/**
* Solve the following KKT system (2.10) of [AHO98]:
*
* [ 0 A^T I ] [ dsx ] = [ rd ]
* [ A 0 0 ] [ dy ] = [ rp ]
* [ E 0 F ] [ dsz ] = [ rc ]
* \---- M ----/
*
* where
*
* A = [ Asparse ]
* [ Adense ]
* dy = [ dysparse dydense ]
* E = Z sym I
* F = X sym I
*
*/
static inline void
SolveKKTSystem(const arma::sp_mat& Asparse,
const arma::mat& Adense,
const arma::mat& Z,
const arma::mat& M,
const arma::mat& F,
const arma::vec& rp,
const arma::vec& rd,
const arma::vec& rc,
arma::vec& dsx,
arma::vec& dysparse,
arma::vec& dydense,
arma::vec& dsz)
{
arma::mat Frd_rc_Mat, Einv_Frd_rc_Mat,
Einv_Frd_ATdy_rc_Mat, Frd_ATdy_rc_Mat;
arma::vec Einv_Frd_rc, Einv_Frd_ATdy_rc, dy;
// Note: Whenever a formula calls for E^(-1) v for some v, we solve Lyapunov
// equations instead of forming an explicit inverse.
// Compute the RHS of (2.12)
math::Smat(F * rd - rc, Frd_rc_Mat);
SolveLyapunov(Einv_Frd_rc_Mat, Z, 2. * Frd_rc_Mat);
math::Svec(Einv_Frd_rc_Mat, Einv_Frd_rc);
arma::vec rhs = rp;
const size_t numConstraints = Asparse.n_rows + Adense.n_rows;
if (Asparse.n_rows)
rhs(arma::span(0, Asparse.n_rows - 1)) += Asparse * Einv_Frd_rc;
if (Adense.n_rows)
rhs(arma::span(Asparse.n_rows, numConstraints - 1)) += Adense * Einv_Frd_rc;
// TODO(stephentu): use a more efficient method (e.g. LU decomposition)
if (!arma::solve(dy, M, rhs))
Log::Fatal << "PrimalDualSolver::SolveKKTSystem(): Could not solve KKT "
<< "system." << std::endl;
if (Asparse.n_rows)
dysparse = dy(arma::span(0, Asparse.n_rows - 1));
if (Adense.n_rows)
dydense = dy(arma::span(Asparse.n_rows, numConstraints - 1));
// Compute dx from (2.13)
math::Smat(F * (rd - Asparse.t() * dysparse - Adense.t() * dydense) - rc,
Frd_ATdy_rc_Mat);
SolveLyapunov(Einv_Frd_ATdy_rc_Mat, Z, 2. * Frd_ATdy_rc_Mat);
math::Svec(Einv_Frd_ATdy_rc_Mat, Einv_Frd_ATdy_rc);
dsx = -Einv_Frd_ATdy_rc;
// Compute dz from (2.14)
dsz = rd - Asparse.t() * dysparse - Adense.t() * dydense;
}
// [[Rcpp::export]]
arma::sp_mat sparseTranspose(arma::sp_mat SM) {
return SM.t();
}
// compute the log likelihood and its gradient w.r.t. theta
int dtq::compGrad(void)
{
// remember, everything here is for equispaced data
// we'll save the non-equispaced case for our scala + spark code :)
if ((! haveData) || (! haveMyh)) return 1;
if (spi<1) return 1;
loglikmat = arma::zeros(ltvec-1,numts);
if (spi==1) // special case
{
}
else
{
// strategy: precompute and store common elements in Mats and Cubs
// compute gradf and gradg at all spatial grid points
arma::mat gradfy = arma::zeros(ylen,curtheta.n_elem);
arma::mat gradgy = arma::zeros(ylen,curtheta.n_elem);
this->gradFGyvec(gradfy, gradgy);
// ompute gradf and gradg at all the data points
arma::cube gradfdata = arma::zeros(curtheta.n_elem, (ltvec-1), numts);
arma::cube gradgdata = arma::zeros(curtheta.n_elem, (ltvec-1), numts);
this->gradFGdata(gradfdata, gradgdata);
// initialize cubes to store all states and adjoints,
// at all internal time points (spi-1),
// for each pair of time series points (ltvec-1),
// and at all spatial grid points (ylen)
arma::cube dtqcube = arma::zeros(ylen,(ltvec-1),(spi-1));
arma::cube adjcube = arma::zeros(ylen,(ltvec-1),(spi-1));
// temporary matrix to store the initial state, phatinit
arma::mat phatinit = arma::zeros(ylen,(ltvec-1));
// cube to store the gradient of the initial state w.r.t. theta
arma::cube phatgrad = arma::zeros(ylen,(ltvec-1),curtheta.n_elem);
// build the big matrix of initial conditions
// and the gradients of those initial conditions!
this->phatinitgrad(phatinit, phatgrad, gradfdata, gradgdata);
dtqcube.slice(0) = phatinit;
// propagate states forward in time by (spi-2) steps
if (spi >= 3)
for (int i=1; i<=(spi-2); i++)
dtqcube.slice(i) = myk * prop * dtqcube.slice(i-1);
// now multiply on the left by the Gamma vectors
const arma::vec muvec = yvec + fy*myh;
const arma::vec sigvec = gy*sqrt(myh);
arma::cube allgamma = arma::zeros(ylen,numts,(ltvec-1));
for (int j=0; j<(ltvec-1); j++)
{
for (int l=0; l<numts; l++)
{
allgamma.slice(j).col(l) = myk*gausspdf((*odata)(j+1,l),muvec,sigvec);
loglikmat(j,l) = log(arma::dot(allgamma.slice(j).col(l),dtqcube.slice(spi-2).col(j)));
}
}
// std::cout << loglikmat << '\n';
// initialize the adjoint calculation
for (int j=0; j<(ltvec-1); j++)
for (int l=0; l<numts; l++)
adjcube.slice(spi-2).col(j) += allgamma.slice(j).col(l) / exp(loglikmat(j,l));
// propagate adjoints backward in time by (spi-2) steps
arma::sp_mat transprop = prop.t();
if (spi >= 3)
for (int i=(spi-2); i>=1; i--)
adjcube.slice(i-1) = myk * transprop * adjcube.slice(i);
// stuff that we need for a bunch of gradients
gradloglik = arma::zeros(curtheta.n_elem);
arma::vec gvecm1 = arma::pow(gy,-1);
arma::vec gvecm2 = arma::pow(gy,-2);
arma::vec gvecm3 = arma::pow(gy,-3);
// actual gradient calculation
// proceed element-wise through theta_i
for (int i=0; i<curtheta.n_elem; i++)
{
arma::vec temp1 = gvecm2 % gradfy.col(i);
arma::vec temp2 = gvecm1 % gradgy.col(i);
arma::vec temp3 = (1.0/myh)*gvecm3 % gradgy.col(i);
arma::sp_mat::const_iterator start = prop.begin();
arma::sp_mat::const_iterator end = prop.end();
arma::umat dkdtloc(2, prop.n_nonzero);
arma::vec dkdtval(prop.n_nonzero);
unsigned int dkdtc = 0;
for (arma::sp_mat::const_iterator it = start; it != end; ++it)
{
dkdtloc(0,dkdtc) = it.row();
dkdtloc(1,dkdtc) = it.col();
dkdtc++;
}
#pragma omp parallel for
for (unsigned int dkdtcount=0; dkdtcount < prop.n_nonzero; dkdtcount++)
{
unsigned int orow = dkdtloc(0,dkdtcount);
unsigned int ocol = dkdtloc(1,dkdtcount);
double comval = yvec(orow) - muvec(ocol);
dkdtval(dkdtcount) = myk*(prop.values[dkdtcount])*( comval*temp1(ocol) - temp2(ocol) + temp3(ocol)*comval*comval );
}
arma::sp_mat dkdtheta(dkdtloc, dkdtval, ylen, ylen, false, true);
// implement formula (22) from the DSAA paper
// need gradient of Gamma{F-1}
double tally = 0.0;
#pragma omp parallel for reduction(+:tally)
for (int j=0; j<(ltvec-1); j++)
{
tally += arma::dot(phatgrad.slice(i).col(j),adjcube.slice(0).col(j));
}
#pragma omp parallel for collapse(2) reduction(+:tally)
for (int j=0; j<(ltvec-1); j++)
for (int l=0; l<numts; l++)
{
double xi = (*odata)((j+1),l);
arma::vec gammagrad = (xi-muvec) % temp1;
gammagrad += arma::pow(xi-muvec,2) % temp3;
gammagrad -= temp2;
gammagrad = gammagrad % allgamma.slice(j).col(l);
tally += arma::dot(gammagrad,dtqcube.slice(spi-2).col(j)) / exp(loglikmat(j,l));
}
// we have tested and found that the dot product is better than the
// triple matrix product here, i.e., it is worth taking the transpose
// arma::mat dkdtheta = dkdthetatrans.t();
#pragma omp parallel for collapse(2) reduction(+:tally)
for (int j=0; j<(ltvec-1); j++)
for (int l=0; l<(spi-2); l++)
{
tally += arma::dot((dkdtheta*dtqcube.slice(l).col(j)),adjcube.slice(l+1).col(j));
}
gradloglik(i) = tally;
}
}
haveLoglik = true;
haveGradloglik = true;
return 0;
}