Separate object for fitting. Chi-squared

CHANGELOG.md

@@ -11,6 +11,7 @@
 - A separate `Symbol` entity, which is used for global unbound symbol.
 - A `Symbol` indexing scope.
 - Basic optimization API for Commons-math.
+- Chi squared optimization for array-like data in CM
 
 ### Changed
 - Package changed from `scientifik` to `kscience.kmath`.

kmath-commons/src/main/kotlin/kscience/kmath/commons/optimization/CMFit.kt

@@ -0,0 +1,103 @@
+package kscience.kmath.commons.optimization
+
+import kscience.kmath.commons.expressions.DerivativeStructureExpression
+import kscience.kmath.commons.expressions.DerivativeStructureField
+import kscience.kmath.expressions.DifferentiableExpression
+import kscience.kmath.expressions.Expression
+import kscience.kmath.expressions.StringSymbol
+import kscience.kmath.expressions.Symbol
+import kscience.kmath.structures.Buffer
+import kscience.kmath.structures.indices
+import org.apache.commons.math3.analysis.differentiation.DerivativeStructure
+import org.apache.commons.math3.optim.nonlinear.scalar.GoalType
+import kotlin.math.pow
+
+
+public object CMFit {
+
+    /**
+     * Generate a chi squared expression from given x-y-sigma model represented by an expression. Does not provide derivatives
+     * TODO move to core/separate module
+     */
+    public fun chiSquaredExpression(
+        x: Buffer<Double>,
+        y: Buffer<Double>,
+        yErr: Buffer<Double>,
+        model: Expression<Double>,
+        xSymbol: Symbol = StringSymbol("x"),
+    ): Expression<Double> {
+        require(x.size == y.size) { "X and y buffers should be of the same size" }
+        require(y.size == yErr.size) { "Y and yErr buffer should of the same size" }
+        return Expression { arguments ->
+            x.indices.sumByDouble {
+                val xValue = x[it]
+                val yValue = y[it]
+                val yErrValue = yErr[it]
+                val modifiedArgs = arguments + (xSymbol to xValue)
+                val modelValue = model(modifiedArgs)
+                ((yValue - modelValue) / yErrValue).pow(2) / 2
+            }
+        }
+    }
+
+    /**
+     * Generate a chi squared expression from given x-y-sigma data and inline model. Provides automatic differentiation
+     */
+    public fun chiSquaredExpression(
+        x: Buffer<Double>,
+        y: Buffer<Double>,
+        yErr: Buffer<Double>,
+        model: DerivativeStructureField.(x: DerivativeStructure) -> DerivativeStructure,
+    ): DerivativeStructureExpression {
+        require(x.size == y.size) { "X and y buffers should be of the same size" }
+        require(y.size == yErr.size) { "Y and yErr buffer should of the same size" }
+        return DerivativeStructureExpression {
+            var sum = zero
+            x.indices.forEach {
+                val xValue = x[it]
+                val yValue = y[it]
+                val yErrValue = yErr[it]
+                val modelValue = model(const(xValue))
+                sum += ((yValue - modelValue) / yErrValue).pow(2) / 2
+            }
+            sum
+        }
+    }
+}
+
+/**
+ * Optimize expression without derivatives
+ */
+public fun Expression<Double>.optimize(
+    vararg symbols: Symbol,
+    configuration: CMOptimizationProblem.() -> Unit,
+): OptimizationResult<Double> {
+    require(symbols.isNotEmpty()) { "Must provide a list of symbols for optimization" }
+    val problem = CMOptimizationProblem(symbols.toList()).apply(configuration)
+    problem.expression(this)
+    return problem.optimize()
+}
+
+/**
+ * Optimize differentiable expression
+ */
+public fun DifferentiableExpression<Double>.optimize(
+    vararg symbols: Symbol,
+    configuration: CMOptimizationProblem.() -> Unit,
+): OptimizationResult<Double> {
+    require(symbols.isNotEmpty()) { "Must provide a list of symbols for optimization" }
+    val problem = CMOptimizationProblem(symbols.toList()).apply(configuration)
+    problem.diffExpression(this)
+    return problem.optimize()
+}
+
+public fun DifferentiableExpression<Double>.minimize(
+    vararg symbols: Symbol,
+    configuration: CMOptimizationProblem.() -> Unit,
+): OptimizationResult<Double> {
+    require(symbols.isNotEmpty()) { "Must provide a list of symbols for optimization" }
+    val problem = CMOptimizationProblem(symbols.toList()).apply(configuration)
+    problem.diffExpression(this)
+    problem.goal(GoalType.MINIMIZE)
+    return problem.optimize()
+}

kmath-commons/src/main/kotlin/kscience/kmath/commons/optimization/optimize.kt

@@ -1,32 +0,0 @@
-package kscience.kmath.commons.optimization
-
-import kscience.kmath.expressions.DifferentiableExpression
-import kscience.kmath.expressions.Expression
-import kscience.kmath.expressions.Symbol
-
-
-/**
- * Optimize expression without derivatives
- */
-public fun Expression<Double>.optimize(
-    vararg symbols: Symbol,
-    configuration: CMOptimizationProblem.() -> Unit,
-): OptimizationResult<Double> {
-    require(symbols.isNotEmpty()) { "Must provide a list of symbols for optimization" }
-    val problem = CMOptimizationProblem(symbols.toList()).apply(configuration)
-    problem.expression(this)
-    return problem.optimize()
-}
-
-/**
- * Optimize differentiable expression
- */
-public fun DifferentiableExpression<Double>.optimize(
-    vararg symbols: Symbol,
-    configuration: CMOptimizationProblem.() -> Unit,
-): OptimizationResult<Double> {
-    require(symbols.isNotEmpty()) { "Must provide a list of symbols for optimization" }
-    val problem = CMOptimizationProblem(symbols.toList()).apply(configuration)
-    problem.diffExpression(this)
-    return problem.optimize()
-}

kmath-commons/src/test/kotlin/kscience/kmath/commons/optimization/OptimizeTest.kt

@@ -13,7 +13,7 @@ internal class OptimizeTest {
     }
 
     @Test
-    fun testOptimization() {
+    fun testGradientOptimization() {
         val result = normal.optimize(x, y) {
             initialGuess(x to 1.0, y to 1.0)
             //no need to select optimizer. Gradient optimizer is used by default because gradients are provided by function