit_ = norm(grad ,2);
counter_++;
}
d_ = (constraints_.t() * dual_) + 1.0;
if(conv_crit_ < tol) {
return -sum(log(n_ * d_));
} else {
return -999999999;
}
}
void test_trace_matrix_times_hessian(const F& functional,
const Eigen::VectorXd& x,
const Eigen::MatrixXd& M) {
Eigen::MatrixXd H_auto(x.size(), x.size());
try {
hessian(functional, x, H_auto);
} catch (nomad_error& e) {
std::cout << "Cannot compute Trace Matrix Times Hessian Test" << std::endl;
throw e;
}
double trace_m_times_h = (M * H_auto).trace();
double trace_m_times_h_auto;
try {
trace_matrix_times_hessian(functional, x, M, trace_m_times_h_auto);
} catch (nomad_error& e) {
std::cout << "Cannot compute Trace Matrix Times Hessian Test" << std::endl;
throw e;
}
std::cout.precision(6);
int width = 12;
int n_column = 2;
std::cout << "Trace Matrix Times Hessian Test:" << std::endl;
std::cout << " " << std::setw(n_column * width) << std::setfill('-')
<< "" << std::setfill(' ') << std::endl;
std::cout << " "
<< std::setw(width) << std::left << "Automatic"
<< std::setw(width) << std::left << "Exact"
<< std::endl;
std::cout << " "
<< std::setw(width) << std::left << "Derivative"
<< std::setw(width) << std::left << ""
<< std::endl;
std::cout << " " << std::setw(n_column * width) << std::setfill('-')
<< "" << std::setfill(' ') << std::endl;
std::cout << " "
<< std::setw(width) << std::left << trace_m_times_h_auto
<< std::setw(width) << std::left << trace_m_times_h
<< std::endl;
std::cout << " " << std::setw(n_column * width) << std::setfill('-')
<< "" << std::setfill(' ') << std::endl;
std::cout << std::endl;
}
Matrix<double> SixHumpCamelBackFunction::calculate_Hessian(void) const
{
const unsigned int variables_number = 2;
const Vector<double> argument = neural_network_pointer->get_independent_parameters_pointer()->get_parameters();
Matrix<double> hessian(variables_number, variables_number);
hessian[0][0] = 10* pow(argument[0],4) - 25.2 * pow(argument[0],2) + 8;
hessian[0][1] = 1.0;
hessian[1][0] = 1.0;
hessian[1][1] = 48*pow(argument[1],2)-8;
return(hessian);
}
/* hessian(tag, n, x[n], lower triangle of H[n][n]) */
fint hessian_(fint* ftag,
fint* fn,
fdouble* fx,
fdouble* fh) /* length of h should be n*n but the
upper half of this matrix remains unchanged */
{
int rc= -1;
int tag=*ftag, n=*fn;
double** H = myalloc2(n,n);
double* x = myalloc1(n);
spread1(n,fx,x);
rc= hessian(tag,n,x,H);
pack2(n,n,H,fh);
free((char*)*H);
free((char*)H);
free((char*)x);
return rc;
}
/**
* Generating the gradient and the hessian from my_matrixfun
*/
void test_matrix_twice(){
std::cout << "== test_matrix_twice() ==" << std::endl;
// use with normal floats
Eigen::VectorXd a(3),b(3);
a.setLinSpaced(0.,1.);
b.setLinSpaced(1.,2.);
double c = my_matrixfun(a,b);
std::cout << "Result: " << c << std::endl;
// use with AutoDiffScalar
typedef Eigen::Matrix<double,Eigen::Dynamic,1> inner_derivative_type;
typedef Eigen::AutoDiffScalar<inner_derivative_type> inner_active_scalar;
typedef Eigen::Matrix<inner_active_scalar,Eigen::Dynamic,1> outer_derivative_type;
typedef Eigen::AutoDiffScalar<outer_derivative_type> outer_active_scalar;
typedef Eigen::Matrix<outer_active_scalar,Eigen::Dynamic,1> AVector;
AVector Aa(a.size()),Ab(b.size());
// copy value from non-active example
for(int i=0;i<a.size();i++)Aa(i).value().value() = a(i);
for(int i=0;i<b.size();i++)Ab(i).value().value() = b(i);
// initialize derivative vectors
const int derivative_num = a.size() + b.size();
int derivative_idx = 0;
for(int i=0;i<Aa.size();i++){
init_twice_active_var(Aa(i),derivative_num,derivative_idx);
derivative_idx++;
}
for(int i=0;i<Ab.size();i++){
init_twice_active_var(Ab(i),derivative_num,derivative_idx);
derivative_idx++;
}
outer_active_scalar Ac = my_matrixfun(Aa,Ab);
std::cout << "Result: " << Ac.value().value() << std::endl;
std::cout << "Gradient: " <<
Ac.value().derivatives().transpose() << std::endl;
std::cout << "Hessian" << std::endl;
Eigen::MatrixXd hessian(Ac.derivatives().size(),Ac.derivatives().size());
for(int idx=0;idx<Ac.derivatives().size();idx++){
hessian.middleRows(idx,1) =
Ac.derivatives()(idx).derivatives().transpose();
}
std::cout << hessian << std::endl;
}
Matrix<double> DeJongFunction::getHessian(Vector<double> argument)
{
Matrix<double> hessian(numberOfVariables, numberOfVariables, 0.0);
for(int i = 0; i < numberOfVariables; i++)
{
for(int j = 0; j < numberOfVariables; j++)
{
if(i == j)
{
hessian[i][j] = 2.0;
}
else
{
hessian[i][j] = 0.0;
}
}
}
return(hessian);
}
typename element_type_trait<Tp>::element_type estimate_error_hessian(fitter<Ty,Tx,Tp,Ts>& fit,const Tstr& pname,const Ts& dchi)
{
size_t porder=fit.get_param_order(pname);
holder<param_modifier<Ty,Tx,Tp,Tstr> > h;
try
{
h.reset(fit.get_param_modifier().clone());
}
catch(const param_modifier_not_defined&)
{
h.reset(0);
}
fit.clear_param_modifier();
Tp p=fit.get_all_params();
Ts a=hessian(fit.get_statistic(),p,porder,porder)/2;
if(h.get())
{
fit.set_param_modifier(*(h.get()));
}
fit.fit();
return std::sqrt(dchi/a);
}
Warp MT::Lucas_Kanade(Warp warp)
{
//See "Lucas-Kanade 20 years on A unifying framework"
float last_E = 1.0f;
for (int iter = 0; iter < max_iteration; ++iter) {
++number_iteration;
Matrix<float, 6, 1> G = Matrix<float, 6, 1>::Constant(0.0f);
Matrix<float, 6, 6> H = Matrix<float, 6, 6>::Constant(0.0f);
float E = 0.0f;
for (int i = 0; i < fine_samples.size(); ++i) {
Matrix<float, 2, 6> dW;
Vector2f p = warp.gradient(fine_samples[i], dW);
Vector32f F;
Matrix<float, 32, 2> dF;
feature.gradient4(p.x(), p.y(), F.data(), dF.col(0).data(), dF.col(1).data());
F -= fine_model.col(i);
float e = sigmoid(F.squaredNorm());
float w = sigmoid_factor * e * (1.0f - e);
G += w * (dW.transpose() * (dF.transpose() * -F));
//H.triangularView<Upper> += w * (dW.transpose() * (dF.transpose() * dF) * dW);
hessian(H, w, dW, dF);
E += e;
}
E = E / fine_samples.size();
H.triangularView<Lower>() = H.transpose();
Matrix<float, 6, 1> D = H.fullPivHouseholderQr().solve(G);
warp.steepest(D);
if (log != NULL)
(*log) << E << " ";
if (iter > 1 && D.segment<3>(3).squaredNorm() < translate_eps && last_E - E < error_eps)
break;
last_E = E;
}
if (log != NULL)
(*log) << endl;
return warp;
}
double SaLSA::get_Adiel_and_grad_internal(ScalarFieldTilde& Adiel_rhoExplicitTilde, ScalarFieldTilde& Adiel_nCavityTilde, IonicGradient* extraForces, bool electricOnly) const
{
EnergyComponents& Adiel = ((SaLSA*)this)->Adiel;
const ScalarFieldTilde& phi = state; // that's what we solved for in minimize
//First-order correct estimate of electrostatic energy:
ScalarFieldTilde phiExt = coulomb(rhoExplicitTilde);
Adiel["Electrostatic"] = -0.5*dot(phi, O(hessian(phi))) + dot(phi - 0.5*phiExt, O(rhoExplicitTilde));
//Gradient w.r.t rhoExplicitTilde:
Adiel_rhoExplicitTilde = phi - phiExt;
//The "cavity" gradient is computed by chain rule via the gradient w.r.t to the shape function:
const auto& solvent = fsp.solvents[0];
ScalarField Adiel_shape; ScalarFieldArray Adiel_siteShape(solvent->molecule.sites.size());
for(int r=rStart; r<rStop; r++)
{ const MultipoleResponse& resp = *response[r];
ScalarField& Adiel_s = resp.iSite<0 ? Adiel_shape : Adiel_siteShape[resp.iSite];
if(resp.l>6) die("Angular momenta l > 6 not supported.\n");
double prefac = 0.5 * 4*M_PI/(2*resp.l+1);
ScalarFieldArray IlGradVphi = I(lGradient(resp.V * phi, resp.l));
for(int lpm=0; lpm<(2*resp.l+1); lpm++)
Adiel_s -= prefac * (IlGradVphi[lpm]*IlGradVphi[lpm]);
}
for(unsigned iSite=0; iSite<solvent->molecule.sites.size(); iSite++)
if(Adiel_siteShape[iSite])
Adiel_shape += I(Sf[iSite] * J(Adiel_siteShape[iSite]));
nullToZero(Adiel_shape, gInfo); Adiel_shape->allReduce(MPIUtil::ReduceSum);
//Propagate shape gradients to A_nCavity:
ScalarField Adiel_nCavity;
propagateCavityGradients(Adiel_shape, Adiel_nCavity, Adiel_rhoExplicitTilde, electricOnly);
Adiel_nCavityTilde = nFluid * J(Adiel_nCavity);
setExtraForces(extraForces, Adiel_nCavityTilde);
return Adiel;
}
double PRSS::find_posterior_mode() {
const Selector &included(model_->inc());
d2TargetFunPointerAdapter logpost(
boost::bind(&PoissonRegressionModel::log_likelihood, model_,
_1, _2, _3, _4),
boost::bind(&MvnBase::logp_given_inclusion, slab_prior_.get(),
_1, _2, _3, included, _4));
Vector beta = model_->included_coefficients();
int dim = beta.size();
if (dim == 0) {
return negative_infinity();
// TODO: This logic prohibits an empty model. Better to return
// the actual value of the un-normalized log posterior, which in
// this case would just be the likelihood portion.
}
Vector gradient(dim);
Spd hessian(dim);
double logf;
std::string error_message;
bool ok = max_nd2_careful(beta,
gradient,
hessian,
logf,
Target(logpost),
dTarget(logpost),
d2Target(logpost),
1e-5,
error_message);
if (ok) {
model_->set_included_coefficients(beta, included);
return logf;
} else {
return negative_infinity();
}
}
vector<vector<double> > qFinderDMM::getHessian(){
try {
vector<double> alpha(numOTUs, 0.0000);
double alphaSum = 0.0000;
vector<double> pi = zMatrix[currentPartition];
vector<double> psi_ajk(numOTUs, 0.0000);
vector<double> psi_cjk(numOTUs, 0.0000);
vector<double> psi1_ajk(numOTUs, 0.0000);
vector<double> psi1_cjk(numOTUs, 0.0000);
for(int j=0;j<numOTUs;j++){
if (m->control_pressed) { break; }
alpha[j] = exp(lambdaMatrix[currentPartition][j]);
alphaSum += alpha[j];
for(int i=0;i<numSamples;i++){
double X = (double) countMatrix[i][j];
psi_ajk[j] += pi[i] * psi(alpha[j]);
psi1_ajk[j] += pi[i] * psi1(alpha[j]);
psi_cjk[j] += pi[i] * psi(alpha[j] + X);
psi1_cjk[j] += pi[i] * psi1(alpha[j] + X);
}
}
double psi_Ck = 0.0000;
double psi1_Ck = 0.0000;
double weight = 0.0000;
for(int i=0;i<numSamples;i++){
if (m->control_pressed) { break; }
weight += pi[i];
double sum = 0.0000;
for(int j=0;j<numOTUs;j++){ sum += alpha[j] + countMatrix[i][j]; }
psi_Ck += pi[i] * psi(sum);
psi1_Ck += pi[i] * psi1(sum);
}
double psi_Ak = weight * psi(alphaSum);
double psi1_Ak = weight * psi1(alphaSum);
vector<vector<double> > hessian(numOTUs);
for(int i=0;i<numOTUs;i++){ hessian[i].assign(numOTUs, 0.0000); }
for(int i=0;i<numOTUs;i++){
if (m->control_pressed) { break; }
double term1 = -alpha[i] * (- psi_ajk[i] + psi_Ak + psi_cjk[i] - psi_Ck);
double term2 = -alpha[i] * alpha[i] * (-psi1_ajk[i] + psi1_Ak + psi1_cjk[i] - psi1_Ck);
double term3 = 0.1 * alpha[i];
hessian[i][i] = term1 + term2 + term3;
for(int j=0;j<i;j++){
hessian[i][j] = - alpha[i] * alpha[j] * (psi1_Ak - psi1_Ck);
hessian[j][i] = hessian[i][j];
}
}
return hessian;
}
catch(exception& e){
m->errorOut(e, "qFinderDMM", "getHessian");
exit(1);
}
}
/***********************************************************************//**
* @brief Evaluate log-likelihood function
*
* @param[in] pars Optimizer parameters.
*
* @exception GException::invalid_statistics
* Invalid optimization statistics encountered.
*
* This method evaluates the -(log-likelihood) function for parameter
* optimization. It handles both binned and unbinned data and supportes
* Poisson and Gaussian statistics.
* Note that different statistics and different analysis methods
* (binned/unbinned) may be combined.
***************************************************************************/
void GObservations::likelihood::eval(const GOptimizerPars& pars)
{
// Timing measurement
#if defined(G_EVAL_TIMING)
#ifdef _OPENMP
double t_start = omp_get_wtime();
#else
clock_t t_start = clock();
#endif
#endif
// Single loop for common exit point
do {
// Get number of parameters
int npars = pars.size();
// Fall through if we have no free parameters
if (npars < 1) {
continue;
}
// Free old memory
if (m_gradient != NULL) delete m_gradient;
if (m_curvature != NULL) delete m_curvature;
// Initialise value, gradient vector and curvature matrix
m_value = 0.0;
m_npred = 0.0;
m_gradient = new GVector(npars);
m_curvature = new GMatrixSparse(npars,npars);
// Set stack size and number of entries
int stack_size = (2*npars > 100000) ? 2*npars : 100000;
int max_entries = 2*npars;
m_curvature->stack_init(stack_size, max_entries);
// Allocate vectors to save working variables of each thread
std::vector<GVector*> vect_cpy_grad;
std::vector<GMatrixSparse*> vect_cpy_curvature;
std::vector<double*> vect_cpy_value;
std::vector<double*> vect_cpy_npred;
// Here OpenMP will paralellize the execution. The following code will
// be executed by the differents threads. In order to avoid protecting
// attributes ( m_value,m_npred, m_gradient and m_curvature), each thread
// works with its own working variables (cpy_*). When a thread starts,
// we add working variables in a vector (vect_cpy_*). When computation
// is finished we just add all elements contain in the vector to the
// attributes value.
#pragma omp parallel
{
// Allocate and initialize variable copies for multi-threading
GModels cpy_model(m_this->models());
GVector* cpy_gradient = new GVector(npars);
GMatrixSparse* cpy_curvature = new GMatrixSparse(npars,npars);
double* cpy_npred = new double(0.0);
double* cpy_value = new double(0.0);
// Set stack size and number of entries
cpy_curvature->stack_init(stack_size, max_entries);
// Push variable copies into vector. This is a critical zone to
// avoid multiple thread pushing simultaneously.
#pragma omp critical
{
vect_cpy_grad.push_back(cpy_gradient);
vect_cpy_curvature.push_back(cpy_curvature);
vect_cpy_value.push_back(cpy_value);
vect_cpy_npred.push_back(cpy_npred);
}
// Loop over all observations. The omp for directive will deal
// with the iterations on the differents threads.
#pragma omp for
for (int i = 0; i < m_this->size(); ++i) {
// Compute likelihood
*cpy_value += m_this->m_obs[i]->likelihood(cpy_model,
cpy_gradient,
cpy_curvature,
cpy_npred);
} // endfor: looped over observations
// Release stack
cpy_curvature->stack_destroy();
} // end pragma omp parallel
// Now the computation is finished, update attributes.
// For each omp section, a thread will be created.
#pragma omp sections
{
#pragma omp section
{
for (int i = 0; i < vect_cpy_curvature.size() ; ++i) {
*m_curvature += *(vect_cpy_curvature.at(i));
delete vect_cpy_curvature.at(i);
}
}
#pragma omp section
{
for (int i = 0; i < vect_cpy_grad.size(); ++i){
*m_gradient += *(vect_cpy_grad.at(i));
delete vect_cpy_grad.at(i);
}
}
#pragma omp section
{
for(int i = 0; i < vect_cpy_npred.size(); ++i){
m_npred += *(vect_cpy_npred.at(i));
delete vect_cpy_npred.at(i);
}
}
#pragma omp section
{
for (int i = 0; i < vect_cpy_value.size(); ++i){
m_value += *(vect_cpy_value.at(i));
delete vect_cpy_value.at(i);
}
}
} // end of pragma omp sections
// Release stack
m_curvature->stack_destroy();
} while(0); // endwhile: main loop
// Copy over the parameter gradients for all parameters that are
// free (so that we can access the gradients from outside)
for (int ipar = 0; ipar < pars.size(); ++ipar) {
if (pars[ipar]->is_free()) {
GOptimizerPar* par = const_cast<GOptimizerPar*>(pars[ipar]);
par->factor_gradient((*m_gradient)[ipar]);
}
}
// Optionally use Hessian instead of curvature matrix
#if defined(G_USE_HESSIAN)
*m_curvature = hessian(pars);
#endif
// Optionally dump gradient and curvature matrix
#if defined(G_EVAL_DEBUG)
std::cout << *m_gradient << std::endl;
for (int i = 0; i < pars.size(); ++i) {
for (int j = 0; j < pars.size(); ++j) {
std::cout << (*m_curvature)(i,j) << " ";
}
std::cout << std::endl;
}
#endif
// Timing measurement
#if defined(G_EVAL_TIMING)
#ifdef _OPENMP
double t_elapse = omp_get_wtime()-t_start;
#else
double t_elapse = (double)(clock() - t_start) / (double)CLOCKS_PER_SEC;
#endif
std::cout << "GObservations::optimizer::eval: CPU usage = "
<< t_elapse << " sec" << std::endl;
#endif
// Return
return;
}
/* MAIN PROGRAM */
int main() {
int i, j, k;
int tag = 1; /* tape tag */
int taskCount = 0;
int pFW, pRV, pTR, degree, keep; /* forward/reverse parameters */
int evalCount; /* # of evaluations */
/****************************************************************************/
/* READ CONTROL PARAMETERS FROM FILE */
int controlParameters[cpCount];
FILE* controlFile;
/*------------------------------------------------------------------------*/
/* open file to read */
if ((controlFile = fopen(controlFileName,"r")) == NULL) {
fprintf(stdout,"ERROR: Could not open control file %s\n",
controlFileName);
exit(-1);
}
/*------------------------------------------------------------------------*/
/* read all values */
for (i=0; i<cpCount; i++)
fscanf(controlFile,"%d%*[^\n]",&controlParameters[i]);
indepDim = controlParameters[cpDimension];
pFW = controlParameters[cpVecCountFW];
pRV = controlParameters[cpVecCountRV];
pTR = controlParameters[cpVecCountTR];
degree = controlParameters[cpDegree];
evalCount = controlParameters[cpAverageCount];
/*------------------------------------------------------------------------*/
/* close control file */
fclose(controlFile);
/****************************************************************************/
/* VARIABLES & INITIALIZATION */
/*------------------------------------------------------------------------*/
/* Initialize all problem parameters (including dimension) */
initProblemParameters();
/*------------------------------------------------------------------------*/
/* Initialize the independent variables */
double* indeps = new double[indepDim];
initIndependents(indeps);
/*------------------------------------------------------------------------*/
/* Check main parameters */
if (evalCount <= 0) {
fprintf(stdout," # of evaluations to average over = ? ");
fscanf(stdin,"%d",&evalCount);
fprintf(stdout,"\n");
}
if ((degree <= 1) &&
(controlParameters[cpHosFW] || controlParameters[cpHovFW] ||
controlParameters[cpHosRV] || controlParameters[cpHovRV] ||
controlParameters[cpTensor])) {
fprintf(stdout," degree = ? ");
fscanf(stdin,"%d",°ree);
fprintf(stdout,"\n");
}
keep = degree + 1;
if ((pFW < 1) &&
(controlParameters[cpFovFW] || controlParameters[cpHovFW])) {
fprintf(stdout," # of vectors in vector forward mode = ? ");
fscanf(stdin,"%d",&pFW);
fprintf(stdout,"\n");
}
if ((pRV < 1) &&
(controlParameters[cpFovRV] || controlParameters[cpHovRV])) {
fprintf(stdout," # of vectors in vector reverse mode = ? ");
fscanf(stdin,"%d",&pRV);
fprintf(stdout,"\n");
}
if ((pTR < 1) &&
(controlParameters[cpTensor])) {
fprintf(stdout," # of vectors in tensor mode = ? ");
fscanf(stdin,"%d",&pTR);
fprintf(stdout,"\n");
}
/*------------------------------------------------------------------------*/
/* Necessary variable */
double depOrig=0.0, depTape; /* function value */
double ***XPPP, **XPP;
double ***YPPP, **YPP, *YP;
double ***ZPPP, **ZPP, *ZP;
double *UP, u;
double *VP;
double *WP;
double *JP;
short **nzPP;
int retVal=0; /* return value */
double t00, t01, t02, t03; /* time values */
double **TPP;
double **SPP;
double **HPP;
int dim;
/****************************************************************************/
/* NORMALIZE TIMER */
/****************************************************************************/
/* 0. ORIGINAL FUNCTION EVALUATION */
/* ---> always */
fprintf(stdout,"\nTASK %d: Original function evaluation\n",
taskCount++);
t00 = myclock();
for (i=0; i<evalCount; i++)
depOrig = originalScalarFunction(indeps);
t01 = myclock();
double timeUnit;
if (t01-t00) {
timeUnit = 1.0/(t01-t00);
fprintf(stdout," ");
fprintf(stdout,TIMEFORMAT,1.0,
(t01-t00)/evalCount);
} else {
fprintf(stdout," !!! zero timing !!!\n");
fprintf(stdout," set time unit to 1.0\n");
timeUnit = 1;
}
/****************************************************************************/
/* 1. TAPING THE FUNCTION */
/* ---> always */
fprintf(stdout,"--------------------------------------------------------");
fprintf(stdout,"\nTASK %d: Taping the function\n",
taskCount++);
t00 = myclock();
/* NOTE: taping will be performed ONCE only */
depTape = tapingScalarFunction(tag,indeps);
t01 = myclock();
size_t tape_stats[STAT_SIZE];
tapestats(tag,tape_stats);
fprintf(stdout,"\n independents %zu\n",tape_stats[NUM_INDEPENDENTS]);
fprintf(stdout," dependents %zu\n",tape_stats[NUM_DEPENDENTS]);
fprintf(stdout," operations %zu\n",tape_stats[NUM_OPERATIONS]);
fprintf(stdout," operations buffer size %zu\n",tape_stats[OP_BUFFER_SIZE]);
fprintf(stdout," locations buffer size %zu\n",tape_stats[LOC_BUFFER_SIZE]);
fprintf(stdout," constants buffer size %zu\n",tape_stats[VAL_BUFFER_SIZE]);
fprintf(stdout," maxlive %zu\n",tape_stats[NUM_MAX_LIVES]);
fprintf(stdout," valstack size %zu\n\n",tape_stats[TAY_STACK_SIZE]);
fprintf(stdout," ");
fprintf(stdout,TIMEFORMAT,(t01-t00)*timeUnit*evalCount,
(t01-t00));
/****************************************************************************/
/* 2. ZOS_FORWARD */
if (controlParameters[cpZosFW]) {
fprintf(stdout,"--------------------------------------------------------");
fprintf(stdout,"\nTASK %d: forward(tag, m=1, n=%d, keep, X[n], Y[m])\n",
taskCount++,indepDim);
fprintf(stdout," ---> zos_forward\n");
/*----------------------------------------------------------------------*/
/* NO KEEP */
t00 = myclock();
for (i=0; i<evalCount; i++)
retVal = forward(tag,1,indepDim,0,indeps,&depTape);
t01 = myclock();
fprintf(stdout," NO KEEP");
fprintf(stdout,TIMEFORMAT,(t01-t00)*timeUnit,
(t01-t00)/evalCount);
/*----------------------------------------------------------------------*/
/* KEEP */
t02 = myclock();
for (i=0; i<evalCount; i++)
retVal = forward(tag,1,indepDim,1,indeps,&depTape);
t03 = myclock();
fprintf(stdout," KEEP ");
fprintf(stdout,TIMEFORMAT,(t03-t02)*timeUnit,
(t03-t02)/evalCount);
/*----------------------------------------------------------------------*/
/* Debug infos */
if (controlParameters[cpZosFW] > 1) {
fprintf(stdout,"\n Return value: %d\n",retVal);
fprintf(stdout," Should be the same values:\n");
fprintf(stdout," (original) %12.8E =? %12.8E (forward from tape)\n",
depOrig,depTape);
}
}
/****************************************************************************/
/* 3. FOS_FORWARD */
if (controlParameters[cpFosFW]) {
fprintf(stdout,"--------------------------------------------------------");
fprintf(stdout,"\nTASK %d: forward(tag, m=1, n=%d, d=1, keep, X[n][d+1], Y[d+1])\n",
taskCount++,indepDim);
fprintf(stdout," ---> fos_forward\n");
/*----------------------------------------------------------------------*/
/* Allocation & initialisation of tensors */
XPP = new double*[indepDim];
for (i=0; i<indepDim; i++) {
XPP[i] = new double[2];
XPP[i][0] = indeps[i];
XPP[i][1] = (double)rand();
}
YP = new double[2];
/*----------------------------------------------------------------------*/
/* NO KEEP */
t00 = myclock();
for (i=0; i<evalCount; i++)
retVal = forward(tag,1,indepDim,1,0,XPP,YP);
t01 = myclock();
fprintf(stdout," NO KEEP");
fprintf(stdout,TIMEFORMAT,(t01-t00)*timeUnit,
(t01-t00)/evalCount);
/*----------------------------------------------------------------------*/
/* KEEP */
t02 = myclock();
for (i=0; i<evalCount; i++)
retVal = forward(tag,1,indepDim,1,2,XPP,YP);
t03 = myclock();
fprintf(stdout," KEEP ");
fprintf(stdout,TIMEFORMAT,(t03-t02)*timeUnit,
(t03-t02)/evalCount);
/*----------------------------------------------------------------------*/
/* Debug infos */
if (controlParameters[cpFosFW] > 1) {
fprintf(stdout,"\n Return value: %d\n",retVal);
fprintf(stdout," Should be the same values:\n");
fprintf(stdout," (original) %12.8E =? %12.8E (forward from tape)\n",
depOrig,YP[0]);
}
/*----------------------------------------------------------------------*/
/* Free tensors */
for (i=0; i<indepDim; i++)
delete[] XPP[i];
delete[] XPP;
delete[] YP;
}
/****************************************************************************/
/* 4. HOS_FORWARD */
if (controlParameters[cpHosFW]) {
fprintf(stdout,"--------------------------------------------------------");
fprintf(stdout,"\nTASK %d: forward(tag, m=1, n=%d, d=%d, keep, X[n][d+1], Y[d+1])\n",
taskCount++,indepDim,degree);
fprintf(stdout," ---> hos_forward\n");
/*----------------------------------------------------------------------*/
/* Allocation & initialisation of tensors */
XPP = new double*[indepDim];
for (i=0; i<indepDim; i++) {
XPP[i] = new double[1+degree];
XPP[i][0] = indeps[i];
for (j=1; j<=degree; j++)
XPP[i][j] = (double)rand();
}
YP = new double[1+degree];
/*----------------------------------------------------------------------*/
/* NO KEEP */
t00 = myclock();
for (i=0; i<evalCount; i++)
retVal = forward(tag,1,indepDim,degree,0,XPP,YP);
t01 = myclock();
fprintf(stdout," NO KEEP");
fprintf(stdout,TIMEFORMAT,(t01-t00)*timeUnit,
(t01-t00)/evalCount);
/*----------------------------------------------------------------------*/
/* KEEP */
t02 = myclock();
for (i=0; i<evalCount; i++)
retVal = forward(tag,1,indepDim,degree,keep,XPP,YP);
t03 = myclock();
fprintf(stdout," KEEP ");
fprintf(stdout,TIMEFORMAT,(t03-t02)*timeUnit,
(t03-t02)/evalCount);
/*----------------------------------------------------------------------*/
/* Debug infos */
if (controlParameters[cpHosFW] > 1) {
fprintf(stdout,"\n Return value: %d\n",retVal);
fprintf(stdout," Should be the same values:\n");
fprintf(stdout," (original) %12.8E =? %12.8E (forward from tape)\n",
depOrig,YP[0]);
}
/*----------------------------------------------------------------------*/
/* Free tensors */
for (i=0; i<indepDim; i++)
delete[] XPP[i];
delete[] XPP;
delete[] YP;
}
/****************************************************************************/
/* 5. FOV_FORWARD */
if (controlParameters[cpFovFW]) {
fprintf(stdout,"--------------------------------------------------------");
fprintf(stdout,"\nTASK %d: forward(tag, m=1, n=%d, p=%d, x[n], X[n][p], y[m], Y[m][p])\n",
taskCount++,indepDim,pFW);
fprintf(stdout," ---> fov_forward\n");
/*----------------------------------------------------------------------*/
/* Allocation & initialisation of tensors */
XPP = new double*[indepDim];
for (i=0; i<indepDim; i++) {
XPP[i] = new double[pFW];
for (j=0; j<pFW; j++)
XPP[i][j] = (double)rand();
}
YP = new double[1];
YPP = new double*[1];
YPP[0] = new double[pFW];
/*----------------------------------------------------------------------*/
/* always NO KEEP */
t00 = myclock();
for (i=0; i<evalCount; i++)
retVal = forward(tag,1,indepDim,pFW,indeps,XPP,YP,YPP);
t01 = myclock();
fprintf(stdout," (NO KEEP)");
fprintf(stdout,TIMEFORMAT,(t01-t00)*timeUnit,
(t01-t00)/evalCount);
/*----------------------------------------------------------------------*/
/* Debug infos */
if (controlParameters[cpFovFW] > 1) {
fprintf(stdout,"\n Return value: %d\n",retVal);
}
/*----------------------------------------------------------------------*/
/* Free tensors */
for (i=0; i<indepDim; i++)
delete[] XPP[i];
delete[] XPP;
delete[] YP;
delete[] YPP[0];
delete[] YPP;
}
/****************************************************************************/
/* 6. HOV_FORWARD */
if (controlParameters[cpHovFW]) {
fprintf(stdout,"--------------------------------------------------------");
fprintf(stdout,"\nTASK %d: forward(tag, m=1, n=%d, d=%d, p=%d, x[n], X[n][p][d], y[m], Y[m][p][d])\n",
taskCount++,indepDim,degree,pFW);
fprintf(stdout," ---> hov_forward\n");
/*----------------------------------------------------------------------*/
/* Allocation & initialisation of tensors */
XPPP = new double**[indepDim];
for (i=0; i<indepDim; i++) {
XPPP[i] = new double*[pFW];
for (j=0; j<pFW; j++) {
XPPP[i][j] = new double[degree];
for (k=0; k<degree; k++)
XPPP[i][j][k] = (double)rand();
}
}
YP = new double[1];
YPPP = new double**[1];
YPPP[0] = new double*[pFW];
for (j=0; j<pFW; j++)
YPPP[0][j] = new double[degree];
/*----------------------------------------------------------------------*/
/* always NO KEEP */
t00 = myclock();
for (i=0; i<evalCount; i++)
retVal = forward(tag,1,indepDim,degree,pFW,indeps,XPPP,YP,YPPP);
t01 = myclock();
fprintf(stdout," (NO KEEP)");
fprintf(stdout,TIMEFORMAT,(t01-t00)*timeUnit,
(t01-t00)/evalCount);
/*----------------------------------------------------------------------*/
/* Debug infos */
if (controlParameters[cpHovFW] > 1) {
fprintf(stdout,"\n Return value: %d\n",retVal);
}
/*----------------------------------------------------------------------*/
/* Free tensors */
for (i=0; i<indepDim; i++) {
for (j=0; j<pFW; j++)
delete[] XPPP[i][j];
delete[] XPPP[i];
}
delete[] XPPP;
delete[] YP;
for (j=0; j<pFW; j++)
delete[] YPPP[0][j];
delete[] YPPP[0];
delete[] YPPP;
}
/****************************************************************************/
/* 7. FOS_REVERSE */
if (controlParameters[cpFosRV]) {
fprintf(stdout,"--------------------------------------------------------");
fprintf(stdout,"\nTASK %d: reverse(tag, m=1, n=%d, d=0, u, Z[n])\n",
taskCount++,indepDim);
fprintf(stdout," ---> fos_reverse\n");
/*----------------------------------------------------------------------*/
/* Allocation & initialisation of tensors */
ZP = new double[indepDim];
u = (double)rand();
/*----------------------------------------------------------------------*/
/* Forward with keep*/
forward(tag,1,indepDim,1,indeps,&depTape);
/*----------------------------------------------------------------------*/
/* Reverse */
t00 = myclock();
for (i=0; i<evalCount; i++)
retVal = reverse(tag,1,indepDim,0,u,ZP);
t01 = myclock();
fprintf(stdout," ");
fprintf(stdout,TIMEFORMAT,(t01-t00)*timeUnit,
(t01-t00)/evalCount);
/*----------------------------------------------------------------------*/
/* Debug infos */
if (controlParameters[cpFosRV] > 1) {
fprintf(stdout,"\n Return value: %d\n",retVal);
}
/*----------------------------------------------------------------------*/
/* Free tensors */
delete[] ZP;
}
/****************************************************************************/
/* 8. HOS_REVERSE */
if (controlParameters[cpHosRV]) {
fprintf(stdout,"--------------------------------------------------------");
fprintf(stdout,"\nTASK %d: reverse(tag, m=1, n=%d, d=%d, u, Z[n][d+1])\n",
taskCount++,indepDim,degree);
fprintf(stdout," ---> hos_reverse\n");
/*----------------------------------------------------------------------*/
/* Allocation & initialisation of tensors */
ZPP = new double*[indepDim];
for (i=0; i<indepDim; i++)
ZPP[i] = new double[degree+1];
u = (double)rand();
XPP = new double*[indepDim];
for (i=0; i<indepDim; i++) {
XPP[i] = new double[1+degree];
XPP[i][0] = indeps[i];
for (j=1; j<=degree; j++)
XPP[i][j] = (double)rand();
}
YP = new double[1+degree];
/*----------------------------------------------------------------------*/
/* Forward with keep*/
forward(tag,1,indepDim,degree,keep,XPP,YP);
/*----------------------------------------------------------------------*/
/* Reverse */
t00 = myclock();
for (i=0; i<evalCount; i++)
retVal = reverse(tag,1,indepDim,degree,u,ZPP);
t01 = myclock();
fprintf(stdout," ");
fprintf(stdout,TIMEFORMAT,(t01-t00)*timeUnit,
(t01-t00)/evalCount);
/*----------------------------------------------------------------------*/
/* Debug infos */
if (controlParameters[cpHosRV] > 1) {
fprintf(stdout,"\n Return value: %d\n",retVal);
}
/*----------------------------------------------------------------------*/
/* Free tensors */
for (i=0; i<indepDim; i++)
delete[] ZPP[i];
delete[] ZPP;
for (i=0; i<indepDim; i++)
delete[] XPP[i];
delete[] XPP;
delete[] YP;
}
/****************************************************************************/
/* 9. FOV_REVERSE */
if (controlParameters[cpFovRV]) {
fprintf(stdout,"--------------------------------------------------------");
fprintf(stdout,"\nTASK %d: reverse(tag, m=1, n=%d, d=0, p=%d, U[p], Z[p][n])\n",
taskCount++,indepDim,pRV);
fprintf(stdout," ---> fov_reverse\n");
/*----------------------------------------------------------------------*/
/* Allocation & initialisation of tensors */
ZPP = new double*[pRV];
for (i=0; i<pRV; i++)
ZPP[i] = new double[indepDim];
UP = new double[pRV];
for (i=0; i<pRV; i++)
UP[i] = (double)rand();
/*----------------------------------------------------------------------*/
/* Forward with keep*/
forward(tag,1,indepDim,1,indeps,&depTape);
/*----------------------------------------------------------------------*/
/* Reverse */
t00 = myclock();
for (i=0; i<evalCount; i++)
retVal = reverse(tag,1,indepDim,0,pRV,UP,ZPP);
t01 = myclock();
fprintf(stdout," ");
fprintf(stdout,TIMEFORMAT,(t01-t00)*timeUnit,
(t01-t00)/evalCount);
/*----------------------------------------------------------------------*/
/* Debug infos */
if (controlParameters[cpFovRV] > 1) {
fprintf(stdout,"\n Return value: %d\n",retVal);
}
/*----------------------------------------------------------------------*/
/* Free tensors */
for (i=0; i<pRV; i++)
delete[] ZPP[i];
delete[] ZPP;
delete[] UP;
}
/****************************************************************************/
/* 10. HOV_REVERSE */
if (controlParameters[cpHovRV]) {
fprintf(stdout,"--------------------------------------------------------");
fprintf(stdout,"\nTASK %d: reverse(tag, m=1, n=%d, d=%d, p=%d, U[p], Z[p][n][d+1], nz[p][n])\n",
taskCount++,indepDim,degree,pRV);
fprintf(stdout," ---> hov_reverse\n");
/*----------------------------------------------------------------------*/
/* Allocation & initialisation of tensors */
ZPPP = new double**[pRV];
for (i=0; i<pRV; i++) {
ZPPP[i] = new double*[indepDim];
for (j=0; j<indepDim; j++)
ZPPP[i][j] = new double[degree+1];
}
UP = new double[pRV];
for (i=0; i<pRV; i++)
UP[i] = (double)rand();
XPP = new double*[indepDim];
for (i=0; i<indepDim; i++) {
XPP[i] = new double[1+degree];
XPP[i][0] = indeps[i];
for (j=1; j<=degree; j++)
XPP[i][j] = (double)rand();
}
YP = new double[1+degree];
nzPP = new short*[pRV];
for (i=0; i<pRV; i++)
nzPP[i] = new short[indepDim];
/*----------------------------------------------------------------------*/
/* Forward with keep*/
forward(tag,1,indepDim,degree,keep,XPP,YP);
/*----------------------------------------------------------------------*/
/* Reverse without nonzero pattern*/
t00 = myclock();
for (i=0; i<evalCount; i++)
retVal = reverse(tag,1,indepDim,degree,pRV,UP,ZPPP);
t01 = myclock();
fprintf(stdout," ");
fprintf(stdout,TIMEFORMAT,(t01-t00)*timeUnit,
(t01-t00)/evalCount);
/*----------------------------------------------------------------------*/
/* Reverse with nonzero pattern*/
t00 = myclock();
for (i=0; i<evalCount; i++)
retVal = reverse(tag,1,indepDim,degree,pRV,UP,ZPPP,nzPP);
t01 = myclock();
fprintf(stdout," (NZ)");
fprintf(stdout,TIMEFORMAT,(t01-t00)*timeUnit,
(t01-t00)/evalCount);
/*----------------------------------------------------------------------*/
/* Debug infos */
if (controlParameters[cpHovRV] > 1) {
fprintf(stdout,"\n Return value: %d\n",retVal);
}
/*----------------------------------------------------------------------*/
/* Free tensors */
for (i=0; i<pRV; i++) {
for (j=0; j<indepDim; j++)
delete[] ZPPP[i][j];
delete[] ZPPP[i];
delete[] nzPP[i];
}
delete[] ZPPP;
delete[] nzPP;
delete[] UP;
for (i=0; i<indepDim; i++)
delete[] XPP[i];
delete[] XPP;
delete[] YP;
}
/****************************************************************************/
/* 11. FUNCTION */
if (controlParameters[cpFunction]) {
fprintf(stdout,"--------------------------------------------------------");
fprintf(stdout,"\nTASK %d: function(tag, m=1, n=%d, X[n], Y[m])\n",
taskCount++,indepDim);
/*----------------------------------------------------------------------*/
/* Function evaluation */
t00 = myclock();
for (i=0; i<evalCount; i++)
retVal = function(tag,1,indepDim,indeps,&depTape);
t01 = myclock();
fprintf(stdout," ");
fprintf(stdout,TIMEFORMAT,(t01-t00)*timeUnit,
(t01-t00)/evalCount);
/*----------------------------------------------------------------------*/
/* Debug infos */
if (controlParameters[cpFunction] > 1) {
fprintf(stdout,"\n Return value: %d\n",retVal);
fprintf(stdout," Should be the same values:\n");
fprintf(stdout," (original) %12.8E =? %12.8E (forward from tape)\n",
depOrig,depTape);
}
}
/****************************************************************************/
/* 12. JACOBIAN */
if (controlParameters[cpJacobian]) {
fprintf(stdout,"--------------------------------------------------------");
fprintf(stdout,"\nTASK %d: gradient(tag, n=%d, X[n], G[n])\n",
taskCount++,indepDim);
/*----------------------------------------------------------------------*/
/* Allocation & initialisation of tensors */
JP = new double[indepDim];
/*----------------------------------------------------------------------*/
/* Gradient evaluation */
t00 = myclock();
for (i=0; i<evalCount; i++)
retVal = gradient(tag,indepDim,indeps,JP);
t01 = myclock();
fprintf(stdout," ");
fprintf(stdout,TIMEFORMAT,(t01-t00)*timeUnit,
(t01-t00)/evalCount);
/*----------------------------------------------------------------------*/
/* Debug infos */
if (controlParameters[cpJacobian] > 1) {
fprintf(stdout,"\n Return value: %d\n",retVal);
}
/*----------------------------------------------------------------------*/
/* Free tensors */
delete[] JP;
}
/****************************************************************************/
/* 13. VECJAC */
if (controlParameters[cpVecJac]) {
fprintf(stdout,"--------------------------------------------------------");
fprintf(stdout,"\nTASK %d: vec_jac(tag, m=1, n=%d, repeat, X[n], U[m], V[n])\n",
taskCount++,indepDim);
/*----------------------------------------------------------------------*/
/* Allocation & initialisation of tensors */
UP = new double[1];
UP[0] = (double)rand();
VP = new double[indepDim];
/*----------------------------------------------------------------------*/
/* Evaluation without repeat */
t00 = myclock();
for (i=0; i<evalCount; i++)
retVal = vec_jac(tag,1,indepDim,0,indeps,UP,VP);
t01 = myclock();
fprintf(stdout,"(no repeat)");
fprintf(stdout,TIMEFORMAT,(t01-t00)*timeUnit,
(t01-t00)/evalCount);
/*----------------------------------------------------------------------*/
/* Evaluation with repeat */
t00 = myclock();
for (i=0; i<evalCount; i++)
retVal = vec_jac(tag,1,indepDim,1,indeps,UP,VP);
t01 = myclock();
fprintf(stdout," (repeat)");
fprintf(stdout,TIMEFORMAT,(t01-t00)*timeUnit,
(t01-t00)/evalCount);
/*----------------------------------------------------------------------*/
/* Debug infos */
if (controlParameters[cpVecJac] > 1) {
fprintf(stdout,"\n Return value: %d\n",retVal);
}
/*----------------------------------------------------------------------*/
/* Free tensors */
delete[] UP;
delete[] VP;
}
/****************************************************************************/
/* 14. JACVEC */
if (controlParameters[cpJacVec]) {
fprintf(stdout,"--------------------------------------------------------");
fprintf(stdout,"\nTASK %d: jac_vec(tag, m=1, n=%d, X[n], V[n], U[m])\n",
taskCount++,indepDim);
/*----------------------------------------------------------------------*/
/* Allocation & initialisation of tensors */
UP = new double[1];
VP = new double[indepDim];
for (i=0; i<indepDim; i++)
VP[i] = (double)rand();
/*----------------------------------------------------------------------*/
/* Evaluation */
t00 = myclock();
for (i=0; i<evalCount; i++)
retVal = jac_vec(tag,1,indepDim,indeps,VP,UP);
t01 = myclock();
fprintf(stdout," ");
fprintf(stdout,TIMEFORMAT,(t01-t00)*timeUnit,
(t01-t00)/evalCount);
/*----------------------------------------------------------------------*/
/* Debug infos */
if (controlParameters[cpJacVec] > 1) {
fprintf(stdout,"\n Return value: %d\n",retVal);
}
/*----------------------------------------------------------------------*/
/* Free tensors */
delete[] UP;
delete[] VP;
}
/****************************************************************************/
/* 15. HESSIAN */
if (controlParameters[cpHessian]) {
fprintf(stdout,"--------------------------------------------------------");
fprintf(stdout,"\nTASK %d: hessian(tag, n=%d, X[n], lower triangle of H[n][n])\n",
taskCount++,indepDim);
/*----------------------------------------------------------------------*/
/* Allocation & initialisation of tensors */
HPP = new double*[indepDim];
for (i=0; i<indepDim; i++)
HPP[i] = new double[indepDim];
/*----------------------------------------------------------------------*/
/* Evaluation */
t00 = myclock();
for (i=0; i<evalCount; i++)
retVal = hessian(tag,indepDim,indeps,HPP);
t01 = myclock();
fprintf(stdout," ");
fprintf(stdout,TIMEFORMAT,(t01-t00)*timeUnit,
(t01-t00)/evalCount);
/*----------------------------------------------------------------------*/
/* Debug infos */
if (controlParameters[cpHessian] > 1) {
fprintf(stdout,"\n Return value: %d\n",retVal);
}
/*----------------------------------------------------------------------*/
/* Free tensors */
for (i=0; i<indepDim; i++)
delete[] HPP[i];
delete[] HPP;
}
/****************************************************************************/
/* 16. HESSVEC */
if (controlParameters[cpHessVec]) {
fprintf(stdout,"--------------------------------------------------------");
fprintf(stdout,"\nTASK %d: hess_vec(tag, n=%d, X[n], V[n], W[n])\n",
taskCount++,indepDim);
/*----------------------------------------------------------------------*/
/* Allocation & initialisation of tensors */
VP = new double[indepDim];
for (i=0; i<indepDim; i++)
VP[i] = (double)rand();
WP = new double[indepDim];
/*----------------------------------------------------------------------*/
/* Evaluation */
t00 = myclock();
for (i=0; i<evalCount; i++)
retVal = hess_vec(tag,indepDim,indeps,VP,WP);
t01 = myclock();
fprintf(stdout," ");
fprintf(stdout,TIMEFORMAT,(t01-t00)*timeUnit,
(t01-t00)/evalCount);
/*----------------------------------------------------------------------*/
/* Debug infos */
if (controlParameters[cpHessVec] > 1) {
fprintf(stdout,"\n Return value: %d\n",retVal);
}
/*----------------------------------------------------------------------*/
/* Free tensors */
delete[] VP;
delete[] WP;
}
/****************************************************************************/
/* 17. LAGHESSVEC */
if (controlParameters[cpLagHessVec]) {
fprintf(stdout,"--------------------------------------------------------");
fprintf(stdout,"\nTASK %d: lagra_hess_vec(tag, m=1, n=%d, X[n], U[m], V[n], W[n])\n",
taskCount++,indepDim);
/*----------------------------------------------------------------------*/
/* Allocation & initialisation of tensors */
UP = new double[1];
UP[0] = (double)rand();
VP = new double[indepDim];
for (i=0; i<indepDim; i++)
VP[i] = (double)rand();
WP = new double[indepDim];
/*----------------------------------------------------------------------*/
/* Evaluation */
t00 = myclock();
for (i=0; i<evalCount; i++)
retVal = lagra_hess_vec(tag,1,indepDim,indeps,UP,VP,WP);
t01 = myclock();
fprintf(stdout," ");
fprintf(stdout,TIMEFORMAT,(t01-t00)*timeUnit,
(t01-t00)/evalCount);
/*----------------------------------------------------------------------*/
/* Debug infos */
if (controlParameters[cpLagHessVec] > 1) {
fprintf(stdout,"\n Return value: %d\n",retVal);
}
/*----------------------------------------------------------------------*/
/* Free tensors */
delete[] VP;
delete[] WP;
delete[] UP;
}
/****************************************************************************/
/* 18. TENSOR */
if (controlParameters[cpTensor]) {
fprintf(stdout,"--------------------------------------------------------");
fprintf(stdout,"\nTASK %d: tensor_eval(tag, m =1, n=%d, d=%d, p=%d, X[n], tensor[m][dim], S[n][p])\n",
taskCount++,indepDim,degree, pTR);
fprintf(stdout,"\n dim = ((p+d) over d)\n");
/*----------------------------------------------------------------------*/
/* Allocation & initialisation of tensors */
dim = binomi(pTR+degree,degree);
TPP = new double*[1];
TPP[0] = new double[dim];
SPP = new double*[indepDim];
for (i=0; i<indepDim; i++) {
SPP[i] = new double[pTR];
for (j=0; j<pTR; j++)
SPP[i][j]=(i==j)?1.0:0.0;
}
/*----------------------------------------------------------------------*/
/* tensor evaluation */
t00 = myclock();
for (i=0; i<evalCount; i++)
tensor_eval(tag,1,indepDim,degree,pTR,indeps,TPP,SPP);
t01 = myclock();
fprintf(stdout," ");
fprintf(stdout,TIMEFORMAT,(t01-t00)*timeUnit,
(t01-t00)/evalCount);
/*----------------------------------------------------------------------*/
/* Debug infos */
if (controlParameters[cpTensor] > 1) {}
/*----------------------------------------------------------------------*/
/* Free tensors */
delete[] TPP[0];
delete[] TPP;
for (i=0; i<indepDim; i++)
delete[] SPP[i];
delete[] SPP;
}
/****************************************************************************/
/* 19. INVERSE TENSOR */
if (controlParameters[cpInvTensor] && (1==indepDim)) {
fprintf(stdout,"--------------------------------------------------------");
fprintf(stdout,"\nTASK %d: inverse_tensor_eval(tag, m=n=1, d=%d, p=%d, X[n], tensor[m][dim], S[n][p])\n",
taskCount++,degree, pTR);
fprintf(stdout,"\n dim = ((p+d) over d)\n");
/*----------------------------------------------------------------------*/
/* Allocation & initialisation of tensors */
dim = binomi(pTR+degree,degree);
TPP = new double*[1];
TPP[0] = new double[dim];
SPP = new double*[1];
SPP[0] = new double[pTR];
for (j=0; j<pTR; j++)
SPP[0][j]=(0==j)?1.0:0.0;
/*----------------------------------------------------------------------*/
/* tensor evaluation */
t00 = myclock();
for (i=0; i<evalCount; i++)
inverse_tensor_eval(tag,1,degree,pTR,indeps,TPP,SPP);
t01 = myclock();
fprintf(stdout," ");
fprintf(stdout,TIMEFORMAT,(t01-t00)*timeUnit,
(t01-t00)/evalCount);
/*----------------------------------------------------------------------*/
/* Debug infos */
if (controlParameters[cpInvTensor] > 1) {}
/*----------------------------------------------------------------------*/
/* Free tensors */
delete[] TPP[0];
delete[] TPP;
delete[] SPP[0];
delete[] SPP;
}
return 1;
}
/***********************************************************************//**
* @brief Compute Hessian matrix
*
* @param[in] pars Optimizer parameters.
*
* @return Hessian matrix.
***************************************************************************/
GMatrixSparse GObservations::likelihood::hessian(const GOptimizerPars& pars)
{
// Set strategy constants (low)
//const int ncyles = 3;
//const double step_tolerance = 0.5;
//const double gradient_tolerance = 0.1;
// Set strategy constants (medium)
const int ncyles = 5;
const double step_tolerance = 0.3;
const double gradient_tolerance = 0.05;
// Set strategy constants (high)
//const int ncyles = 7;
//const double step_tolerance = 0.1;
//const double gradient_tolerance = 0.02;
// Create working copy of parameters
GOptimizerPars wrk_pars = pars;
// Get number of parameters
int npars = wrk_pars.size();
// Allocate Hessian matrix
GMatrixSparse hessian(npars, npars);
// Find out machine precision
double eps = 0.1;
while (1.0+eps != 1.0) {
eps *= 0.5;
}
double eps2 = 2.0 * std::sqrt(eps);
// Function value
eval(wrk_pars);
double f = value();
// Compute aimsag
double aimsag = std::sqrt(eps2) * std::abs(f);
// Diagonal elements
std::vector<double> g2(npars, 0.0);
std::vector<double> grd(npars, 0.0);
std::vector<double> dir(npars, 0.0);
std::vector<double> yy(npars, 0.0);
// Loop over parameters
for (int i = 0; i < npars; ++i) {
// Get parameter
GOptimizerPar* par = wrk_pars[i];
// Interrupt if parameter is fixed
if (par->is_fixed()) {
hessian(i,i) = 0.0;
continue;
}
// Setup step size
double xtf = par->factor_value();
double dmin = 8.0 * eps2 * std::abs(xtf);
double d = 0.000001;
if (d < dmin) {
d = dmin;
}
// Loop over cycles
for (int icyc = 0; icyc < ncyles; ++icyc) {
//for (int icyc = 0; icyc < 1; ++icyc) {
// Initialise
double sag = 0.0;
double fs1 = 0.0; // right-hand side
double fs2 = 0.0; // left-hand side
// Compute gradient
for (int multpy = 0; multpy < 5; ++multpy) {
//for (int multpy = 0; multpy < 1; ++multpy) {
// Compute right-hand side
par->factor_value(xtf + d);
eval(wrk_pars);
fs1 = value();
// Compute left-hand side
par->factor_value(xtf - d);
eval(wrk_pars);
fs2 = value();
// Recover current value
par->factor_value(xtf);
// Compute sag
sag = 0.5 * (fs1 + fs2 - 2.0*f);
// Break if sag is okay
if (std::abs(sag) > eps2 || sag == 0.0) {
break;
}
// ... otherwise increase step size
d *= 10.0;
} // endfor
// Save old step size and second derivative
double dlast = d;
double g2bfor = g2[i];
// Compute parameter derivatives and store step size and
// function value
g2[i] = 2.0 * sag/(d*d);
grd[i] = (fs1-fs2)/(2.*d);
dir[i] = d;
yy[i] = fs1;
// Compute a new step size based on the aimed sag
if (sag != 0.0) {
d = std::sqrt(2.0*aimsag/std::abs(g2[i]));
}
if (d < dmin) {
d = dmin;
}
/*
else if (par->factor_value()+d > par->factor_max()) {
d = dmin;
}
else if (par->factor_value()-d > par->factor_min()) {
d = dmin;
}
*/
// Check if converged
if (std::abs((d-dlast)/d) < step_tolerance) {
break;
}
if (std::abs((g2[i]-g2bfor)/g2[i]) < gradient_tolerance) {
break;
}
d = std::min(d, 10.*dlast);
d = std::max(d, 0.1*dlast);
} // endfor: cycles
// Set diagonal element
hessian(i,i) = g2[i];
} // endfor: looped over all parameters
// Debug dump
#if defined(G_HESSIAN)
std::cout << "GObservations::likelihood::hessian: ";
std::cout << "deltas and gradients:" << std::endl;
for (int i = 0; i < npars; ++i) {
std::cout << dir[i] << " ";
std::cout << grd[i] << std::endl;
}
#endif
// Compute off-diagonal elements
for (int i = 0; i < npars; ++i) {
// Get parameter 1
GOptimizerPar* par1 = wrk_pars[i];
double x1 = par1->factor_value();
// Increment parameter 1
par1->factor_value(x1 + dir[i]);
// Loop over columns
for (int j = i+1; j < npars; ++j) {
// Get parameter 2
GOptimizerPar* par2 = wrk_pars[j];
double x2 = par2->factor_value();
// Interrupt if parameter is fixed
if (par1->is_fixed() || par2->is_fixed()) {
hessian(i,j) = 0.0;
hessian(j,i) = 0.0;
continue;
}
// Increment parameter 2
par2->factor_value(x2 + dir[j]);
// Evaluate Hessian element
eval(wrk_pars);
double fs1 = value();
double element = (fs1 + f - yy[i] - yy[j])/(dir[i]*dir[j]);
// Store Hessian element
hessian(i,j) = element;
hessian(j,i) = element;
// Restore parameter 2
par2->factor_value(x2);
} // endfor: looped over columns
// Restore parameter 1
par1->factor_value(x1);
} // endfor: looped over parameters
// Debug dump
#if defined(G_HESSIAN)
std::cout << "GObservations::likelihood::hessian: " << std::endl;
std::cout << hessian << std::endl;
#endif
// Return Hessian
return hessian;
}
void mexFunction(int nlhs, mxArray *plhs[],int nrhs, const mxArray *prhs[])
{
double *v, *x, sigma, *lambda, *pr; mwIndex *ir, *jc;
char *mode; int imode;
//Check Inputs
if(nrhs < 1) {
printInfo();
return;
}
if(nrhs < 2) {
mexErrMsgTxt("You must supply the callback mode and input vector.");
return;
}
if(mxIsEmpty(prhs[0]) || !mxIsChar(prhs[0])) {
mexErrMsgTxt("The mode must be a string!");
return;
}
if(!mxIsEmpty(prhs[1])) {
if(mxIsClass(prhs[1],"scipvar") || mxIsClass(prhs[1],"barvec")) {
mexErrMsgTxt("SCIP and BARON cannot be used with this callback function - please specify 'mcode' via symbset as the cbmode.");
return;
}
if(!mxIsDouble(prhs[1]) || mxIsComplex(prhs[1]) || mxIsSparse(prhs[1])) {
mexErrMsgTxt("The input vector must be a dense real double vector!");
return;
}
}
else {
mexErrMsgTxt("The input vector must be a dense real double vector!");
return;
}
//Check x input size
if(mxGetNumberOfElements(prhs[1]) != getNoVar()) {
mexErrMsgTxt("The input vector is not the right size!");
}
//Get x
x = mxGetPr(prhs[1]);
//Determine input mode and setup return variable
mode = mxArrayToString(prhs[0]);
lower(mode);
if(!strcmp(mode,"obj")) {
imode = 0;
plhs[0] = mxCreateDoubleMatrix(1,1, mxREAL);
v = mxGetPr(plhs[0]);
}
else if(!strcmp(mode,"grad")) {
imode = 1;
plhs[0] = mxCreateDoubleMatrix(1,getNoVar(), mxREAL);
v = mxGetPr(plhs[0]);
}
else if(!strcmp(mode,"con")) {
imode = 2;
plhs[0] = mxCreateDoubleMatrix(getNoCon(),1, mxREAL);
v = mxGetPr(plhs[0]);
}
else if(!strcmp(mode,"jac")) {
imode = 3;
plhs[0] = mxCreateSparse(getNoCon(),getNoVar(),getNNZJac(),mxREAL);
pr = mxGetPr(plhs[0]);
ir = mxGetIr(plhs[0]);
jc = mxGetJc(plhs[0]);
}
else if(!strcmp(mode,"hess")) {
if(nrhs < 4) {
mexErrMsgTxt("You must supply the callback mode, input vector, sigma and lambda for Hessian Evaluations.");
return;
}
//Check length of Sigma
if(mxIsEmpty(prhs[2]) || !mxIsDouble(prhs[2]) || mxIsComplex(prhs[2]) || mxGetNumberOfElements(prhs[2]) != 1)
mexErrMsgTxt("Sigma must be a real, double scalar.");
//Check length of Lambda
if(!mxIsDouble(prhs[3]) || mxIsComplex(prhs[3]) || mxIsSparse(prhs[3]) || mxGetNumberOfElements(prhs[3]) != getNoCon())
mexErrMsgTxt("Lambda must be a real, double, dense vector with ncon elements.");
//Get Sigma, Lambda
sigma = *mxGetPr(prhs[2]);
lambda = mxGetPr(prhs[3]);
imode = 4;
plhs[0] = mxCreateSparse(getNoVar(),getNoVar(),getNNZHess(),mxREAL);
pr = mxGetPr(plhs[0]);
ir = mxGetIr(plhs[0]);
jc = mxGetJc(plhs[0]);
}
else
mexErrMsgTxt("Unknown mode - options are 'obj', 'grad', 'con', 'jac', or 'hess'");
mxFree(mode);
//Call Req Callback
switch(imode)
{
case 0: //objective
*v = objective(x);
break;
case 1: //gradient
gradient(x,v);
break;
case 2: //constraints
constraints(x,v);
break;
case 3: //jacobian
jacobian(x,pr,ir,jc);
break;
case 4: //hessian
hessian(x,sigma,lambda,pr,ir,jc);
break;
}
}
SolutionInfo
Alignment::align(bool n)
{
// create initial solution
SolutionInfo si;
si.volume = -1000.0;
si.iterations = 0;
si.center1 = _refCenter;
si.center2 = _dbCenter;
si.rotation1 = _refRotMat;
si.rotation2 = _dbRotMat;
// scaling of the exclusion spheres
double scale(1.0);
if (_nbrExcl != 0)
{
scale /= _nbrExcl;
}
// try 4 different start orientations
for (unsigned int _call(0); _call < 4; ++_call )
{
// create initial rotation quaternion
SiMath::Vector rotor(4,0.0);
rotor[_call] = 1.0;
double volume(0.0), oldVolume(-999.99), v(0.0);
SiMath::Vector dG(4,0.0); // gradient update
SiMath::Matrix hessian(4,4,0.0), dH(4,4,0.0); // hessian and hessian update
unsigned int ii(0);
for ( ; ii < 100; ++ii)
{
// compute gradient of volume
_grad = 0.0;
volume = 0.0;
hessian = 0.0;
for (unsigned int i(0); i < _refMap.size(); ++i)
{
// compute the volume overlap of the two pharmacophore points
SiMath::Vector Aq(4,0.0);
SiMath::Matrix * AkA = _AkA[i];
Aq[0] = (*AkA)[0][0] * rotor[0] + (*AkA)[0][1] * rotor[1] + (*AkA)[0][2] * rotor[2] + (*AkA)[0][3] * rotor[3];
Aq[1] = (*AkA)[1][0] * rotor[0] + (*AkA)[1][1] * rotor[1] + (*AkA)[1][2] * rotor[2] + (*AkA)[1][3] * rotor[3];
Aq[2] = (*AkA)[2][0] * rotor[0] + (*AkA)[2][1] * rotor[1] + (*AkA)[2][2] * rotor[2] + (*AkA)[2][3] * rotor[3];
Aq[3] = (*AkA)[3][0] * rotor[0] + (*AkA)[3][1] * rotor[1] + (*AkA)[3][2] * rotor[2] + (*AkA)[3][3] * rotor[3];
double qAq = Aq[0] * rotor[0] + Aq[1] * rotor[1] + Aq[2] * rotor[2] +Aq[3] * rotor[3];
v = GCI2 * pow(PI/(_refMap[i].alpha+_dbMap[i].alpha),1.5) * exp(-qAq);
double c(1.0);
// add normal if AROM-AROM
// in this case the absolute value of the angle is needed
if (n
&& (_refMap[i].func == AROM) && (_dbMap[i].func == AROM)
&& (_refMap[i].hasNormal) && (_dbMap[i].hasNormal))
{
// for aromatic rings only the planar directions count
// therefore the absolute value of the cosine is taken
c = _normalContribution(_refMap[i].normal, _dbMap[i].normal, rotor);
// update based on the sign of the cosine
if (c < 0)
{
c *= -1.0;
_dCdq *= -1.0;
_d2Cdq2 *= -1.0;
}
for (unsigned int hi(0); hi < 4; hi++)
{
_grad[hi] += v * ( _dCdq[hi] - 2.0 * c * Aq[hi] );
for (unsigned int hj(0); hj < 4; hj++)
{
hessian[hi][hj] += v * (_d2Cdq2[hi][hj] - 2.0 * _dCdq[hi]*Aq[hj] + 2.0 * c * (2.0*Aq[hi]*Aq[hj] - (*AkA)[hi][hj]));
}
}
v *= c;
}
else if (n
&& ((_refMap[i].func == HACC) || (_refMap[i].func == HDON) || (_refMap[i].func == HYBH))
&& ((_dbMap[i].func == HYBH) || (_dbMap[i].func == HACC) || (_dbMap[i].func == HDON))
&& (_refMap[i].hasNormal)
&& (_dbMap[i].hasNormal))
{
// hydrogen donors and acceptor also have a direction
// in this case opposite directions have negative impact
c = _normalContribution(_refMap[i].normal, _dbMap[i].normal, rotor);
for (unsigned int hi(0); hi < 4; hi++)
{
_grad[hi] += v * ( _dCdq[hi] - 2.0 * c * Aq[hi] );
for (unsigned int hj(0); hj < 4; hj++)
{
hessian[hi][hj] += v * (_d2Cdq2[hi][hj] - 2.0 * _dCdq[hi]*Aq[hj] + 2.0 * c * (2.0*Aq[hi]*Aq[hj] - (*AkA)[hi][hj]));
}
}
v *= c;
}
else if (_refMap[i].func == EXCL)
{
// scale volume overlap of exclusion sphere with a negative scaling factor
// => exclusion spheres have a negative impact
v *= -scale;
// update gradient and hessian directions
for (unsigned int hi=0; hi < 4; hi++)
{
_grad[hi] -= 2.0 * v * Aq[hi];
for (unsigned int hj(0); hj < 4; hj++)
{
hessian[hi][hj] += 2.0 * v * (2.0*Aq[hi]*Aq[hj] - (*AkA)[hi][hj]);
}
}
}
else
{
// update gradient and hessian directions
for (unsigned int hi(0); hi < 4; hi++)
{
_grad[hi] -= 2.0 * v * Aq[hi];
for (unsigned int hj(0); hj < 4; hj++)
{
hessian[hi][hj] += 2.0 * v * (2.0*Aq[hi]*Aq[hj] - (*AkA)[hi][hj]);
}
}
}
volume += v;
}
// stop iterations if the increase in volume overlap is too small (gradient ascent)
// or if the volume is not defined
if (std::isnan(volume) || (volume - oldVolume < 1e-5))
{
break;
}
// reset old volume
oldVolume = volume;
inverseHessian(hessian);
// update gradient based on inverse hessian
_grad = rowProduct(hessian,_grad);
// small scaling of the gradient
_grad *= 0.9;
// update rotor based on gradient information
rotor += _grad;
// normalise rotor such that it has unit norm
normalise(rotor);
}
// save result in info structure
if (oldVolume > si.volume)
{
si.rotor = rotor;
si.volume = oldVolume;
si.iterations = ii;
}
}
return si;
}
void GaussianProcess::optimize()
{
const double dp = 0.1;
const double dp_squared = dp*dp;
const double step_size = 0.1;
double err = 1000000000000000.0;
// const double beta = 0.8;
unsigned int iter = 0;
// VectorXd params(params_orig.size());
VectorXd params = kernel->params;
VectorXd params_orig = kernel->params;
double base = objective(params_orig);
VectorXd gradient(params.size());
MatrixXd hessian(params.size(),params.size());
double alpha = 10000;
while (err > 0.0001 && iter < 5000){
// while (iter < 100){
params_orig = params;
for (unsigned int i = 0; i < params.size(); ++i){
params(i) = params_orig(i) + dp;
std::cout << params.transpose() << std::endl;
const double v1 = objective(params);
params(i) = params_orig(i) - dp;
const double v2 = objective(params);
std::cout << v1 <<","<< v2<<std::endl;
gradient(i) = (v1 - v2)/(2.*dp);
// hessian(i,i) = alpha + (v1 - 2.*base - v2)/dp_squared;
// alpha = 0.95*alpha;
params(i) = params_orig(i);
/*
for (unsigned j = i+1; j < params.size(); ++j){
params(i) = params_orig(i) + dp;
params(j) = params_orig(j) + dp;
const double h1 = objective(params);
params(i) = params_orig(i) + dp;
params(j) = params_orig(j) - dp;
const double h2 = objective(params);
params(i) = params_orig(i) - dp;
params(j) = params_orig(j) + dp;
const double h3 = objective(params);
params(i) = params_orig(i) - dp;
params(j) = params_orig(j) - dp;
const double h4 = objective(params);
const double h_val = (h1 - h2 - h3 + h4)/(4.*dp_squared);
hessian(i,j) = h_val;
hessian(j,i) = h_val;
}
*/
}
// const VectorXd d_param = hessian.inverse()*gradient;
std::cout << "Before: " << params.transpose() << std::endl;
const VectorXd d_param = step_size*gradient;
std::cout << d_param.transpose() << std::endl;
params -= d_param;
std::cout << "After: " << params.transpose() << std::endl;
const double val = objective(params);
std::cout << val <<std::endl;
kernel->params = params;
err = fabs(val - base);///fabs(base);
// std::cout << gradient.transpose() << std::endl;
// std::cout << err << ", " << val << std::endl;
base = val;
/*
if (iter % 10){
std::cout << val << " " << kernel->params.transpose() << std::endl;
}
*/
iter += 1;
} // end while (err > 0.0001)
}
//----------------------------------------------------------------------------
int ExtractRidges::Main (int, char**)
{
std::string imageName = Environment::GetPathR("Head.im");
ImageDouble2D image(imageName.c_str());
// Normalize the image values to be in [0,1].
int quantity = image.GetQuantity();
double minValue = image[0], maxValue = minValue;
int i;
for (i = 1; i < quantity; ++i)
{
if (image[i] < minValue)
{
minValue = image[i];
}
else if (image[i] > maxValue)
{
maxValue = image[i];
}
}
double invRange = 1.0/(maxValue - minValue);
for (i = 0; i < quantity; ++i)
{
image[i] = (image[i] - minValue)*invRange;
}
// Use first-order centered finite differences to estimate the image
// derivatives. The gradient is DF = (df/dx, df/dy) and the Hessian
// is D^2F = {{d^2f/dx^2, d^2f/dxdy}, {d^2f/dydx, d^2f/dy^2}}.
int xBound = image.GetBound(0);
int yBound = image.GetBound(1);
int xBoundM1 = xBound - 1;
int yBoundM1 = yBound - 1;
ImageDouble2D dx(xBound, yBound);
ImageDouble2D dy(xBound, yBound);
ImageDouble2D dxx(xBound, yBound);
ImageDouble2D dxy(xBound, yBound);
ImageDouble2D dyy(xBound, yBound);
int x, y;
for (y = 1; y < yBoundM1; ++y)
{
for (x = 1; x < xBoundM1; ++x)
{
dx(x, y) = 0.5*(image(x+1, y) - image(x-1, y));
dy(x, y) = 0.5*(image(x, y+1) - image(x, y-1));
dxx(x, y) = image(x+1, y) - 2.0*image(x, y) + image(x-1, y);
dxy(x, y) = 0.25*(image(x+1, y+1) + image(x-1, y-1)
- image(x+1, y-1) - image(x-1, y+1));
dyy(x, y) = image(x, y+1) - 2.0*image(x, y) + image(x, y+1);
}
}
dx.Save("dx.im");
dy.Save("dy.im");
dxx.Save("dxx.im");
dxy.Save("dxy.im");
dyy.Save("dyy.im");
// The eigensolver produces eigenvalues a and b and corresponding
// eigenvectors U and V: D^2F*U = a*U, D^2F*V = b*V. Define
// P = Dot(U,DF) and Q = Dot(V,DF). The classification is as follows.
// ridge: P = 0 with a < 0
// valley: Q = 0 with b > 0
ImageDouble2D aImage(xBound, yBound);
ImageDouble2D bImage(xBound, yBound);
ImageDouble2D pImage(xBound, yBound);
ImageDouble2D qImage(xBound, yBound);
for (y = 1; y < yBoundM1; ++y)
{
for (x = 1; x < xBoundM1; ++x)
{
Vector2d gradient(dx(x, y), dy(x, y));
Matrix2d hessian(dxx(x, y), dxy(x, y), dxy(x, y), dyy(x, y));
EigenDecompositiond decomposer(hessian);
decomposer.Solve(true);
aImage(x,y) = decomposer.GetEigenvalue(0);
bImage(x,y) = decomposer.GetEigenvalue(1);
Vector2d u = decomposer.GetEigenvector2(0);
Vector2d v = decomposer.GetEigenvector2(1);
pImage(x,y) = u.Dot(gradient);
qImage(x,y) = v.Dot(gradient);
}
}
aImage.Save("a.im");
bImage.Save("b.im");
pImage.Save("p.im");
qImage.Save("q.im");
// Use a cheap classification of the pixels by testing for sign changes
// between neighboring pixels.
ImageRGB82D result(xBound, yBound);
for (y = 1; y < yBoundM1; ++y)
{
for (x = 1; x < xBoundM1; ++x)
{
unsigned char gray = (unsigned char)(255.0f*image(x, y));
double pValue = pImage(x, y);
bool isRidge = false;
if (pValue*pImage(x-1 ,y) < 0.0
|| pValue*pImage(x+1, y) < 0.0
|| pValue*pImage(x, y-1) < 0.0
|| pValue*pImage(x, y+1) < 0.0)
{
if (aImage(x, y) < 0.0)
{
isRidge = true;
}
}
double qValue = qImage(x,y);
bool isValley = false;
if (qValue*qImage(x-1, y) < 0.0
|| qValue*qImage(x+1, y) < 0.0
|| qValue*qImage(x, y-1) < 0.0
|| qValue*qImage(x, y+1) < 0.0)
{
if (bImage(x,y) > 0.0)
{
isValley = true;
}
}
if (isRidge)
{
if (isValley)
{
result(x, y) = GetColor24(gray, 0, gray);
}
else
{
result(x, y) = GetColor24(gray, 0, 0);
}
}
else if (isValley)
{
result(x, y) = GetColor24(0, 0, gray);
}
else
{
result(x, y) = GetColor24(gray, gray, gray);
}
}
}
result.Save("result.im");
return 0;
}
double evaluate_derivatives(int n, int m, double* x, int* options) {
int order = options[0];
int nnz;
double t1 = k_getTime();
if (options[1] == 0) { // Teed = new double*[n];
assert(m == 1);
double** seed = new double*[n];
for (int i = 0; i < n; i++) {
seed[i] = new double[n];
for (int j = 0; j < n; j++) {
seed[i][j] = ((i==j)?1.0:0.0);
}
}
int dim = binomi(n+order, order);
double** tensorhelp = myalloc2(1, dim);
tensor_eval(TAG, 1, n, order, n, x, tensorhelp, seed);
for (int i = 0; i < n; i++) {
delete[] seed[i];
}
delete[] seed;
myfree2(tensorhelp);
} else {
if (order == 2) { // Hessian
assert(m == 1);
if (options[1] == 1 || options[1] == 2) { // Direct or Indirect
int opt[2] = {0, 0}; // default is indirect;
if (options[1] == 1) {opt[0] = 1;} // set direct;
unsigned int * rind = NULL;
unsigned int * cind = NULL;
double * values = NULL;
sparse_hess(TAG, n, 0, x, &nnz, &rind, &cind, &values, opt);
#ifdef PRINT_RESULT
for (int i = 0; i < nnz; i++) {
printf("H[%d, %d] = %.6f\n", rind[i], cind[i], values[i]);
}
#endif
free(rind);
free(cind);
free(values);
} else if (options[1] == 3) { // FullHess
double** H = new double*[n];
for (int i = 0; i < n; i++) {
H[i] = new double[n];
}
hessian(TAG, n, x, H);
nnz = n*n;
#ifdef PRINT_RESULT
for (int i = 0; i < n; i++) {
for (int j = 0; j <= i; j++) {
printf("H[%d, %d] = %.6f\n", i, j, H[i][j]);
}
}
#endif
for (int i = 0; i < n; i++) {
delete[] H[i];
}
delete[] H;
} else if (options[1] == 4) { // Single Hv
double v[n];
double Hv[n];
for (int i = 0; i < n; i++) {
v[i] = 1.0;
Hv[i] = 0.0;
}
hess_vec(TAG, n, x, v, Hv);
nnz = n;
} else if (options[1] == 5) { // dense second order reverse
double** H = new double*[n];
for (int i = 0; i < n; i++) {
H[i] = new double[n];
}
hessian_dense(TAG, n, x, H);
nnz = n*n;
#ifdef PRINT_RESULT
for (int i = 0; i < n; i++) {
for (int j = 0; j <= i; j++) {
printf("H[%d, %d] = %.6f\n", i, j, H[i][j]);
}
}
#endif
for (int i = 0; i < n; i++) {
delete[] H[i];
}
delete[] H;
} else if (options[1] == 6){ // sparse second order reverse
unsigned int * rind = NULL;
unsigned int * cind = NULL;
double * values = NULL;
hessian_sparse(TAG, n, x, &nnz, &rind, &cind, &values);
#ifdef PRINT_RESULT
for (int i = 0; i < nnz; i++) {
printf("H[%d, %d] = %.6f\n", rind[i], cind[i], values[i]);
}
#endif
free(rind);
free(cind);
free(values);
} else if (options[1] == 7) { // Hess-matrix options
double** H = myalloc2(n, n);
double y;
double*** Xppp = myalloc3(n, n, 1);
double*** Yppp = myalloc3(1, n, 1);
for (int i = 0; i < n; i++) {
for (int j = 0; j < n; j++) {
Xppp[i][j][0] = 0;
}
Xppp[i][i][0] = 1.0;
}
double** Upp = myalloc2(1,2);
Upp[0][0] = 1; Upp[0][1] = 0;
double*** Zppp = myalloc3(n, n, 2);
int ret_val = hov_wk_forward(TAG,1,n,1,2,n,x,Xppp,&y,Yppp);
ret_val = hos_ov_reverse(TAG,1,n,1,n,Upp,Zppp);
for (int i = 0; i < n; ++i) {
for (int l = 0; l < n; ++l) {
H[l][i] = Zppp[i][l][1];
}
}
#ifdef PRINT_RESULT
for (int i = 0; i < n; i++) {
for (int j = 0; j <= i; j++) {
printf("H[%d, %d] = %.6f\n", i, j, H[i][j]);
}
}
#endif
myfree2(H);
myfree3(Xppp);
myfree3(Yppp);
myfree2(Upp);
myfree3(Zppp);
}
} else if (order == 1) { // Gradient or Jacobian
if (m == 1) { // gradient
double g[n];
gradient(TAG, n, x, g);
#ifdef PRINT_RESULT
for (int i = 0; i < n; i++) {
printf("g[%d] = %.6f\n", i, g[i]);
}
#endif
} else { // jacobian
double** J = new double*[m];
for (int i = 0; i < m; i++) {
J[i] = new double[n];
}
jacobian(TAG, m, n, x, J);
#ifdef PRINT_RESULT
for (int i = 0; i < m; i++) {
for (int j = 0; j < n; j++) {
printf("J[%d][%d] = %.6f\n", i, j, J[i][j]);
}
}
#endif
for (int i = 0; i < m; i++) {
delete[] J[i];
}
delete[] J;
}
nnz = n*m;
}
}
double time_elapsed = k_getTime() - t1;
size_t size;
size_t** tind;
double* values;
printf("ADOLC nnz[%d] method[%d] order[%d] timing = %.6f\n", nnz, options[1], options[0], time_elapsed);
return time_elapsed;
}
void dirichlet_fit_main(struct data_t *data, int rseed)
{
const int N = data->N, S = data->S, K = data->K;
int i, j, k;
gsl_rng *ptGSLRNG;
gsl_rng_env_setup();
gsl_set_error_handler_off();
ptGSLRNG = gsl_rng_alloc(gsl_rng_default);
gsl_set_error_handler_off();
gsl_rng_set(ptGSLRNG, rseed);
/* allocate matrices */
double **aadZ, **aadLambda, **aadErr, *adW;
adW = (double *) calloc(K, sizeof(double));
aadZ = (double **) calloc(K, sizeof(double *));
aadLambda = (double **) calloc(K, sizeof(double *));
aadErr = (double **) calloc(K, sizeof(double*));
aadZ[0] = (double *) calloc(K * N, sizeof(double));
aadLambda[0] = (double *) calloc(K * S, sizeof(double));
aadErr[0] = (double *) calloc(K * S, sizeof(double));
for (k = 1; k < K; k++) {
aadZ[k] = aadZ[0] + k * N;
aadLambda[k] = aadLambda[0] + k * S;
aadErr[k] = aadErr[0] + k * S;
}
/* soft k means initialiser */
kmeans(data, ptGSLRNG, adW, aadZ, aadLambda);
for (k = 0; k < K; k++) {
adW[k] = 0.0;
for (i = 0; i < N; i++)
adW[k] += aadZ[k][i];
}
if (data->verbose)
Rprintf(" Expectation Maximization setup\n");
for (k = 0; k < K; k++) {
for (j = 0; j < S; j++) {
const double x = aadLambda[k][j];
aadLambda[k][j] = (x > 0.0) ? log(x) : -10;
}
optimise_lambda_k(aadLambda[k], data, aadZ[k]);
}
/* simple EM algorithm */
int iter = 0;
double dNLL = 0.0, dNew, dChange = BIG_DBL;
if (data->verbose)
Rprintf(" Expectation Maximization\n");
while (dChange > 1.0e-6 && iter < 100) {
calc_z(aadZ, data, adW, aadLambda); /* latent var expectation */
for (k = 0; k < K; k++) /* mixture components, given pi */
optimise_lambda_k(aadLambda[k], data, aadZ[k]);
for (k = 0; k < K; k++) { /* current likelihood & weights */
adW[k] = 0.0;
for(i = 0; i < N; i++)
adW[k] += aadZ[k][i];
}
dNew = neg_log_likelihood(adW, aadLambda, data);
dChange = fabs(dNLL - dNew);
dNLL = dNew;
iter++;
R_CheckUserInterrupt();
if (data->verbose && (iter % 10) == 0)
Rprintf(" iteration %d change %f\n", iter, dChange);
}
/* hessian */
if (data->verbose)
Rprintf(" Hessian\n");
gsl_matrix *ptHessian = gsl_matrix_alloc(S, S),
*ptInverseHessian = gsl_matrix_alloc(S, S);
gsl_permutation *p = gsl_permutation_alloc(S);
double dLogDet = 0., dTemp;
int signum, status;
for (k = 0; k < K; k++) {
data->adPi = aadZ[k];
if (k > 0)
dLogDet += 2.0 * log(N) - log(adW[k]);
hessian(ptHessian, aadLambda[k], data);
status = gsl_linalg_LU_decomp(ptHessian, p, &signum);
gsl_linalg_LU_invert(ptHessian, p, ptInverseHessian);
for (j = 0; j < S; j++) {
aadErr[k][j] = gsl_matrix_get(ptInverseHessian, j, j);
dTemp = gsl_matrix_get(ptHessian, j, j);
dLogDet += log(fabs(dTemp));
}
}
gsl_matrix_free(ptHessian);
gsl_matrix_free(ptInverseHessian);
gsl_permutation_free(p);
/* results */
double dP = K * S + K - 1;
data->NLE = dNLL; data->LogDet = dLogDet;
data->fit_laplace = dNLL + 0.5 * dLogDet - 0.5 * dP * log(2. * M_PI);
data->fit_bic = dNLL + 0.5 * log(N) * dP;
data->fit_aic = dNLL + dP;
group_output(data, aadZ);
mixture_output(data, adW, aadLambda, aadErr);
free(aadErr[0]); free(aadErr);
free(aadLambda[0]); free(aadLambda);
free(aadZ[0]); free(aadZ);
free(adW);
}
Matrix<double> ObjectiveFunction::getHessian(Vector<double> argument)
{
Matrix<double> hessian(numberOfVariables, numberOfVariables, 0.0);
double evaluation11 = 0.0, evaluation12 = 0.0;
double evaluation21 = 0.0, evaluation22 = 0.0;
// Obtain the upper part of the Hessian matrix
for(int i = 0; i < numberOfVariables; i++)
{
for(int j = i; j < numberOfVariables; j++)
{
// Perturb argument components i and j
argument[i] += epsilon;
argument[j] += epsilon;
// Calculate evaluation
evaluation22 = getEvaluation(argument);
// Restart argument components i and j
argument[i] -= epsilon;
argument[j] -= epsilon;
// Perturb argument components i and j
argument[i] += epsilon;
argument[j] -= epsilon;
// Calculate evaluation
evaluation21 = getEvaluation(argument);
// Restart argument components i and j
argument[i] -= epsilon;
argument[j] += epsilon;
// Perturb argument components i and j
argument[i] -= epsilon;
argument[j] += epsilon;
// Calculate evaluation
evaluation12 = getEvaluation(argument);
// Restart potential free parameters i and j
argument[i] += epsilon;
argument[j] -= epsilon;
// Perturb potential free parameters i and j
argument[i] -= epsilon;
argument[j] -= epsilon;
// Calculate evaluation
evaluation11 = getEvaluation(argument);
// Restart potential free parameters i and j
argument[i] += epsilon;
argument[j] += epsilon;
// Calculate second derivative
hessian[i][j]
= (evaluation22 - evaluation21 - evaluation12 + evaluation11)/(4.0*pow(epsilon,2));
}
}
// Obtain the rest of elements by symmetry
for(int i = 0; i < numberOfVariables; i++)
{
for(int j = 0; j < i; j++)
{
hessian[i][j] = hessian[j][i];
}
}
return(hessian);
}
void test_hessian(const F& functional,
const Eigen::VectorXd& x,
const double epsilon = 1e-6) {
eigen_idx_t d = x.size();
Eigen::MatrixXd auto_H(x.size(), x.size());
try {
hessian(functional, x, auto_H);
} catch (nomad_error& e) {
std::cout << "Cannot compute Hessian Test" << std::endl;
throw e;
}
Eigen::MatrixXd diff_H(x.size(), x.size());
try {
finite_diff_hessian(functional, x, diff_H, epsilon);
} catch (nomad_error& e) {
std::cout << "Cannot compute Hessian Test" << std::endl;
throw e;
}
std::cout.precision(6);
int width = 12;
int n_column = 5;
std::cout << "Hessian Test:" << std::endl;
std::cout << " " << std::setw(n_column * width) << std::setfill('-')
<< "" << std::setfill(' ') << std::endl;
std::cout << " "
<< std::setw(width) << std::left << "Row"
<< std::setw(width) << std::left << "Column"
<< std::setw(width) << std::left << "Automatic"
<< std::setw(width) << std::left << "Finite"
<< std::setw(width) << std::left << "Delta / "
<< std::endl;
std::cout << " "
<< std::setw(width) << std::left << "(i)"
<< std::setw(width) << std::left << "(j)"
<< std::setw(width) << std::left << "Derivative"
<< std::setw(width) << std::left << "Difference"
<< std::setw(width) << std::left << "Stepsize^{2}"
<< std::endl;
std::cout << " " << std::setw(n_column * width) << std::setfill('-')
<< "" << std::setfill(' ') << std::endl;
for (eigen_idx_t i = 0; i < d; ++i) {
for (eigen_idx_t j = 0; j < d; ++j) {
std::cout << " "
<< std::setw(width) << std::left << i
<< std::setw(width) << std::left << j
<< std::setw(width) << std::left << auto_H(i, j)
<< std::setw(width) << std::left << diff_H(i, j)
<< std::setw(width) << std::left
<< (auto_H(i, j) - diff_H(i, j)) / (epsilon * epsilon)
<< std::endl;
}
}
std::cout << " " << std::setw(n_column * width) << std::setfill('-')
<< "" << std::setfill(' ') << std::endl;
std::cout << std::endl;
}
int main(int argc, char *argv[]) {
int n=get_num_ind();
int i,j;
struct timeval tv1,tv2;
adouble *xad;
adouble fad;
double f;
double *x;
x=new double[n];
xad=new adouble[n];
get_initial_value(x);
printf("evaluating the function...");
trace_on(tag);
for(i=0;i<n;i++)
{
xad[i] <<= x[i];
}
fad=func_eval(xad);
fad >>= f;
trace_off();
printf("done!\n");
// printf("function value =<%10.20f>\n",f);
// function(tag,1,n,x,&f);
// printf("adolc func value=<%10.20f>\n",f);
//tape_doc(tag,1,n,x,&f);
#ifdef _compare_with_full
double **H;
H = myalloc2(n,n);
printf("computing full hessain....");
gettimeofday(&tv1,NULL);
hessian(tag,n,x,H);
printf("done\n");
gettimeofday(&tv2,NULL);
printf("Computing the full hessian cost %10.6f seconds\n",(tv2.tv_sec-tv1.tv_sec)+(double)(tv2.tv_usec-tv1.tv_usec)/1000000);
#ifdef _PRINTOUT
for(i=0;i<n;i++){
for(j=0;j<n;j++){
printf("H[%d][%d]=<%10.10f>",i,j,H[i][j]);
}
printf("\n");
}
printf("\n");
#endif
#endif
#ifdef edge_pushing
unsigned int *rind = NULL;
unsigned int *cind = NULL;
double *values = NULL;
int nnz;
int options[2];
options[0]=PRE_ACC;
options[1]=COMPUT_GRAPH;
gettimeofday(&tv1,NULL);
// edge_hess(tag, 1, n, x, &nnz, &rind, &cind, &values, options);
sparse_hess(tag,n,0,x, &nnz, &rind, &cind, &values, options);
gettimeofday(&tv2,NULL);
printf("Sparse Hessian: edge pushing cost %10.6f seconds\n",(tv2.tv_sec-tv1.tv_sec)+(double)(tv2.tv_usec-tv1.tv_usec)/1000000);
#ifdef _PRINTOUT
for(i=0;i<nnz;i++){
printf("<%d,%d>:<%10.10f>\n",cind[i],rind[i],values[i]);
// printf("%d %d \n", rind[i], cind[i]);
}
#endif
#endif
#ifdef _compare_with_full
#ifdef edge_pushing
compare_matrix(n,H,nnz,cind,rind,values);
#endif
myfree2(H);
#endif
#ifdef edge_pushing
printf("nnz=%d\n", nnz);
free(rind); rind=NULL;
free(cind); cind=NULL;
free(values); values=NULL;
#endif
delete[] x;
delete[] xad;
return 0;
}