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Initial Optimization API

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This commit is contained in:
Alexander Nozik 2021-03-24 16:36:06 +03:00
parent e216fd50f5
commit cd05ca6e95
18 changed files with 296 additions and 247 deletions
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5
build.gradle.kts
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@ -11,10 +11,7 @@ allprojects {
jcenter()
maven("https://clojars.org/repo")
maven("https://dl.bintray.com/egor-bogomolov/astminer/")
maven("https://dl.bintray.com/kotlin/kotlin-eap")
maven("https://dl.bintray.com/kotlin/kotlinx")
maven("https://dl.bintray.com/mipt-npm/dev")
maven("https://dl.bintray.com/mipt-npm/kscience")
maven("https://dl.bintray.com/hotkeytlt/maven")
maven("https://jitpack.io")
maven("http://logicrunch.research.it.uu.se/maven/")
mavenCentral()

20
kmath-commons/src/main/kotlin/space/kscience/kmath/commons/optimization/CMOptimization.kt
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@ -15,10 +15,7 @@ import space.kscience.kmath.expressions.SymbolIndexer
import space.kscience.kmath.expressions.derivative
import space.kscience.kmath.misc.Symbol
import space.kscience.kmath.misc.UnstableKMathAPI
import space.kscience.kmath.optimization.FunctionOptimization
import space.kscience.kmath.optimization.OptimizationFeature
import space.kscience.kmath.optimization.OptimizationProblemFactory
import space.kscience.kmath.optimization.OptimizationResult
import space.kscience.kmath.optimization.*
import kotlin.reflect.KClass
public operator fun PointValuePair.component1(): DoubleArray = point
@ -27,7 +24,8 @@ public operator fun PointValuePair.component2(): Double = value
@OptIn(UnstableKMathAPI::class)
public class CMOptimization(
override val symbols: List<Symbol>,
) : FunctionOptimization<Double>, SymbolIndexer, OptimizationFeature {
) : FunctionOptimization<Double>, NoDerivFunctionOptimization<Double>, SymbolIndexer, OptimizationFeature {
private val optimizationData: HashMap<KClass<out OptimizationData>, OptimizationData> = HashMap()
private var optimizerBuilder: (() -> MultivariateOptimizer)? = null
public var convergenceChecker: ConvergenceChecker<PointValuePair> = SimpleValueChecker(
@ -36,6 +34,12 @@ public class CMOptimization(
DEFAULT_MAX_ITER
)
override var maximize: Boolean
get() = optimizationData[GoalType::class] == GoalType.MAXIMIZE
set(value) {
optimizationData[GoalType::class] = if (value) GoalType.MAXIMIZE else GoalType.MINIMIZE
}
public fun addOptimizationData(data: OptimizationData) {
optimizationData[data::class] = data
}
@ -50,7 +54,7 @@ public class CMOptimization(
addOptimizationData(InitialGuess(map.toDoubleArray()))
}
public override fun expression(expression: Expression<Double>): Unit {
public override fun function(expression: Expression<Double>): Unit {
val objectiveFunction = ObjectiveFunction {
val args = it.toMap()
expression(args)
@ -58,8 +62,8 @@ public class CMOptimization(
addOptimizationData(objectiveFunction)
}
public override fun diffExpression(expression: DifferentiableExpression<Double, Expression<Double>>) {
expression(expression)
public override fun diffFunction(expression: DifferentiableExpression<Double, Expression<Double>>) {
function(expression)
val gradientFunction = ObjectiveFunctionGradient {
val args = it.toMap()
DoubleArray(symbols.size) { index ->

17
kmath-commons/src/main/kotlin/space/kscience/kmath/commons/optimization/cmFit.kt
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@ -1,13 +1,13 @@
package space.kscience.kmath.commons.optimization
import org.apache.commons.math3.analysis.differentiation.DerivativeStructure
import org.apache.commons.math3.optim.nonlinear.scalar.GoalType
import space.kscience.kmath.commons.expressions.DerivativeStructureField
import space.kscience.kmath.expressions.DifferentiableExpression
import space.kscience.kmath.expressions.Expression
import space.kscience.kmath.misc.Symbol
import space.kscience.kmath.optimization.FunctionOptimization
import space.kscience.kmath.optimization.OptimizationResult
import space.kscience.kmath.optimization.noDerivOptimizeWith
import space.kscience.kmath.optimization.optimizeWith
import space.kscience.kmath.structures.Buffer
import space.kscience.kmath.structures.asBuffer
@ -44,7 +44,7 @@ public fun FunctionOptimization.Companion.chiSquared(
public fun Expression<Double>.optimize(
vararg symbols: Symbol,
configuration: CMOptimization.() -> Unit,
): OptimizationResult<Double> = optimizeWith(CMOptimization, symbols = symbols, configuration)
): OptimizationResult<Double> = noDerivOptimizeWith(CMOptimization, symbols = symbols, configuration)
/**
* Optimize differentiable expression
@ -58,10 +58,11 @@ public fun DifferentiableExpression<Double, Expression<Double>>.minimize(
vararg startPoint: Pair<Symbol, Double>,
configuration: CMOptimization.() -> Unit = {},
): OptimizationResult<Double> {
require(startPoint.isNotEmpty()) { "Must provide a list of symbols for optimization" }
val problem = CMOptimization(startPoint.map { it.first }).apply(configuration)
problem.diffExpression(this)
problem.initialGuess(startPoint.toMap())
problem.goal(GoalType.MINIMIZE)
return problem.optimize()
val symbols = startPoint.map { it.first }.toTypedArray()
return optimize(*symbols){
maximize = false
initialGuess(startPoint.toMap())
diffFunction(this@minimize)
configuration()
}
}

35
kmath-core/api/kmath-core.api
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@ -1,3 +1,18 @@
public final class space/kscience/kmath/data/ColumnarDataKt {
}
public final class space/kscience/kmath/data/XYColumnarData$DefaultImpls {
public static fun get (Lspace/kscience/kmath/data/XYColumnarData;Lspace/kscience/kmath/misc/Symbol;)Lspace/kscience/kmath/structures/Buffer;
}
public final class space/kscience/kmath/data/XYColumnarDataKt {
public static synthetic fun asXYData$default (Lspace/kscience/kmath/nd/Structure2D;IIILjava/lang/Object;)Lspace/kscience/kmath/data/XYColumnarData;
}
public final class space/kscience/kmath/data/XYZColumnarData$DefaultImpls {
public static fun get (Lspace/kscience/kmath/data/XYZColumnarData;Lspace/kscience/kmath/misc/Symbol;)Lspace/kscience/kmath/structures/Buffer;
}
public abstract interface class space/kscience/kmath/domains/Domain {
public abstract fun contains (Lspace/kscience/kmath/structures/Buffer;)Z
public abstract fun getDimension ()I
@ -603,15 +618,6 @@ public final class space/kscience/kmath/misc/CumulativeKt {
public static final fun cumulativeSumOfLong (Lkotlin/sequences/Sequence;)Lkotlin/sequences/Sequence;
}
public final class space/kscience/kmath/misc/NDStructureColumn : space/kscience/kmath/structures/Buffer {
public fun <init> (Lspace/kscience/kmath/nd/Structure2D;I)V
public fun get (I)Ljava/lang/Object;
public final fun getColumn ()I
public fun getSize ()I
public final fun getStructure ()Lspace/kscience/kmath/nd/Structure2D;
public fun iterator ()Ljava/util/Iterator;
}
public final class space/kscience/kmath/misc/StringSymbol : space/kscience/kmath/misc/Symbol {
public static final synthetic fun box-impl (Ljava/lang/String;)Lspace/kscience/kmath/misc/StringSymbol;
public static fun constructor-impl (Ljava/lang/String;)Ljava/lang/String;
@ -644,17 +650,6 @@ public final class space/kscience/kmath/misc/SymbolKt {
public abstract interface annotation class space/kscience/kmath/misc/UnstableKMathAPI : java/lang/annotation/Annotation {
}
public final class space/kscience/kmath/misc/XYPointSet$DefaultImpls {
public static fun get (Lspace/kscience/kmath/misc/XYPointSet;Lspace/kscience/kmath/misc/Symbol;)Lspace/kscience/kmath/structures/Buffer;
}
public final class space/kscience/kmath/misc/XYPointSetKt {
}
public final class space/kscience/kmath/misc/XYZPointSet$DefaultImpls {
public static fun get (Lspace/kscience/kmath/misc/XYZPointSet;Lspace/kscience/kmath/misc/Symbol;)Lspace/kscience/kmath/structures/Buffer;
}
public abstract interface class space/kscience/kmath/nd/AlgebraND {
public static final field Companion Lspace/kscience/kmath/nd/AlgebraND$Companion;
public abstract fun combine (Lspace/kscience/kmath/nd/StructureND;Lspace/kscience/kmath/nd/StructureND;Lkotlin/jvm/functions/Function3;)Lspace/kscience/kmath/nd/StructureND;

34
kmath-core/src/commonMain/kotlin/space/kscience/kmath/data/ColumnarData.kt Normal file
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@ -0,0 +1,34 @@
package space.kscience.kmath.data
import space.kscience.kmath.misc.Symbol
import space.kscience.kmath.misc.UnstableKMathAPI
import space.kscience.kmath.nd.Structure2D
import space.kscience.kmath.structures.Buffer
/**
* A column-based data set with all columns of the same size (not necessary fixed in time).
* The column could be retrieved by a [get] operation.
*/
@UnstableKMathAPI
public interface ColumnarData<out T> {
public val size: Int
public operator fun get(symbol: Symbol): Buffer<T>
}
/**
* A zero-copy method to represent a [Structure2D] as a two-column x-y data.
* There could more than two columns in the structure.
*/
@UnstableKMathAPI
public fun <T> Structure2D<T>.asColumnarData(mapping: Map<Symbol, Int>): ColumnarData<T> {
require(shape[1] >= mapping.maxOf { it.value }) { "Column index out of bounds" }
return object : ColumnarData<T> {
override val size: Int get() = shape[0]
override fun get(symbol: Symbol): Buffer<T> {
val index = mapping[symbol] ?: error("No column mapping for symbol $symbol")
return columns[index]
}
}
}

55
kmath-core/src/commonMain/kotlin/space/kscience/kmath/data/XYColumnarData.kt Normal file
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@ -0,0 +1,55 @@
package space.kscience.kmath.data
import space.kscience.kmath.misc.Symbol
import space.kscience.kmath.misc.UnstableKMathAPI
import space.kscience.kmath.nd.Structure2D
import space.kscience.kmath.structures.Buffer
import kotlin.math.max
/**
* The buffer of X values.
*/
@UnstableKMathAPI
public interface XYColumnarData<T, out X : T, out Y : T> : ColumnarData<T> {
/**
* The buffer of X values
*/
public val x: Buffer<X>
/**
* The buffer of Y values.
*/
public val y: Buffer<Y>
override fun get(symbol: Symbol): Buffer<T> = when (symbol) {
Symbol.x -> x
Symbol.y -> y
else -> error("A column for symbol $symbol not found")
}
}
@Suppress("FunctionName")
@UnstableKMathAPI
public fun <T, X : T, Y : T> XYColumnarData(x: Buffer<X>, y: Buffer<Y>): XYColumnarData<T, X, Y> {
require(x.size == y.size) { "Buffer size mismatch. x buffer size is ${x.size}, y buffer size is ${y.size}" }
return object : XYColumnarData<T, X, Y> {
override val size: Int = x.size
override val x: Buffer<X> = x
override val y: Buffer<Y> = y
}
}
/**
* A zero-copy method to represent a [Structure2D] as a two-column x-y data.
* There could more than two columns in the structure.
*/
@UnstableKMathAPI
public fun <T> Structure2D<T>.asXYData(xIndex: Int = 0, yIndex: Int = 1): XYColumnarData<T, T, T> {
require(shape[1] >= max(xIndex, yIndex)) { "Column index out of bounds" }
return object : XYColumnarData<T, T, T> {
override val size: Int get() = this@asXYData.shape[0]
override val x: Buffer<T> get() = columns[xIndex]
override val y: Buffer<T> get() = columns[yIndex]
}
}

21
kmath-core/src/commonMain/kotlin/space/kscience/kmath/data/XYZColumnarData.kt Normal file
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@ -0,0 +1,21 @@
package space.kscience.kmath.data
import space.kscience.kmath.misc.Symbol
import space.kscience.kmath.misc.UnstableKMathAPI
import space.kscience.kmath.structures.Buffer
/**
* A [XYColumnarData] with guaranteed [x], [y] and [z] columns designated by corresponding symbols.
* Inherits [XYColumnarData].
*/
@UnstableKMathAPI
public interface XYZColumnarData<T, out X : T, out Y : T, out Z : T> : XYColumnarData<T, X, Y> {
public val z: Buffer<Z>
override fun get(symbol: Symbol): Buffer<T> = when (symbol) {
Symbol.x -> x
Symbol.y -> y
Symbol.z -> z
else -> error("A column for symbol $symbol not found")
}
}

15
kmath-core/src/commonMain/kotlin/space/kscience/kmath/misc/ColumnarData.kt
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@ -1,15 +0,0 @@
package space.kscience.kmath.misc
import space.kscience.kmath.structures.Buffer
/**
* A column-based data set with all columns of the same size (not necessary fixed in time).
* The column could be retrieved by a [get] operation.
*/
@UnstableKMathAPI
public interface ColumnarData<out T> {
public val size: Int
public operator fun get(symbol: Symbol): Buffer<T>
}

98
kmath-core/src/commonMain/kotlin/space/kscience/kmath/misc/XYPointSet.kt
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@ -1,98 +0,0 @@
package space.kscience.kmath.misc
import space.kscience.kmath.nd.Structure2D
import space.kscience.kmath.structures.Buffer
/**
* Pair of associated buffers for X and Y axes values.
*
* @param X the type of X values.
* @param Y the type of Y values.
*/
public interface XYPointSet<X, Y> {
/**
* The size of all the involved buffers.
*/
public val size: Int
/**
* The buffer of X values.
*/
@UnstableKMathAPI
public interface XYPointSet<T, X : T, Y : T> : ColumnarData<T> {
public val x: Buffer<X>
/**
* The buffer of Y values.
*/
public val y: Buffer<Y>
override fun get(symbol: Symbol): Buffer<T> = when (symbol) {
Symbol.x -> x
Symbol.y -> y
else -> error("A column for symbol $symbol not found")
}
}
/**
* Triple of associated buffers for X, Y, and Z axes values.
*
* @param X the type of X values.
* @param Y the type of Y values.
* @param Z the type of Z values.
*/
public interface XYZPointSet<X, Y, Z> : XYPointSet<X, Y> {
/**
* The buffer of Z values.
*/
@UnstableKMathAPI
public interface XYZPointSet<T, X : T, Y : T, Z : T> : XYPointSet<T, X, Y> {
public val z: Buffer<Z>
override fun get(symbol: Symbol): Buffer<T> = when (symbol) {
Symbol.x -> x
Symbol.y -> y
Symbol.z -> z
else -> error("A column for symbol $symbol not found")
}
}
internal fun <T : Comparable<T>> insureSorted(points: XYPointSet<T, *>) {
for (i in 0 until points.size - 1)
require(points.x[i + 1] > points.x[i]) { "Input data is not sorted at index $i" }
}
public class NDStructureColumn<T>(public val structure: Structure2D<T>, public val column: Int) : Buffer<T> {
public override val size: Int
get() = structure.rowNum
init {
require(column < structure.colNum) { "Column index is outside of structure column range" }
}
public override operator fun get(index: Int): T = structure[index, column]
public override operator fun iterator(): Iterator<T> = sequence { repeat(size) { yield(get(it)) } }.iterator()
}
@UnstableKMathAPI
public class BufferXYPointSet<T, X : T, Y : T>(
public override val x: Buffer<X>,
public override val y: Buffer<Y>,
) : XYPointSet<T, X, Y> {
public override val size: Int get() = x.size
init {
require(x.size == y.size) { "Sizes of x and y buffers should be the same" }
}
}
@UnstableKMathAPI
public fun <T> Structure2D<T>.asXYPointSet(): XYPointSet<T, T, T> {
require(shape[1] == 2) { "Structure second dimension should be of size 2" }
return object : XYPointSet<T, T, T> {
override val size: Int get() = this@asXYPointSet.shape[0]
override val x: Buffer<T> get() = NDStructureColumn(this@asXYPointSet, 0)
override val y: Buffer<T> get() = NDStructureColumn(this@asXYPointSet, 1)
}
}

16
kmath-functions/src/commonMain/kotlin/space/kscience/kmath/interpolation/Interpolator.kt
View File

@ -1,17 +1,17 @@
@file:OptIn(UnstableKMathAPI::class)
package space.kscience.kmath.interpolation
import space.kscience.kmath.data.XYColumnarData
import space.kscience.kmath.functions.PiecewisePolynomial
import space.kscience.kmath.functions.value
import space.kscience.kmath.misc.BufferXYPointSet
import space.kscience.kmath.misc.UnstableKMathAPI
import space.kscience.kmath.misc.XYPointSet
import space.kscience.kmath.operations.Ring
import space.kscience.kmath.structures.Buffer
import space.kscience.kmath.structures.asBuffer
public fun interface Interpolator<T, X : T, Y : T> {
public fun interpolate(points: XYPointSet<T, X, Y>): (X) -> Y
public fun interpolate(points: XYColumnarData<T, X, Y>): (X) -> Y
}
public interface PolynomialInterpolator<T : Comparable<T>> : Interpolator<T, T, T> {
@ -19,9 +19,9 @@ public interface PolynomialInterpolator<T : Comparable<T>> : Interpolator<T, T,
public fun getDefaultValue(): T = error("Out of bounds")
public fun interpolatePolynomials(points: XYPointSet<T, T, T>): PiecewisePolynomial<T>
public fun interpolatePolynomials(points: XYColumnarData<T, T, T>): PiecewisePolynomial<T>
override fun interpolate(points: XYPointSet<T, T, T>): (T) -> T = { x ->
override fun interpolate(points: XYColumnarData<T, T, T>): (T) -> T = { x ->
interpolatePolynomials(points).value(algebra, x) ?: getDefaultValue()
}
}
@ -31,20 +31,20 @@ public fun <T : Comparable<T>> PolynomialInterpolator<T>.interpolatePolynomials(
x: Buffer<T>,
y: Buffer<T>,
): PiecewisePolynomial<T> {
val pointSet = BufferXYPointSet(x, y)
val pointSet = XYColumnarData(x, y)
return interpolatePolynomials(pointSet)
}
public fun <T : Comparable<T>> PolynomialInterpolator<T>.interpolatePolynomials(
data: Map<T, T>,
): PiecewisePolynomial<T> {
val pointSet = BufferXYPointSet(data.keys.toList().asBuffer(), data.values.toList().asBuffer())
val pointSet = XYColumnarData(data.keys.toList().asBuffer(), data.values.toList().asBuffer())
return interpolatePolynomials(pointSet)
}
public fun <T : Comparable<T>> PolynomialInterpolator<T>.interpolatePolynomials(
data: List<Pair<T, T>>,
): PiecewisePolynomial<T> {
val pointSet = BufferXYPointSet(data.map { it.first }.asBuffer(), data.map { it.second }.asBuffer())
val pointSet = XYColumnarData(data.map { it.first }.asBuffer(), data.map { it.second }.asBuffer())
return interpolatePolynomials(pointSet)
}

6
kmath-functions/src/commonMain/kotlin/space/kscience/kmath/interpolation/LinearInterpolator.kt
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@ -1,15 +1,15 @@
package space.kscience.kmath.interpolation
import space.kscience.kmath.data.XYColumnarData
import space.kscience.kmath.functions.OrderedPiecewisePolynomial
import space.kscience.kmath.functions.PiecewisePolynomial
import space.kscience.kmath.functions.Polynomial
import space.kscience.kmath.misc.UnstableKMathAPI
import space.kscience.kmath.misc.XYPointSet
import space.kscience.kmath.operations.Field
import space.kscience.kmath.operations.invoke
@OptIn(UnstableKMathAPI::class)
internal fun <T : Comparable<T>> insureSorted(points: XYPointSet<*, T, *>) {
internal fun <T : Comparable<T>> insureSorted(points: XYColumnarData<*, T, *>) {
for (i in 0 until points.size - 1)
require(points.x[i + 1] > points.x[i]) { "Input data is not sorted at index $i" }
}
@ -19,7 +19,7 @@ internal fun <T : Comparable<T>> insureSorted(points: XYPointSet<*, T, *>) {
*/
public class LinearInterpolator<T : Comparable<T>>(public override val algebra: Field<T>) : PolynomialInterpolator<T> {
@OptIn(UnstableKMathAPI::class)
public override fun interpolatePolynomials(points: XYPointSet<T, T, T>): PiecewisePolynomial<T> = algebra {
public override fun interpolatePolynomials(points: XYColumnarData<T, T, T>): PiecewisePolynomial<T> = algebra {
require(points.size > 0) { "Point array should not be empty" }
insureSorted(points)

4
kmath-functions/src/commonMain/kotlin/space/kscience/kmath/interpolation/SplineInterpolator.kt
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@ -1,10 +1,10 @@
package space.kscience.kmath.interpolation
import space.kscience.kmath.data.XYColumnarData
import space.kscience.kmath.functions.OrderedPiecewisePolynomial
import space.kscience.kmath.functions.PiecewisePolynomial
import space.kscience.kmath.functions.Polynomial
import space.kscience.kmath.misc.UnstableKMathAPI
import space.kscience.kmath.misc.XYPointSet
import space.kscience.kmath.operations.Field
import space.kscience.kmath.operations.invoke
import space.kscience.kmath.structures.MutableBufferFactory
@ -23,7 +23,7 @@ public class SplineInterpolator<T : Comparable<T>>(
//TODO possibly optimize zeroed buffers
@OptIn(UnstableKMathAPI::class)
public override fun interpolatePolynomials(points: XYPointSet<T, T, T>): PiecewisePolynomial<T> = algebra {
public override fun interpolatePolynomials(points: XYColumnarData<T, T, T>): PiecewisePolynomial<T> = algebra {
require(points.size >= 3) { "Can't use spline interpolator with less than 3 points" }
insureSorted(points)
// Number of intervals. The number of data points is n + 1.

6
kmath-kotlingrad/src/main/kotlin/space/kscience/kmath/kotlingrad/DifferentiableMstExpression.kt
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@ -18,8 +18,10 @@ import space.kscience.kmath.operations.NumericAlgebra
* @param A the [NumericAlgebra] of [T].
* @property expr the underlying [MstExpression].
*/
public inline class DifferentiableMstExpression<T, A>(public val expr: MstExpression<T, A>) :
DifferentiableExpression<T, MstExpression<T, A>> where A : NumericAlgebra<T>, T : Number {
public inline class DifferentiableMstExpression<T: Number, A>(
public val expr: MstExpression<T, A>,
) : DifferentiableExpression<T, MstExpression<T, A>> where A : NumericAlgebra<T> {
public constructor(algebra: A, mst: MST) : this(MstExpression(algebra, mst))
/**

17
kmath-stat/src/commonMain/kotlin/space/kscience/kmath/optimization/DataFit.kt
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@ -1,17 +0,0 @@
package space.kscience.kmath.optimization
import space.kscience.kmath.expressions.DifferentiableExpression
import space.kscience.kmath.misc.StringSymbol
import space.kscience.kmath.misc.Symbol
import space.kscience.kmath.structures.Buffer
public interface DataFit<T : Any> : Optimization<T> {
public fun modelAndData(
x: Buffer<T>,
y: Buffer<T>,
yErr: Buffer<T>,
model: DifferentiableExpression<T, *>,
xSymbol: Symbol = StringSymbol("x"),
)
}

78
kmath-stat/src/commonMain/kotlin/space/kscience/kmath/optimization/FunctionOptimization.kt
View File

@ -4,43 +4,29 @@ import space.kscience.kmath.expressions.AutoDiffProcessor
import space.kscience.kmath.expressions.DifferentiableExpression
import space.kscience.kmath.expressions.Expression
import space.kscience.kmath.expressions.ExpressionAlgebra
import space.kscience.kmath.misc.StringSymbol
import space.kscience.kmath.misc.Symbol
import space.kscience.kmath.operations.ExtendedField
import space.kscience.kmath.structures.Buffer
import space.kscience.kmath.structures.indices
import kotlin.math.pow
/**
* A likelihood function optimization problem
* A likelihood function optimization problem with provided derivatives
*/
public interface FunctionOptimization<T: Any>: Optimization<T>, DataFit<T> {
public interface FunctionOptimization<T : Any> : Optimization<T> {
/**
* The optimization direction. If true search for function maximum, if false, search for the minimum
*/
public var maximize: Boolean
/**
* Define the initial guess for the optimization problem
*/
public fun initialGuess(map: Map<Symbol, T>)
/**
* Set an objective function expression
*/
public fun expression(expression: Expression<T>)
/**
* Set a differentiable expression as objective function as function and gradient provider
*/
public fun diffExpression(expression: DifferentiableExpression<T, Expression<T>>)
override fun modelAndData(
x: Buffer<T>,
y: Buffer<T>,
yErr: Buffer<T>,
model: DifferentiableExpression<T, *>,
xSymbol: Symbol,
) {
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" }
}
public fun diffFunction(expression: DifferentiableExpression<T, Expression<T>>)
public companion object {
/**
@ -70,46 +56,22 @@ public interface FunctionOptimization<T: Any>: Optimization<T>, DataFit<T> {
sum
}
}
/**
* Generate a chi squared expression from given x-y-sigma model represented by an expression. Does not provide derivatives
*/
public fun chiSquared(
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)
}
}
}
}
}
/**
* Optimize expression without derivatives using specific [OptimizationProblemFactory]
* Define a chi-squared-based objective function
*/
public fun <T : Any, F : FunctionOptimization<T>> Expression<T>.optimizeWith(
factory: OptimizationProblemFactory<T, F>,
vararg symbols: Symbol,
configuration: F.() -> Unit,
): OptimizationResult<T> {
require(symbols.isNotEmpty()) { "Must provide a list of symbols for optimization" }
val problem = factory(symbols.toList(), configuration)
problem.expression(this)
return problem.optimize()
public fun <T: Any, I : Any, A> FunctionOptimization<T>.chiSquared(
autoDiff: AutoDiffProcessor<T, I, A, Expression<T>>,
x: Buffer<T>,
y: Buffer<T>,
yErr: Buffer<T>,
model: A.(I) -> I,
) where A : ExtendedField<I>, A : ExpressionAlgebra<T, I> {
val chiSquared = FunctionOptimization.chiSquared(autoDiff, x, y, yErr, model)
diffFunction(chiSquared)
maximize = false
}
/**
@ -122,6 +84,6 @@ public fun <T : Any, F : FunctionOptimization<T>> DifferentiableExpression<T, Ex
): OptimizationResult<T> {
require(symbols.isNotEmpty()) { "Must provide a list of symbols for optimization" }
val problem = factory(symbols.toList(), configuration)
problem.diffExpression(this)
problem.diffFunction(this)
return problem.optimize()
}

69
kmath-stat/src/commonMain/kotlin/space/kscience/kmath/optimization/NoDerivFunctionOptimization.kt Normal file
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@ -0,0 +1,69 @@
package space.kscience.kmath.optimization
import space.kscience.kmath.expressions.Expression
import space.kscience.kmath.misc.Symbol
import space.kscience.kmath.structures.Buffer
import space.kscience.kmath.structures.indices
import kotlin.math.pow
/**
* A likelihood function optimization problem
*/
public interface NoDerivFunctionOptimization<T : Any> : Optimization<T> {
/**
* The optimization direction. If true search for function maximum, if false, search for the minimum
*/
public var maximize: Boolean
/**
* Define the initial guess for the optimization problem
*/
public fun initialGuess(map: Map<Symbol, T>)
/**
* Set an objective function expression
*/
public fun function(expression: Expression<T>)
public companion object {
/**
* Generate a chi squared expression from given x-y-sigma model represented by an expression. Does not provide derivatives
*/
public fun chiSquared(
x: Buffer<Double>,
y: Buffer<Double>,
yErr: Buffer<Double>,
model: Expression<Double>,
xSymbol: Symbol = Symbol.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)
}
}
}
}
}
/**
* Optimize expression without derivatives using specific [OptimizationProblemFactory]
*/
public fun <T : Any, F : NoDerivFunctionOptimization<T>> Expression<T>.noDerivOptimizeWith(
factory: OptimizationProblemFactory<T, F>,
vararg symbols: Symbol,
configuration: F.() -> Unit,
): OptimizationResult<T> {
require(symbols.isNotEmpty()) { "Must provide a list of symbols for optimization" }
val problem = factory(symbols.toList(), configuration)
problem.function(this)
return problem.optimize()
}

40
kmath-stat/src/commonMain/kotlin/space/kscience/kmath/optimization/XYFit.kt Normal file
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@ -0,0 +1,40 @@
package space.kscience.kmath.optimization
import space.kscience.kmath.data.ColumnarData
import space.kscience.kmath.expressions.AutoDiffProcessor
import space.kscience.kmath.expressions.DifferentiableExpression
import space.kscience.kmath.expressions.Expression
import space.kscience.kmath.expressions.ExpressionAlgebra
import space.kscience.kmath.misc.Symbol
import space.kscience.kmath.misc.UnstableKMathAPI
import space.kscience.kmath.operations.ExtendedField
import space.kscience.kmath.operations.Field
@UnstableKMathAPI
public interface XYFit<T : Any> : Optimization<T> {
public val algebra: Field<T>
/**
* Set X-Y data for this fit optionally including x and y errors
*/
public fun data(
dataSet: ColumnarData<T>,
xSymbol: Symbol,
ySymbol: Symbol,
xErrSymbol: Symbol? = null,
yErrSymbol: Symbol? = null,
)
public fun model(model: (T) -> DifferentiableExpression<T, *>)
/**
* Set the differentiable model for this fit
*/
public fun <I : Any, A> model(
autoDiff: AutoDiffProcessor<T, I, A, Expression<T>>,
modelFunction: A.(I) -> I,
): Unit where A : ExtendedField<I>, A : ExpressionAlgebra<T, I> = model { arg ->
autoDiff.process { modelFunction(const(arg)) }
}
}

5
settings.gradle.kts
View File

@ -4,12 +4,11 @@ pluginManagement {
mavenLocal()
gradlePluginPortal()
jcenter()
maven("https://dl.bintray.com/kotlin/kotlin-eap")
maven("https://dl.bintray.com/kotlin/kotlinx")
}
val toolsVersion = "0.9.1"
val kotlinVersion = "1.4.31"
val toolsVersion = "0.9.3"
val kotlinVersion = "1.4.32"
plugins {
id("kotlinx.benchmark") version "0.2.0-dev-20"