Feature/advanced optimization #404

Merged
altavir merged 17 commits from feature/advanced-optimization into dev 2021-08-29 11:44:10 +03:00
154 changed files with 12878 additions and 1787 deletions

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@ -13,6 +13,7 @@
- Extended operations for ND4J fields - Extended operations for ND4J fields
- Jupyter Notebook integration module (kmath-jupyter) - Jupyter Notebook integration module (kmath-jupyter)
- `@PerformancePitfall` annotation to mark possibly slow API - `@PerformancePitfall` annotation to mark possibly slow API
- Unified architecture for Integration and Optimization using features.
- `BigInt` operation performance improvement and fixes by @zhelenskiy (#328) - `BigInt` operation performance improvement and fixes by @zhelenskiy (#328)
- Integration between `MST` and Symja `IExpr` - Integration between `MST` and Symja `IExpr`
@ -36,8 +37,11 @@
- Remove Any restriction on polynomials - Remove Any restriction on polynomials
- Add `out` variance to type parameters of `StructureND` and its implementations where possible - Add `out` variance to type parameters of `StructureND` and its implementations where possible
- Rename `DifferentiableMstExpression` to `KotlingradExpression` - Rename `DifferentiableMstExpression` to `KotlingradExpression`
- `FeatureSet` now accepts only `Feature`. It is possible to override keys and use interfaces.
- Use `Symbol` factory function instead of `StringSymbol`
### Deprecated ### Deprecated
- Specialized `DoubleBufferAlgebra`
### Removed ### Removed
- Nearest in Domain. To be implemented in geometry package. - Nearest in Domain. To be implemented in geometry package.

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@ -23,8 +23,8 @@ internal class DotBenchmark {
const val dim = 1000 const val dim = 1000
//creating invertible matrix //creating invertible matrix
val matrix1 = LinearSpace.real.buildMatrix(dim, dim) { i, j -> if (i <= j) random.nextDouble() else 0.0 } val matrix1 = LinearSpace.double.buildMatrix(dim, dim) { i, j -> if (i <= j) random.nextDouble() else 0.0 }
val matrix2 = LinearSpace.real.buildMatrix(dim, dim) { i, j -> if (i <= j) random.nextDouble() else 0.0 } val matrix2 = LinearSpace.double.buildMatrix(dim, dim) { i, j -> if (i <= j) random.nextDouble() else 0.0 }
val cmMatrix1 = CMLinearSpace { matrix1.toCM() } val cmMatrix1 = CMLinearSpace { matrix1.toCM() }
val cmMatrix2 = CMLinearSpace { matrix2.toCM() } val cmMatrix2 = CMLinearSpace { matrix2.toCM() }
@ -63,7 +63,7 @@ internal class DotBenchmark {
@Benchmark @Benchmark
fun realDot(blackhole: Blackhole) { fun realDot(blackhole: Blackhole) {
LinearSpace.real { LinearSpace.double {
blackhole.consume(matrix1 dot matrix2) blackhole.consume(matrix1 dot matrix2)
} }
} }

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@ -14,8 +14,8 @@ import space.kscience.kmath.commons.linear.inverse
import space.kscience.kmath.ejml.EjmlLinearSpaceDDRM import space.kscience.kmath.ejml.EjmlLinearSpaceDDRM
import space.kscience.kmath.linear.InverseMatrixFeature import space.kscience.kmath.linear.InverseMatrixFeature
import space.kscience.kmath.linear.LinearSpace import space.kscience.kmath.linear.LinearSpace
import space.kscience.kmath.linear.inverseWithLup
import space.kscience.kmath.linear.invoke import space.kscience.kmath.linear.invoke
import space.kscience.kmath.linear.lupSolver
import space.kscience.kmath.nd.getFeature import space.kscience.kmath.nd.getFeature
import kotlin.random.Random import kotlin.random.Random
@ -25,7 +25,7 @@ internal class MatrixInverseBenchmark {
private val random = Random(1224) private val random = Random(1224)
private const val dim = 100 private const val dim = 100
private val space = LinearSpace.real private val space = LinearSpace.double
//creating invertible matrix //creating invertible matrix
private val u = space.buildMatrix(dim, dim) { i, j -> if (i <= j) random.nextDouble() else 0.0 } private val u = space.buildMatrix(dim, dim) { i, j -> if (i <= j) random.nextDouble() else 0.0 }
@ -35,7 +35,7 @@ internal class MatrixInverseBenchmark {
@Benchmark @Benchmark
fun kmathLupInversion(blackhole: Blackhole) { fun kmathLupInversion(blackhole: Blackhole) {
blackhole.consume(LinearSpace.real.inverseWithLup(matrix)) blackhole.consume(LinearSpace.double.lupSolver().inverse(matrix))
} }
@Benchmark @Benchmark

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@ -203,7 +203,7 @@ public object EjmlLinearSpace${ops} : EjmlLinearSpace<${type}, ${kmathAlgebra},
override fun ${type}.times(v: Point<${type}>): Ejml${type}Vector<${ejmlMatrixType}> = v * this override fun ${type}.times(v: Point<${type}>): Ejml${type}Vector<${ejmlMatrixType}> = v * this
@UnstableKMathAPI @UnstableKMathAPI
override fun <F : StructureFeature> getFeature(structure: Matrix<${type}>, type: KClass<out F>): F? { override fun <F : StructureFeature> computeFeature(structure: Matrix<${type}>, type: KClass<out F>): F? {
structure.getFeature(type)?.let { return it } structure.getFeature(type)?.let { return it }
val origin = structure.toEjml().origin val origin = structure.toEjml().origin

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@ -20,6 +20,7 @@ dependencies {
implementation(project(":kmath-coroutines")) implementation(project(":kmath-coroutines"))
implementation(project(":kmath-commons")) implementation(project(":kmath-commons"))
implementation(project(":kmath-complex")) implementation(project(":kmath-complex"))
implementation(project(":kmath-optimization"))
implementation(project(":kmath-stat")) implementation(project(":kmath-stat"))
implementation(project(":kmath-viktor")) implementation(project(":kmath-viktor"))
implementation(project(":kmath-dimensions")) implementation(project(":kmath-dimensions"))

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@ -3,16 +3,17 @@
* Use of this source code is governed by the Apache 2.0 license that can be found in the LICENSE file. * Use of this source code is governed by the Apache 2.0 license that can be found in the LICENSE file.
*/ */
package space.kscience.kmath.commons.fit package space.kscience.kmath.fit
import kotlinx.html.br import kotlinx.html.br
import kotlinx.html.h3 import kotlinx.html.h3
import space.kscience.kmath.commons.optimization.chiSquared import space.kscience.kmath.commons.expressions.DSProcessor
import space.kscience.kmath.commons.optimization.minimize import space.kscience.kmath.commons.optimization.CMOptimizer
import space.kscience.kmath.distributions.NormalDistribution import space.kscience.kmath.distributions.NormalDistribution
import space.kscience.kmath.expressions.binding
import space.kscience.kmath.expressions.chiSquaredExpression
import space.kscience.kmath.expressions.symbol import space.kscience.kmath.expressions.symbol
import space.kscience.kmath.optimization.FunctionOptimization import space.kscience.kmath.optimization.*
import space.kscience.kmath.optimization.OptimizationResult
import space.kscience.kmath.real.DoubleVector import space.kscience.kmath.real.DoubleVector
import space.kscience.kmath.real.map import space.kscience.kmath.real.map
import space.kscience.kmath.real.step import space.kscience.kmath.real.step
@ -22,6 +23,7 @@ import space.kscience.kmath.structures.toList
import space.kscience.plotly.* import space.kscience.plotly.*
import space.kscience.plotly.models.ScatterMode import space.kscience.plotly.models.ScatterMode
import space.kscience.plotly.models.TraceValues import space.kscience.plotly.models.TraceValues
import kotlin.math.abs
import kotlin.math.pow import kotlin.math.pow
import kotlin.math.sqrt import kotlin.math.sqrt
@ -42,7 +44,7 @@ operator fun TraceValues.invoke(vector: DoubleVector) {
*/ */
suspend fun main() { suspend fun main() {
//A generator for a normally distributed values //A generator for a normally distributed values
val generator = NormalDistribution(2.0, 7.0) val generator = NormalDistribution(0.0, 1.0)
//A chain/flow of random values with the given seed //A chain/flow of random values with the given seed
val chain = generator.sample(RandomGenerator.default(112667)) val chain = generator.sample(RandomGenerator.default(112667))
@ -53,7 +55,7 @@ suspend fun main() {
//Perform an operation on each x value (much more effective, than numpy) //Perform an operation on each x value (much more effective, than numpy)
val y = x.map { val y = x.map { it ->
val value = it.pow(2) + it + 1 val value = it.pow(2) + it + 1
value + chain.next() * sqrt(value) value + chain.next() * sqrt(value)
} }
@ -64,17 +66,21 @@ suspend fun main() {
val yErr = y.map { sqrt(it) }//RealVector.same(x.size, sigma) val yErr = y.map { sqrt(it) }//RealVector.same(x.size, sigma)
// compute differentiable chi^2 sum for given model ax^2 + bx + c // compute differentiable chi^2 sum for given model ax^2 + bx + c
val chi2 = FunctionOptimization.chiSquared(x, y, yErr) { x1 -> val chi2 = DSProcessor.chiSquaredExpression(x, y, yErr) { arg ->
//bind variables to autodiff context //bind variables to autodiff context
val a = bindSymbol(a) val a = bindSymbol(a)
val b = bindSymbol(b) val b = bindSymbol(b)
//Include default value for c if it is not provided as a parameter //Include default value for c if it is not provided as a parameter
val c = bindSymbolOrNull(c) ?: one val c = bindSymbolOrNull(c) ?: one
a * x1.pow(2) + b * x1 + c a * arg.pow(2) + b * arg + c
} }
//minimize the chi^2 in given starting point. Derivatives are not required, they are already included. //minimize the chi^2 in given starting point. Derivatives are not required, they are already included.
val result: OptimizationResult<Double> = chi2.minimize(a to 1.5, b to 0.9, c to 1.0) val result = chi2.optimizeWith(
CMOptimizer,
mapOf(a to 1.5, b to 0.9, c to 1.0),
FunctionOptimizationTarget.MINIMIZE
)
//display a page with plot and numerical results //display a page with plot and numerical results
val page = Plotly.page { val page = Plotly.page {
@ -91,7 +97,7 @@ suspend fun main() {
scatter { scatter {
mode = ScatterMode.lines mode = ScatterMode.lines
x(x) x(x)
y(x.map { result.point[a]!! * it.pow(2) + result.point[b]!! * it + 1 }) y(x.map { result.resultPoint[a]!! * it.pow(2) + result.resultPoint[b]!! * it + 1 })
name = "fit" name = "fit"
} }
} }
@ -100,7 +106,7 @@ suspend fun main() {
+"Fit result: $result" +"Fit result: $result"
} }
h3 { h3 {
+"Chi2/dof = ${result.value / (x.size - 3)}" +"Chi2/dof = ${result.resultValue / (x.size - 3)}"
} }
} }

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@ -0,0 +1,106 @@
/*
* Copyright 2018-2021 KMath contributors.
* Use of this source code is governed by the Apache 2.0 license that can be found in the license/LICENSE.txt file.
*/
package space.kscience.kmath.fit
import kotlinx.html.br
import kotlinx.html.h3
import space.kscience.kmath.commons.expressions.DSProcessor
import space.kscience.kmath.data.XYErrorColumnarData
import space.kscience.kmath.distributions.NormalDistribution
import space.kscience.kmath.expressions.Symbol
import space.kscience.kmath.expressions.binding
import space.kscience.kmath.expressions.symbol
import space.kscience.kmath.optimization.QowOptimizer
import space.kscience.kmath.optimization.chiSquaredOrNull
import space.kscience.kmath.optimization.fitWith
import space.kscience.kmath.optimization.resultPoint
import space.kscience.kmath.real.map
import space.kscience.kmath.real.step
import space.kscience.kmath.stat.RandomGenerator
import space.kscience.kmath.structures.asIterable
import space.kscience.kmath.structures.toList
import space.kscience.plotly.*
import space.kscience.plotly.models.ScatterMode
import kotlin.math.abs
import kotlin.math.pow
import kotlin.math.sqrt
// Forward declaration of symbols that will be used in expressions.
private val a by symbol
private val b by symbol
private val c by symbol
/**
* Least squares fie with auto-differentiation. Uses `kmath-commons` and `kmath-for-real` modules.
*/
suspend fun main() {
//A generator for a normally distributed values
val generator = NormalDistribution(0.0, 1.0)
//A chain/flow of random values with the given seed
val chain = generator.sample(RandomGenerator.default(112667))
//Create a uniformly distributed x values like numpy.arrange
val x = 1.0..100.0 step 1.0
//Perform an operation on each x value (much more effective, than numpy)
val y = x.map { it ->
val value = it.pow(2) + it + 1
value + chain.next() * sqrt(value)
}
// this will also work, but less effective:
// val y = x.pow(2)+ x + 1 + chain.nextDouble()
// create same errors for all xs
val yErr = y.map { sqrt(abs(it)) }
require(yErr.asIterable().all { it > 0 }) { "All errors must be strictly positive" }
val result = XYErrorColumnarData.of(x, y, yErr).fitWith(
QowOptimizer,
DSProcessor,
mapOf(a to 0.9, b to 1.2, c to 2.0)
) { arg ->
//bind variables to autodiff context
val a by binding
val b by binding
//Include default value for c if it is not provided as a parameter
val c = bindSymbolOrNull(c) ?: one
a * arg.pow(2) + b * arg + c
}
//display a page with plot and numerical results
val page = Plotly.page {
plot {
scatter {
mode = ScatterMode.markers
x(x)
y(y)
error_y {
array = yErr.toList()
}
name = "data"
}
scatter {
mode = ScatterMode.lines
x(x)
y(x.map { result.model(result.resultPoint + (Symbol.x to it)) })
name = "fit"
}
}
br()
h3 {
+"Fit result: ${result.resultPoint}"
}
h3 {
+"Chi2/dof = ${result.chiSquaredOrNull!! / (x.size - 3)}"
}
}
page.makeFile()
}

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@ -22,7 +22,7 @@ fun main(): Unit = DoubleField {
} }
//Define a function in a nd space //Define a function in a nd space
val function: (Double) -> StructureND<Double> = { x: Double -> 3 * number(x).pow(2) + 2 * diagonal(x) + 1 } val function: (Double) -> StructureND<Double> = { x: Double -> 3 * x.pow(2) + 2 * diagonal(x) + 1 }
//get the result of the integration //get the result of the integration
val result = gaussIntegrator.integrate(0.0..10.0, function = function) val result = gaussIntegrator.integrate(0.0..10.0, function = function)

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@ -0,0 +1,22 @@
/*
* Copyright 2018-2021 KMath contributors.
* Use of this source code is governed by the Apache 2.0 license that can be found in the license/LICENSE.txt file.
*/
package space.kscience.kmath.structures
import space.kscience.kmath.operations.DoubleField
import space.kscience.kmath.operations.bufferAlgebra
import space.kscience.kmath.operations.produce
inline fun <reified R : Any> MutableBuffer.Companion.same(
n: Int,
value: R
): MutableBuffer<R> = auto(n) { value }
fun main() {
with(DoubleField.bufferAlgebra(5)) {
println(number(2.0) + produce(1, 2, 3, 4, 5))
}
}

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@ -17,7 +17,7 @@ import com.github.h0tk3y.betterParse.lexer.regexToken
import com.github.h0tk3y.betterParse.parser.ParseResult import com.github.h0tk3y.betterParse.parser.ParseResult
import com.github.h0tk3y.betterParse.parser.Parser import com.github.h0tk3y.betterParse.parser.Parser
import space.kscience.kmath.expressions.MST import space.kscience.kmath.expressions.MST
import space.kscience.kmath.expressions.StringSymbol import space.kscience.kmath.expressions.Symbol
import space.kscience.kmath.operations.FieldOperations import space.kscience.kmath.operations.FieldOperations
import space.kscience.kmath.operations.GroupOperations import space.kscience.kmath.operations.GroupOperations
import space.kscience.kmath.operations.PowerOperations import space.kscience.kmath.operations.PowerOperations
@ -43,7 +43,7 @@ public object ArithmeticsEvaluator : Grammar<MST>() {
private val ws: Token by regexToken("\\s+".toRegex(), ignore = true) private val ws: Token by regexToken("\\s+".toRegex(), ignore = true)
private val number: Parser<MST> by num use { MST.Numeric(text.toDouble()) } private val number: Parser<MST> by num use { MST.Numeric(text.toDouble()) }
private val singular: Parser<MST> by id use { StringSymbol(text) } private val singular: Parser<MST> by id use { Symbol(text) }
private val unaryFunction: Parser<MST> by (id and -lpar and parser(ArithmeticsEvaluator::subSumChain) and -rpar) private val unaryFunction: Parser<MST> by (id and -lpar and parser(ArithmeticsEvaluator::subSumChain) and -rpar)
.map { (id, term) -> MST.Unary(id.text, term) } .map { (id, term) -> MST.Unary(id.text, term) }

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@ -7,7 +7,6 @@
package space.kscience.kmath.asm.internal package space.kscience.kmath.asm.internal
import space.kscience.kmath.expressions.StringSymbol
import space.kscience.kmath.expressions.Symbol import space.kscience.kmath.expressions.Symbol
/** /**
@ -15,4 +14,4 @@ import space.kscience.kmath.expressions.Symbol
* *
* @author Iaroslav Postovalov * @author Iaroslav Postovalov
*/ */
internal fun <V> Map<Symbol, V>.getOrFail(key: String): V = getValue(StringSymbol(key)) internal fun <V> Map<Symbol, V>.getOrFail(key: String): V = getValue(Symbol(key))

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@ -9,6 +9,7 @@ dependencies {
api(project(":kmath-core")) api(project(":kmath-core"))
api(project(":kmath-complex")) api(project(":kmath-complex"))
api(project(":kmath-coroutines")) api(project(":kmath-coroutines"))
api(project(":kmath-optimization"))
api(project(":kmath-stat")) api(project(":kmath-stat"))
api(project(":kmath-functions")) api(project(":kmath-functions"))
api("org.apache.commons:commons-math3:3.6.1") api("org.apache.commons:commons-math3:3.6.1")

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@ -103,12 +103,15 @@ public class DerivativeStructureField(
override operator fun DerivativeStructure.minus(b: Number): DerivativeStructure = subtract(b.toDouble()) override operator fun DerivativeStructure.minus(b: Number): DerivativeStructure = subtract(b.toDouble())
override operator fun Number.plus(b: DerivativeStructure): DerivativeStructure = b + this override operator fun Number.plus(b: DerivativeStructure): DerivativeStructure = b + this
override operator fun Number.minus(b: DerivativeStructure): DerivativeStructure = b - this override operator fun Number.minus(b: DerivativeStructure): DerivativeStructure = b - this
}
public companion object : /**
AutoDiffProcessor<Double, DerivativeStructure, DerivativeStructureField, Expression<Double>> { * Auto-diff processor based on Commons-math [DerivativeStructure]
override fun process(function: DerivativeStructureField.() -> DerivativeStructure): DifferentiableExpression<Double> = */
DerivativeStructureExpression(function) public object DSProcessor : AutoDiffProcessor<Double, DerivativeStructure, DerivativeStructureField> {
} override fun differentiate(
function: DerivativeStructureField.() -> DerivativeStructure,
): DerivativeStructureExpression = DerivativeStructureExpression(function)
} }
/** /**

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@ -16,7 +16,7 @@ public class CMGaussRuleIntegrator(
private var type: GaussRule = GaussRule.LEGANDRE, private var type: GaussRule = GaussRule.LEGANDRE,
) : UnivariateIntegrator<Double> { ) : UnivariateIntegrator<Double> {
override fun integrate(integrand: UnivariateIntegrand<Double>): UnivariateIntegrand<Double> { override fun process(integrand: UnivariateIntegrand<Double>): UnivariateIntegrand<Double> {
val range = integrand.getFeature<IntegrationRange>()?.range val range = integrand.getFeature<IntegrationRange>()?.range
?: error("Integration range is not provided") ?: error("Integration range is not provided")
val integrator: GaussIntegrator = getIntegrator(range) val integrator: GaussIntegrator = getIntegrator(range)
@ -76,8 +76,8 @@ public class CMGaussRuleIntegrator(
numPoints: Int = 100, numPoints: Int = 100,
type: GaussRule = GaussRule.LEGANDRE, type: GaussRule = GaussRule.LEGANDRE,
function: (Double) -> Double, function: (Double) -> Double,
): Double = CMGaussRuleIntegrator(numPoints, type).integrate( ): Double = CMGaussRuleIntegrator(numPoints, type).process(
UnivariateIntegrand(function, IntegrationRange(range)) UnivariateIntegrand(function, IntegrationRange(range))
).valueOrNull!! ).value
} }
} }

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@ -18,7 +18,7 @@ public class CMIntegrator(
public val integratorBuilder: (Integrand) -> org.apache.commons.math3.analysis.integration.UnivariateIntegrator, public val integratorBuilder: (Integrand) -> org.apache.commons.math3.analysis.integration.UnivariateIntegrator,
) : UnivariateIntegrator<Double> { ) : UnivariateIntegrator<Double> {
override fun integrate(integrand: UnivariateIntegrand<Double>): UnivariateIntegrand<Double> { override fun process(integrand: UnivariateIntegrand<Double>): UnivariateIntegrand<Double> {
val integrator = integratorBuilder(integrand) val integrator = integratorBuilder(integrand)
val maxCalls = integrand.getFeature<IntegrandMaxCalls>()?.maxCalls ?: defaultMaxCalls val maxCalls = integrand.getFeature<IntegrandMaxCalls>()?.maxCalls ?: defaultMaxCalls
val remainingCalls = maxCalls - integrand.calls val remainingCalls = maxCalls - integrand.calls

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@ -95,7 +95,7 @@ public object CMLinearSpace : LinearSpace<Double, DoubleField> {
v * this v * this
@UnstableKMathAPI @UnstableKMathAPI
override fun <F : StructureFeature> getFeature(structure: Matrix<Double>, type: KClass<out F>): F? { override fun <F : StructureFeature> computeFeature(structure: Matrix<Double>, type: KClass<out F>): F? {
//Return the feature if it is intrinsic to the structure //Return the feature if it is intrinsic to the structure
structure.getFeature(type)?.let { return it } structure.getFeature(type)?.let { return it }
@ -109,22 +109,22 @@ public object CMLinearSpace : LinearSpace<Double, DoubleField> {
LupDecompositionFeature<Double> { LupDecompositionFeature<Double> {
private val lup by lazy { LUDecomposition(origin) } private val lup by lazy { LUDecomposition(origin) }
override val determinant: Double by lazy { lup.determinant } override val determinant: Double by lazy { lup.determinant }
override val l: Matrix<Double> by lazy { CMMatrix(lup.l) + LFeature } override val l: Matrix<Double> by lazy<Matrix<Double>> { CMMatrix(lup.l).withFeature(LFeature) }
override val u: Matrix<Double> by lazy { CMMatrix(lup.u) + UFeature } override val u: Matrix<Double> by lazy<Matrix<Double>> { CMMatrix(lup.u).withFeature(UFeature) }
override val p: Matrix<Double> by lazy { CMMatrix(lup.p) } override val p: Matrix<Double> by lazy { CMMatrix(lup.p) }
} }
CholeskyDecompositionFeature::class -> object : CholeskyDecompositionFeature<Double> { CholeskyDecompositionFeature::class -> object : CholeskyDecompositionFeature<Double> {
override val l: Matrix<Double> by lazy { override val l: Matrix<Double> by lazy<Matrix<Double>> {
val cholesky = CholeskyDecomposition(origin) val cholesky = CholeskyDecomposition(origin)
CMMatrix(cholesky.l) + LFeature CMMatrix(cholesky.l).withFeature(LFeature)
} }
} }
QRDecompositionFeature::class -> object : QRDecompositionFeature<Double> { QRDecompositionFeature::class -> object : QRDecompositionFeature<Double> {
private val qr by lazy { QRDecomposition(origin) } private val qr by lazy { QRDecomposition(origin) }
override val q: Matrix<Double> by lazy { CMMatrix(qr.q) + OrthogonalFeature } override val q: Matrix<Double> by lazy<Matrix<Double>> { CMMatrix(qr.q).withFeature(OrthogonalFeature) }
override val r: Matrix<Double> by lazy { CMMatrix(qr.r) + UFeature } override val r: Matrix<Double> by lazy<Matrix<Double>> { CMMatrix(qr.r).withFeature(UFeature) }
} }
SingularValueDecompositionFeature::class -> object : SingularValueDecompositionFeature<Double> { SingularValueDecompositionFeature::class -> object : SingularValueDecompositionFeature<Double> {

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@ -6,6 +6,7 @@
package space.kscience.kmath.commons.linear package space.kscience.kmath.commons.linear
import org.apache.commons.math3.linear.* import org.apache.commons.math3.linear.*
import space.kscience.kmath.linear.LinearSolver
import space.kscience.kmath.linear.Matrix import space.kscience.kmath.linear.Matrix
import space.kscience.kmath.linear.Point import space.kscience.kmath.linear.Point
@ -44,3 +45,12 @@ public fun CMLinearSpace.inverse(
a: Matrix<Double>, a: Matrix<Double>,
decomposition: CMDecomposition = CMDecomposition.LUP, decomposition: CMDecomposition = CMDecomposition.LUP,
): CMMatrix = solver(a, decomposition).inverse.wrap() ): CMMatrix = solver(a, decomposition).inverse.wrap()
public fun CMLinearSpace.solver(decomposition: CMDecomposition): LinearSolver<Double> = object : LinearSolver<Double> {
override fun solve(a: Matrix<Double>, b: Matrix<Double>): Matrix<Double> = solve(a, b, decomposition)
override fun solve(a: Matrix<Double>, b: Point<Double>): Point<Double> = solve(a, b, decomposition)
override fun inverse(matrix: Matrix<Double>): Matrix<Double> = inverse(matrix, decomposition)
}

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@ -1,126 +0,0 @@
/*
* Copyright 2018-2021 KMath contributors.
* Use of this source code is governed by the Apache 2.0 license that can be found in the LICENSE file.
*/
package space.kscience.kmath.commons.optimization
import org.apache.commons.math3.optim.*
import org.apache.commons.math3.optim.nonlinear.scalar.GoalType
import org.apache.commons.math3.optim.nonlinear.scalar.MultivariateOptimizer
import org.apache.commons.math3.optim.nonlinear.scalar.ObjectiveFunction
import org.apache.commons.math3.optim.nonlinear.scalar.ObjectiveFunctionGradient
import org.apache.commons.math3.optim.nonlinear.scalar.gradient.NonLinearConjugateGradientOptimizer
import org.apache.commons.math3.optim.nonlinear.scalar.noderiv.AbstractSimplex
import org.apache.commons.math3.optim.nonlinear.scalar.noderiv.NelderMeadSimplex
import org.apache.commons.math3.optim.nonlinear.scalar.noderiv.SimplexOptimizer
import space.kscience.kmath.expressions.*
import space.kscience.kmath.misc.UnstableKMathAPI
import space.kscience.kmath.optimization.*
import kotlin.collections.set
import kotlin.reflect.KClass
public operator fun PointValuePair.component1(): DoubleArray = point
public operator fun PointValuePair.component2(): Double = value
@OptIn(UnstableKMathAPI::class)
public class CMOptimization(
override val symbols: List<Symbol>,
) : 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(
DEFAULT_RELATIVE_TOLERANCE,
DEFAULT_ABSOLUTE_TOLERANCE,
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
}
init {
addOptimizationData(MaxEval.unlimited())
}
public fun exportOptimizationData(): List<OptimizationData> = optimizationData.values.toList()
override fun initialGuess(map: Map<Symbol, Double>) {
addOptimizationData(InitialGuess(map.toDoubleArray()))
}
override fun function(expression: Expression<Double>) {
val objectiveFunction = ObjectiveFunction {
val args = it.toMap()
expression(args)
}
addOptimizationData(objectiveFunction)
}
override fun diffFunction(expression: DifferentiableExpression<Double>) {
function(expression)
val gradientFunction = ObjectiveFunctionGradient {
val args = it.toMap()
DoubleArray(symbols.size) { index ->
expression.derivative(symbols[index])(args)
}
}
addOptimizationData(gradientFunction)
if (optimizerBuilder == null) {
optimizerBuilder = {
NonLinearConjugateGradientOptimizer(
NonLinearConjugateGradientOptimizer.Formula.FLETCHER_REEVES,
convergenceChecker
)
}
}
}
public fun simplex(simplex: AbstractSimplex) {
addOptimizationData(simplex)
//Set optimization builder to simplex if it is not present
if (optimizerBuilder == null) {
optimizerBuilder = { SimplexOptimizer(convergenceChecker) }
}
}
public fun simplexSteps(steps: Map<Symbol, Double>) {
simplex(NelderMeadSimplex(steps.toDoubleArray()))
}
public fun goal(goalType: GoalType) {
addOptimizationData(goalType)
}
public fun optimizer(block: () -> MultivariateOptimizer) {
optimizerBuilder = block
}
override fun update(result: OptimizationResult<Double>) {
initialGuess(result.point)
}
override fun optimize(): OptimizationResult<Double> {
val optimizer = optimizerBuilder?.invoke() ?: error("Optimizer not defined")
val (point, value) = optimizer.optimize(*optimizationData.values.toTypedArray())
return OptimizationResult(point.toMap(), value, setOf(this))
}
public companion object : OptimizationProblemFactory<Double, CMOptimization> {
public const val DEFAULT_RELATIVE_TOLERANCE: Double = 1e-4
public const val DEFAULT_ABSOLUTE_TOLERANCE: Double = 1e-4
public const val DEFAULT_MAX_ITER: Int = 1000
override fun build(symbols: List<Symbol>): CMOptimization = CMOptimization(symbols)
}
}
public fun CMOptimization.initialGuess(vararg pairs: Pair<Symbol, Double>): Unit = initialGuess(pairs.toMap())
public fun CMOptimization.simplexSteps(vararg pairs: Pair<Symbol, Double>): Unit = simplexSteps(pairs.toMap())

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@ -0,0 +1,145 @@
/*
* Copyright 2018-2021 KMath contributors.
* Use of this source code is governed by the Apache 2.0 license that can be found in the license/LICENSE.txt file.
*/
@file:OptIn(UnstableKMathAPI::class)
package space.kscience.kmath.commons.optimization
import org.apache.commons.math3.optim.*
import org.apache.commons.math3.optim.nonlinear.scalar.GoalType
import org.apache.commons.math3.optim.nonlinear.scalar.MultivariateOptimizer
import org.apache.commons.math3.optim.nonlinear.scalar.ObjectiveFunction
import org.apache.commons.math3.optim.nonlinear.scalar.ObjectiveFunctionGradient
import org.apache.commons.math3.optim.nonlinear.scalar.gradient.NonLinearConjugateGradientOptimizer
import org.apache.commons.math3.optim.nonlinear.scalar.noderiv.NelderMeadSimplex
import org.apache.commons.math3.optim.nonlinear.scalar.noderiv.SimplexOptimizer
import space.kscience.kmath.expressions.Symbol
import space.kscience.kmath.expressions.SymbolIndexer
import space.kscience.kmath.expressions.derivative
import space.kscience.kmath.expressions.withSymbols
import space.kscience.kmath.misc.UnstableKMathAPI
import space.kscience.kmath.misc.log
import space.kscience.kmath.optimization.*
import kotlin.collections.set
import kotlin.reflect.KClass
public operator fun PointValuePair.component1(): DoubleArray = point
public operator fun PointValuePair.component2(): Double = value
public class CMOptimizerEngine(public val optimizerBuilder: () -> MultivariateOptimizer) : OptimizationFeature {
override fun toString(): String = "CMOptimizer($optimizerBuilder)"
}
/**
* Specify a Commons-maths optimization engine
*/
public fun FunctionOptimizationBuilder<Double>.cmEngine(optimizerBuilder: () -> MultivariateOptimizer) {
addFeature(CMOptimizerEngine(optimizerBuilder))
}
public class CMOptimizerData(public val data: List<SymbolIndexer.() -> OptimizationData>) : OptimizationFeature {
public constructor(vararg data: (SymbolIndexer.() -> OptimizationData)) : this(data.toList())
override fun toString(): String = "CMOptimizerData($data)"
}
/**
* Specify Commons-maths optimization data.
*/
public fun FunctionOptimizationBuilder<Double>.cmOptimizationData(data: SymbolIndexer.() -> OptimizationData) {
updateFeature<CMOptimizerData> {
val newData = (it?.data ?: emptyList()) + data
CMOptimizerData(newData)
}
}
public fun FunctionOptimizationBuilder<Double>.simplexSteps(vararg steps: Pair<Symbol, Double>) {
//TODO use convergence checker from features
cmEngine { SimplexOptimizer(CMOptimizer.defaultConvergenceChecker) }
cmOptimizationData { NelderMeadSimplex(mapOf(*steps).toDoubleArray()) }
}
@OptIn(UnstableKMathAPI::class)
public object CMOptimizer : Optimizer<Double, FunctionOptimization<Double>> {
public const val DEFAULT_RELATIVE_TOLERANCE: Double = 1e-4
public const val DEFAULT_ABSOLUTE_TOLERANCE: Double = 1e-4
public const val DEFAULT_MAX_ITER: Int = 1000
public val defaultConvergenceChecker: SimpleValueChecker = SimpleValueChecker(
DEFAULT_RELATIVE_TOLERANCE,
DEFAULT_ABSOLUTE_TOLERANCE,
DEFAULT_MAX_ITER
)
override suspend fun optimize(
problem: FunctionOptimization<Double>,
): FunctionOptimization<Double> {
val startPoint = problem.startPoint
val parameters = problem.getFeature<OptimizationParameters>()?.symbols
?: problem.getFeature<OptimizationStartPoint<Double>>()?.point?.keys
?: startPoint.keys
withSymbols(parameters) {
val convergenceChecker: ConvergenceChecker<PointValuePair> = SimpleValueChecker(
DEFAULT_RELATIVE_TOLERANCE,
DEFAULT_ABSOLUTE_TOLERANCE,
DEFAULT_MAX_ITER
)
val cmOptimizer: MultivariateOptimizer = problem.getFeature<CMOptimizerEngine>()?.optimizerBuilder?.invoke()
?: NonLinearConjugateGradientOptimizer(
NonLinearConjugateGradientOptimizer.Formula.FLETCHER_REEVES,
convergenceChecker
)
val optimizationData: HashMap<KClass<out OptimizationData>, OptimizationData> = HashMap()
fun addOptimizationData(data: OptimizationData) {
optimizationData[data::class] = data
}
addOptimizationData(MaxEval.unlimited())
addOptimizationData(InitialGuess(startPoint.toDoubleArray()))
//fun exportOptimizationData(): List<OptimizationData> = optimizationData.values.toList()
val objectiveFunction = ObjectiveFunction {
val args = startPoint + it.toMap()
val res = problem.expression(args)
res
}
addOptimizationData(objectiveFunction)
val gradientFunction = ObjectiveFunctionGradient {
val args = startPoint + it.toMap()
val res = DoubleArray(symbols.size) { index ->
problem.expression.derivative(symbols[index])(args)
}
res
}
addOptimizationData(gradientFunction)
val logger = problem.getFeature<OptimizationLog>()
for (feature in problem.features) {
when (feature) {
is CMOptimizerData -> feature.data.forEach { dataBuilder ->
addOptimizationData(dataBuilder())
}
is FunctionOptimizationTarget -> when (feature) {
FunctionOptimizationTarget.MAXIMIZE -> addOptimizationData(GoalType.MAXIMIZE)
FunctionOptimizationTarget.MINIMIZE -> addOptimizationData(GoalType.MINIMIZE)
}
else -> logger?.log { "The feature $feature is unused in optimization" }
}
}
val (point, value) = cmOptimizer.optimize(*optimizationData.values.toTypedArray())
return problem.withFeatures(OptimizationResult(point.toMap()), OptimizationValue(value))
}
}
}

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@ -1,73 +0,0 @@
/*
* Copyright 2018-2021 KMath contributors.
* Use of this source code is governed by the Apache 2.0 license that can be found in the LICENSE file.
*/
package space.kscience.kmath.commons.optimization
import org.apache.commons.math3.analysis.differentiation.DerivativeStructure
import space.kscience.kmath.commons.expressions.DerivativeStructureField
import space.kscience.kmath.expressions.DifferentiableExpression
import space.kscience.kmath.expressions.Expression
import space.kscience.kmath.expressions.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
/**
* Generate a chi squared expression from given x-y-sigma data and inline model. Provides automatic differentiation
*/
public fun FunctionOptimization.Companion.chiSquared(
x: Buffer<Double>,
y: Buffer<Double>,
yErr: Buffer<Double>,
model: DerivativeStructureField.(x: DerivativeStructure) -> DerivativeStructure,
): DifferentiableExpression<Double> = chiSquared(DerivativeStructureField, x, y, yErr, model)
/**
* Generate a chi squared expression from given x-y-sigma data and inline model. Provides automatic differentiation
*/
public fun FunctionOptimization.Companion.chiSquared(
x: Iterable<Double>,
y: Iterable<Double>,
yErr: Iterable<Double>,
model: DerivativeStructureField.(x: DerivativeStructure) -> DerivativeStructure,
): DifferentiableExpression<Double> = chiSquared(
DerivativeStructureField,
x.toList().asBuffer(),
y.toList().asBuffer(),
yErr.toList().asBuffer(),
model
)
/**
* Optimize expression without derivatives
*/
public fun Expression<Double>.optimize(
vararg symbols: Symbol,
configuration: CMOptimization.() -> Unit,
): OptimizationResult<Double> = noDerivOptimizeWith(CMOptimization, symbols = symbols, configuration)
/**
* Optimize differentiable expression
*/
public fun DifferentiableExpression<Double>.optimize(
vararg symbols: Symbol,
configuration: CMOptimization.() -> Unit,
): OptimizationResult<Double> = optimizeWith(CMOptimization, symbols = symbols, configuration)
public fun DifferentiableExpression<Double>.minimize(
vararg startPoint: Pair<Symbol, Double>,
configuration: CMOptimization.() -> Unit = {},
): OptimizationResult<Double> {
val symbols = startPoint.map { it.first }.toTypedArray()
return optimize(*symbols){
maximize = false
initialGuess(startPoint.toMap())
diffFunction(this@minimize)
configuration()
}
}

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@ -42,8 +42,8 @@ internal class AutoDiffTest {
@Test @Test
fun autoDifTest() { fun autoDifTest() {
val f = DerivativeStructureExpression { val f = DerivativeStructureExpression {
val x by binding() val x by binding
val y by binding() val y by binding
x.pow(2) + 2 * x * y + y.pow(2) + 1 x.pow(2) + 2 * x * y + y.pow(2) + 1
} }

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@ -6,43 +6,42 @@
package space.kscience.kmath.commons.optimization package space.kscience.kmath.commons.optimization
import kotlinx.coroutines.runBlocking import kotlinx.coroutines.runBlocking
import space.kscience.kmath.commons.expressions.DSProcessor
import space.kscience.kmath.commons.expressions.DerivativeStructureExpression import space.kscience.kmath.commons.expressions.DerivativeStructureExpression
import space.kscience.kmath.distributions.NormalDistribution import space.kscience.kmath.distributions.NormalDistribution
import space.kscience.kmath.expressions.Symbol.Companion.x
import space.kscience.kmath.expressions.Symbol.Companion.y
import space.kscience.kmath.expressions.chiSquaredExpression
import space.kscience.kmath.expressions.symbol import space.kscience.kmath.expressions.symbol
import space.kscience.kmath.optimization.FunctionOptimization import space.kscience.kmath.optimization.*
import space.kscience.kmath.stat.RandomGenerator import space.kscience.kmath.stat.RandomGenerator
import space.kscience.kmath.structures.DoubleBuffer
import space.kscience.kmath.structures.asBuffer
import space.kscience.kmath.structures.map
import kotlin.math.pow import kotlin.math.pow
import kotlin.test.Test import kotlin.test.Test
internal class OptimizeTest { internal class OptimizeTest {
val x by symbol
val y by symbol
val normal = DerivativeStructureExpression { val normal = DerivativeStructureExpression {
exp(-bindSymbol(x).pow(2) / 2) + exp(-bindSymbol(y) exp(-bindSymbol(x).pow(2) / 2) + exp(-bindSymbol(y).pow(2) / 2)
.pow(2) / 2)
} }
@Test @Test
fun testGradientOptimization() { fun testGradientOptimization() = runBlocking {
val result = normal.optimize(x, y) { val result = normal.optimizeWith(CMOptimizer, x to 1.0, y to 1.0)
initialGuess(x to 1.0, y to 1.0) println(result.resultPoint)
// no need to select optimizer. Gradient optimizer is used by default because gradients are provided by function. println(result.resultValue)
}
println(result.point)
println(result.value)
} }
@Test @Test
fun testSimplexOptimization() { fun testSimplexOptimization() = runBlocking {
val result = normal.optimize(x, y) { val result = normal.optimizeWith(CMOptimizer, x to 1.0, y to 1.0) {
initialGuess(x to 1.0, y to 1.0)
simplexSteps(x to 2.0, y to 0.5) simplexSteps(x to 2.0, y to 0.5)
//this sets simplex optimizer //this sets simplex optimizer
} }
println(result.point) println(result.resultPoint)
println(result.value) println(result.resultValue)
} }
@Test @Test
@ -54,21 +53,27 @@ internal class OptimizeTest {
val sigma = 1.0 val sigma = 1.0
val generator = NormalDistribution(0.0, sigma) val generator = NormalDistribution(0.0, sigma)
val chain = generator.sample(RandomGenerator.default(112667)) val chain = generator.sample(RandomGenerator.default(112667))
val x = (1..100).map(Int::toDouble) val x = (1..100).map(Int::toDouble).asBuffer()
val y = x.map { val y = x.map {
it.pow(2) + it + 1 + chain.next() it.pow(2) + it + 1 + chain.next()
} }
val yErr = List(x.size) { sigma } val yErr = DoubleBuffer(x.size) { sigma }
val chi2 = FunctionOptimization.chiSquared(x, y, yErr) { x1 -> val chi2 = DSProcessor.chiSquaredExpression(
x, y, yErr
) { arg ->
val cWithDefault = bindSymbolOrNull(c) ?: one val cWithDefault = bindSymbolOrNull(c) ?: one
bindSymbol(a) * x1.pow(2) + bindSymbol(b) * x1 + cWithDefault bindSymbol(a) * arg.pow(2) + bindSymbol(b) * arg + cWithDefault
} }
val result = chi2.minimize(a to 1.5, b to 0.9, c to 1.0) val result: FunctionOptimization<Double> = chi2.optimizeWith(
CMOptimizer,
mapOf(a to 1.5, b to 0.9, c to 1.0),
FunctionOptimizationTarget.MINIMIZE
)
println(result) println(result)
println("Chi2/dof = ${result.value / (x.size - 3)}") println("Chi2/dof = ${result.resultValue / (x.size - 3)}")
} }
} }

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@ -25,6 +25,9 @@ public interface ColumnarData<out T> {
public operator fun get(symbol: Symbol): Buffer<T>? public operator fun get(symbol: Symbol): Buffer<T>?
} }
@UnstableKMathAPI
public val ColumnarData<*>.indices: IntRange get() = 0 until size
/** /**
* A zero-copy method to represent a [Structure2D] as a two-column x-y data. * A zero-copy method to represent a [Structure2D] as a two-column x-y data.
* There could more than two columns in the structure. * There could more than two columns in the structure.

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@ -32,20 +32,43 @@ public interface XYColumnarData<out T, out X : T, out Y : T> : ColumnarData<T> {
Symbol.y -> y Symbol.y -> y
else -> null else -> null
} }
}
@Suppress("FunctionName") public companion object{
@UnstableKMathAPI @UnstableKMathAPI
public fun <T, X : T, Y : T> XYColumnarData(x: Buffer<X>, y: Buffer<Y>): XYColumnarData<T, X, Y> { public fun <T, X : T, Y : T> of(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}" } 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> { return object : XYColumnarData<T, X, Y> {
override val size: Int = x.size override val size: Int = x.size
override val x: Buffer<X> = x override val x: Buffer<X> = x
override val y: Buffer<Y> = y override val y: Buffer<Y> = y
} }
}
}
} }
/**
* Represent a [ColumnarData] as an [XYColumnarData]. The presence or respective columns is checked on creation.
*/
@UnstableKMathAPI
public fun <T> ColumnarData<T>.asXYData(
xSymbol: Symbol,
ySymbol: Symbol,
): XYColumnarData<T, T, T> = object : XYColumnarData<T, T, T> {
init {
requireNotNull(this@asXYData[xSymbol]){"The column with name $xSymbol is not present in $this"}
requireNotNull(this@asXYData[ySymbol]){"The column with name $ySymbol is not present in $this"}
}
override val size: Int get() = this@asXYData.size
override val x: Buffer<T> get() = this@asXYData[xSymbol]!!
override val y: Buffer<T> get() = this@asXYData[ySymbol]!!
override fun get(symbol: Symbol): Buffer<T>? = when (symbol) {
Symbol.x -> x
Symbol.y -> y
else -> this@asXYData.get(symbol)
}
}
/** /**
* A zero-copy method to represent a [Structure2D] as a two-column x-y data. * A zero-copy method to represent a [Structure2D] as a two-column x-y data.
* There could more than two columns in the structure. * There could more than two columns in the structure.

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@ -0,0 +1,44 @@
/*
* Copyright 2018-2021 KMath contributors.
* Use of this source code is governed by the Apache 2.0 license that can be found in the license/LICENSE.txt file.
*/
package space.kscience.kmath.data
import space.kscience.kmath.expressions.Symbol
import space.kscience.kmath.misc.UnstableKMathAPI
import space.kscience.kmath.structures.Buffer
/**
* A [ColumnarData] with additional [Symbol.yError] column for an [Symbol.y] error
* Inherits [XYColumnarData].
*/
@UnstableKMathAPI
public interface XYErrorColumnarData<T, out X : T, out Y : T> : XYColumnarData<T, X, Y> {
public val yErr: Buffer<Y>
override fun get(symbol: Symbol): Buffer<T> = when (symbol) {
Symbol.x -> x
Symbol.y -> y
Symbol.yError -> yErr
else -> error("A column for symbol $symbol not found")
}
public companion object {
public fun <T, X : T, Y : T> of(
x: Buffer<X>, y: Buffer<Y>, yErr: Buffer<Y>
): XYErrorColumnarData<T, X, Y> {
require(x.size == y.size) { "Buffer size mismatch. x buffer size is ${x.size}, y buffer size is ${y.size}" }
require(y.size == yErr.size) { "Buffer size mismatch. y buffer size is ${x.size}, yErr buffer size is ${y.size}" }
return object : XYErrorColumnarData<T, X, Y> {
override val size: Int = x.size
override val x: Buffer<X> = x
override val y: Buffer<Y> = y
override val yErr: Buffer<Y> = yErr
}
}
}
}

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@ -10,7 +10,7 @@ import space.kscience.kmath.misc.UnstableKMathAPI
import space.kscience.kmath.structures.Buffer import space.kscience.kmath.structures.Buffer
/** /**
* A [XYColumnarData] with guaranteed [x], [y] and [z] columns designated by corresponding symbols. * A [ColumnarData] with guaranteed [x], [y] and [z] columns designated by corresponding symbols.
* Inherits [XYColumnarData]. * Inherits [XYColumnarData].
*/ */
@UnstableKMathAPI @UnstableKMathAPI

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@ -5,6 +5,8 @@
package space.kscience.kmath.expressions package space.kscience.kmath.expressions
import space.kscience.kmath.operations.Algebra
/** /**
* Represents expression, which structure can be differentiated. * Represents expression, which structure can be differentiated.
* *
@ -64,7 +66,10 @@ public abstract class FirstDerivativeExpression<T> : DifferentiableExpression<T>
/** /**
* A factory that converts an expression in autodiff variables to a [DifferentiableExpression] * A factory that converts an expression in autodiff variables to a [DifferentiableExpression]
* @param T type of the constants for the expression
* @param I type of the actual expression state
* @param A type of expression algebra
*/ */
public fun interface AutoDiffProcessor<T : Any, I : Any, out A : ExpressionAlgebra<T, I>, out R : Expression<T>> { public fun interface AutoDiffProcessor<T, I, out A : Algebra<I>> {
public fun process(function: A.() -> I): DifferentiableExpression<T> public fun differentiate(function: A.() -> I): DifferentiableExpression<T>
} }

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@ -68,6 +68,7 @@ public interface ExpressionAlgebra<in T, E> : Algebra<E> {
/** /**
* Bind a symbol by name inside the [ExpressionAlgebra] * Bind a symbol by name inside the [ExpressionAlgebra]
*/ */
public fun <T, E> ExpressionAlgebra<T, E>.binding(): ReadOnlyProperty<Any?, E> = ReadOnlyProperty { _, property -> public val <T, E> ExpressionAlgebra<T, E>.binding: ReadOnlyProperty<Any?, E>
get() = ReadOnlyProperty { _, property ->
bindSymbol(property.name) ?: error("A variable with name ${property.name} does not exist") bindSymbol(property.name) ?: error("A variable with name ${property.name} does not exist")
} }

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@ -251,7 +251,9 @@ public class SimpleAutoDiffExpression<T : Any, F : Field<T>>(
/** /**
* Generate [AutoDiffProcessor] for [SimpleAutoDiffExpression] * Generate [AutoDiffProcessor] for [SimpleAutoDiffExpression]
*/ */
public fun <T : Any, F : Field<T>> simpleAutoDiff(field: F): AutoDiffProcessor<T, AutoDiffValue<T>, SimpleAutoDiffField<T, F>, Expression<T>> = public fun <T : Any, F : Field<T>> simpleAutoDiff(
field: F
): AutoDiffProcessor<T, AutoDiffValue<T>, SimpleAutoDiffField<T, F>> =
AutoDiffProcessor { function -> AutoDiffProcessor { function ->
SimpleAutoDiffExpression(field, function) SimpleAutoDiffExpression(field, function)
} }

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@ -19,9 +19,12 @@ public interface Symbol : MST {
public val identity: String public val identity: String
public companion object { public companion object {
public val x: StringSymbol = StringSymbol("x") public val x: Symbol = Symbol("x")
public val y: StringSymbol = StringSymbol("y") public val xError: Symbol = Symbol("x.error")
public val z: StringSymbol = StringSymbol("z") public val y: Symbol = Symbol("y")
public val yError: Symbol = Symbol("y.error")
public val z: Symbol = Symbol("z")
public val zError: Symbol = Symbol("z.error")
} }
} }
@ -29,10 +32,15 @@ public interface Symbol : MST {
* A [Symbol] with a [String] identity * A [Symbol] with a [String] identity
*/ */
@JvmInline @JvmInline
public value class StringSymbol(override val identity: String) : Symbol { internal value class StringSymbol(override val identity: String) : Symbol {
override fun toString(): String = identity override fun toString(): String = identity
} }
/**
* Create s Symbols with a string identity
*/
public fun Symbol(identity: String): Symbol = StringSymbol(identity)
/** /**
* A delegate to create a symbol with a string identity in this scope * A delegate to create a symbol with a string identity in this scope
*/ */

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@ -9,6 +9,7 @@ import space.kscience.kmath.linear.Point
import space.kscience.kmath.misc.UnstableKMathAPI import space.kscience.kmath.misc.UnstableKMathAPI
import space.kscience.kmath.nd.Structure2D import space.kscience.kmath.nd.Structure2D
import space.kscience.kmath.structures.BufferFactory import space.kscience.kmath.structures.BufferFactory
import space.kscience.kmath.structures.DoubleBuffer
import kotlin.contracts.InvocationKind import kotlin.contracts.InvocationKind
import kotlin.contracts.contract import kotlin.contracts.contract
import kotlin.jvm.JvmInline import kotlin.jvm.JvmInline
@ -47,6 +48,11 @@ public interface SymbolIndexer {
return symbols.indices.associate { symbols[it] to get(it) } return symbols.indices.associate { symbols[it] to get(it) }
} }
public fun <T> Point<T>.toMap(): Map<Symbol, T> {
require(size == symbols.size) { "The input array size for indexer should be ${symbols.size} but $size found" }
return symbols.indices.associate { symbols[it] to get(it) }
}
public operator fun <T> Structure2D<T>.get(rowSymbol: Symbol, columnSymbol: Symbol): T = public operator fun <T> Structure2D<T>.get(rowSymbol: Symbol, columnSymbol: Symbol): T =
get(indexOf(rowSymbol), indexOf(columnSymbol)) get(indexOf(rowSymbol), indexOf(columnSymbol))
@ -56,6 +62,10 @@ public interface SymbolIndexer {
public fun <T> Map<Symbol, T>.toPoint(bufferFactory: BufferFactory<T>): Point<T> = public fun <T> Map<Symbol, T>.toPoint(bufferFactory: BufferFactory<T>): Point<T> =
bufferFactory(symbols.size) { getValue(symbols[it]) } bufferFactory(symbols.size) { getValue(symbols[it]) }
public fun Map<Symbol, Double>.toPoint(): DoubleBuffer =
DoubleBuffer(symbols.size) { getValue(symbols[it]) }
public fun Map<Symbol, Double>.toDoubleArray(): DoubleArray = DoubleArray(symbols.size) { getValue(symbols[it]) } public fun Map<Symbol, Double>.toDoubleArray(): DoubleArray = DoubleArray(symbols.size) { getValue(symbols[it]) }
} }

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@ -0,0 +1,53 @@
/*
* Copyright 2018-2021 KMath contributors.
* Use of this source code is governed by the Apache 2.0 license that can be found in the license/LICENSE.txt file.
*/
package space.kscience.kmath.expressions
import space.kscience.kmath.operations.ExtendedField
import space.kscience.kmath.structures.Buffer
import space.kscience.kmath.structures.asIterable
import space.kscience.kmath.structures.indices
import kotlin.jvm.JvmName
/**
* Generate a chi squared expression from given x-y-sigma data and inline model. Provides automatic
* differentiation.
*
* **WARNING** All elements of [yErr] must be positive.
*/
@JvmName("genericChiSquaredExpression")
public fun <T : Comparable<T>, I : Any, A> AutoDiffProcessor<T, I, A>.chiSquaredExpression(
x: Buffer<T>,
y: Buffer<T>,
yErr: Buffer<T>,
model: A.(I) -> I,
): DifferentiableExpression<T> where A : ExtendedField<I>, A : ExpressionAlgebra<T, I> {
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 differentiate {
var sum = zero
x.indices.forEach {
val xValue = const(x[it])
val yValue = const(y[it])
val yErrValue = const(yErr[it])
val modelValue = model(xValue)
sum += ((yValue - modelValue) / yErrValue).pow(2)
}
sum
}
}
public fun <I : Any, A> AutoDiffProcessor<Double, I, A>.chiSquaredExpression(
x: Buffer<Double>,
y: Buffer<Double>,
yErr: Buffer<Double>,
model: A.(I) -> I,
): DifferentiableExpression<Double> where A : ExtendedField<I>, A : ExpressionAlgebra<Double, I> {
require(yErr.asIterable().all { it > 0.0 }) { "All errors must be strictly positive" }
return chiSquaredExpression<Double, I, A>(x, y, yErr, model)
}

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@ -5,8 +5,6 @@
package space.kscience.kmath.linear package space.kscience.kmath.linear
import space.kscience.kmath.nd.as1D
/** /**
* A group of methods to solve for *X* in equation *X = A<sup>&minus;1</sup> &middot; B*, where *A* and *B* are * A group of methods to solve for *X* in equation *X = A<sup>&minus;1</sup> &middot; B*, where *A* and *B* are
* matrices or vectors. * matrices or vectors.
@ -30,20 +28,3 @@ public interface LinearSolver<T : Any> {
public fun inverse(matrix: Matrix<T>): Matrix<T> public fun inverse(matrix: Matrix<T>): Matrix<T>
} }
/**
* Convert matrix to vector if it is possible.
*/
public fun <T : Any> Matrix<T>.asVector(): Point<T> =
if (this.colNum == 1)
as1D()
else
error("Can't convert matrix with more than one column to vector")
/**
* Creates an n &times; 1 [VirtualMatrix], where n is the size of the given buffer.
*
* @param T the type of elements contained in the buffer.
* @receiver a buffer.
* @return the new matrix.
*/
public fun <T : Any> Point<T>.asMatrix(): VirtualMatrix<T> = VirtualMatrix(size, 1) { i, _ -> get(i) }

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@ -164,7 +164,7 @@ public interface LinearSpace<T : Any, out A : Ring<T>> {
public operator fun T.times(v: Point<T>): Point<T> = v * this public operator fun T.times(v: Point<T>): Point<T> = v * this
/** /**
* Get a feature of the structure in this scope. Structure features take precedence other context features. * Compute a feature of the structure in this scope. Structure features take precedence other context features.
* *
* @param F the type of feature. * @param F the type of feature.
* @param structure the structure. * @param structure the structure.
@ -172,7 +172,7 @@ public interface LinearSpace<T : Any, out A : Ring<T>> {
* @return a feature object or `null` if it isn't present. * @return a feature object or `null` if it isn't present.
*/ */
@UnstableKMathAPI @UnstableKMathAPI
public fun <F : StructureFeature> getFeature(structure: Matrix<T>, type: KClass<out F>): F? = structure.getFeature(type) public fun <F : StructureFeature> computeFeature(structure: Matrix<T>, type: KClass<out F>): F? = structure.getFeature(type)
public companion object { public companion object {
@ -184,7 +184,7 @@ public interface LinearSpace<T : Any, out A : Ring<T>> {
bufferFactory: BufferFactory<T> = Buffer.Companion::boxing, bufferFactory: BufferFactory<T> = Buffer.Companion::boxing,
): LinearSpace<T, A> = BufferedLinearSpace(algebra, bufferFactory) ): LinearSpace<T, A> = BufferedLinearSpace(algebra, bufferFactory)
public val real: LinearSpace<Double, DoubleField> = buffered(DoubleField, ::DoubleBuffer) public val double: LinearSpace<Double, DoubleField> = buffered(DoubleField, ::DoubleBuffer)
/** /**
* Automatic buffered matrix, unboxed if it is possible * Automatic buffered matrix, unboxed if it is possible
@ -202,9 +202,27 @@ public interface LinearSpace<T : Any, out A : Ring<T>> {
* @return a feature object or `null` if it isn't present. * @return a feature object or `null` if it isn't present.
*/ */
@UnstableKMathAPI @UnstableKMathAPI
public inline fun <T : Any, reified F : StructureFeature> LinearSpace<T, *>.getFeature(structure: Matrix<T>): F? = public inline fun <T : Any, reified F : StructureFeature> LinearSpace<T, *>.computeFeature(structure: Matrix<T>): F? =
getFeature(structure, F::class) computeFeature(structure, F::class)
public operator fun <LS : LinearSpace<*, *>, R> LS.invoke(block: LS.() -> R): R = run(block) public inline operator fun <LS : LinearSpace<*, *>, R> LS.invoke(block: LS.() -> R): R = run(block)
/**
* Convert matrix to vector if it is possible.
*/
public fun <T : Any> Matrix<T>.asVector(): Point<T> =
if (this.colNum == 1)
as1D()
else
error("Can't convert matrix with more than one column to vector")
/**
* Creates an n &times; 1 [VirtualMatrix], where n is the size of the given buffer.
*
* @param T the type of elements contained in the buffer.
* @receiver a buffer.
* @return the new matrix.
*/
public fun <T : Any> Point<T>.asMatrix(): VirtualMatrix<T> = VirtualMatrix(size, 1) { i, _ -> get(i) }

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@ -5,6 +5,7 @@
package space.kscience.kmath.linear package space.kscience.kmath.linear
import space.kscience.kmath.misc.PerformancePitfall
import space.kscience.kmath.misc.UnstableKMathAPI import space.kscience.kmath.misc.UnstableKMathAPI
import space.kscience.kmath.nd.getFeature import space.kscience.kmath.nd.getFeature
import space.kscience.kmath.operations.* import space.kscience.kmath.operations.*
@ -34,7 +35,7 @@ public class LupDecomposition<T : Any>(
j == i -> elementContext.one j == i -> elementContext.one
else -> elementContext.zero else -> elementContext.zero
} }
} + LFeature }.withFeature(LFeature)
/** /**
@ -44,7 +45,7 @@ public class LupDecomposition<T : Any>(
*/ */
override val u: Matrix<T> = VirtualMatrix(lu.shape[0], lu.shape[1]) { i, j -> override val u: Matrix<T> = VirtualMatrix(lu.shape[0], lu.shape[1]) { i, j ->
if (j >= i) lu[i, j] else elementContext.zero if (j >= i) lu[i, j] else elementContext.zero
} + UFeature }.withFeature(UFeature)
/** /**
* Returns the P rows permutation matrix. * Returns the P rows permutation matrix.
@ -82,7 +83,7 @@ public fun <T : Comparable<T>> LinearSpace<T, Field<T>>.lup(
val m = matrix.colNum val m = matrix.colNum
val pivot = IntArray(matrix.rowNum) val pivot = IntArray(matrix.rowNum)
//TODO just waits for KEEP-176 //TODO just waits for multi-receivers
BufferAccessor2D(matrix.rowNum, matrix.colNum, factory).run { BufferAccessor2D(matrix.rowNum, matrix.colNum, factory).run {
elementAlgebra { elementAlgebra {
val lu = create(matrix) val lu = create(matrix)
@ -156,10 +157,13 @@ public inline fun <reified T : Comparable<T>> LinearSpace<T, Field<T>>.lup(
noinline checkSingular: (T) -> Boolean, noinline checkSingular: (T) -> Boolean,
): LupDecomposition<T> = lup(MutableBuffer.Companion::auto, matrix, checkSingular) ): LupDecomposition<T> = lup(MutableBuffer.Companion::auto, matrix, checkSingular)
public fun LinearSpace<Double, DoubleField>.lup(matrix: Matrix<Double>): LupDecomposition<Double> = public fun LinearSpace<Double, DoubleField>.lup(
lup(::DoubleBuffer, matrix) { it < 1e-11 } matrix: Matrix<Double>,
singularityThreshold: Double = 1e-11,
): LupDecomposition<Double> =
lup(::DoubleBuffer, matrix) { it < singularityThreshold }
public fun <T : Any> LupDecomposition<T>.solveWithLup( internal fun <T : Any> LupDecomposition<T>.solve(
factory: MutableBufferFactory<T>, factory: MutableBufferFactory<T>,
matrix: Matrix<T>, matrix: Matrix<T>,
): Matrix<T> { ): Matrix<T> {
@ -207,41 +211,24 @@ public fun <T : Any> LupDecomposition<T>.solveWithLup(
} }
} }
public inline fun <reified T : Any> LupDecomposition<T>.solveWithLup(matrix: Matrix<T>): Matrix<T> =
solveWithLup(MutableBuffer.Companion::auto, matrix)
/** /**
* Solves a system of linear equations *ax = b** using LUP decomposition. * Produce a generic solver based on LUP decomposition
*/ */
@PerformancePitfall()
@OptIn(UnstableKMathAPI::class) @OptIn(UnstableKMathAPI::class)
public inline fun <reified T : Comparable<T>> LinearSpace<T, Field<T>>.solveWithLup( public fun <T : Comparable<T>, F : Field<T>> LinearSpace<T, F>.lupSolver(
a: Matrix<T>, bufferFactory: MutableBufferFactory<T>,
b: Matrix<T>, singularityCheck: (T) -> Boolean,
noinline bufferFactory: MutableBufferFactory<T> = MutableBuffer.Companion::auto, ): LinearSolver<T> = object : LinearSolver<T> {
noinline checkSingular: (T) -> Boolean, override fun solve(a: Matrix<T>, b: Matrix<T>): Matrix<T> {
): Matrix<T> {
// Use existing decomposition if it is provided by matrix // Use existing decomposition if it is provided by matrix
val decomposition = a.getFeature() ?: lup(bufferFactory, a, checkSingular) val decomposition = a.getFeature() ?: lup(bufferFactory, a, singularityCheck)
return decomposition.solveWithLup(bufferFactory, b) return decomposition.solve(bufferFactory, b)
}
override fun inverse(matrix: Matrix<T>): Matrix<T> = solve(matrix, one(matrix.rowNum, matrix.colNum))
} }
public inline fun <reified T : Comparable<T>> LinearSpace<T, Field<T>>.inverseWithLup( @PerformancePitfall
matrix: Matrix<T>, public fun LinearSpace<Double, DoubleField>.lupSolver(singularityThreshold: Double = 1e-11): LinearSolver<Double> =
noinline bufferFactory: MutableBufferFactory<T> = MutableBuffer.Companion::auto, lupSolver(::DoubleBuffer) { it < singularityThreshold }
noinline checkSingular: (T) -> Boolean,
): Matrix<T> = solveWithLup(matrix, one(matrix.rowNum, matrix.colNum), bufferFactory, checkSingular)
@OptIn(UnstableKMathAPI::class)
public fun LinearSpace<Double, DoubleField>.solveWithLup(a: Matrix<Double>, b: Matrix<Double>): Matrix<Double> {
// Use existing decomposition if it is provided by matrix
val bufferFactory: MutableBufferFactory<Double> = ::DoubleBuffer
val decomposition: LupDecomposition<Double> = a.getFeature() ?: lup(bufferFactory, a) { it < 1e-11 }
return decomposition.solveWithLup(bufferFactory, b)
}
/**
* Inverses a square matrix using LUP decomposition. Non square matrix will throw an error.
*/
public fun LinearSpace<Double, DoubleField>.inverseWithLup(matrix: Matrix<Double>): Matrix<Double> =
solveWithLup(matrix, one(matrix.rowNum, matrix.colNum))

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@ -7,6 +7,8 @@ package space.kscience.kmath.linear
import space.kscience.kmath.misc.UnstableKMathAPI import space.kscience.kmath.misc.UnstableKMathAPI
import space.kscience.kmath.operations.Ring import space.kscience.kmath.operations.Ring
import space.kscience.kmath.structures.BufferAccessor2D
import space.kscience.kmath.structures.MutableBuffer
public class MatrixBuilder<T : Any, out A : Ring<T>>( public class MatrixBuilder<T : Any, out A : Ring<T>>(
public val linearSpace: LinearSpace<T, A>, public val linearSpace: LinearSpace<T, A>,
@ -46,3 +48,30 @@ public inline fun <T : Any> LinearSpace<T, Ring<T>>.column(
): Matrix<T> = buildMatrix(size, 1) { i, _ -> builder(i) } ): Matrix<T> = buildMatrix(size, 1) { i, _ -> builder(i) }
public fun <T : Any> LinearSpace<T, Ring<T>>.column(vararg values: T): Matrix<T> = column(values.size, values::get) public fun <T : Any> LinearSpace<T, Ring<T>>.column(vararg values: T): Matrix<T> = column(values.size, values::get)
public object SymmetricMatrixFeature : MatrixFeature
/**
* Naive implementation of a symmetric matrix builder, that adds a [SymmetricMatrixFeature] tag. The resulting matrix contains
* full `size^2` number of elements, but caches elements during calls to save [builder] calls. [builder] is always called in the
* upper triangle region meaning that `i <= j`
*/
public fun <T : Any, A : Ring<T>> MatrixBuilder<T, A>.symmetric(
builder: (i: Int, j: Int) -> T,
): Matrix<T> {
require(columns == rows) { "In order to build symmetric matrix, number of rows $rows should be equal to number of columns $columns" }
return with(BufferAccessor2D<T?>(rows, rows, MutableBuffer.Companion::boxing)) {
val cache = factory(rows * rows) { null }
linearSpace.buildMatrix(rows, rows) { i, j ->
val cached = cache[i, j]
if (cached == null) {
val value = if (i <= j) builder(i, j) else builder(j, i)
cache[i, j] = value
cache[j, i] = value
value
} else {
cached
}
}.withFeature(SymmetricMatrixFeature)
}
}

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@ -5,6 +5,7 @@
package space.kscience.kmath.linear package space.kscience.kmath.linear
import space.kscience.kmath.misc.FeatureSet
import space.kscience.kmath.misc.UnstableKMathAPI import space.kscience.kmath.misc.UnstableKMathAPI
import space.kscience.kmath.nd.StructureFeature import space.kscience.kmath.nd.StructureFeature
import space.kscience.kmath.nd.getFeature import space.kscience.kmath.nd.getFeature
@ -18,7 +19,7 @@ import kotlin.reflect.KClass
*/ */
public class MatrixWrapper<out T : Any> internal constructor( public class MatrixWrapper<out T : Any> internal constructor(
public val origin: Matrix<T>, public val origin: Matrix<T>,
public val features: Set<MatrixFeature>, public val features: FeatureSet<StructureFeature>,
) : Matrix<T> by origin { ) : Matrix<T> by origin {
/** /**
@ -28,8 +29,7 @@ public class MatrixWrapper<out T : Any> internal constructor(
@UnstableKMathAPI @UnstableKMathAPI
@Suppress("UNCHECKED_CAST") @Suppress("UNCHECKED_CAST")
override fun <F : StructureFeature> getFeature(type: KClass<out F>): F? = override fun <F : StructureFeature> getFeature(type: KClass<out F>): F? =
features.singleOrNull(type::isInstance) as? F features.getFeature(type) ?: origin.getFeature(type)
?: origin.getFeature(type)
override fun toString(): String = "MatrixWrapper(matrix=$origin, features=$features)" override fun toString(): String = "MatrixWrapper(matrix=$origin, features=$features)"
} }
@ -45,20 +45,23 @@ public val <T : Any> Matrix<T>.origin: Matrix<T>
/** /**
* Add a single feature to a [Matrix] * Add a single feature to a [Matrix]
*/ */
public operator fun <T : Any> Matrix<T>.plus(newFeature: MatrixFeature): MatrixWrapper<T> = if (this is MatrixWrapper) { public fun <T : Any> Matrix<T>.withFeature(newFeature: MatrixFeature): MatrixWrapper<T> = if (this is MatrixWrapper) {
MatrixWrapper(origin, features + newFeature) MatrixWrapper(origin, features.with(newFeature))
} else { } else {
MatrixWrapper(this, setOf(newFeature)) MatrixWrapper(this, FeatureSet.of(newFeature))
} }
@Deprecated("To be replaced by withFeature")
public operator fun <T : Any> Matrix<T>.plus(newFeature: MatrixFeature): MatrixWrapper<T> = withFeature(newFeature)
/** /**
* Add a collection of features to a [Matrix] * Add a collection of features to a [Matrix]
*/ */
public operator fun <T : Any> Matrix<T>.plus(newFeatures: Collection<MatrixFeature>): MatrixWrapper<T> = public fun <T : Any> Matrix<T>.withFeatures(newFeatures: Iterable<MatrixFeature>): MatrixWrapper<T> =
if (this is MatrixWrapper) { if (this is MatrixWrapper) {
MatrixWrapper(origin, features + newFeatures) MatrixWrapper(origin, features.with(newFeatures))
} else { } else {
MatrixWrapper(this, newFeatures.toSet()) MatrixWrapper(this, FeatureSet.of(newFeatures))
} }
/** /**
@ -69,7 +72,7 @@ public fun <T : Any> LinearSpace<T, Ring<T>>.one(
columns: Int, columns: Int,
): Matrix<T> = VirtualMatrix(rows, columns) { i, j -> ): Matrix<T> = VirtualMatrix(rows, columns) { i, j ->
if (i == j) elementAlgebra.one else elementAlgebra.zero if (i == j) elementAlgebra.one else elementAlgebra.zero
} + UnitFeature }.withFeature(UnitFeature)
/** /**
@ -80,7 +83,7 @@ public fun <T : Any> LinearSpace<T, Ring<T>>.zero(
columns: Int, columns: Int,
): Matrix<T> = VirtualMatrix(rows, columns) { _, _ -> ): Matrix<T> = VirtualMatrix(rows, columns) { _, _ ->
elementAlgebra.zero elementAlgebra.zero
} + ZeroFeature }.withFeature(ZeroFeature)
public class TransposedFeature<out T : Any>(public val original: Matrix<T>) : MatrixFeature public class TransposedFeature<out T : Any>(public val original: Matrix<T>) : MatrixFeature
@ -88,7 +91,7 @@ public class TransposedFeature<out T : Any>(public val original: Matrix<T>) : Ma
* Create a virtual transposed matrix without copying anything. `A.transpose().transpose() === A` * Create a virtual transposed matrix without copying anything. `A.transpose().transpose() === A`
*/ */
@OptIn(UnstableKMathAPI::class) @OptIn(UnstableKMathAPI::class)
public fun <T : Any> Matrix<T>.transpose(): Matrix<T> = getFeature<TransposedFeature<T>>()?.original ?: (VirtualMatrix( public fun <T : Any> Matrix<T>.transpose(): Matrix<T> = getFeature<TransposedFeature<T>>()?.original ?: VirtualMatrix(
colNum, colNum,
rowNum, rowNum,
) { i, j -> get(j, i) } + TransposedFeature(this)) ) { i, j -> get(j, i) }.withFeature(TransposedFeature(this))

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@ -20,3 +20,6 @@ public class VirtualMatrix<out T : Any>(
override operator fun get(i: Int, j: Int): T = generator(i, j) override operator fun get(i: Int, j: Int): T = generator(i, j)
} }
public fun <T : Any> MatrixBuilder<T, *>.virtual(generator: (i: Int, j: Int) -> T): VirtualMatrix<T> =
VirtualMatrix(rows, columns, generator)

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@ -0,0 +1,61 @@
/*
* Copyright 2018-2021 KMath contributors.
* Use of this source code is governed by the Apache 2.0 license that can be found in the license/LICENSE.txt file.
*/
package space.kscience.kmath.misc
import kotlin.jvm.JvmInline
import kotlin.reflect.KClass
/**
* A entity that contains a set of features defined by their types
*/
public interface Featured<F : Any> {
public fun <T : F> getFeature(type: FeatureKey<T>): T?
}
public typealias FeatureKey<T> = KClass<out T>
public interface Feature<F : Feature<F>> {
/**
* A key used for extraction
*/
@Suppress("UNCHECKED_CAST")
public val key: FeatureKey<F>
get() = this::class as FeatureKey<F>
}
/**
* A container for a set of features
*/
@JvmInline
public value class FeatureSet<F : Feature<F>> private constructor(public val features: Map<FeatureKey<F>, F>) : Featured<F> {
@Suppress("UNCHECKED_CAST")
override fun <T : F> getFeature(type: FeatureKey<T>): T? = features[type]?.let { it as T }
public inline fun <reified T : F> getFeature(): T? = getFeature(T::class)
public fun <T : F> with(feature: T, type: FeatureKey<F> = feature.key): FeatureSet<F> =
FeatureSet(features + (type to feature))
public fun with(other: FeatureSet<F>): FeatureSet<F> = FeatureSet(features + other.features)
public fun with(vararg otherFeatures: F): FeatureSet<F> =
FeatureSet(features + otherFeatures.associateBy { it.key })
public fun with(otherFeatures: Iterable<F>): FeatureSet<F> =
FeatureSet(features + otherFeatures.associateBy { it.key })
public operator fun iterator(): Iterator<F> = features.values.iterator()
override fun toString(): String = features.values.joinToString(prefix = "[ ", postfix = " ]")
public companion object {
public fun <F : Feature<F>> of(vararg features: F): FeatureSet<F> = FeatureSet(features.associateBy { it.key })
public fun <F : Feature<F>> of(features: Iterable<F>): FeatureSet<F> =
FeatureSet(features.associateBy { it.key })
}
}

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@ -12,7 +12,7 @@ package space.kscience.kmath.misc
* in some way that may break some code. * in some way that may break some code.
*/ */
@MustBeDocumented @MustBeDocumented
@Retention(value = AnnotationRetention.BINARY) @Retention(value = AnnotationRetention.SOURCE)
@RequiresOptIn("This API is unstable and could change in future", RequiresOptIn.Level.WARNING) @RequiresOptIn("This API is unstable and could change in future", RequiresOptIn.Level.WARNING)
public annotation class UnstableKMathAPI public annotation class UnstableKMathAPI
@ -21,7 +21,7 @@ public annotation class UnstableKMathAPI
* slow-down in some cases. Refer to the documentation and benchmark it to be sure. * slow-down in some cases. Refer to the documentation and benchmark it to be sure.
*/ */
@MustBeDocumented @MustBeDocumented
@Retention(value = AnnotationRetention.BINARY) @Retention(value = AnnotationRetention.SOURCE)
@RequiresOptIn( @RequiresOptIn(
"Refer to the documentation to use this API in performance-critical code", "Refer to the documentation to use this API in performance-critical code",
RequiresOptIn.Level.WARNING RequiresOptIn.Level.WARNING

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@ -0,0 +1,22 @@
/*
* Copyright 2018-2021 KMath contributors.
* Use of this source code is governed by the Apache 2.0 license that can be found in the license/LICENSE.txt file.
*/
package space.kscience.kmath.misc
import space.kscience.kmath.misc.Loggable.Companion.INFO
public fun interface Loggable {
public fun log(tag: String, block: () -> String)
public companion object {
public const val INFO: String = "INFO"
public val console: Loggable = Loggable { tag, block ->
println("[$tag] ${block()}")
}
}
}
public fun Loggable.log(block: () -> String): Unit = log(INFO, block)

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@ -6,6 +6,8 @@
package space.kscience.kmath.nd package space.kscience.kmath.nd
import space.kscience.kmath.linear.LinearSpace import space.kscience.kmath.linear.LinearSpace
import space.kscience.kmath.misc.Feature
import space.kscience.kmath.misc.Featured
import space.kscience.kmath.misc.PerformancePitfall import space.kscience.kmath.misc.PerformancePitfall
import space.kscience.kmath.misc.UnstableKMathAPI import space.kscience.kmath.misc.UnstableKMathAPI
import space.kscience.kmath.operations.Ring import space.kscience.kmath.operations.Ring
@ -16,7 +18,7 @@ import kotlin.jvm.JvmName
import kotlin.native.concurrent.ThreadLocal import kotlin.native.concurrent.ThreadLocal
import kotlin.reflect.KClass import kotlin.reflect.KClass
public interface StructureFeature public interface StructureFeature : Feature<StructureFeature>
/** /**
* Represents n-dimensional structure i.e., multidimensional container of items of the same type and size. The number * Represents n-dimensional structure i.e., multidimensional container of items of the same type and size. The number
@ -27,7 +29,7 @@ public interface StructureFeature
* *
* @param T the type of items. * @param T the type of items.
*/ */
public interface StructureND<out T> { public interface StructureND<out T> : Featured<StructureFeature> {
/** /**
* The shape of structure i.e., non-empty sequence of non-negative integers that specify sizes of dimensions of * The shape of structure i.e., non-empty sequence of non-negative integers that specify sizes of dimensions of
* this structure. * this structure.
@ -60,7 +62,7 @@ public interface StructureND<out T> {
* If the feature is not present, `null` is returned. * If the feature is not present, `null` is returned.
*/ */
@UnstableKMathAPI @UnstableKMathAPI
public fun <F : StructureFeature> getFeature(type: KClass<out F>): F? = null override fun <F : StructureFeature> getFeature(type: KClass<out F>): F? = null
public companion object { public companion object {
/** /**

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@ -0,0 +1,146 @@
/*
* Copyright 2018-2021 KMath contributors.
* Use of this source code is governed by the Apache 2.0 license that can be found in the license/LICENSE.txt file.
*/
package space.kscience.kmath.operations
import space.kscience.kmath.misc.UnstableKMathAPI
import space.kscience.kmath.structures.Buffer
import space.kscience.kmath.structures.BufferFactory
import space.kscience.kmath.structures.DoubleBuffer
/**
* An algebra over [Buffer]
*/
@UnstableKMathAPI
public interface BufferAlgebra<T, A : Algebra<T>> : Algebra<Buffer<T>> {
public val bufferFactory: BufferFactory<T>
public val elementAlgebra: A
//TODO move to multi-receiver inline extension
public fun Buffer<T>.map(block: (T) -> T): Buffer<T> = bufferFactory(size) { block(get(it)) }
public fun Buffer<T>.zip(other: Buffer<T>, block: (left: T, right: T) -> T): Buffer<T> {
require(size == other.size) { "Incompatible buffer sizes. left: $size, right: ${other.size}" }
return bufferFactory(size) { block(this[it], other[it]) }
}
override fun unaryOperationFunction(operation: String): (arg: Buffer<T>) -> Buffer<T> {
val operationFunction = elementAlgebra.unaryOperationFunction(operation)
return { arg -> bufferFactory(arg.size) { operationFunction(arg[it]) } }
}
override fun binaryOperationFunction(operation: String): (left: Buffer<T>, right: Buffer<T>) -> Buffer<T> {
val operationFunction = elementAlgebra.binaryOperationFunction(operation)
return { left, right ->
bufferFactory(left.size) { operationFunction(left[it], right[it]) }
}
}
}
@UnstableKMathAPI
public fun <T, A : TrigonometricOperations<T>> BufferAlgebra<T, A>.sin(arg: Buffer<T>): Buffer<T> =
arg.map(elementAlgebra::sin)
@UnstableKMathAPI
public fun <T, A : TrigonometricOperations<T>> BufferAlgebra<T, A>.cos(arg: Buffer<T>): Buffer<T> =
arg.map(elementAlgebra::cos)
@UnstableKMathAPI
public fun <T, A : TrigonometricOperations<T>> BufferAlgebra<T, A>.tan(arg: Buffer<T>): Buffer<T> =
arg.map(elementAlgebra::tan)
@UnstableKMathAPI
public fun <T, A : TrigonometricOperations<T>> BufferAlgebra<T, A>.asin(arg: Buffer<T>): Buffer<T> =
arg.map(elementAlgebra::asin)
@UnstableKMathAPI
public fun <T, A : TrigonometricOperations<T>> BufferAlgebra<T, A>.acos(arg: Buffer<T>): Buffer<T> =
arg.map(elementAlgebra::acos)
@UnstableKMathAPI
public fun <T, A : TrigonometricOperations<T>> BufferAlgebra<T, A>.atan(arg: Buffer<T>): Buffer<T> =
arg.map(elementAlgebra::atan)
@UnstableKMathAPI
public fun <T, A : ExponentialOperations<T>> BufferAlgebra<T, A>.exp(arg: Buffer<T>): Buffer<T> =
arg.map(elementAlgebra::exp)
@UnstableKMathAPI
public fun <T, A : ExponentialOperations<T>> BufferAlgebra<T, A>.ln(arg: Buffer<T>): Buffer<T> =
arg.map(elementAlgebra::ln)
@UnstableKMathAPI
public fun <T, A : ExponentialOperations<T>> BufferAlgebra<T, A>.sinh(arg: Buffer<T>): Buffer<T> =
arg.map(elementAlgebra::sinh)
@UnstableKMathAPI
public fun <T, A : ExponentialOperations<T>> BufferAlgebra<T, A>.cosh(arg: Buffer<T>): Buffer<T> =
arg.map(elementAlgebra::cosh)
@UnstableKMathAPI
public fun <T, A : ExponentialOperations<T>> BufferAlgebra<T, A>.tanh(arg: Buffer<T>): Buffer<T> =
arg.map(elementAlgebra::tanh)
@UnstableKMathAPI
public fun <T, A : ExponentialOperations<T>> BufferAlgebra<T, A>.asinh(arg: Buffer<T>): Buffer<T> =
arg.map(elementAlgebra::asinh)
@UnstableKMathAPI
public fun <T, A : ExponentialOperations<T>> BufferAlgebra<T, A>.acosh(arg: Buffer<T>): Buffer<T> =
arg.map(elementAlgebra::acosh)
@UnstableKMathAPI
public fun <T, A : ExponentialOperations<T>> BufferAlgebra<T, A>.atanh(arg: Buffer<T>): Buffer<T> =
arg.map(elementAlgebra::atanh)
@UnstableKMathAPI
public fun <T, A : PowerOperations<T>> BufferAlgebra<T, A>.pow(arg: Buffer<T>, pow: Number): Buffer<T> =
with(elementAlgebra) { arg.map { power(it, pow) } }
@UnstableKMathAPI
public class BufferField<T, A : Field<T>>(
override val bufferFactory: BufferFactory<T>,
override val elementAlgebra: A,
public val size: Int
) : BufferAlgebra<T, A>, Field<Buffer<T>> {
public fun produce(vararg elements: T): Buffer<T> {
require(elements.size == size) { "Expected $size elements but found ${elements.size}" }
return bufferFactory(size) { elements[it] }
}
override val zero: Buffer<T> = bufferFactory(size) { elementAlgebra.zero }
override val one: Buffer<T> = bufferFactory(size) { elementAlgebra.one }
override fun add(a: Buffer<T>, b: Buffer<T>): Buffer<T> = a.zip(b, elementAlgebra::add)
override fun multiply(a: Buffer<T>, b: Buffer<T>): Buffer<T> = a.zip(b, elementAlgebra::multiply)
override fun divide(a: Buffer<T>, b: Buffer<T>): Buffer<T> = a.zip(b, elementAlgebra::divide)
override fun scale(a: Buffer<T>, value: Double): Buffer<T> = with(elementAlgebra) { a.map { scale(it, value) } }
override fun Buffer<T>.unaryMinus(): Buffer<T> = with(elementAlgebra) { map { -it } }
override fun unaryOperationFunction(operation: String): (arg: Buffer<T>) -> Buffer<T> {
return super<BufferAlgebra>.unaryOperationFunction(operation)
}
override fun binaryOperationFunction(operation: String): (left: Buffer<T>, right: Buffer<T>) -> Buffer<T> {
return super<BufferAlgebra>.binaryOperationFunction(operation)
}
}
//Double buffer specialization
@UnstableKMathAPI
public fun BufferField<Double, *>.produce(vararg elements: Number): Buffer<Double> {
require(elements.size == size) { "Expected $size elements but found ${elements.size}" }
return bufferFactory(size) { elements[it].toDouble() }
}
@UnstableKMathAPI
public fun DoubleField.bufferAlgebra(size: Int): BufferField<Double, DoubleField> =
BufferField(::DoubleBuffer, DoubleField, size)

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@ -13,7 +13,7 @@ import space.kscience.kmath.nd.as2D
/** /**
* A context that allows to operate on a [MutableBuffer] as on 2d array * A context that allows to operate on a [MutableBuffer] as on 2d array
*/ */
internal class BufferAccessor2D<T : Any>( internal class BufferAccessor2D<T>(
val rowNum: Int, val rowNum: Int,
val colNum: Int, val colNum: Int,
val factory: MutableBufferFactory<T>, val factory: MutableBufferFactory<T>,

View File

@ -5,13 +5,15 @@
package space.kscience.kmath.structures package space.kscience.kmath.structures
import space.kscience.kmath.operations.ExtendedField import space.kscience.kmath.linear.Point
import space.kscience.kmath.operations.ExtendedFieldOperations import space.kscience.kmath.misc.UnstableKMathAPI
import space.kscience.kmath.operations.*
import kotlin.math.* import kotlin.math.*
/** /**
* [ExtendedFieldOperations] over [DoubleBuffer]. * [ExtendedFieldOperations] over [DoubleBuffer].
*/ */
@Deprecated("To be replaced by generic BufferAlgebra")
public object DoubleBufferFieldOperations : ExtendedFieldOperations<Buffer<Double>> { public object DoubleBufferFieldOperations : ExtendedFieldOperations<Buffer<Double>> {
override fun Buffer<Double>.unaryMinus(): DoubleBuffer = if (this is DoubleBuffer) { override fun Buffer<Double>.unaryMinus(): DoubleBuffer = if (this is DoubleBuffer) {
DoubleBuffer(size) { -array[it] } DoubleBuffer(size) { -array[it] }
@ -161,12 +163,17 @@ public object DoubleBufferFieldOperations : ExtendedFieldOperations<Buffer<Doubl
DoubleBuffer(DoubleArray(arg.size) { ln(arg[it]) }) DoubleBuffer(DoubleArray(arg.size) { ln(arg[it]) })
} }
public object DoubleL2Norm : Norm<Point<Double>, Double> {
override fun norm(arg: Point<Double>): Double = sqrt(arg.fold(0.0) { acc: Double, d: Double -> acc + d.pow(2) })
}
/** /**
* [ExtendedField] over [DoubleBuffer]. * [ExtendedField] over [DoubleBuffer].
* *
* @property size the size of buffers to operate on. * @property size the size of buffers to operate on.
*/ */
public class DoubleBufferField(public val size: Int) : ExtendedField<Buffer<Double>> { @Deprecated("To be replaced by generic BufferAlgebra")
public class DoubleBufferField(public val size: Int) : ExtendedField<Buffer<Double>>, Norm<Buffer<Double>, Double> {
override val zero: Buffer<Double> by lazy { DoubleBuffer(size) { 0.0 } } override val zero: Buffer<Double> by lazy { DoubleBuffer(size) { 0.0 } }
override val one: Buffer<Double> by lazy { DoubleBuffer(size) { 1.0 } } override val one: Buffer<Double> by lazy { DoubleBuffer(size) { 1.0 } }
@ -274,4 +281,6 @@ public class DoubleBufferField(public val size: Int) : ExtendedField<Buffer<Doub
require(arg.size == size) { "The buffer size ${arg.size} does not match context size $size" } require(arg.size == size) { "The buffer size ${arg.size} does not match context size $size" }
return DoubleBufferFieldOperations.ln(arg) return DoubleBufferFieldOperations.ln(arg)
} }
override fun norm(arg: Buffer<Double>): Double = DoubleL2Norm.norm(arg)
} }

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@ -16,7 +16,7 @@ class ExpressionFieldTest {
@Test @Test
fun testExpression() { fun testExpression() {
val expression = with(FunctionalExpressionField(DoubleField)) { val expression = with(FunctionalExpressionField(DoubleField)) {
val x by binding() val x by binding
x * x + 2 * x + one x * x + 2 * x + one
} }
@ -27,7 +27,7 @@ class ExpressionFieldTest {
@Test @Test
fun separateContext() { fun separateContext() {
fun <T> FunctionalExpressionField<T, *>.expression(): Expression<T> { fun <T> FunctionalExpressionField<T, *>.expression(): Expression<T> {
val x by binding() val x by binding
return x * x + 2 * x + one return x * x + 2 * x + one
} }
@ -38,7 +38,7 @@ class ExpressionFieldTest {
@Test @Test
fun valueExpression() { fun valueExpression() {
val expressionBuilder: FunctionalExpressionField<Double, *>.() -> Expression<Double> = { val expressionBuilder: FunctionalExpressionField<Double, *>.() -> Expression<Double> = {
val x by binding() val x by binding
x * x + 2 * x + one x * x + 2 * x + one
} }

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@ -22,14 +22,14 @@ class DoubleLUSolverTest {
@Test @Test
fun testInvertOne() { fun testInvertOne() {
val matrix = LinearSpace.real.one(2, 2) val matrix = LinearSpace.double.one(2, 2)
val inverted = LinearSpace.real.inverseWithLup(matrix) val inverted = LinearSpace.double.lupSolver().inverse(matrix)
assertMatrixEquals(matrix, inverted) assertMatrixEquals(matrix, inverted)
} }
@Test @Test
fun testDecomposition() { fun testDecomposition() {
LinearSpace.real.run { LinearSpace.double.run {
val matrix = matrix(2, 2)( val matrix = matrix(2, 2)(
3.0, 1.0, 3.0, 1.0,
2.0, 3.0 2.0, 3.0
@ -46,14 +46,14 @@ class DoubleLUSolverTest {
@Test @Test
fun testInvert() { fun testInvert() {
val matrix = LinearSpace.real.matrix(2, 2)( val matrix = LinearSpace.double.matrix(2, 2)(
3.0, 1.0, 3.0, 1.0,
1.0, 3.0 1.0, 3.0
) )
val inverted = LinearSpace.real.inverseWithLup(matrix) val inverted = LinearSpace.double.lupSolver().inverse(matrix)
val expected = LinearSpace.real.matrix(2, 2)( val expected = LinearSpace.double.matrix(2, 2)(
0.375, -0.125, 0.375, -0.125,
-0.125, 0.375 -0.125, 0.375
) )

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@ -17,16 +17,17 @@ import kotlin.test.assertTrue
@OptIn(PerformancePitfall::class) @OptIn(PerformancePitfall::class)
@Suppress("UNUSED_VARIABLE") @Suppress("UNUSED_VARIABLE")
class MatrixTest { class MatrixTest {
@Test @Test
fun testTranspose() { fun testTranspose() {
val matrix = LinearSpace.real.one(3, 3) val matrix = LinearSpace.double.one(3, 3)
val transposed = matrix.transpose() val transposed = matrix.transpose()
assertTrue { StructureND.contentEquals(matrix, transposed) } assertTrue { StructureND.contentEquals(matrix, transposed) }
} }
@Test @Test
fun testBuilder() { fun testBuilder() {
val matrix = LinearSpace.real.matrix(2, 3)( val matrix = LinearSpace.double.matrix(2, 3)(
1.0, 0.0, 0.0, 1.0, 0.0, 0.0,
0.0, 1.0, 2.0 0.0, 1.0, 2.0
) )
@ -48,7 +49,7 @@ class MatrixTest {
infix fun Matrix<Double>.pow(power: Int): Matrix<Double> { infix fun Matrix<Double>.pow(power: Int): Matrix<Double> {
var res = this var res = this
repeat(power - 1) { repeat(power - 1) {
res = LinearSpace.real.run { res dot this@pow } res = LinearSpace.double.run { res dot this@pow }
} }
return res return res
} }
@ -61,7 +62,7 @@ class MatrixTest {
val firstMatrix = StructureND.auto(2, 3) { (i, j) -> (i + j).toDouble() }.as2D() val firstMatrix = StructureND.auto(2, 3) { (i, j) -> (i + j).toDouble() }.as2D()
val secondMatrix = StructureND.auto(3, 2) { (i, j) -> (i + j).toDouble() }.as2D() val secondMatrix = StructureND.auto(3, 2) { (i, j) -> (i + j).toDouble() }.as2D()
LinearSpace.real.run { LinearSpace.double.run {
// val firstMatrix = produce(2, 3) { i, j -> (i + j).toDouble() } // val firstMatrix = produce(2, 3) { i, j -> (i + j).toDouble() }
// val secondMatrix = produce(3, 2) { i, j -> (i + j).toDouble() } // val secondMatrix = produce(3, 2) { i, j -> (i + j).toDouble() }
val result = firstMatrix dot secondMatrix val result = firstMatrix dot secondMatrix

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@ -40,7 +40,7 @@ class NumberNDFieldTest {
@Test @Test
fun testGeneration() { fun testGeneration() {
val array = LinearSpace.real.buildMatrix(3, 3) { i, j -> val array = LinearSpace.double.buildMatrix(3, 3) { i, j ->
(i * 10 + j).toDouble() (i * 10 + j).toDouble()
} }

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@ -151,7 +151,7 @@ public value class DMatrixContext<T : Any, out A : Ring<T>>(public val context:
context.run { (this@transpose as Matrix<T>).transpose() }.coerce() context.run { (this@transpose as Matrix<T>).transpose() }.coerce()
public companion object { public companion object {
public val real: DMatrixContext<Double, DoubleField> = DMatrixContext(LinearSpace.real) public val real: DMatrixContext<Double, DoubleField> = DMatrixContext(LinearSpace.double)
} }
} }

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@ -1,995 +0,0 @@
/*
* Copyright 2018-2021 KMath contributors.
* Use of this source code is governed by the Apache 2.0 license that can be found in the LICENSE file.
*/
/* This file is generated with buildSrc/src/main/kotlin/space/kscience/kmath/ejml/codegen/ejmlCodegen.kt */
package space.kscience.kmath.ejml
import org.ejml.data.*
import org.ejml.dense.row.CommonOps_DDRM
import org.ejml.dense.row.CommonOps_FDRM
import org.ejml.dense.row.factory.DecompositionFactory_DDRM
import org.ejml.dense.row.factory.DecompositionFactory_FDRM
import org.ejml.sparse.FillReducing
import org.ejml.sparse.csc.CommonOps_DSCC
import org.ejml.sparse.csc.CommonOps_FSCC
import org.ejml.sparse.csc.factory.DecompositionFactory_DSCC
import org.ejml.sparse.csc.factory.DecompositionFactory_FSCC
import org.ejml.sparse.csc.factory.LinearSolverFactory_DSCC
import org.ejml.sparse.csc.factory.LinearSolverFactory_FSCC
import space.kscience.kmath.linear.*
import space.kscience.kmath.linear.Matrix
import space.kscience.kmath.misc.UnstableKMathAPI
import space.kscience.kmath.nd.StructureFeature
import space.kscience.kmath.operations.DoubleField
import space.kscience.kmath.operations.FloatField
import space.kscience.kmath.operations.invoke
import space.kscience.kmath.structures.DoubleBuffer
import space.kscience.kmath.structures.FloatBuffer
import kotlin.reflect.KClass
import kotlin.reflect.cast
/**
* [EjmlVector] specialization for [Double].
*/
public class EjmlDoubleVector<out M : DMatrix>(override val origin: M) : EjmlVector<Double, M>(origin) {
init {
require(origin.numRows == 1) { "The origin matrix must have only one row to form a vector" }
}
override operator fun get(index: Int): Double = origin[0, index]
}
/**
* [EjmlVector] specialization for [Float].
*/
public class EjmlFloatVector<out M : FMatrix>(override val origin: M) : EjmlVector<Float, M>(origin) {
init {
require(origin.numRows == 1) { "The origin matrix must have only one row to form a vector" }
}
override operator fun get(index: Int): Float = origin[0, index]
}
/**
* [EjmlMatrix] specialization for [Double].
*/
public class EjmlDoubleMatrix<out M : DMatrix>(override val origin: M) : EjmlMatrix<Double, M>(origin) {
override operator fun get(i: Int, j: Int): Double = origin[i, j]
}
/**
* [EjmlMatrix] specialization for [Float].
*/
public class EjmlFloatMatrix<out M : FMatrix>(override val origin: M) : EjmlMatrix<Float, M>(origin) {
override operator fun get(i: Int, j: Int): Float = origin[i, j]
}
/**
* [EjmlLinearSpace] implementation based on [CommonOps_DDRM], [DecompositionFactory_DDRM] operations and
* [DMatrixRMaj] matrices.
*/
public object EjmlLinearSpaceDDRM : EjmlLinearSpace<Double, DoubleField, DMatrixRMaj>() {
/**
* The [DoubleField] reference.
*/
override val elementAlgebra: DoubleField get() = DoubleField
@Suppress("UNCHECKED_CAST")
override fun Matrix<Double>.toEjml(): EjmlDoubleMatrix<DMatrixRMaj> = when {
this is EjmlDoubleMatrix<*> && origin is DMatrixRMaj -> this as EjmlDoubleMatrix<DMatrixRMaj>
else -> buildMatrix(rowNum, colNum) { i, j -> get(i, j) }
}
@Suppress("UNCHECKED_CAST")
override fun Point<Double>.toEjml(): EjmlDoubleVector<DMatrixRMaj> = when {
this is EjmlDoubleVector<*> && origin is DMatrixRMaj -> this as EjmlDoubleVector<DMatrixRMaj>
else -> EjmlDoubleVector(DMatrixRMaj(size, 1).also {
(0 until it.numRows).forEach { row -> it[row, 0] = get(row) }
})
}
override fun buildMatrix(
rows: Int,
columns: Int,
initializer: DoubleField.(i: Int, j: Int) -> Double,
): EjmlDoubleMatrix<DMatrixRMaj> = DMatrixRMaj(rows, columns).also {
(0 until rows).forEach { row ->
(0 until columns).forEach { col -> it[row, col] = elementAlgebra.initializer(row, col) }
}
}.wrapMatrix()
override fun buildVector(
size: Int,
initializer: DoubleField.(Int) -> Double,
): EjmlDoubleVector<DMatrixRMaj> = EjmlDoubleVector(DMatrixRMaj(size, 1).also {
(0 until it.numRows).forEach { row -> it[row, 0] = elementAlgebra.initializer(row) }
})
private fun <T : DMatrix> T.wrapMatrix() = EjmlDoubleMatrix(this)
private fun <T : DMatrix> T.wrapVector() = EjmlDoubleVector(this)
override fun Matrix<Double>.unaryMinus(): Matrix<Double> = this * elementAlgebra { -one }
override fun Matrix<Double>.dot(other: Matrix<Double>): EjmlDoubleMatrix<DMatrixRMaj> {
val out = DMatrixRMaj(1, 1)
CommonOps_DDRM.mult(toEjml().origin, other.toEjml().origin, out)
return out.wrapMatrix()
}
override fun Matrix<Double>.dot(vector: Point<Double>): EjmlDoubleVector<DMatrixRMaj> {
val out = DMatrixRMaj(1, 1)
CommonOps_DDRM.mult(toEjml().origin, vector.toEjml().origin, out)
return out.wrapVector()
}
override operator fun Matrix<Double>.minus(other: Matrix<Double>): EjmlDoubleMatrix<DMatrixRMaj> {
val out = DMatrixRMaj(1, 1)
CommonOps_DDRM.add(
elementAlgebra.one,
toEjml().origin,
elementAlgebra { -one },
other.toEjml().origin,
out,
)
return out.wrapMatrix()
}
override operator fun Matrix<Double>.times(value: Double): EjmlDoubleMatrix<DMatrixRMaj> {
val res = DMatrixRMaj(1, 1)
CommonOps_DDRM.scale(value, toEjml().origin, res)
return res.wrapMatrix()
}
override fun Point<Double>.unaryMinus(): EjmlDoubleVector<DMatrixRMaj> {
val res = DMatrixRMaj(1, 1)
CommonOps_DDRM.changeSign(toEjml().origin, res)
return res.wrapVector()
}
override fun Matrix<Double>.plus(other: Matrix<Double>): EjmlDoubleMatrix<DMatrixRMaj> {
val out = DMatrixRMaj(1, 1)
CommonOps_DDRM.add(
elementAlgebra.one,
toEjml().origin,
elementAlgebra.one,
other.toEjml().origin,
out,
)
return out.wrapMatrix()
}
override fun Point<Double>.plus(other: Point<Double>): EjmlDoubleVector<DMatrixRMaj> {
val out = DMatrixRMaj(1, 1)
CommonOps_DDRM.add(
elementAlgebra.one,
toEjml().origin,
elementAlgebra.one,
other.toEjml().origin,
out,
)
return out.wrapVector()
}
override fun Point<Double>.minus(other: Point<Double>): EjmlDoubleVector<DMatrixRMaj> {
val out = DMatrixRMaj(1, 1)
CommonOps_DDRM.add(
elementAlgebra.one,
toEjml().origin,
elementAlgebra { -one },
other.toEjml().origin,
out,
)
return out.wrapVector()
}
override fun Double.times(m: Matrix<Double>): EjmlDoubleMatrix<DMatrixRMaj> = m * this
override fun Point<Double>.times(value: Double): EjmlDoubleVector<DMatrixRMaj> {
val res = DMatrixRMaj(1, 1)
CommonOps_DDRM.scale(value, toEjml().origin, res)
return res.wrapVector()
}
override fun Double.times(v: Point<Double>): EjmlDoubleVector<DMatrixRMaj> = v * this
@UnstableKMathAPI
override fun <F : StructureFeature> getFeature(structure: Matrix<Double>, type: KClass<out F>): F? {
structure.getFeature(type)?.let { return it }
val origin = structure.toEjml().origin
return when (type) {
InverseMatrixFeature::class -> object : InverseMatrixFeature<Double> {
override val inverse: Matrix<Double> by lazy {
val res = origin.copy()
CommonOps_DDRM.invert(res)
res.wrapMatrix()
}
}
DeterminantFeature::class -> object : DeterminantFeature<Double> {
override val determinant: Double by lazy { CommonOps_DDRM.det(origin) }
}
SingularValueDecompositionFeature::class -> object : SingularValueDecompositionFeature<Double> {
private val svd by lazy {
DecompositionFactory_DDRM.svd(origin.numRows, origin.numCols, true, true, false)
.apply { decompose(origin.copy()) }
}
override val u: Matrix<Double> by lazy { svd.getU(null, false).wrapMatrix() }
override val s: Matrix<Double> by lazy { svd.getW(null).wrapMatrix() }
override val v: Matrix<Double> by lazy { svd.getV(null, false).wrapMatrix() }
override val singularValues: Point<Double> by lazy { DoubleBuffer(svd.singularValues) }
}
QRDecompositionFeature::class -> object : QRDecompositionFeature<Double> {
private val qr by lazy {
DecompositionFactory_DDRM.qr().apply { decompose(origin.copy()) }
}
override val q: Matrix<Double> by lazy {
qr.getQ(null, false).wrapMatrix() + OrthogonalFeature
}
override val r: Matrix<Double> by lazy { qr.getR(null, false).wrapMatrix() + UFeature }
}
CholeskyDecompositionFeature::class -> object : CholeskyDecompositionFeature<Double> {
override val l: Matrix<Double> by lazy {
val cholesky =
DecompositionFactory_DDRM.chol(structure.rowNum, true).apply { decompose(origin.copy()) }
cholesky.getT(null).wrapMatrix() + LFeature
}
}
LupDecompositionFeature::class -> object : LupDecompositionFeature<Double> {
private val lup by lazy {
DecompositionFactory_DDRM.lu(origin.numRows, origin.numCols).apply { decompose(origin.copy()) }
}
override val l: Matrix<Double> by lazy {
lup.getLower(null).wrapMatrix() + LFeature
}
override val u: Matrix<Double> by lazy {
lup.getUpper(null).wrapMatrix() + UFeature
}
override val p: Matrix<Double> by lazy { lup.getRowPivot(null).wrapMatrix() }
}
else -> null
}?.let(type::cast)
}
/**
* Solves for *x* in the following equation: *x = [a] <sup>-1</sup> &middot; [b]*.
*
* @param a the base matrix.
* @param b n by p matrix.
* @return the solution for *x* that is n by p.
*/
public fun solve(a: Matrix<Double>, b: Matrix<Double>): EjmlDoubleMatrix<DMatrixRMaj> {
val res = DMatrixRMaj(1, 1)
CommonOps_DDRM.solve(DMatrixRMaj(a.toEjml().origin), DMatrixRMaj(b.toEjml().origin), res)
return res.wrapMatrix()
}
/**
* Solves for *x* in the following equation: *x = [a] <sup>-1</sup> &middot; [b]*.
*
* @param a the base matrix.
* @param b n by p vector.
* @return the solution for *x* that is n by p.
*/
public fun solve(a: Matrix<Double>, b: Point<Double>): EjmlDoubleVector<DMatrixRMaj> {
val res = DMatrixRMaj(1, 1)
CommonOps_DDRM.solve(DMatrixRMaj(a.toEjml().origin), DMatrixRMaj(b.toEjml().origin), res)
return EjmlDoubleVector(res)
}
}
/**
* [EjmlLinearSpace] implementation based on [CommonOps_FDRM], [DecompositionFactory_FDRM] operations and
* [FMatrixRMaj] matrices.
*/
public object EjmlLinearSpaceFDRM : EjmlLinearSpace<Float, FloatField, FMatrixRMaj>() {
/**
* The [FloatField] reference.
*/
override val elementAlgebra: FloatField get() = FloatField
@Suppress("UNCHECKED_CAST")
override fun Matrix<Float>.toEjml(): EjmlFloatMatrix<FMatrixRMaj> = when {
this is EjmlFloatMatrix<*> && origin is FMatrixRMaj -> this as EjmlFloatMatrix<FMatrixRMaj>
else -> buildMatrix(rowNum, colNum) { i, j -> get(i, j) }
}
@Suppress("UNCHECKED_CAST")
override fun Point<Float>.toEjml(): EjmlFloatVector<FMatrixRMaj> = when {
this is EjmlFloatVector<*> && origin is FMatrixRMaj -> this as EjmlFloatVector<FMatrixRMaj>
else -> EjmlFloatVector(FMatrixRMaj(size, 1).also {
(0 until it.numRows).forEach { row -> it[row, 0] = get(row) }
})
}
override fun buildMatrix(
rows: Int,
columns: Int,
initializer: FloatField.(i: Int, j: Int) -> Float,
): EjmlFloatMatrix<FMatrixRMaj> = FMatrixRMaj(rows, columns).also {
(0 until rows).forEach { row ->
(0 until columns).forEach { col -> it[row, col] = elementAlgebra.initializer(row, col) }
}
}.wrapMatrix()
override fun buildVector(
size: Int,
initializer: FloatField.(Int) -> Float,
): EjmlFloatVector<FMatrixRMaj> = EjmlFloatVector(FMatrixRMaj(size, 1).also {
(0 until it.numRows).forEach { row -> it[row, 0] = elementAlgebra.initializer(row) }
})
private fun <T : FMatrix> T.wrapMatrix() = EjmlFloatMatrix(this)
private fun <T : FMatrix> T.wrapVector() = EjmlFloatVector(this)
override fun Matrix<Float>.unaryMinus(): Matrix<Float> = this * elementAlgebra { -one }
override fun Matrix<Float>.dot(other: Matrix<Float>): EjmlFloatMatrix<FMatrixRMaj> {
val out = FMatrixRMaj(1, 1)
CommonOps_FDRM.mult(toEjml().origin, other.toEjml().origin, out)
return out.wrapMatrix()
}
override fun Matrix<Float>.dot(vector: Point<Float>): EjmlFloatVector<FMatrixRMaj> {
val out = FMatrixRMaj(1, 1)
CommonOps_FDRM.mult(toEjml().origin, vector.toEjml().origin, out)
return out.wrapVector()
}
override operator fun Matrix<Float>.minus(other: Matrix<Float>): EjmlFloatMatrix<FMatrixRMaj> {
val out = FMatrixRMaj(1, 1)
CommonOps_FDRM.add(
elementAlgebra.one,
toEjml().origin,
elementAlgebra { -one },
other.toEjml().origin,
out,
)
return out.wrapMatrix()
}
override operator fun Matrix<Float>.times(value: Float): EjmlFloatMatrix<FMatrixRMaj> {
val res = FMatrixRMaj(1, 1)
CommonOps_FDRM.scale(value, toEjml().origin, res)
return res.wrapMatrix()
}
override fun Point<Float>.unaryMinus(): EjmlFloatVector<FMatrixRMaj> {
val res = FMatrixRMaj(1, 1)
CommonOps_FDRM.changeSign(toEjml().origin, res)
return res.wrapVector()
}
override fun Matrix<Float>.plus(other: Matrix<Float>): EjmlFloatMatrix<FMatrixRMaj> {
val out = FMatrixRMaj(1, 1)
CommonOps_FDRM.add(
elementAlgebra.one,
toEjml().origin,
elementAlgebra.one,
other.toEjml().origin,
out,
)
return out.wrapMatrix()
}
override fun Point<Float>.plus(other: Point<Float>): EjmlFloatVector<FMatrixRMaj> {
val out = FMatrixRMaj(1, 1)
CommonOps_FDRM.add(
elementAlgebra.one,
toEjml().origin,
elementAlgebra.one,
other.toEjml().origin,
out,
)
return out.wrapVector()
}
override fun Point<Float>.minus(other: Point<Float>): EjmlFloatVector<FMatrixRMaj> {
val out = FMatrixRMaj(1, 1)
CommonOps_FDRM.add(
elementAlgebra.one,
toEjml().origin,
elementAlgebra { -one },
other.toEjml().origin,
out,
)
return out.wrapVector()
}
override fun Float.times(m: Matrix<Float>): EjmlFloatMatrix<FMatrixRMaj> = m * this
override fun Point<Float>.times(value: Float): EjmlFloatVector<FMatrixRMaj> {
val res = FMatrixRMaj(1, 1)
CommonOps_FDRM.scale(value, toEjml().origin, res)
return res.wrapVector()
}
override fun Float.times(v: Point<Float>): EjmlFloatVector<FMatrixRMaj> = v * this
@UnstableKMathAPI
override fun <F : StructureFeature> getFeature(structure: Matrix<Float>, type: KClass<out F>): F? {
structure.getFeature(type)?.let { return it }
val origin = structure.toEjml().origin
return when (type) {
InverseMatrixFeature::class -> object : InverseMatrixFeature<Float> {
override val inverse: Matrix<Float> by lazy {
val res = origin.copy()
CommonOps_FDRM.invert(res)
res.wrapMatrix()
}
}
DeterminantFeature::class -> object : DeterminantFeature<Float> {
override val determinant: Float by lazy { CommonOps_FDRM.det(origin) }
}
SingularValueDecompositionFeature::class -> object : SingularValueDecompositionFeature<Float> {
private val svd by lazy {
DecompositionFactory_FDRM.svd(origin.numRows, origin.numCols, true, true, false)
.apply { decompose(origin.copy()) }
}
override val u: Matrix<Float> by lazy { svd.getU(null, false).wrapMatrix() }
override val s: Matrix<Float> by lazy { svd.getW(null).wrapMatrix() }
override val v: Matrix<Float> by lazy { svd.getV(null, false).wrapMatrix() }
override val singularValues: Point<Float> by lazy { FloatBuffer(svd.singularValues) }
}
QRDecompositionFeature::class -> object : QRDecompositionFeature<Float> {
private val qr by lazy {
DecompositionFactory_FDRM.qr().apply { decompose(origin.copy()) }
}
override val q: Matrix<Float> by lazy {
qr.getQ(null, false).wrapMatrix() + OrthogonalFeature
}
override val r: Matrix<Float> by lazy { qr.getR(null, false).wrapMatrix() + UFeature }
}
CholeskyDecompositionFeature::class -> object : CholeskyDecompositionFeature<Float> {
override val l: Matrix<Float> by lazy {
val cholesky =
DecompositionFactory_FDRM.chol(structure.rowNum, true).apply { decompose(origin.copy()) }
cholesky.getT(null).wrapMatrix() + LFeature
}
}
LupDecompositionFeature::class -> object : LupDecompositionFeature<Float> {
private val lup by lazy {
DecompositionFactory_FDRM.lu(origin.numRows, origin.numCols).apply { decompose(origin.copy()) }
}
override val l: Matrix<Float> by lazy {
lup.getLower(null).wrapMatrix() + LFeature
}
override val u: Matrix<Float> by lazy {
lup.getUpper(null).wrapMatrix() + UFeature
}
override val p: Matrix<Float> by lazy { lup.getRowPivot(null).wrapMatrix() }
}
else -> null
}?.let(type::cast)
}
/**
* Solves for *x* in the following equation: *x = [a] <sup>-1</sup> &middot; [b]*.
*
* @param a the base matrix.
* @param b n by p matrix.
* @return the solution for *x* that is n by p.
*/
public fun solve(a: Matrix<Float>, b: Matrix<Float>): EjmlFloatMatrix<FMatrixRMaj> {
val res = FMatrixRMaj(1, 1)
CommonOps_FDRM.solve(FMatrixRMaj(a.toEjml().origin), FMatrixRMaj(b.toEjml().origin), res)
return res.wrapMatrix()
}
/**
* Solves for *x* in the following equation: *x = [a] <sup>-1</sup> &middot; [b]*.
*
* @param a the base matrix.
* @param b n by p vector.
* @return the solution for *x* that is n by p.
*/
public fun solve(a: Matrix<Float>, b: Point<Float>): EjmlFloatVector<FMatrixRMaj> {
val res = FMatrixRMaj(1, 1)
CommonOps_FDRM.solve(FMatrixRMaj(a.toEjml().origin), FMatrixRMaj(b.toEjml().origin), res)
return EjmlFloatVector(res)
}
}
/**
* [EjmlLinearSpace] implementation based on [CommonOps_DSCC], [DecompositionFactory_DSCC] operations and
* [DMatrixSparseCSC] matrices.
*/
public object EjmlLinearSpaceDSCC : EjmlLinearSpace<Double, DoubleField, DMatrixSparseCSC>() {
/**
* The [DoubleField] reference.
*/
override val elementAlgebra: DoubleField get() = DoubleField
@Suppress("UNCHECKED_CAST")
override fun Matrix<Double>.toEjml(): EjmlDoubleMatrix<DMatrixSparseCSC> = when {
this is EjmlDoubleMatrix<*> && origin is DMatrixSparseCSC -> this as EjmlDoubleMatrix<DMatrixSparseCSC>
else -> buildMatrix(rowNum, colNum) { i, j -> get(i, j) }
}
@Suppress("UNCHECKED_CAST")
override fun Point<Double>.toEjml(): EjmlDoubleVector<DMatrixSparseCSC> = when {
this is EjmlDoubleVector<*> && origin is DMatrixSparseCSC -> this as EjmlDoubleVector<DMatrixSparseCSC>
else -> EjmlDoubleVector(DMatrixSparseCSC(size, 1).also {
(0 until it.numRows).forEach { row -> it[row, 0] = get(row) }
})
}
override fun buildMatrix(
rows: Int,
columns: Int,
initializer: DoubleField.(i: Int, j: Int) -> Double,
): EjmlDoubleMatrix<DMatrixSparseCSC> = DMatrixSparseCSC(rows, columns).also {
(0 until rows).forEach { row ->
(0 until columns).forEach { col -> it[row, col] = elementAlgebra.initializer(row, col) }
}
}.wrapMatrix()
override fun buildVector(
size: Int,
initializer: DoubleField.(Int) -> Double,
): EjmlDoubleVector<DMatrixSparseCSC> = EjmlDoubleVector(DMatrixSparseCSC(size, 1).also {
(0 until it.numRows).forEach { row -> it[row, 0] = elementAlgebra.initializer(row) }
})
private fun <T : DMatrix> T.wrapMatrix() = EjmlDoubleMatrix(this)
private fun <T : DMatrix> T.wrapVector() = EjmlDoubleVector(this)
override fun Matrix<Double>.unaryMinus(): Matrix<Double> = this * elementAlgebra { -one }
override fun Matrix<Double>.dot(other: Matrix<Double>): EjmlDoubleMatrix<DMatrixSparseCSC> {
val out = DMatrixSparseCSC(1, 1)
CommonOps_DSCC.mult(toEjml().origin, other.toEjml().origin, out)
return out.wrapMatrix()
}
override fun Matrix<Double>.dot(vector: Point<Double>): EjmlDoubleVector<DMatrixSparseCSC> {
val out = DMatrixSparseCSC(1, 1)
CommonOps_DSCC.mult(toEjml().origin, vector.toEjml().origin, out)
return out.wrapVector()
}
override operator fun Matrix<Double>.minus(other: Matrix<Double>): EjmlDoubleMatrix<DMatrixSparseCSC> {
val out = DMatrixSparseCSC(1, 1)
CommonOps_DSCC.add(
elementAlgebra.one,
toEjml().origin,
elementAlgebra { -one },
other.toEjml().origin,
out,
null,
null,
)
return out.wrapMatrix()
}
override operator fun Matrix<Double>.times(value: Double): EjmlDoubleMatrix<DMatrixSparseCSC> {
val res = DMatrixSparseCSC(1, 1)
CommonOps_DSCC.scale(value, toEjml().origin, res)
return res.wrapMatrix()
}
override fun Point<Double>.unaryMinus(): EjmlDoubleVector<DMatrixSparseCSC> {
val res = DMatrixSparseCSC(1, 1)
CommonOps_DSCC.changeSign(toEjml().origin, res)
return res.wrapVector()
}
override fun Matrix<Double>.plus(other: Matrix<Double>): EjmlDoubleMatrix<DMatrixSparseCSC> {
val out = DMatrixSparseCSC(1, 1)
CommonOps_DSCC.add(
elementAlgebra.one,
toEjml().origin,
elementAlgebra.one,
other.toEjml().origin,
out,
null,
null,
)
return out.wrapMatrix()
}
override fun Point<Double>.plus(other: Point<Double>): EjmlDoubleVector<DMatrixSparseCSC> {
val out = DMatrixSparseCSC(1, 1)
CommonOps_DSCC.add(
elementAlgebra.one,
toEjml().origin,
elementAlgebra.one,
other.toEjml().origin,
out,
null,
null,
)
return out.wrapVector()
}
override fun Point<Double>.minus(other: Point<Double>): EjmlDoubleVector<DMatrixSparseCSC> {
val out = DMatrixSparseCSC(1, 1)
CommonOps_DSCC.add(
elementAlgebra.one,
toEjml().origin,
elementAlgebra { -one },
other.toEjml().origin,
out,
null,
null,
)
return out.wrapVector()
}
override fun Double.times(m: Matrix<Double>): EjmlDoubleMatrix<DMatrixSparseCSC> = m * this
override fun Point<Double>.times(value: Double): EjmlDoubleVector<DMatrixSparseCSC> {
val res = DMatrixSparseCSC(1, 1)
CommonOps_DSCC.scale(value, toEjml().origin, res)
return res.wrapVector()
}
override fun Double.times(v: Point<Double>): EjmlDoubleVector<DMatrixSparseCSC> = v * this
@UnstableKMathAPI
override fun <F : StructureFeature> getFeature(structure: Matrix<Double>, type: KClass<out F>): F? {
structure.getFeature(type)?.let { return it }
val origin = structure.toEjml().origin
return when (type) {
QRDecompositionFeature::class -> object : QRDecompositionFeature<Double> {
private val qr by lazy {
DecompositionFactory_DSCC.qr(FillReducing.NONE).apply { decompose(origin.copy()) }
}
override val q: Matrix<Double> by lazy {
qr.getQ(null, false).wrapMatrix() + OrthogonalFeature
}
override val r: Matrix<Double> by lazy { qr.getR(null, false).wrapMatrix() + UFeature }
}
CholeskyDecompositionFeature::class -> object : CholeskyDecompositionFeature<Double> {
override val l: Matrix<Double> by lazy {
val cholesky =
DecompositionFactory_DSCC.cholesky().apply { decompose(origin.copy()) }
(cholesky.getT(null) as DMatrix).wrapMatrix() + LFeature
}
}
LUDecompositionFeature::class, DeterminantFeature::class, InverseMatrixFeature::class -> object :
LUDecompositionFeature<Double>, DeterminantFeature<Double>, InverseMatrixFeature<Double> {
private val lu by lazy {
DecompositionFactory_DSCC.lu(FillReducing.NONE).apply { decompose(origin.copy()) }
}
override val l: Matrix<Double> by lazy {
lu.getLower(null).wrapMatrix() + LFeature
}
override val u: Matrix<Double> by lazy {
lu.getUpper(null).wrapMatrix() + UFeature
}
override val inverse: Matrix<Double> by lazy {
var a = origin
val inverse = DMatrixRMaj(1, 1)
val solver = LinearSolverFactory_DSCC.lu(FillReducing.NONE)
if (solver.modifiesA()) a = a.copy()
val i = CommonOps_DDRM.identity(a.numRows)
solver.solve(i, inverse)
inverse.wrapMatrix()
}
override val determinant: Double by lazy { elementAlgebra.number(lu.computeDeterminant().real) }
}
else -> null
}?.let(type::cast)
}
/**
* Solves for *x* in the following equation: *x = [a] <sup>-1</sup> &middot; [b]*.
*
* @param a the base matrix.
* @param b n by p matrix.
* @return the solution for *x* that is n by p.
*/
public fun solve(a: Matrix<Double>, b: Matrix<Double>): EjmlDoubleMatrix<DMatrixSparseCSC> {
val res = DMatrixSparseCSC(1, 1)
CommonOps_DSCC.solve(DMatrixSparseCSC(a.toEjml().origin), DMatrixSparseCSC(b.toEjml().origin), res)
return res.wrapMatrix()
}
/**
* Solves for *x* in the following equation: *x = [a] <sup>-1</sup> &middot; [b]*.
*
* @param a the base matrix.
* @param b n by p vector.
* @return the solution for *x* that is n by p.
*/
public fun solve(a: Matrix<Double>, b: Point<Double>): EjmlDoubleVector<DMatrixSparseCSC> {
val res = DMatrixSparseCSC(1, 1)
CommonOps_DSCC.solve(DMatrixSparseCSC(a.toEjml().origin), DMatrixSparseCSC(b.toEjml().origin), res)
return EjmlDoubleVector(res)
}
}
/**
* [EjmlLinearSpace] implementation based on [CommonOps_FSCC], [DecompositionFactory_FSCC] operations and
* [FMatrixSparseCSC] matrices.
*/
public object EjmlLinearSpaceFSCC : EjmlLinearSpace<Float, FloatField, FMatrixSparseCSC>() {
/**
* The [FloatField] reference.
*/
override val elementAlgebra: FloatField get() = FloatField
@Suppress("UNCHECKED_CAST")
override fun Matrix<Float>.toEjml(): EjmlFloatMatrix<FMatrixSparseCSC> = when {
this is EjmlFloatMatrix<*> && origin is FMatrixSparseCSC -> this as EjmlFloatMatrix<FMatrixSparseCSC>
else -> buildMatrix(rowNum, colNum) { i, j -> get(i, j) }
}
@Suppress("UNCHECKED_CAST")
override fun Point<Float>.toEjml(): EjmlFloatVector<FMatrixSparseCSC> = when {
this is EjmlFloatVector<*> && origin is FMatrixSparseCSC -> this as EjmlFloatVector<FMatrixSparseCSC>
else -> EjmlFloatVector(FMatrixSparseCSC(size, 1).also {
(0 until it.numRows).forEach { row -> it[row, 0] = get(row) }
})
}
override fun buildMatrix(
rows: Int,
columns: Int,
initializer: FloatField.(i: Int, j: Int) -> Float,
): EjmlFloatMatrix<FMatrixSparseCSC> = FMatrixSparseCSC(rows, columns).also {
(0 until rows).forEach { row ->
(0 until columns).forEach { col -> it[row, col] = elementAlgebra.initializer(row, col) }
}
}.wrapMatrix()
override fun buildVector(
size: Int,
initializer: FloatField.(Int) -> Float,
): EjmlFloatVector<FMatrixSparseCSC> = EjmlFloatVector(FMatrixSparseCSC(size, 1).also {
(0 until it.numRows).forEach { row -> it[row, 0] = elementAlgebra.initializer(row) }
})
private fun <T : FMatrix> T.wrapMatrix() = EjmlFloatMatrix(this)
private fun <T : FMatrix> T.wrapVector() = EjmlFloatVector(this)
override fun Matrix<Float>.unaryMinus(): Matrix<Float> = this * elementAlgebra { -one }
override fun Matrix<Float>.dot(other: Matrix<Float>): EjmlFloatMatrix<FMatrixSparseCSC> {
val out = FMatrixSparseCSC(1, 1)
CommonOps_FSCC.mult(toEjml().origin, other.toEjml().origin, out)
return out.wrapMatrix()
}
override fun Matrix<Float>.dot(vector: Point<Float>): EjmlFloatVector<FMatrixSparseCSC> {
val out = FMatrixSparseCSC(1, 1)
CommonOps_FSCC.mult(toEjml().origin, vector.toEjml().origin, out)
return out.wrapVector()
}
override operator fun Matrix<Float>.minus(other: Matrix<Float>): EjmlFloatMatrix<FMatrixSparseCSC> {
val out = FMatrixSparseCSC(1, 1)
CommonOps_FSCC.add(
elementAlgebra.one,
toEjml().origin,
elementAlgebra { -one },
other.toEjml().origin,
out,
null,
null,
)
return out.wrapMatrix()
}
override operator fun Matrix<Float>.times(value: Float): EjmlFloatMatrix<FMatrixSparseCSC> {
val res = FMatrixSparseCSC(1, 1)
CommonOps_FSCC.scale(value, toEjml().origin, res)
return res.wrapMatrix()
}
override fun Point<Float>.unaryMinus(): EjmlFloatVector<FMatrixSparseCSC> {
val res = FMatrixSparseCSC(1, 1)
CommonOps_FSCC.changeSign(toEjml().origin, res)
return res.wrapVector()
}
override fun Matrix<Float>.plus(other: Matrix<Float>): EjmlFloatMatrix<FMatrixSparseCSC> {
val out = FMatrixSparseCSC(1, 1)
CommonOps_FSCC.add(
elementAlgebra.one,
toEjml().origin,
elementAlgebra.one,
other.toEjml().origin,
out,
null,
null,
)
return out.wrapMatrix()
}
override fun Point<Float>.plus(other: Point<Float>): EjmlFloatVector<FMatrixSparseCSC> {
val out = FMatrixSparseCSC(1, 1)
CommonOps_FSCC.add(
elementAlgebra.one,
toEjml().origin,
elementAlgebra.one,
other.toEjml().origin,
out,
null,
null,
)
return out.wrapVector()
}
override fun Point<Float>.minus(other: Point<Float>): EjmlFloatVector<FMatrixSparseCSC> {
val out = FMatrixSparseCSC(1, 1)
CommonOps_FSCC.add(
elementAlgebra.one,
toEjml().origin,
elementAlgebra { -one },
other.toEjml().origin,
out,
null,
null,
)
return out.wrapVector()
}
override fun Float.times(m: Matrix<Float>): EjmlFloatMatrix<FMatrixSparseCSC> = m * this
override fun Point<Float>.times(value: Float): EjmlFloatVector<FMatrixSparseCSC> {
val res = FMatrixSparseCSC(1, 1)
CommonOps_FSCC.scale(value, toEjml().origin, res)
return res.wrapVector()
}
override fun Float.times(v: Point<Float>): EjmlFloatVector<FMatrixSparseCSC> = v * this
@UnstableKMathAPI
override fun <F : StructureFeature> getFeature(structure: Matrix<Float>, type: KClass<out F>): F? {
structure.getFeature(type)?.let { return it }
val origin = structure.toEjml().origin
return when (type) {
QRDecompositionFeature::class -> object : QRDecompositionFeature<Float> {
private val qr by lazy {
DecompositionFactory_FSCC.qr(FillReducing.NONE).apply { decompose(origin.copy()) }
}
override val q: Matrix<Float> by lazy {
qr.getQ(null, false).wrapMatrix() + OrthogonalFeature
}
override val r: Matrix<Float> by lazy { qr.getR(null, false).wrapMatrix() + UFeature }
}
CholeskyDecompositionFeature::class -> object : CholeskyDecompositionFeature<Float> {
override val l: Matrix<Float> by lazy {
val cholesky =
DecompositionFactory_FSCC.cholesky().apply { decompose(origin.copy()) }
(cholesky.getT(null) as FMatrix).wrapMatrix() + LFeature
}
}
LUDecompositionFeature::class, DeterminantFeature::class, InverseMatrixFeature::class -> object :
LUDecompositionFeature<Float>, DeterminantFeature<Float>, InverseMatrixFeature<Float> {
private val lu by lazy {
DecompositionFactory_FSCC.lu(FillReducing.NONE).apply { decompose(origin.copy()) }
}
override val l: Matrix<Float> by lazy {
lu.getLower(null).wrapMatrix() + LFeature
}
override val u: Matrix<Float> by lazy {
lu.getUpper(null).wrapMatrix() + UFeature
}
override val inverse: Matrix<Float> by lazy {
var a = origin
val inverse = FMatrixRMaj(1, 1)
val solver = LinearSolverFactory_FSCC.lu(FillReducing.NONE)
if (solver.modifiesA()) a = a.copy()
val i = CommonOps_FDRM.identity(a.numRows)
solver.solve(i, inverse)
inverse.wrapMatrix()
}
override val determinant: Float by lazy { elementAlgebra.number(lu.computeDeterminant().real) }
}
else -> null
}?.let(type::cast)
}
/**
* Solves for *x* in the following equation: *x = [a] <sup>-1</sup> &middot; [b]*.
*
* @param a the base matrix.
* @param b n by p matrix.
* @return the solution for *x* that is n by p.
*/
public fun solve(a: Matrix<Float>, b: Matrix<Float>): EjmlFloatMatrix<FMatrixSparseCSC> {
val res = FMatrixSparseCSC(1, 1)
CommonOps_FSCC.solve(FMatrixSparseCSC(a.toEjml().origin), FMatrixSparseCSC(b.toEjml().origin), res)
return res.wrapMatrix()
}
/**
* Solves for *x* in the following equation: *x = [a] <sup>-1</sup> &middot; [b]*.
*
* @param a the base matrix.
* @param b n by p vector.
* @return the solution for *x* that is n by p.
*/
public fun solve(a: Matrix<Float>, b: Point<Float>): EjmlFloatVector<FMatrixSparseCSC> {
val res = FMatrixSparseCSC(1, 1)
CommonOps_FSCC.solve(FMatrixSparseCSC(a.toEjml().origin), FMatrixSparseCSC(b.toEjml().origin), res)
return EjmlFloatVector(res)
}
}

View File

@ -11,7 +11,7 @@ import org.ejml.dense.row.RandomMatrices_DDRM
import org.ejml.dense.row.factory.DecompositionFactory_DDRM import org.ejml.dense.row.factory.DecompositionFactory_DDRM
import space.kscience.kmath.linear.DeterminantFeature import space.kscience.kmath.linear.DeterminantFeature
import space.kscience.kmath.linear.LupDecompositionFeature import space.kscience.kmath.linear.LupDecompositionFeature
import space.kscience.kmath.linear.getFeature import space.kscience.kmath.linear.computeFeature
import space.kscience.kmath.misc.PerformancePitfall import space.kscience.kmath.misc.PerformancePitfall
import space.kscience.kmath.misc.UnstableKMathAPI import space.kscience.kmath.misc.UnstableKMathAPI
import space.kscience.kmath.nd.StructureND import space.kscience.kmath.nd.StructureND
@ -59,9 +59,9 @@ internal class EjmlMatrixTest {
fun features() { fun features() {
val m = randomMatrix val m = randomMatrix
val w = EjmlDoubleMatrix(m) val w = EjmlDoubleMatrix(m)
val det: DeterminantFeature<Double> = EjmlLinearSpaceDDRM.getFeature(w) ?: fail() val det: DeterminantFeature<Double> = EjmlLinearSpaceDDRM.computeFeature(w) ?: fail()
assertEquals(CommonOps_DDRM.det(m), det.determinant) assertEquals(CommonOps_DDRM.det(m), det.determinant)
val lup: LupDecompositionFeature<Double> = EjmlLinearSpaceDDRM.getFeature(w) ?: fail() val lup: LupDecompositionFeature<Double> = EjmlLinearSpaceDDRM.computeFeature(w) ?: fail()
val ludecompositionF64 = DecompositionFactory_DDRM.lu(m.numRows, m.numCols) val ludecompositionF64 = DecompositionFactory_DDRM.lu(m.numRows, m.numCols)
.also { it.decompose(m.copy()) } .also { it.decompose(m.copy()) }

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@ -32,18 +32,18 @@ import kotlin.math.pow
public typealias RealMatrix = Matrix<Double> public typealias RealMatrix = Matrix<Double>
public fun realMatrix(rowNum: Int, colNum: Int, initializer: DoubleField.(i: Int, j: Int) -> Double): RealMatrix = public fun realMatrix(rowNum: Int, colNum: Int, initializer: DoubleField.(i: Int, j: Int) -> Double): RealMatrix =
LinearSpace.real.buildMatrix(rowNum, colNum, initializer) LinearSpace.double.buildMatrix(rowNum, colNum, initializer)
@OptIn(UnstableKMathAPI::class) @OptIn(UnstableKMathAPI::class)
public fun realMatrix(rowNum: Int, colNum: Int): MatrixBuilder<Double, DoubleField> = public fun realMatrix(rowNum: Int, colNum: Int): MatrixBuilder<Double, DoubleField> =
LinearSpace.real.matrix(rowNum, colNum) LinearSpace.double.matrix(rowNum, colNum)
public fun Array<DoubleArray>.toMatrix(): RealMatrix { public fun Array<DoubleArray>.toMatrix(): RealMatrix {
return LinearSpace.real.buildMatrix(size, this[0].size) { row, col -> this@toMatrix[row][col] } return LinearSpace.double.buildMatrix(size, this[0].size) { row, col -> this@toMatrix[row][col] }
} }
public fun Sequence<DoubleArray>.toMatrix(): RealMatrix = toList().let { public fun Sequence<DoubleArray>.toMatrix(): RealMatrix = toList().let {
LinearSpace.real.buildMatrix(it.size, it[0].size) { row, col -> it[row][col] } LinearSpace.double.buildMatrix(it.size, it[0].size) { row, col -> it[row][col] }
} }
public fun RealMatrix.repeatStackVertical(n: Int): RealMatrix = public fun RealMatrix.repeatStackVertical(n: Int): RealMatrix =
@ -56,37 +56,37 @@ public fun RealMatrix.repeatStackVertical(n: Int): RealMatrix =
*/ */
public operator fun RealMatrix.times(double: Double): RealMatrix = public operator fun RealMatrix.times(double: Double): RealMatrix =
LinearSpace.real.buildMatrix(rowNum, colNum) { row, col -> LinearSpace.double.buildMatrix(rowNum, colNum) { row, col ->
get(row, col) * double get(row, col) * double
} }
public operator fun RealMatrix.plus(double: Double): RealMatrix = public operator fun RealMatrix.plus(double: Double): RealMatrix =
LinearSpace.real.buildMatrix(rowNum, colNum) { row, col -> LinearSpace.double.buildMatrix(rowNum, colNum) { row, col ->
get(row, col) + double get(row, col) + double
} }
public operator fun RealMatrix.minus(double: Double): RealMatrix = public operator fun RealMatrix.minus(double: Double): RealMatrix =
LinearSpace.real.buildMatrix(rowNum, colNum) { row, col -> LinearSpace.double.buildMatrix(rowNum, colNum) { row, col ->
get(row, col) - double get(row, col) - double
} }
public operator fun RealMatrix.div(double: Double): RealMatrix = public operator fun RealMatrix.div(double: Double): RealMatrix =
LinearSpace.real.buildMatrix(rowNum, colNum) { row, col -> LinearSpace.double.buildMatrix(rowNum, colNum) { row, col ->
get(row, col) / double get(row, col) / double
} }
public operator fun Double.times(matrix: RealMatrix): RealMatrix = public operator fun Double.times(matrix: RealMatrix): RealMatrix =
LinearSpace.real.buildMatrix(matrix.rowNum, matrix.colNum) { row, col -> LinearSpace.double.buildMatrix(matrix.rowNum, matrix.colNum) { row, col ->
this@times * matrix[row, col] this@times * matrix[row, col]
} }
public operator fun Double.plus(matrix: RealMatrix): RealMatrix = public operator fun Double.plus(matrix: RealMatrix): RealMatrix =
LinearSpace.real.buildMatrix(matrix.rowNum, matrix.colNum) { row, col -> LinearSpace.double.buildMatrix(matrix.rowNum, matrix.colNum) { row, col ->
this@plus + matrix[row, col] this@plus + matrix[row, col]
} }
public operator fun Double.minus(matrix: RealMatrix): RealMatrix = public operator fun Double.minus(matrix: RealMatrix): RealMatrix =
LinearSpace.real.buildMatrix(matrix.rowNum, matrix.colNum) { row, col -> LinearSpace.double.buildMatrix(matrix.rowNum, matrix.colNum) { row, col ->
this@minus - matrix[row, col] this@minus - matrix[row, col]
} }
@ -101,20 +101,20 @@ public operator fun Double.minus(matrix: RealMatrix): RealMatrix =
@UnstableKMathAPI @UnstableKMathAPI
public operator fun RealMatrix.times(other: RealMatrix): RealMatrix = public operator fun RealMatrix.times(other: RealMatrix): RealMatrix =
LinearSpace.real.buildMatrix(rowNum, colNum) { row, col -> this@times[row, col] * other[row, col] } LinearSpace.double.buildMatrix(rowNum, colNum) { row, col -> this@times[row, col] * other[row, col] }
public operator fun RealMatrix.plus(other: RealMatrix): RealMatrix = public operator fun RealMatrix.plus(other: RealMatrix): RealMatrix =
LinearSpace.real.run { this@plus + other } LinearSpace.double.run { this@plus + other }
public operator fun RealMatrix.minus(other: RealMatrix): RealMatrix = public operator fun RealMatrix.minus(other: RealMatrix): RealMatrix =
LinearSpace.real.buildMatrix(rowNum, colNum) { row, col -> this@minus[row, col] - other[row, col] } LinearSpace.double.buildMatrix(rowNum, colNum) { row, col -> this@minus[row, col] - other[row, col] }
/* /*
* Operations on columns * Operations on columns
*/ */
public inline fun RealMatrix.appendColumn(crossinline mapper: (Buffer<Double>) -> Double): RealMatrix = public inline fun RealMatrix.appendColumn(crossinline mapper: (Buffer<Double>) -> Double): RealMatrix =
LinearSpace.real.buildMatrix(rowNum, colNum + 1) { row, col -> LinearSpace.double.buildMatrix(rowNum, colNum + 1) { row, col ->
if (col < colNum) if (col < colNum)
get(row, col) get(row, col)
else else
@ -122,7 +122,7 @@ public inline fun RealMatrix.appendColumn(crossinline mapper: (Buffer<Double>) -
} }
public fun RealMatrix.extractColumns(columnRange: IntRange): RealMatrix = public fun RealMatrix.extractColumns(columnRange: IntRange): RealMatrix =
LinearSpace.real.buildMatrix(rowNum, columnRange.count()) { row, col -> LinearSpace.double.buildMatrix(rowNum, columnRange.count()) { row, col ->
this@extractColumns[row, columnRange.first + col] this@extractColumns[row, columnRange.first + col]
} }
@ -155,14 +155,14 @@ public fun RealMatrix.max(): Double? = elements().map { (_, value) -> value }.ma
public fun RealMatrix.average(): Double = elements().map { (_, value) -> value }.average() public fun RealMatrix.average(): Double = elements().map { (_, value) -> value }.average()
public inline fun RealMatrix.map(crossinline transform: (Double) -> Double): RealMatrix = public inline fun RealMatrix.map(crossinline transform: (Double) -> Double): RealMatrix =
LinearSpace.real.buildMatrix(rowNum, colNum) { i, j -> LinearSpace.double.buildMatrix(rowNum, colNum) { i, j ->
transform(get(i, j)) transform(get(i, j))
} }
/** /**
* Inverse a square real matrix using LUP decomposition * Inverse a square real matrix using LUP decomposition
*/ */
public fun RealMatrix.inverseWithLup(): RealMatrix = LinearSpace.real.inverseWithLup(this) public fun RealMatrix.inverseWithLup(): RealMatrix = LinearSpace.double.lupSolver().inverse(this)
//extended operations //extended operations

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@ -8,11 +8,8 @@ package space.kscience.kmath.real
import space.kscience.kmath.linear.Point import space.kscience.kmath.linear.Point
import space.kscience.kmath.misc.UnstableKMathAPI import space.kscience.kmath.misc.UnstableKMathAPI
import space.kscience.kmath.operations.Norm import space.kscience.kmath.operations.Norm
import space.kscience.kmath.structures.Buffer import space.kscience.kmath.structures.*
import space.kscience.kmath.structures.MutableBuffer.Companion.double import space.kscience.kmath.structures.MutableBuffer.Companion.double
import space.kscience.kmath.structures.asBuffer
import space.kscience.kmath.structures.fold
import space.kscience.kmath.structures.indices
import kotlin.math.pow import kotlin.math.pow
import kotlin.math.sqrt import kotlin.math.sqrt
@ -105,8 +102,4 @@ public fun DoubleVector.sum(): Double {
return res return res
} }
public object VectorL2Norm : Norm<DoubleVector, Double> { public val DoubleVector.norm: Double get() = DoubleL2Norm.norm(this)
override fun norm(arg: DoubleVector): Double = sqrt(arg.fold(0.0) { acc: Double, d: Double -> acc + d.pow(2) })
}
public val DoubleVector.norm: Double get() = VectorL2Norm.norm(this)

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@ -12,6 +12,6 @@ import space.kscience.kmath.linear.Matrix
/** /**
* Optimized dot product for real matrices * Optimized dot product for real matrices
*/ */
public infix fun Matrix<Double>.dot(other: Matrix<Double>): Matrix<Double> = LinearSpace.real.run { public infix fun Matrix<Double>.dot(other: Matrix<Double>): Matrix<Double> = LinearSpace.double.run {
this@dot dot other this@dot dot other
} }

View File

@ -65,7 +65,7 @@ internal class DoubleMatrixTest {
4.0, 6.0, 2.0 4.0, 6.0, 2.0
) )
val matrix2 = (matrix1 * 2.5 + 1.0 - 2.0) / 2.0 val matrix2 = (matrix1 * 2.5 + 1.0 - 2.0) / 2.0
val expectedResult = LinearSpace.real.matrix(2, 3)( val expectedResult = LinearSpace.double.matrix(2, 3)(
0.75, -0.5, 3.25, 0.75, -0.5, 3.25,
4.5, 7.0, 2.0 4.5, 7.0, 2.0
) )
@ -160,7 +160,7 @@ internal class DoubleMatrixTest {
@Test @Test
fun testAllElementOperations() { fun testAllElementOperations() {
val matrix1 = LinearSpace.real.matrix(2, 4)( val matrix1 = LinearSpace.double.matrix(2, 4)(
-1.0, 0.0, 3.0, 15.0, -1.0, 0.0, 3.0, 15.0,
4.0, -6.0, 7.0, -11.0 4.0, -6.0, 7.0, -11.0
) )

View File

@ -35,7 +35,7 @@ internal class DoubleVectorTest {
val vector2 = DoubleBuffer(5) { 5 - it.toDouble() } val vector2 = DoubleBuffer(5) { 5 - it.toDouble() }
val matrix1 = vector1.asMatrix() val matrix1 = vector1.asMatrix()
val matrix2 = vector2.asMatrix().transpose() val matrix2 = vector2.asMatrix().transpose()
val product = LinearSpace.real.run { matrix1 dot matrix2 } val product = LinearSpace.double.run { matrix1 dot matrix2 }
assertEquals(5.0, product[1, 0]) assertEquals(5.0, product[1, 0])
assertEquals(6.0, product[2, 2]) assertEquals(6.0, product[2, 2])
} }

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@ -53,7 +53,7 @@ public class GaussIntegrator<T : Any>(
} }
} }
override fun integrate(integrand: UnivariateIntegrand<T>): UnivariateIntegrand<T> = with(algebra) { override fun process(integrand: UnivariateIntegrand<T>): UnivariateIntegrand<T> = with(algebra) {
val f = integrand.function val f = integrand.function
val (points, weights) = buildRule(integrand) val (points, weights) = buildRule(integrand)
var res = zero var res = zero
@ -73,7 +73,8 @@ public class GaussIntegrator<T : Any>(
} }
/** /**
* Create a Gauss-Legendre integrator for this field. * Create a Gauss integrator for this field. By default, uses Legendre rule to compute points and weights.
* Custom rules could be provided by [GaussIntegratorRuleFactory] feature.
* @see [GaussIntegrator] * @see [GaussIntegrator]
*/ */
public val <T : Any> Field<T>.gaussIntegrator: GaussIntegrator<T> get() = GaussIntegrator(this) public val <T : Any> Field<T>.gaussIntegrator: GaussIntegrator<T> get() = GaussIntegrator(this)
@ -97,7 +98,7 @@ public fun <T : Any> GaussIntegrator<T>.integrate(
val ranges = UnivariateIntegrandRanges( val ranges = UnivariateIntegrandRanges(
(0 until intervals).map { i -> (range.start + rangeSize * i)..(range.start + rangeSize * (i + 1)) to order } (0 until intervals).map { i -> (range.start + rangeSize * i)..(range.start + rangeSize * (i + 1)) to order }
) )
return integrate( return process(
UnivariateIntegrand( UnivariateIntegrand(
function, function,
IntegrationRange(range), IntegrationRange(range),

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@ -5,15 +5,18 @@
package space.kscience.kmath.integration package space.kscience.kmath.integration
import space.kscience.kmath.misc.Feature
import space.kscience.kmath.misc.FeatureSet
import space.kscience.kmath.misc.Featured
import kotlin.reflect.KClass import kotlin.reflect.KClass
public interface IntegrandFeature { public interface IntegrandFeature : Feature<IntegrandFeature> {
override fun toString(): String override fun toString(): String
} }
public interface Integrand { public interface Integrand : Featured<IntegrandFeature> {
public val features: Set<IntegrandFeature> public val features: FeatureSet<IntegrandFeature>
public fun <T : IntegrandFeature> getFeature(type: KClass<T>): T? override fun <T : IntegrandFeature> getFeature(type: KClass<out T>): T? = features.getFeature(type)
} }
public inline fun <reified T : IntegrandFeature> Integrand.getFeature(): T? = getFeature(T::class) public inline fun <reified T : IntegrandFeature> Integrand.getFeature(): T? = getFeature(T::class)

View File

@ -12,5 +12,5 @@ public interface Integrator<I : Integrand> {
/** /**
* Runs one integration pass and return a new [Integrand] with a new set of features. * Runs one integration pass and return a new [Integrand] with a new set of features.
*/ */
public fun integrate(integrand: I): I public fun process(integrand: I): I
} }

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@ -6,29 +6,21 @@
package space.kscience.kmath.integration package space.kscience.kmath.integration
import space.kscience.kmath.linear.Point import space.kscience.kmath.linear.Point
import kotlin.reflect.KClass import space.kscience.kmath.misc.FeatureSet
public class MultivariateIntegrand<T : Any> internal constructor( public class MultivariateIntegrand<T : Any> internal constructor(
private val featureMap: Map<KClass<*>, IntegrandFeature>, override val features: FeatureSet<IntegrandFeature>,
public val function: (Point<T>) -> T, public val function: (Point<T>) -> T,
) : Integrand { ) : Integrand {
override val features: Set<IntegrandFeature> get() = featureMap.values.toSet()
@Suppress("UNCHECKED_CAST")
override fun <T : IntegrandFeature> getFeature(type: KClass<T>): T? = featureMap[type] as? T
public operator fun <F : IntegrandFeature> plus(pair: Pair<KClass<out F>, F>): MultivariateIntegrand<T> =
MultivariateIntegrand(featureMap + pair, function)
public operator fun <F : IntegrandFeature> plus(feature: F): MultivariateIntegrand<T> = public operator fun <F : IntegrandFeature> plus(feature: F): MultivariateIntegrand<T> =
plus(feature::class to feature) MultivariateIntegrand(features.with(feature), function)
} }
@Suppress("FunctionName") @Suppress("FunctionName")
public fun <T : Any> MultivariateIntegrand( public fun <T : Any> MultivariateIntegrand(
vararg features: IntegrandFeature, vararg features: IntegrandFeature,
function: (Point<T>) -> T, function: (Point<T>) -> T,
): MultivariateIntegrand<T> = MultivariateIntegrand(features.associateBy { it::class }, function) ): MultivariateIntegrand<T> = MultivariateIntegrand(FeatureSet.of(*features), function)
public val <T : Any> MultivariateIntegrand<T>.value: T? get() = getFeature<IntegrandValue<T>>()?.value public val <T : Any> MultivariateIntegrand<T>.value: T? get() = getFeature<IntegrandValue<T>>()?.value

View File

@ -44,7 +44,7 @@ public class SimpsonIntegrator<T : Any>(
return res return res
} }
override fun integrate(integrand: UnivariateIntegrand<T>): UnivariateIntegrand<T> { override fun process(integrand: UnivariateIntegrand<T>): UnivariateIntegrand<T> {
val ranges = integrand.getFeature<UnivariateIntegrandRanges>() val ranges = integrand.getFeature<UnivariateIntegrandRanges>()
return if (ranges != null) { return if (ranges != null) {
val res = algebra.sum(ranges.ranges.map { integrateRange(integrand, it.first, it.second) }) val res = algebra.sum(ranges.ranges.map { integrateRange(integrand, it.first, it.second) })
@ -90,7 +90,7 @@ public object DoubleSimpsonIntegrator : UnivariateIntegrator<Double> {
return res return res
} }
override fun integrate(integrand: UnivariateIntegrand<Double>): UnivariateIntegrand<Double> { override fun process(integrand: UnivariateIntegrand<Double>): UnivariateIntegrand<Double> {
val ranges = integrand.getFeature<UnivariateIntegrandRanges>() val ranges = integrand.getFeature<UnivariateIntegrandRanges>()
return if (ranges != null) { return if (ranges != null) {
val res = ranges.ranges.sumOf { integrateRange(integrand, it.first, it.second) } val res = ranges.ranges.sumOf { integrateRange(integrand, it.first, it.second) }

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@ -54,7 +54,7 @@ public class SplineIntegrator<T : Comparable<T>>(
public val algebra: Field<T>, public val algebra: Field<T>,
public val bufferFactory: MutableBufferFactory<T>, public val bufferFactory: MutableBufferFactory<T>,
) : UnivariateIntegrator<T> { ) : UnivariateIntegrator<T> {
override fun integrate(integrand: UnivariateIntegrand<T>): UnivariateIntegrand<T> = algebra { override fun process(integrand: UnivariateIntegrand<T>): UnivariateIntegrand<T> = algebra {
val range = integrand.getFeature<IntegrationRange>()?.range ?: 0.0..1.0 val range = integrand.getFeature<IntegrationRange>()?.range ?: 0.0..1.0
val interpolator: PolynomialInterpolator<T> = SplineInterpolator(algebra, bufferFactory) val interpolator: PolynomialInterpolator<T> = SplineInterpolator(algebra, bufferFactory)
@ -83,7 +83,7 @@ public class SplineIntegrator<T : Comparable<T>>(
*/ */
@UnstableKMathAPI @UnstableKMathAPI
public object DoubleSplineIntegrator : UnivariateIntegrator<Double> { public object DoubleSplineIntegrator : UnivariateIntegrator<Double> {
override fun integrate(integrand: UnivariateIntegrand<Double>): UnivariateIntegrand<Double> { override fun process(integrand: UnivariateIntegrand<Double>): UnivariateIntegrand<Double> {
val range = integrand.getFeature<IntegrationRange>()?.range ?: 0.0..1.0 val range = integrand.getFeature<IntegrationRange>()?.range ?: 0.0..1.0
val interpolator: PolynomialInterpolator<Double> = SplineInterpolator(DoubleField, ::DoubleBuffer) val interpolator: PolynomialInterpolator<Double> = SplineInterpolator(DoubleField, ::DoubleBuffer)

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@ -5,33 +5,24 @@
package space.kscience.kmath.integration package space.kscience.kmath.integration
import space.kscience.kmath.misc.FeatureSet
import space.kscience.kmath.misc.UnstableKMathAPI import space.kscience.kmath.misc.UnstableKMathAPI
import space.kscience.kmath.structures.Buffer import space.kscience.kmath.structures.Buffer
import space.kscience.kmath.structures.DoubleBuffer import space.kscience.kmath.structures.DoubleBuffer
import kotlin.reflect.KClass
public class UnivariateIntegrand<T> internal constructor( public class UnivariateIntegrand<T> internal constructor(
private val featureMap: Map<KClass<*>, IntegrandFeature>, override val features: FeatureSet<IntegrandFeature>,
public val function: (Double) -> T, public val function: (Double) -> T,
) : Integrand { ) : Integrand {
override val features: Set<IntegrandFeature> get() = featureMap.values.toSet()
@Suppress("UNCHECKED_CAST")
override fun <T : IntegrandFeature> getFeature(type: KClass<T>): T? = featureMap[type] as? T
public operator fun <F : IntegrandFeature> plus(pair: Pair<KClass<out F>, F>): UnivariateIntegrand<T> =
UnivariateIntegrand(featureMap + pair, function)
public operator fun <F : IntegrandFeature> plus(feature: F): UnivariateIntegrand<T> = public operator fun <F : IntegrandFeature> plus(feature: F): UnivariateIntegrand<T> =
plus(feature::class to feature) UnivariateIntegrand(features.with(feature), function)
} }
@Suppress("FunctionName") @Suppress("FunctionName")
public fun <T : Any> UnivariateIntegrand( public fun <T : Any> UnivariateIntegrand(
function: (Double) -> T, function: (Double) -> T,
vararg features: IntegrandFeature, vararg features: IntegrandFeature,
): UnivariateIntegrand<T> = UnivariateIntegrand(features.associateBy { it::class }, function) ): UnivariateIntegrand<T> = UnivariateIntegrand(FeatureSet.of(*features), function)
public typealias UnivariateIntegrator<T> = Integrator<UnivariateIntegrand<T>> public typealias UnivariateIntegrator<T> = Integrator<UnivariateIntegrand<T>>
@ -79,7 +70,7 @@ public val <T : Any> UnivariateIntegrand<T>.value: T get() = valueOrNull ?: erro
public fun <T : Any> UnivariateIntegrator<T>.integrate( public fun <T : Any> UnivariateIntegrator<T>.integrate(
vararg features: IntegrandFeature, vararg features: IntegrandFeature,
function: (Double) -> T, function: (Double) -> T,
): UnivariateIntegrand<T> = integrate(UnivariateIntegrand(function, *features)) ): UnivariateIntegrand<T> = process(UnivariateIntegrand(function, *features))
/** /**
* A shortcut method to integrate a [function] in [range] with additional [features]. * A shortcut method to integrate a [function] in [range] with additional [features].
@ -90,7 +81,7 @@ public fun <T : Any> UnivariateIntegrator<T>.integrate(
range: ClosedRange<Double>, range: ClosedRange<Double>,
vararg features: IntegrandFeature, vararg features: IntegrandFeature,
function: (Double) -> T, function: (Double) -> T,
): UnivariateIntegrand<T> = integrate(UnivariateIntegrand(function, IntegrationRange(range), *features)) ): UnivariateIntegrand<T> = process(UnivariateIntegrand(function, IntegrationRange(range), *features))
/** /**
* A shortcut method to integrate a [function] in [range] with additional features. * A shortcut method to integrate a [function] in [range] with additional features.
@ -107,5 +98,5 @@ public fun <T : Any> UnivariateIntegrator<T>.integrate(
featureBuilder() featureBuilder()
add(IntegrationRange(range)) add(IntegrationRange(range))
} }
return integrate(UnivariateIntegrand(function, *features.toTypedArray())) return process(UnivariateIntegrand(function, *features.toTypedArray()))
} }

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@ -42,20 +42,20 @@ public fun <T : Comparable<T>> PolynomialInterpolator<T>.interpolatePolynomials(
x: Buffer<T>, x: Buffer<T>,
y: Buffer<T>, y: Buffer<T>,
): PiecewisePolynomial<T> { ): PiecewisePolynomial<T> {
val pointSet = XYColumnarData(x, y) val pointSet = XYColumnarData.of(x, y)
return interpolatePolynomials(pointSet) return interpolatePolynomials(pointSet)
} }
public fun <T : Comparable<T>> PolynomialInterpolator<T>.interpolatePolynomials( public fun <T : Comparable<T>> PolynomialInterpolator<T>.interpolatePolynomials(
data: Map<T, T>, data: Map<T, T>,
): PiecewisePolynomial<T> { ): PiecewisePolynomial<T> {
val pointSet = XYColumnarData(data.keys.toList().asBuffer(), data.values.toList().asBuffer()) val pointSet = XYColumnarData.of(data.keys.toList().asBuffer(), data.values.toList().asBuffer())
return interpolatePolynomials(pointSet) return interpolatePolynomials(pointSet)
} }
public fun <T : Comparable<T>> PolynomialInterpolator<T>.interpolatePolynomials( public fun <T : Comparable<T>> PolynomialInterpolator<T>.interpolatePolynomials(
data: List<Pair<T, T>>, data: List<Pair<T, T>>,
): PiecewisePolynomial<T> { ): PiecewisePolynomial<T> {
val pointSet = XYColumnarData(data.map { it.first }.asBuffer(), data.map { it.second }.asBuffer()) val pointSet = XYColumnarData.of(data.map { it.first }.asBuffer(), data.map { it.second }.asBuffer())
return interpolatePolynomials(pointSet) return interpolatePolynomials(pointSet)
} }

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@ -27,8 +27,9 @@ public class KotlingradExpression<T : Number, A : NumericAlgebra<T>>(
) : SpecialDifferentiableExpression<T, KotlingradExpression<T, A>> { ) : SpecialDifferentiableExpression<T, KotlingradExpression<T, A>> {
override fun invoke(arguments: Map<Symbol, T>): T = mst.interpret(algebra, arguments) override fun invoke(arguments: Map<Symbol, T>): T = mst.interpret(algebra, arguments)
override fun derivativeOrNull(symbols: List<Symbol>): KotlingradExpression<T, A> = override fun derivativeOrNull(
KotlingradExpression( symbols: List<Symbol>,
): KotlingradExpression<T, A> = KotlingradExpression(
algebra, algebra,
symbols.map(Symbol::identity) symbols.map(Symbol::identity)
.map(MstNumericAlgebra::bindSymbol) .map(MstNumericAlgebra::bindSymbol)
@ -38,6 +39,16 @@ public class KotlingradExpression<T : Number, A : NumericAlgebra<T>>(
) )
} }
/**
* A diff processor using [MST] to Kotlingrad converter
*/
public class KotlingradProcessor<T : Number, A : NumericAlgebra<T>>(
public val algebra: A,
) : AutoDiffProcessor<T, MST, MstExtendedField> {
override fun differentiate(function: MstExtendedField.() -> MST): DifferentiableExpression<T> =
MstExtendedField.function().toKotlingradExpression(algebra)
}
/** /**
* Wraps this [MST] into [KotlingradExpression] in the context of [algebra]. * Wraps this [MST] into [KotlingradExpression] in the context of [algebra].
*/ */

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@ -0,0 +1,20 @@
plugins {
id("ru.mipt.npm.gradle.mpp")
id("ru.mipt.npm.gradle.native")
}
kscience {
useAtomic()
}
kotlin.sourceSets {
commonMain {
dependencies {
api(project(":kmath-coroutines"))
}
}
}
readme {
maturity = ru.mipt.npm.gradle.Maturity.EXPERIMENTAL
}

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@ -0,0 +1,71 @@
/*
* Copyright 2018-2021 KMath contributors.
* Use of this source code is governed by the Apache 2.0 license that can be found in the license/LICENSE.txt file.
*/
package space.kscience.kmath.optimization
import space.kscience.kmath.expressions.DifferentiableExpression
import space.kscience.kmath.expressions.Symbol
import space.kscience.kmath.misc.FeatureSet
public class OptimizationValue<T>(public val value: T) : OptimizationFeature {
override fun toString(): String = "Value($value)"
}
public enum class FunctionOptimizationTarget : OptimizationFeature {
MAXIMIZE,
MINIMIZE
}
public class FunctionOptimization<T>(
override val features: FeatureSet<OptimizationFeature>,
public val expression: DifferentiableExpression<T>,
) : OptimizationProblem<T> {
override fun equals(other: Any?): Boolean {
if (this === other) return true
if (other == null || this::class != other::class) return false
other as FunctionOptimization<*>
if (features != other.features) return false
if (expression != other.expression) return false
return true
}
override fun hashCode(): Int {
var result = features.hashCode()
result = 31 * result + expression.hashCode()
return result
}
override fun toString(): String = "FunctionOptimization(features=$features)"
}
public fun <T> FunctionOptimization<T>.withFeatures(
vararg newFeature: OptimizationFeature,
): FunctionOptimization<T> = FunctionOptimization(
features.with(*newFeature),
expression,
)
/**
* Optimizes differentiable expression using specific [optimizer] form given [startingPoint].
*/
public suspend fun <T : Any> DifferentiableExpression<T>.optimizeWith(
optimizer: Optimizer<T, FunctionOptimization<T>>,
startingPoint: Map<Symbol, T>,
vararg features: OptimizationFeature,
): FunctionOptimization<T> {
val problem = FunctionOptimization<T>(FeatureSet.of(OptimizationStartPoint(startingPoint), *features), this)
return optimizer.optimize(problem)
}
public val <T> FunctionOptimization<T>.resultValueOrNull: T?
get() = getFeature<OptimizationResult<T>>()?.point?.let { expression(it) }
public val <T> FunctionOptimization<T>.resultValue: T
get() = resultValueOrNull ?: error("Result is not present in $this")

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/*
* Copyright 2018-2021 KMath contributors.
* Use of this source code is governed by the Apache 2.0 license that can be found in the license/LICENSE.txt file.
*/
package space.kscience.kmath.optimization
import space.kscience.kmath.data.XYColumnarData
import space.kscience.kmath.expressions.DifferentiableExpression
import space.kscience.kmath.expressions.Symbol
import space.kscience.kmath.misc.FeatureSet
public abstract class OptimizationBuilder<T, R : OptimizationProblem<T>> {
public val features: MutableList<OptimizationFeature> = ArrayList()
public fun addFeature(feature: OptimizationFeature) {
features.add(feature)
}
public inline fun <reified T : OptimizationFeature> updateFeature(update: (T?) -> T) {
val existing = features.find { it.key == T::class } as? T
val new = update(existing)
if (existing != null) {
features.remove(existing)
}
addFeature(new)
}
public abstract fun build(): R
}
public fun <T> OptimizationBuilder<T, *>.startAt(startingPoint: Map<Symbol, T>) {
addFeature(OptimizationStartPoint(startingPoint))
}
public class FunctionOptimizationBuilder<T>(
private val expression: DifferentiableExpression<T>,
) : OptimizationBuilder<T, FunctionOptimization<T>>() {
override fun build(): FunctionOptimization<T> = FunctionOptimization(FeatureSet.of(features), expression)
}
public fun <T> FunctionOptimization(
expression: DifferentiableExpression<T>,
builder: FunctionOptimizationBuilder<T>.() -> Unit,
): FunctionOptimization<T> = FunctionOptimizationBuilder(expression).apply(builder).build()
public suspend fun <T> DifferentiableExpression<T>.optimizeWith(
optimizer: Optimizer<T, FunctionOptimization<T>>,
startingPoint: Map<Symbol, T>,
builder: FunctionOptimizationBuilder<T>.() -> Unit = {},
): FunctionOptimization<T> {
val problem = FunctionOptimization<T>(this) {
startAt(startingPoint)
builder()
}
return optimizer.optimize(problem)
}
public suspend fun <T> DifferentiableExpression<T>.optimizeWith(
optimizer: Optimizer<T, FunctionOptimization<T>>,
vararg startingPoint: Pair<Symbol, T>,
builder: FunctionOptimizationBuilder<T>.() -> Unit = {},
): FunctionOptimization<T> {
val problem = FunctionOptimization<T>(this) {
startAt(mapOf(*startingPoint))
builder()
}
return optimizer.optimize(problem)
}
public class XYOptimizationBuilder(
public val data: XYColumnarData<Double, Double, Double>,
public val model: DifferentiableExpression<Double>,
) : OptimizationBuilder<Double, XYFit>() {
public var pointToCurveDistance: PointToCurveDistance = PointToCurveDistance.byY
public var pointWeight: PointWeight = PointWeight.byYSigma
override fun build(): XYFit = XYFit(
data,
model,
FeatureSet.of(features),
pointToCurveDistance,
pointWeight
)
}
public fun XYOptimization(
data: XYColumnarData<Double, Double, Double>,
model: DifferentiableExpression<Double>,
builder: XYOptimizationBuilder.() -> Unit,
): XYFit = XYOptimizationBuilder(data, model).apply(builder).build()

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/*
* Copyright 2018-2021 KMath contributors.
* Use of this source code is governed by the Apache 2.0 license that can be found in the license/LICENSE.txt file.
*/
package space.kscience.kmath.optimization
import space.kscience.kmath.expressions.DifferentiableExpression
import space.kscience.kmath.expressions.Symbol
import space.kscience.kmath.linear.Matrix
import space.kscience.kmath.misc.*
import kotlin.reflect.KClass
public interface OptimizationFeature : Feature<OptimizationFeature> {
// enforce toString override
override fun toString(): String
}
public interface OptimizationProblem<T> : Featured<OptimizationFeature> {
public val features: FeatureSet<OptimizationFeature>
override fun <F : OptimizationFeature> getFeature(type: KClass<out F>): F? = features.getFeature(type)
}
public inline fun <reified F : OptimizationFeature> OptimizationProblem<*>.getFeature(): F? = getFeature(F::class)
public open class OptimizationStartPoint<T>(public val point: Map<Symbol, T>) : OptimizationFeature {
override fun toString(): String = "StartPoint($point)"
}
public interface OptimizationPrior<T> : OptimizationFeature, DifferentiableExpression<T> {
override val key: FeatureKey<OptimizationFeature> get() = OptimizationPrior::class
}
public class OptimizationCovariance<T>(public val covariance: Matrix<T>) : OptimizationFeature {
override fun toString(): String = "Covariance($covariance)"
}
/**
* Get the starting point for optimization. Throws error if not defined.
*/
public val <T> OptimizationProblem<T>.startPoint: Map<Symbol, T>
get() = getFeature<OptimizationStartPoint<T>>()?.point
?: error("Starting point not defined in $this")
public open class OptimizationResult<T>(public val point: Map<Symbol, T>) : OptimizationFeature {
override fun toString(): String = "Result($point)"
}
public val <T> OptimizationProblem<T>.resultPointOrNull: Map<Symbol, T>?
get() = getFeature<OptimizationResult<T>>()?.point
public val <T> OptimizationProblem<T>.resultPoint: Map<Symbol, T>
get() = resultPointOrNull ?: error("Result is not present in $this")
public class OptimizationLog(private val loggable: Loggable) : Loggable by loggable, OptimizationFeature {
override fun toString(): String = "Log($loggable)"
}
public class OptimizationParameters(public val symbols: List<Symbol>) : OptimizationFeature {
public constructor(vararg symbols: Symbol) : this(listOf(*symbols))
override fun toString(): String = "Parameters($symbols)"
}

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/*
* Copyright 2018-2021 KMath contributors.
* Use of this source code is governed by the Apache 2.0 license that can be found in the license/LICENSE.txt file.
*/
package space.kscience.kmath.optimization
public interface Optimizer<T, P : OptimizationProblem<T>> {
public suspend fun optimize(problem: P): P
}

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/*
* Copyright 2018-2021 KMath contributors.
* Use of this source code is governed by the Apache 2.0 license that can be found in the license/LICENSE.txt file.
*/
package space.kscience.kmath.optimization
import space.kscience.kmath.expressions.DifferentiableExpression
import space.kscience.kmath.expressions.Symbol
import space.kscience.kmath.expressions.SymbolIndexer
import space.kscience.kmath.expressions.derivative
import space.kscience.kmath.linear.*
import space.kscience.kmath.misc.UnstableKMathAPI
import space.kscience.kmath.misc.log
import space.kscience.kmath.operations.DoubleField
import space.kscience.kmath.structures.DoubleBuffer
import space.kscience.kmath.structures.DoubleL2Norm
/**
* An optimizer based onf Fyodor Tkachev's quasi-optimal weights method.
* See [the article](http://arxiv.org/abs/physics/0604127).
*/
@UnstableKMathAPI
public object QowOptimizer : Optimizer<Double, XYFit> {
private val linearSpace: LinearSpace<Double, DoubleField> = LinearSpace.double
private val solver: LinearSolver<Double> = linearSpace.lupSolver()
@OptIn(UnstableKMathAPI::class)
private class QoWeight(
val problem: XYFit,
val parameters: Map<Symbol, Double>,
) : Map<Symbol, Double> by parameters, SymbolIndexer {
override val symbols: List<Symbol> = parameters.keys.toList()
val data get() = problem.data
/**
* Derivatives of the spectrum over parameters. First index in the point number, second one - index of parameter
*/
val derivs: Matrix<Double> by lazy {
linearSpace.buildMatrix(problem.data.size, symbols.size) { d, s ->
problem.distance(d).derivative(symbols[s])(parameters)
}
}
/**
* Array of dispersions in each point
*/
val dispersion: Point<Double> by lazy {
DoubleBuffer(problem.data.size) { d ->
1.0/problem.weight(d).invoke(parameters)
}
}
val prior: DifferentiableExpression<Double>? get() = problem.getFeature<OptimizationPrior<Double>>()
override fun toString(): String = parameters.toString()
}
/**
* The signed distance from the model to the [d]-th point of data.
*/
private fun QoWeight.distance(d: Int, parameters: Map<Symbol, Double>): Double = problem.distance(d)(parameters)
/**
* The derivative of [distance]
*/
private fun QoWeight.distanceDerivative(symbol: Symbol, d: Int, parameters: Map<Symbol, Double>): Double =
problem.distance(d).derivative(symbol)(parameters)
/**
* Теоретическая ковариация весовых функций.
*
* D(\phi)=E(\phi_k(\theta_0) \phi_l(\theta_0))= disDeriv_k * disDeriv_l /sigma^2
*/
private fun QoWeight.covarF(): Matrix<Double> =
linearSpace.matrix(size, size).symmetric { s1, s2 ->
(0 until data.size).sumOf { d -> derivs[d, s1] * derivs[d, s2] / dispersion[d] }
}
/**
* Экспериментальная ковариация весов. Формула (22) из
* http://arxiv.org/abs/physics/0604127
*/
private fun QoWeight.covarFExp(theta: Map<Symbol, Double>): Matrix<Double> =
with(linearSpace) {
/*
* Важно! Если не делать предварителього вычисления этих производных, то
* количество вызывов функции будет dim^2 вместо dim Первый индекс -
* номер точки, второй - номер переменной, по которой берется производная
*/
val eqvalues = linearSpace.buildMatrix(data.size, size) { d, s ->
distance(d, theta) * derivs[d, s] / dispersion[d]
}
buildMatrix(size, size) { s1, s2 ->
(0 until data.size).sumOf { d -> eqvalues[d, s2] * eqvalues[d, s1] }
}
}
/**
* Equation derivatives for Newton run
*/
private fun QoWeight.getEqDerivValues(
theta: Map<Symbol, Double> = parameters,
): Matrix<Double> = with(linearSpace) {
//Возвращает производную k-того Eq по l-тому параметру
//val res = Array(fitDim) { DoubleArray(fitDim) }
val sderiv = buildMatrix(data.size, size) { d, s ->
distanceDerivative(symbols[s], d, theta)
}
buildMatrix(size, size) { s1, s2 ->
val base = (0 until data.size).sumOf { d ->
require(dispersion[d] > 0)
sderiv[d, s2] * derivs[d, s1] / dispersion[d]
}
prior?.let { prior ->
//Check if this one is correct
val pi = prior(theta)
val deriv1 = prior.derivative(symbols[s1])(theta)
val deriv2 = prior.derivative(symbols[s2])(theta)
base + deriv1 * deriv2 / pi / pi
} ?: base
}
}
/**
* Значения уравнений метода квазиоптимальных весов
*/
private fun QoWeight.getEqValues(theta: Map<Symbol, Double> = this): Point<Double> {
val distances = DoubleBuffer(data.size) { d -> distance(d, theta) }
return DoubleBuffer(size) { s ->
val base = (0 until data.size).sumOf { d -> distances[d] * derivs[d, s] / dispersion[d] }
//Поправка на априорную вероятность
prior?.let { prior ->
base - prior.derivative(symbols[s])(theta) / prior(theta)
} ?: base
}
}
private fun QoWeight.newtonianStep(
theta: Map<Symbol, Double>,
eqvalues: Point<Double>,
): QoWeight = linearSpace {
with(this@newtonianStep) {
val start = theta.toPoint()
val invJacob = solver.inverse(this@newtonianStep.getEqDerivValues(theta))
val step = invJacob.dot(eqvalues)
return QoWeight(problem, theta + (start - step).toMap())
}
}
private fun QoWeight.newtonianRun(
maxSteps: Int = 100,
tolerance: Double = 0.0,
fast: Boolean = false,
): QoWeight {
val logger = problem.getFeature<OptimizationLog>()
var dis: Double //discrepancy value
// Working with the full set of parameters
var par = problem.startPoint
logger?.log { "Starting newtonian iteration from: \n\t$par" }
var eqvalues = getEqValues(par) //Values of the weight functions
dis = DoubleL2Norm.norm(eqvalues) // discrepancy
logger?.log { "Starting discrepancy is $dis" }
var i = 0
var flag = false
while (!flag) {
i++
logger?.log { "Starting step number $i" }
val currentSolution = if (fast) {
//Берет значения матрицы в той точке, где считается вес
newtonianStep(this, eqvalues)
} else {
//Берет значения матрицы в точке par
newtonianStep(par, eqvalues)
}
// здесь должен стоять учет границ параметров
logger?.log { "Parameter values after step are: \n\t$currentSolution" }
eqvalues = getEqValues(currentSolution)
val currentDis = DoubleL2Norm.norm(eqvalues)// невязка после шага
logger?.log { "The discrepancy after step is: $currentDis." }
if (currentDis >= dis && i > 1) {
//дополнительно проверяем, чтобы был сделан хотя бы один шаг
flag = true
logger?.log { "The discrepancy does not decrease. Stopping iteration." }
} else {
par = currentSolution
dis = currentDis
}
if (i >= maxSteps) {
flag = true
logger?.log { "Maximum number of iterations reached. Stopping iteration." }
}
if (dis <= tolerance) {
flag = true
logger?.log { "Tolerance threshold is reached. Stopping iteration." }
}
}
return QoWeight(problem, par)
}
private fun QoWeight.covariance(): Matrix<Double> {
val logger = problem.getFeature<OptimizationLog>()
logger?.log {
"""
Starting errors estimation using quasioptimal weights method. The starting weight is:
${problem.startPoint}
""".trimIndent()
}
val covar = solver.inverse(getEqDerivValues())
//TODO fix eigenvalues check
// val decomposition = EigenDecomposition(covar.matrix)
// var valid = true
// for (lambda in decomposition.realEigenvalues) {
// if (lambda <= 0) {
// logger?.log { "The covariance matrix is not positive defined. Error estimation is not valid" }
// valid = false
// }
// }
return covar
}
override suspend fun optimize(problem: XYFit): XYFit {
val qowSteps = 2
val initialWeight = QoWeight(problem, problem.startPoint)
val res = initialWeight.newtonianRun()
return res.problem.withFeature(OptimizationResult(res.parameters))
}
}

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/*
* Copyright 2018-2021 KMath contributors.
* Use of this source code is governed by the Apache 2.0 license that can be found in the license/LICENSE.txt file.
*/
@file:OptIn(UnstableKMathAPI::class)
package space.kscience.kmath.optimization
import space.kscience.kmath.data.XYColumnarData
import space.kscience.kmath.data.indices
import space.kscience.kmath.expressions.*
import space.kscience.kmath.misc.FeatureSet
import space.kscience.kmath.misc.Loggable
import space.kscience.kmath.misc.UnstableKMathAPI
import space.kscience.kmath.operations.ExtendedField
import space.kscience.kmath.operations.bindSymbol
import kotlin.math.pow
/**
* Specify the way to compute distance from point to the curve as DifferentiableExpression
*/
public interface PointToCurveDistance : OptimizationFeature {
public fun distance(problem: XYFit, index: Int): DifferentiableExpression<Double>
public companion object {
public val byY: PointToCurveDistance = object : PointToCurveDistance {
override fun distance(problem: XYFit, index: Int): DifferentiableExpression<Double> {
val x = problem.data.x[index]
val y = problem.data.y[index]
return object : DifferentiableExpression<Double> {
override fun derivativeOrNull(
symbols: List<Symbol>
): Expression<Double>? = problem.model.derivativeOrNull(symbols)?.let { derivExpression ->
Expression { arguments ->
derivExpression.invoke(arguments + (Symbol.x to x))
}
}
override fun invoke(arguments: Map<Symbol, Double>): Double =
problem.model(arguments + (Symbol.x to x)) - y
}
}
override fun toString(): String = "PointToCurveDistanceByY"
}
}
}
/**
* Compute a wight of the point. The more the weight, the more impact this point will have on the fit.
* By default, uses Dispersion^-1
*/
public interface PointWeight : OptimizationFeature {
public fun weight(problem: XYFit, index: Int): DifferentiableExpression<Double>
public companion object {
public fun bySigma(sigmaSymbol: Symbol): PointWeight = object : PointWeight {
override fun weight(problem: XYFit, index: Int): DifferentiableExpression<Double> =
object : DifferentiableExpression<Double> {
override fun invoke(arguments: Map<Symbol, Double>): Double {
return problem.data[sigmaSymbol]?.get(index)?.pow(-2) ?: 1.0
}
override fun derivativeOrNull(symbols: List<Symbol>): Expression<Double> = Expression { 0.0 }
}
override fun toString(): String = "PointWeightBySigma($sigmaSymbol)"
}
public val byYSigma: PointWeight = bySigma(Symbol.yError)
}
}
/**
* A fit problem for X-Y-Yerr data. Also known as "least-squares" problem.
*/
public class XYFit(
public val data: XYColumnarData<Double, Double, Double>,
public val model: DifferentiableExpression<Double>,
override val features: FeatureSet<OptimizationFeature>,
internal val pointToCurveDistance: PointToCurveDistance = PointToCurveDistance.byY,
internal val pointWeight: PointWeight = PointWeight.byYSigma,
public val xSymbol: Symbol = Symbol.x,
) : OptimizationProblem<Double> {
public fun distance(index: Int): DifferentiableExpression<Double> = pointToCurveDistance.distance(this, index)
public fun weight(index: Int): DifferentiableExpression<Double> = pointWeight.weight(this, index)
}
public fun XYFit.withFeature(vararg features: OptimizationFeature): XYFit {
return XYFit(data, model, this.features.with(*features), pointToCurveDistance, pointWeight)
}
/**
* Fit given dta with
*/
public suspend fun <I : Any, A> XYColumnarData<Double, Double, Double>.fitWith(
optimizer: Optimizer<Double, XYFit>,
processor: AutoDiffProcessor<Double, I, A>,
startingPoint: Map<Symbol, Double>,
vararg features: OptimizationFeature = emptyArray(),
xSymbol: Symbol = Symbol.x,
pointToCurveDistance: PointToCurveDistance = PointToCurveDistance.byY,
pointWeight: PointWeight = PointWeight.byYSigma,
model: A.(I) -> I
): XYFit where A : ExtendedField<I>, A : ExpressionAlgebra<Double, I> {
val modelExpression = processor.differentiate {
val x = bindSymbol(xSymbol)
model(x)
}
var actualFeatures = FeatureSet.of(*features, OptimizationStartPoint(startingPoint))
if (actualFeatures.getFeature<OptimizationLog>() == null) {
actualFeatures = actualFeatures.with(OptimizationLog(Loggable.console))
}
val problem = XYFit(
this,
modelExpression,
actualFeatures,
pointToCurveDistance,
pointWeight,
xSymbol
)
return optimizer.optimize(problem)
}
/**
* Compute chi squared value for completed fit. Return null for incomplete fit
*/
public val XYFit.chiSquaredOrNull: Double? get() {
val result = resultPointOrNull ?: return null
return data.indices.sumOf { index->
val x = data.x[index]
val y = data.y[index]
val yErr = data[Symbol.yError]?.get(index) ?: 1.0
val mu = model.invoke(result + (xSymbol to x) )
((y - mu)/yErr).pow(2)
}
}

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/*
* Copyright 2018-2021 KMath contributors.
* Use of this source code is governed by the Apache 2.0 license that can be found in the license/LICENSE.txt file.
*/
package space.kscience.kmath.optimization
import space.kscience.kmath.data.XYColumnarData
import space.kscience.kmath.data.indices
import space.kscience.kmath.expressions.DifferentiableExpression
import space.kscience.kmath.expressions.Expression
import space.kscience.kmath.expressions.Symbol
import space.kscience.kmath.expressions.derivative
import space.kscience.kmath.misc.UnstableKMathAPI
import kotlin.math.PI
import kotlin.math.ln
import kotlin.math.pow
import kotlin.math.sqrt
private val oneOver2Pi = 1.0 / sqrt(2 * PI)
@UnstableKMathAPI
internal fun XYFit.logLikelihood(): DifferentiableExpression<Double> = object : DifferentiableExpression<Double> {
override fun derivativeOrNull(symbols: List<Symbol>): Expression<Double> = Expression { arguments ->
data.indices.sumOf { index ->
val d = distance(index)(arguments)
val weight = weight(index)(arguments)
val weightDerivative = weight(index).derivative(symbols)(arguments)
// -1 / (sqrt(2 PI) * sigma) + 2 (x-mu)/ 2 sigma^2 * d mu/ d theta - (x-mu)^2 / 2 * d w/ d theta
return@sumOf -oneOver2Pi * sqrt(weight) + //offset derivative
d * model.derivative(symbols)(arguments) * weight - //model derivative
d.pow(2) * weightDerivative / 2 //weight derivative
}
}
override fun invoke(arguments: Map<Symbol, Double>): Double {
return data.indices.sumOf { index ->
val d = distance(index)(arguments)
val weight = weight(index)(arguments)
//1/sqrt(2 PI sigma^2) - (x-mu)^2/ (2 * sigma^2)
oneOver2Pi * ln(weight) - d.pow(2) * weight
} / 2
}
}
/**
* Optimize given XY (least squares) [problem] using this function [Optimizer].
* The problem is treated as maximum likelihood problem and is done via maximizing logarithmic likelihood, respecting
* possible weight dependency on the model and parameters.
*/
@UnstableKMathAPI
public suspend fun Optimizer<Double, FunctionOptimization<Double>>.maximumLogLikelihood(problem: XYFit): XYFit {
val functionOptimization = FunctionOptimization(problem.features, problem.logLikelihood())
val result = optimize(functionOptimization.withFeatures(FunctionOptimizationTarget.MAXIMIZE))
return XYFit(problem.data, problem.model, result.features)
}
@UnstableKMathAPI
public suspend fun Optimizer<Double, FunctionOptimization<Double>>.maximumLogLikelihood(
data: XYColumnarData<Double, Double, Double>,
model: DifferentiableExpression<Double>,
builder: XYOptimizationBuilder.() -> Unit,
): XYFit = maximumLogLikelihood(XYOptimization(data, model, builder))

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plugins { plugins {
kotlin("multiplatform") id("ru.mipt.npm.gradle.mpp")
id("ru.mipt.npm.gradle.common")
id("ru.mipt.npm.gradle.native") id("ru.mipt.npm.gradle.native")
} }

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/*
* Copyright 2018-2021 KMath contributors.
* Use of this source code is governed by the Apache 2.0 license that can be found in the LICENSE file.
*/
package space.kscience.kmath.optimization
import space.kscience.kmath.expressions.*
import space.kscience.kmath.operations.ExtendedField
import space.kscience.kmath.structures.Buffer
import space.kscience.kmath.structures.indices
/**
* A likelihood function optimization problem with provided derivatives.
*/
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
/**
* Defines the initial guess for the optimization problem.
*/
public fun initialGuess(map: Map<Symbol, T>)
/**
* Set a differentiable expression as objective function as function and gradient provider.
*/
public fun diffFunction(expression: DifferentiableExpression<T>)
public companion object {
/**
* Generate a chi squared expression from given x-y-sigma data and inline model. Provides automatic
* differentiation.
*/
public fun <T : Any, I : Any, A> chiSquared(
autoDiff: AutoDiffProcessor<T, I, A, Expression<T>>,
x: Buffer<T>,
y: Buffer<T>,
yErr: Buffer<T>,
model: A.(I) -> I,
): DifferentiableExpression<T> where A : ExtendedField<I>, A : ExpressionAlgebra<T, I> {
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 autoDiff.process {
var sum = zero
x.indices.forEach {
val xValue = const(x[it])
val yValue = const(y[it])
val yErrValue = const(yErr[it])
val modelValue = model(xValue)
sum += ((yValue - modelValue) / yErrValue).pow(2)
}
sum
}
}
}
}
/**
* Defines a chi-squared-based objective function.
*/
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
}
/**
* Optimizes differentiable expression using specific [OptimizationProblemFactory].
*/
public fun <T : Any, F : FunctionOptimization<T>> DifferentiableExpression<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.diffFunction(this)
return problem.optimize()
}

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/*
* Copyright 2018-2021 KMath contributors.
* Use of this source code is governed by the Apache 2.0 license that can be found in the LICENSE file.
*/
package space.kscience.kmath.optimization
import space.kscience.kmath.expressions.Expression
import space.kscience.kmath.expressions.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, search for the minimum otherwise.
*/
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.sumOf {
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()
}

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/*
* Copyright 2018-2021 KMath contributors.
* Use of this source code is governed by the Apache 2.0 license that can be found in the LICENSE file.
*/
package space.kscience.kmath.optimization
import space.kscience.kmath.expressions.Symbol
public interface OptimizationFeature
public class OptimizationResult<out T>(
public val point: Map<Symbol, T>,
public val value: T,
public val features: Set<OptimizationFeature> = emptySet(),
) {
override fun toString(): String {
return "OptimizationResult(point=$point, value=$value)"
}
}
public operator fun <T> OptimizationResult<T>.plus(
feature: OptimizationFeature,
): OptimizationResult<T> = OptimizationResult(point, value, features + feature)
/**
* A builder of optimization problems over [T] variables
*/
public interface Optimization<T : Any> {
/**
* Update the problem from previous optimization run
*/
public fun update(result: OptimizationResult<T>)
/**
* Make an optimization run
*/
public fun optimize(): OptimizationResult<T>
}
public fun interface OptimizationProblemFactory<T : Any, out P : Optimization<T>> {
public fun build(symbols: List<Symbol>): P
}
public operator fun <T : Any, P : Optimization<T>> OptimizationProblemFactory<T, P>.invoke(
symbols: List<Symbol>,
block: P.() -> Unit,
): P = build(symbols).apply(block)

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/*
* Copyright 2018-2021 KMath contributors.
* Use of this source code is governed by the Apache 2.0 license that can be found in the LICENSE file.
*/
package space.kscience.kmath.optimization
import space.kscience.kmath.data.ColumnarData
import space.kscience.kmath.expressions.*
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)) }
}
}

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/*
* Copyright 2018-2021 KMath contributors.
* Use of this source code is governed by the Apache 2.0 license that can be found in the license/LICENSE.txt file.
*/
package space.kscience.kmath.optimization.qow
import space.kscience.kmath.data.ColumnarData
import space.kscience.kmath.data.XYErrorColumnarData
import space.kscience.kmath.expressions.*
import space.kscience.kmath.linear.*
import space.kscience.kmath.misc.UnstableKMathAPI
import space.kscience.kmath.operations.DoubleField
import space.kscience.kmath.operations.Field
import space.kscience.kmath.optimization.OptimizationFeature
import space.kscience.kmath.optimization.OptimizationProblemFactory
import space.kscience.kmath.optimization.OptimizationResult
import space.kscience.kmath.optimization.XYOptimization
import space.kscience.kmath.structures.DoubleBuffer
import space.kscience.kmath.structures.DoubleL2Norm
import kotlin.math.pow
private typealias ParamSet = Map<Symbol, Double>
@OptIn(UnstableKMathAPI::class)
public class QowFit(
override val symbols: List<Symbol>,
private val space: LinearSpace<Double, DoubleField>,
private val solver: LinearSolver<Double>,
) : XYOptimization<Double>, SymbolIndexer {
private var logger: FitLogger? = null
private var startingPoint: Map<Symbol, Double> = TODO()
private var covariance: Matrix<Double>? = TODO()
private val prior: DifferentiableExpression<Double, Expression<Double>>? = TODO()
private var data: XYErrorColumnarData<Double, Double, Double> = TODO()
private var model: DifferentiableExpression<Double, Expression<Double>> = TODO()
private val features = HashSet<OptimizationFeature>()
override fun update(result: OptimizationResult<Double>) {
TODO("Not yet implemented")
}
override val algebra: Field<Double>
get() = TODO("Not yet implemented")
override fun data(
dataSet: ColumnarData<Double>,
xSymbol: Symbol,
ySymbol: Symbol,
xErrSymbol: Symbol?,
yErrSymbol: Symbol?,
) {
TODO("Not yet implemented")
}
override fun model(model: (Double) -> DifferentiableExpression<Double, *>) {
TODO("Not yet implemented")
}
private var x: Symbol = Symbol.x
/**
* The signed distance from the model to the [i]-th point of data.
*/
private fun distance(i: Int, parameters: Map<Symbol, Double>): Double =
model(parameters + (x to data.x[i])) - data.y[i]
/**
* The derivative of [distance]
* TODO use expressions instead
*/
private fun distanceDerivative(symbol: Symbol, i: Int, parameters: Map<Symbol, Double>): Double =
model.derivative(symbol)(parameters + (x to data.x[i]))
/**
* The dispersion of [i]-th data point
*/
private fun getDispersion(i: Int, parameters: Map<Symbol, Double>): Double = data.yErr[i].pow(2)
private fun getCovariance(weight: QoWeight): Matrix<Double> = solver.inverse(getEqDerivValues(weight))
/**
* Теоретическая ковариация весовых функций.
*
* D(\phi)=E(\phi_k(\theta_0) \phi_l(\theta_0))= disDeriv_k * disDeriv_l /sigma^2
*/
private fun covarF(weight: QoWeight): Matrix<Double> = space.buildSymmetricMatrix(symbols.size) { k, l ->
(0 until data.size).sumOf { i -> weight.derivs[k, i] * weight.derivs[l, i] / weight.dispersion[i] }
}
/**
* Экспериментальная ковариация весов. Формула (22) из
* http://arxiv.org/abs/physics/0604127
*
* @param source
* @param set
* @param fitPars
* @param weight
* @return
*/
private fun covarFExp(weight: QoWeight, theta: Map<Symbol, Double>): Matrix<Double> = space.run {
/*
* Важно! Если не делать предварителього вычисления этих производных, то
* количество вызывов функции будет dim^2 вместо dim Первый индекс -
* номер точки, второй - номер переменной, по которой берется производная
*/
val eqvalues = buildMatrix(data.size, symbols.size) { i, l ->
distance(i, theta) * weight.derivs[l, i] / weight.dispersion[i]
}
buildMatrix(symbols.size, symbols.size) { k, l ->
(0 until data.size).sumOf { i -> eqvalues[i, l] * eqvalues[i, k] }
}
}
/**
* производные уравнений для метода Ньютона
*
* @param source
* @param set
* @param fitPars
* @param weight
* @return
*/
private fun getEqDerivValues(
weight: QoWeight, theta: Map<Symbol, Double> = weight.theta,
): Matrix<Double> = space.run {
val fitDim = symbols.size
//Возвращает производную k-того Eq по l-тому параметру
val res = Array(fitDim) { DoubleArray(fitDim) }
val sderiv = buildMatrix(data.size, symbols.size) { i, l ->
distanceDerivative(symbols[l], i, theta)
}
buildMatrix(symbols.size, symbols.size) { k, l ->
val base = (0 until data.size).sumOf { i ->
require(weight.dispersion[i] > 0)
sderiv[i, l] * weight.derivs[k, i] / weight.dispersion[i]
}
prior?.let { prior ->
//Check if this one is correct
val pi = prior(theta)
val deriv1 = prior.derivative(symbols[k])(theta)
val deriv2 = prior.derivative(symbols[l])(theta)
base + deriv1 * deriv2 / pi / pi
} ?: base
}
}
/**
* Значения уравнений метода квазиоптимальных весов
*
* @param source
* @param set
* @param fitPars
* @param weight
* @return
*/
private fun getEqValues(weight: QoWeight, theta: Map<Symbol, Double> = weight.theta): Point<Double> {
val distances = DoubleBuffer(data.size) { i -> distance(i, theta) }
return DoubleBuffer(symbols.size) { k ->
val base = (0 until data.size).sumOf { i -> distances[i] * weight.derivs[k, i] / weight.dispersion[i] }
//Поправка на априорную вероятность
prior?.let { prior ->
base - prior.derivative(symbols[k])(theta) / prior(theta)
} ?: base
}
}
/**
* The state of QOW fitter
* Created by Alexander Nozik on 17-Oct-16.
*/
private inner class QoWeight(
val theta: Map<Symbol, Double>,
) {
init {
require(data.size > 0) { "The state does not contain data" }
}
/**
* Derivatives of the spectrum over parameters. First index in the point number, second one - index of parameter
*/
val derivs: Matrix<Double> by lazy {
space.buildMatrix(data.size, symbols.size) { i, k ->
distanceDerivative(symbols[k], i, theta)
}
}
/**
* Array of dispersions in each point
*/
val dispersion: Point<Double> by lazy {
DoubleBuffer(data.size) { i -> getDispersion(i, theta) }
}
}
private fun newtonianStep(
weight: QoWeight,
par: Map<Symbol, Double>,
eqvalues: Point<Double>,
): Map<Symbol, Double> = space.run {
val start = par.toPoint()
val invJacob = solver.inverse(getEqDerivValues(weight, par))
val step = invJacob.dot(eqvalues)
return par + (start - step).toMap()
}
private fun newtonianRun(
weight: QoWeight,
maxSteps: Int = 100,
tolerance: Double = 0.0,
fast: Boolean = false,
): ParamSet {
var dis: Double//норма невязки
// Для удобства работаем всегда с полным набором параметров
var par = startingPoint
logger?.log { "Starting newtonian iteration from: \n\t$par" }
var eqvalues = getEqValues(weight, par)//значения функций
dis = DoubleL2Norm.norm(eqvalues)// невязка
logger?.log { "Starting discrepancy is $dis" }
var i = 0
var flag = false
while (!flag) {
i++
logger?.log { "Starting step number $i" }
val currentSolution = if (fast) {
//Берет значения матрицы в той точке, где считается вес
newtonianStep(weight, weight.theta, eqvalues)
} else {
//Берет значения матрицы в точке par
newtonianStep(weight, par, eqvalues)
}
// здесь должен стоять учет границ параметров
logger?.log { "Parameter values after step are: \n\t$currentSolution" }
eqvalues = getEqValues(weight, currentSolution)
val currentDis = DoubleL2Norm.norm(eqvalues)// невязка после шага
logger?.log { "The discrepancy after step is: $currentDis." }
if (currentDis >= dis && i > 1) {
//дополнительно проверяем, чтобы был сделан хотя бы один шаг
flag = true
logger?.log { "The discrepancy does not decrease. Stopping iteration." }
} else {
par = currentSolution
dis = currentDis
}
if (i >= maxSteps) {
flag = true
logger?.log { "Maximum number of iterations reached. Stopping iteration." }
}
if (dis <= tolerance) {
flag = true
logger?.log { "Tolerance threshold is reached. Stopping iteration." }
}
}
return par
}
//
// override fun run(state: FitState, parentLog: History?, meta: Meta): FitResult {
// val log = Chronicle("QOW", parentLog)
// val action = meta.getString(FIT_STAGE_TYPE, TASK_RUN)
// log.report("QOW fit engine started task '{}'", action)
// return when (action) {
// TASK_SINGLE -> makeRun(state, log, meta)
// TASK_COVARIANCE -> generateErrors(state, log, meta)
// TASK_RUN -> {
// var res = makeRun(state, log, meta)
// res = makeRun(res.optState().get(), log, meta)
// generateErrors(res.optState().get(), log, meta)
// }
// else -> throw IllegalArgumentException("Unknown task")
// }
// }
// private fun makeRun(state: FitState, log: History, meta: Meta): FitResult {
// /*Инициализация объектов, задание исходных значений*/
// log.report("Starting fit using quasioptimal weights method.")
//
// val fitPars = getFitPars(state, meta)
//
// val curWeight = QoWeight(state, fitPars, state.parameters)
//
// // вычисляем вес в allPar. Потом можно будет попробовать ручное задание веса
// log.report("The starting weight is: \n\t{}",
// MathUtils.toString(curWeight.theta))
//
// //Стартовая точка такая же как и параметр веса
// /*Фитирование*/
// val res = newtonianRun(state, curWeight, log, meta)
//
// /*Генерация результата*/
//
// return FitResult.build(state.edit().setPars(res).build(), *fitPars)
// }
/**
* generateErrors.
*/
private fun generateErrors(): Matrix<Double> {
logger?.log { """
Starting errors estimation using quasioptimal weights method. The starting weight is:
${curWeight.theta}
""".trimIndent()}
val curWeight = QoWeight(startingPoint)
val covar = getCovariance(curWeight)
val decomposition = EigenDecomposition(covar.matrix)
var valid = true
for (lambda in decomposition.realEigenvalues) {
if (lambda <= 0) {
log.report("The covariance matrix is not positive defined. Error estimation is not valid")
valid = false
}
}
}
override suspend fun optimize(): OptimizationResult<Double> {
val curWeight = QoWeight(startingPoint)
logger?.log {
"""
Starting fit using quasioptimal weights method. The starting weight is:
${curWeight.theta}
""".trimIndent()
}
val res = newtonianRun(curWeight)
}
companion object : OptimizationProblemFactory<Double, QowFit> {
override fun build(symbols: List<Symbol>): QowFit {
TODO("Not yet implemented")
}
/**
* Constant `QOW_ENGINE_NAME="QOW"`
*/
const val QOW_ENGINE_NAME = "QOW"
/**
* Constant `QOW_METHOD_FAST="fast"`
*/
const val QOW_METHOD_FAST = "fast"
}
}

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/*
* Copyright 2015 Alexander Nozik.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at
*
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
package ru.inr.mass.minuit
import ru.inr.mass.maths.MultiFunction
/**
*
* @version $Id$
*/
internal class AnalyticalGradientCalculator(fcn: MultiFunction?, state: MnUserTransformation, checkGradient: Boolean) :
GradientCalculator {
private val function: MultiFunction?
private val theCheckGradient: Boolean
private val theTransformation: MnUserTransformation
fun checkGradient(): Boolean {
return theCheckGradient
}
/** {@inheritDoc} */
fun gradient(par: MinimumParameters): FunctionGradient {
// double[] grad = theGradCalc.gradientValue(theTransformation.andThen(par.vec()).data());
val point: DoubleArray = theTransformation.transform(par.vec()).toArray()
require(!(function.getDimension() !== theTransformation.parameters().size())) { "Invalid parameter size" }
val v: RealVector = ArrayRealVector(par.vec().getDimension())
for (i in 0 until par.vec().getDimension()) {
val ext: Int = theTransformation.extOfInt(i)
if (theTransformation.parameter(ext).hasLimits()) {
val dd: Double = theTransformation.dInt2Ext(i, par.vec().getEntry(i))
v.setEntry(i, dd * function.derivValue(ext, point))
} else {
v.setEntry(i, function.derivValue(ext, point))
}
}
return FunctionGradient(v)
}
/** {@inheritDoc} */
fun gradient(par: MinimumParameters, grad: FunctionGradient?): FunctionGradient {
return gradient(par)
}
init {
function = fcn
theTransformation = state
theCheckGradient = checkGradient
}
}

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/*
* Copyright 2015 Alexander Nozik.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at
*
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
package ru.inr.mass.minuit
/**
*
* @version $Id$
*/
internal class CombinedMinimizer : ModularFunctionMinimizer() {
private val theMinBuilder: CombinedMinimumBuilder = CombinedMinimumBuilder()
private val theMinSeedGen: MnSeedGenerator = MnSeedGenerator()
override fun builder(): MinimumBuilder {
return theMinBuilder
}
override fun seedGenerator(): MinimumSeedGenerator {
return theMinSeedGen
}
}

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/*
* Copyright 2015 Alexander Nozik.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at
*
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
package ru.inr.mass.minuit
import space.kscience.kmath.optimization.minuit.MINUITPlugin
import space.kscience.kmath.optimization.minuit.MinimumSeed
/**
*
* @version $Id$
*/
internal class CombinedMinimumBuilder : MinimumBuilder {
private val theSimplexMinimizer: SimplexMinimizer = SimplexMinimizer()
private val theVMMinimizer: VariableMetricMinimizer = VariableMetricMinimizer()
/** {@inheritDoc} */
override fun minimum(
fcn: MnFcn?,
gc: GradientCalculator?,
seed: MinimumSeed?,
strategy: MnStrategy?,
maxfcn: Int,
toler: Double
): FunctionMinimum {
val min: FunctionMinimum = theVMMinimizer.minimize(fcn!!, gc, seed, strategy, maxfcn, toler)
if (!min.isValid()) {
MINUITPlugin.logStatic("CombinedMinimumBuilder: migrad method fails, will try with simplex method first.")
val str = MnStrategy(2)
val min1: FunctionMinimum = theSimplexMinimizer.minimize(fcn, gc, seed, str, maxfcn, toler)
if (!min1.isValid()) {
MINUITPlugin.logStatic("CombinedMinimumBuilder: both migrad and simplex method fail.")
return min1
}
val seed1: MinimumSeed = theVMMinimizer.seedGenerator().generate(fcn, gc, min1.userState(), str)
val min2: FunctionMinimum = theVMMinimizer.minimize(fcn, gc, seed1, str, maxfcn, toler)
if (!min2.isValid()) {
MINUITPlugin.logStatic("CombinedMinimumBuilder: both migrad and method fails also at 2nd attempt.")
MINUITPlugin.logStatic("CombinedMinimumBuilder: return simplex minimum.")
return min1
}
return min2
}
return min
}
}

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/*
* Copyright 2015 Alexander Nozik.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at
*
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
package ru.inr.mass.minuit
/**
*
* ContoursError class.
*
* @author Darksnake
* @version $Id$
*/
class ContoursError internal constructor(
private val theParX: Int,
private val theParY: Int,
points: List<Range>,
xmnos: MinosError,
ymnos: MinosError,
nfcn: Int
) {
private val theNFcn: Int
private val thePoints: List<Range> = points
private val theXMinos: MinosError
private val theYMinos: MinosError
/**
*
* nfcn.
*
* @return a int.
*/
fun nfcn(): Int {
return theNFcn
}
/**
*
* points.
*
* @return a [List] object.
*/
fun points(): List<Range> {
return thePoints
}
/**
* {@inheritDoc}
*/
override fun toString(): String {
return MnPrint.toString(this)
}
/**
*
* xMinosError.
*
* @return a [hep.dataforge.MINUIT.MinosError] object.
*/
fun xMinosError(): MinosError {
return theXMinos
}
/**
*
* xRange.
*
* @return
*/
fun xRange(): Range {
return theXMinos.range()
}
/**
*
* xmin.
*
* @return a double.
*/
fun xmin(): Double {
return theXMinos.min()
}
/**
*
* xpar.
*
* @return a int.
*/
fun xpar(): Int {
return theParX
}
/**
*
* yMinosError.
*
* @return a [hep.dataforge.MINUIT.MinosError] object.
*/
fun yMinosError(): MinosError {
return theYMinos
}
/**
*
* yRange.
*
* @return
*/
fun yRange(): Range {
return theYMinos.range()
}
/**
*
* ymin.
*
* @return a double.
*/
fun ymin(): Double {
return theYMinos.min()
}
/**
*
* ypar.
*
* @return a int.
*/
fun ypar(): Int {
return theParY
}
init {
theXMinos = xmnos
theYMinos = ymnos
theNFcn = nfcn
}
}

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/*
* Copyright 2015 Alexander Nozik.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at
*
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
package ru.inr.mass.minuit
import org.apache.commons.math3.linear.RealVector
import ru.inr.mass.minuit.*
/**
*
* @version $Id$
*/
internal class DavidonErrorUpdator : MinimumErrorUpdator {
/** {@inheritDoc} */
fun update(s0: MinimumState, p1: MinimumParameters, g1: FunctionGradient): MinimumError {
val V0: MnAlgebraicSymMatrix = s0.error().invHessian()
val dx: RealVector = MnUtils.sub(p1.vec(), s0.vec())
val dg: RealVector = MnUtils.sub(g1.getGradient(), s0.gradient().getGradient())
val delgam: Double = MnUtils.innerProduct(dx, dg)
val gvg: Double = MnUtils.similarity(dg, V0)
val vg: RealVector = MnUtils.mul(V0, dg)
var Vupd: MnAlgebraicSymMatrix =
MnUtils.sub(MnUtils.div(MnUtils.outerProduct(dx), delgam), MnUtils.div(MnUtils.outerProduct(vg), gvg))
if (delgam > gvg) {
Vupd = MnUtils.add(Vupd,
MnUtils.mul(MnUtils.outerProduct(MnUtils.sub(MnUtils.div(dx, delgam), MnUtils.div(vg, gvg))), gvg))
}
val sum_upd: Double = MnUtils.absoluteSumOfElements(Vupd)
Vupd = MnUtils.add(Vupd, V0)
val dcov: Double = 0.5 * (s0.error().dcovar() + sum_upd / MnUtils.absoluteSumOfElements(Vupd))
return MinimumError(Vupd, dcov)
}
}

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/*
* Copyright 2015 Alexander Nozik.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at
*
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
package ru.inr.mass.minuit
import org.apache.commons.math3.linear.ArrayRealVector
/**
*
* @version $Id$
*/
class FunctionGradient {
private var theAnalytical = false
private var theG2ndDerivative: RealVector
private var theGStepSize: RealVector
private var theGradient: RealVector
private var theValid = false
constructor(n: Int) {
theGradient = ArrayRealVector(n)
theG2ndDerivative = ArrayRealVector(n)
theGStepSize = ArrayRealVector(n)
}
constructor(grd: RealVector) {
theGradient = grd
theG2ndDerivative = ArrayRealVector(grd.getDimension())
theGStepSize = ArrayRealVector(grd.getDimension())
theValid = true
theAnalytical = true
}
constructor(grd: RealVector, g2: RealVector, gstep: RealVector) {
theGradient = grd
theG2ndDerivative = g2
theGStepSize = gstep
theValid = true
theAnalytical = false
}
fun getGradient(): RealVector {
return theGradient
}
fun getGradientDerivative(): RealVector {
return theG2ndDerivative
}
fun getStep(): RealVector {
return theGStepSize
}
fun isAnalytical(): Boolean {
return theAnalytical
}
fun isValid(): Boolean {
return theValid
}
}

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/*
* Copyright 2015 Alexander Nozik.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at
*
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
package ru.inr.mass.minuit
import ru.inr.mass.minuit.*
import space.kscience.kmath.optimization.minuit.MinimumSeed
/**
* Result of the minimization.
*
*
* The FunctionMinimum is the output of the minimizers and contains the
* minimization result. The methods
*
* * userState(),
* * userParameters() and
* * userCovariance()
*
* are provided. These can be used as new input to a new minimization after some
* manipulation. The parameters and/or the FunctionMinimum can be printed using
* the toString() method or the MnPrint class.
*
* @author Darksnake
*/
class FunctionMinimum {
private var theAboveMaxEdm = false
private var theErrorDef: Double
private var theReachedCallLimit = false
private var theSeed: MinimumSeed
private var theStates: MutableList<MinimumState>
private var theUserState: MnUserParameterState
internal constructor(seed: MinimumSeed, up: Double) {
theSeed = seed
theStates = ArrayList()
theStates.add(MinimumState(seed.parameters(),
seed.error(),
seed.gradient(),
seed.parameters().fval(),
seed.nfcn()))
theErrorDef = up
theUserState = MnUserParameterState()
}
internal constructor(seed: MinimumSeed, states: MutableList<MinimumState>, up: Double) {
theSeed = seed
theStates = states
theErrorDef = up
theUserState = MnUserParameterState()
}
internal constructor(seed: MinimumSeed, states: MutableList<MinimumState>, up: Double, x: MnReachedCallLimit?) {
theSeed = seed
theStates = states
theErrorDef = up
theReachedCallLimit = true
theUserState = MnUserParameterState()
}
internal constructor(seed: MinimumSeed, states: MutableList<MinimumState>, up: Double, x: MnAboveMaxEdm?) {
theSeed = seed
theStates = states
theErrorDef = up
theAboveMaxEdm = true
theReachedCallLimit = false
theUserState = MnUserParameterState()
}
// why not
fun add(state: MinimumState) {
theStates.add(state)
}
/**
* returns the expected vertical distance to the minimum (EDM)
*
* @return a double.
*/
fun edm(): Double {
return lastState().edm()
}
fun error(): MinimumError {
return lastState().error()
}
/**
*
*
* errorDef.
*
* @return a double.
*/
fun errorDef(): Double {
return theErrorDef
}
/**
* Returns the function value at the minimum.
*
* @return a double.
*/
fun fval(): Double {
return lastState().fval()
}
fun grad(): FunctionGradient {
return lastState().gradient()
}
fun hasAccurateCovar(): Boolean {
return state().error().isAccurate()
}
fun hasCovariance(): Boolean {
return state().error().isAvailable()
}
fun hasMadePosDefCovar(): Boolean {
return state().error().isMadePosDef()
}
fun hasPosDefCovar(): Boolean {
return state().error().isPosDef()
}
fun hasReachedCallLimit(): Boolean {
return theReachedCallLimit
}
fun hasValidCovariance(): Boolean {
return state().error().isValid()
}
fun hasValidParameters(): Boolean {
return state().parameters().isValid()
}
fun hesseFailed(): Boolean {
return state().error().hesseFailed()
}
fun isAboveMaxEdm(): Boolean {
return theAboveMaxEdm
}
/**
* In general, if this returns <CODE>true</CODE>, the minimizer did find a
* minimum without running into troubles. However, in some cases a minimum
* cannot be found, then the return value will be <CODE>false</CODE>.
* Reasons for the minimization to fail are
*
* * the number of allowed function calls has been exhausted
* * the minimizer could not improve the values of the parameters (and
* knowing that it has not converged yet)
* * a problem with the calculation of the covariance matrix
*
* Additional methods for the analysis of the state at the minimum are
* provided.
*
* @return a boolean.
*/
fun isValid(): Boolean {
return state().isValid() && !isAboveMaxEdm() && !hasReachedCallLimit()
}
private fun lastState(): MinimumState {
return theStates[theStates.size - 1]
}
// forward interface of last state
/**
* returns the total number of function calls during the minimization.
*
* @return a int.
*/
fun nfcn(): Int {
return lastState().nfcn()
}
fun parameters(): MinimumParameters {
return lastState().parameters()
}
fun seed(): MinimumSeed {
return theSeed
}
fun state(): MinimumState {
return lastState()
}
fun states(): List<MinimumState> {
return theStates
}
/**
* {@inheritDoc}
*
* @return
*/
override fun toString(): String {
return MnPrint.toString(this)
}
/**
*
*
* userCovariance.
*
* @return a [hep.dataforge.MINUIT.MnUserCovariance] object.
*/
fun userCovariance(): MnUserCovariance {
if (!theUserState.isValid()) {
theUserState = MnUserParameterState(state(), errorDef(), seed().trafo())
}
return theUserState.covariance()
}
/**
*
*
* userParameters.
*
* @return a [hep.dataforge.MINUIT.MnUserParameters] object.
*/
fun userParameters(): MnUserParameters {
if (!theUserState.isValid()) {
theUserState = MnUserParameterState(state(), errorDef(), seed().trafo())
}
return theUserState.parameters()
}
/**
* user representation of state at minimum
*
* @return a [hep.dataforge.MINUIT.MnUserParameterState] object.
*/
fun userState(): MnUserParameterState {
if (!theUserState.isValid()) {
theUserState = MnUserParameterState(state(), errorDef(), seed().trafo())
}
return theUserState
}
internal class MnAboveMaxEdm
internal class MnReachedCallLimit
}

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/*
* Copyright 2015 Alexander Nozik.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at
*
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
package ru.inr.mass.minuit
/**
*
* @version $Id$
*/
interface GradientCalculator {
/**
*
* gradient.
*
* @param par a [hep.dataforge.MINUIT.MinimumParameters] object.
* @return a [hep.dataforge.MINUIT.FunctionGradient] object.
*/
fun gradient(par: MinimumParameters?): FunctionGradient
/**
*
* gradient.
*
* @param par a [hep.dataforge.MINUIT.MinimumParameters] object.
* @param grad a [hep.dataforge.MINUIT.FunctionGradient] object.
* @return a [hep.dataforge.MINUIT.FunctionGradient] object.
*/
fun gradient(par: MinimumParameters?, grad: FunctionGradient?): FunctionGradient
}

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/*
* Copyright 2015 Alexander Nozik.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at
*
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
package ru.inr.mass.minuit
import org.apache.commons.math3.linear.ArrayRealVector
import ru.inr.mass.minuit.*
/**
*
* @version $Id$
*/
internal class HessianGradientCalculator(fcn: MnFcn, par: MnUserTransformation, stra: MnStrategy) : GradientCalculator {
private val theFcn: MnFcn = fcn
private val theStrategy: MnStrategy
private val theTransformation: MnUserTransformation
fun deltaGradient(par: MinimumParameters, gradient: FunctionGradient): Pair<FunctionGradient, RealVector> {
require(par.isValid()) { "parameters are invalid" }
val x: RealVector = par.vec().copy()
val grd: RealVector = gradient.getGradient().copy()
val g2: RealVector = gradient.getGradientDerivative()
val gstep: RealVector = gradient.getStep()
val fcnmin: Double = par.fval()
// std::cout<<"fval: "<<fcnmin<<std::endl;
val dfmin: Double = 4.0 * precision().eps2() * (abs(fcnmin) + theFcn.errorDef())
val n: Int = x.getDimension()
val dgrd: RealVector = ArrayRealVector(n)
// initial starting values
for (i in 0 until n) {
val xtf: Double = x.getEntry(i)
val dmin: Double = 4.0 * precision().eps2() * (xtf + precision().eps2())
val epspri: Double = precision().eps2() + abs(grd.getEntry(i) * precision().eps2())
val optstp: Double = sqrt(dfmin / (abs(g2.getEntry(i)) + epspri))
var d: Double = 0.2 * abs(gstep.getEntry(i))
if (d > optstp) {
d = optstp
}
if (d < dmin) {
d = dmin
}
var chgold = 10000.0
var dgmin = 0.0
var grdold = 0.0
var grdnew = 0.0
for (j in 0 until ncycle()) {
x.setEntry(i, xtf + d)
val fs1: Double = theFcn.value(x)
x.setEntry(i, xtf - d)
val fs2: Double = theFcn.value(x)
x.setEntry(i, xtf)
// double sag = 0.5*(fs1+fs2-2.*fcnmin);
grdold = grd.getEntry(i)
grdnew = (fs1 - fs2) / (2.0 * d)
dgmin = precision().eps() * (abs(fs1) + abs(fs2)) / d
if (abs(grdnew) < precision().eps()) {
break
}
val change: Double = abs((grdold - grdnew) / grdnew)
if (change > chgold && j > 1) {
break
}
chgold = change
grd.setEntry(i, grdnew)
if (change < 0.05) {
break
}
if (abs(grdold - grdnew) < dgmin) {
break
}
if (d < dmin) {
break
}
d *= 0.2
}
dgrd.setEntry(i, max(dgmin, abs(grdold - grdnew)))
}
return Pair(FunctionGradient(grd, g2, gstep), dgrd)
}
fun fcn(): MnFcn {
return theFcn
}
fun gradTolerance(): Double {
return strategy().gradientTolerance()
}
/** {@inheritDoc} */
fun gradient(par: MinimumParameters): FunctionGradient {
val gc = InitialGradientCalculator(theFcn, theTransformation, theStrategy)
val gra: FunctionGradient = gc.gradient(par)
return gradient(par, gra)
}
/** {@inheritDoc} */
fun gradient(par: MinimumParameters, gradient: FunctionGradient): FunctionGradient {
return deltaGradient(par, gradient).getFirst()
}
fun ncycle(): Int {
return strategy().hessianGradientNCycles()
}
fun precision(): MnMachinePrecision {
return theTransformation.precision()
}
fun stepTolerance(): Double {
return strategy().gradientStepTolerance()
}
fun strategy(): MnStrategy {
return theStrategy
}
fun trafo(): MnUserTransformation {
return theTransformation
}
init {
theTransformation = par
theStrategy = stra
}
}

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/*
* Copyright 2015 Alexander Nozik.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at
*
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
package ru.inr.mass.minuit
import org.apache.commons.math3.linear.ArrayRealVector
import ru.inr.mass.minuit.*
/**
* Calculating derivatives via finite differences
* @version $Id$
*/
internal class InitialGradientCalculator(fcn: MnFcn, par: MnUserTransformation, stra: MnStrategy) {
private val theFcn: MnFcn = fcn
private val theStrategy: MnStrategy
private val theTransformation: MnUserTransformation
fun fcn(): MnFcn {
return theFcn
}
fun gradTolerance(): Double {
return strategy().gradientTolerance()
}
fun gradient(par: MinimumParameters): FunctionGradient {
require(par.isValid()) { "Parameters are invalid" }
val n: Int = trafo().variableParameters()
require(n == par.vec().getDimension()) { "Parameters have invalid size" }
val gr: RealVector = ArrayRealVector(n)
val gr2: RealVector = ArrayRealVector(n)
val gst: RealVector = ArrayRealVector(n)
// initial starting values
for (i in 0 until n) {
val exOfIn: Int = trafo().extOfInt(i)
val `var`: Double = par.vec().getEntry(i) //parameter value
val werr: Double = trafo().parameter(exOfIn).error() //parameter error
val sav: Double = trafo().int2ext(i, `var`) //value after transformation
var sav2 = sav + werr //value after transfomation + error
if (trafo().parameter(exOfIn).hasLimits()) {
if (trafo().parameter(exOfIn).hasUpperLimit()
&& sav2 > trafo().parameter(exOfIn).upperLimit()
) {
sav2 = trafo().parameter(exOfIn).upperLimit()
}
}
var var2: Double = trafo().ext2int(exOfIn, sav2)
val vplu = var2 - `var`
sav2 = sav - werr
if (trafo().parameter(exOfIn).hasLimits()) {
if (trafo().parameter(exOfIn).hasLowerLimit()
&& sav2 < trafo().parameter(exOfIn).lowerLimit()
) {
sav2 = trafo().parameter(exOfIn).lowerLimit()
}
}
var2 = trafo().ext2int(exOfIn, sav2)
val vmin = var2 - `var`
val dirin: Double = 0.5 * (abs(vplu) + abs(vmin))
val g2: Double = 2.0 * theFcn.errorDef() / (dirin * dirin)
val gsmin: Double = 8.0 * precision().eps2() * (abs(`var`) + precision().eps2())
var gstep: Double = max(gsmin, 0.1 * dirin)
val grd = g2 * dirin
if (trafo().parameter(exOfIn).hasLimits()) {
if (gstep > 0.5) {
gstep = 0.5
}
}
gr.setEntry(i, grd)
gr2.setEntry(i, g2)
gst.setEntry(i, gstep)
}
return FunctionGradient(gr, gr2, gst)
}
fun gradient(par: MinimumParameters, gra: FunctionGradient?): FunctionGradient {
return gradient(par)
}
fun ncycle(): Int {
return strategy().gradientNCycles()
}
fun precision(): MnMachinePrecision {
return theTransformation.precision()
}
fun stepTolerance(): Double {
return strategy().gradientStepTolerance()
}
fun strategy(): MnStrategy {
return theStrategy
}
fun trafo(): MnUserTransformation {
return theTransformation
}
init {
theTransformation = par
theStrategy = stra
}
}

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/*
* Copyright 2015 Alexander Nozik.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at
*
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
package space.kscience.kmath.optimization.minuit
/**
* Контейнер для несимметричных оценок и доверительных интервалов
*
* @author Darksnake
* @version $Id: $Id
*/
class MINOSResult
/**
*
* Constructor for MINOSResult.
*
* @param list an array of [String] objects.
*/(private val names: Array<String>, private val errl: DoubleArray?, private val errp: DoubleArray?) :
IntervalEstimate {
fun getNames(): NameList {
return NameList(names)
}
fun getInterval(parName: String?): Pair<Value, Value> {
val index: Int = getNames().getNumberByName(parName)
return Pair(ValueFactory.of(errl!![index]), ValueFactory.of(errp!![index]))
}
val cL: Double
get() = 0.68
/** {@inheritDoc} */
fun print(out: PrintWriter) {
if (errl != null || errp != null) {
out.println()
out.println("Assymetrical errors:")
out.println()
out.println("Name\tLower\tUpper")
for (i in 0 until getNames().size()) {
out.print(getNames().get(i))
out.print("\t")
if (errl != null) {
out.print(errl[i])
} else {
out.print("---")
}
out.print("\t")
if (errp != null) {
out.print(errp[i])
} else {
out.print("---")
}
out.println()
}
}
}
}

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/*
* Copyright 2018-2021 KMath contributors.
* Use of this source code is governed by the Apache 2.0 license that can be found in the license/LICENSE.txt file.
*/
package space.kscience.kmath.optimization.minuit
import ru.inr.mass.minuit.*
/**
*
*
* MINUITFitter class.
*
* @author Darksnake
* @version $Id: $Id
*/
class MINUITFitter : Fitter {
fun run(state: FitState, parentLog: History?, meta: Meta): FitResult {
val log = Chronicle("MINUIT", parentLog)
val action: String = meta.getString("action", TASK_RUN)
log.report("MINUIT fit engine started action '{}'", action)
return when (action) {
TASK_COVARIANCE -> runHesse(state, log, meta)
TASK_SINGLE, TASK_RUN -> runFit(state, log, meta)
else -> throw IllegalArgumentException("Unknown task")
}
}
@NotNull
fun getName(): String {
return MINUIT_ENGINE_NAME
}
/**
*
*
* runHesse.
*
* @param state a [hep.dataforge.stat.fit.FitState] object.
* @param log
* @return a [FitResult] object.
*/
fun runHesse(state: FitState, log: History, meta: Meta?): FitResult {
val strategy: Int
strategy = Global.INSTANCE.getInt("MINUIT_STRATEGY", 2)
log.report("Generating errors using MnHesse 2-nd order gradient calculator.")
val fcn: MultiFunction
val fitPars: Array<String> = Fitter.Companion.getFitPars(state, meta)
val pars: ParamSet = state.getParameters()
fcn = MINUITUtils.getFcn(state, pars, fitPars)
val hesse = MnHesse(strategy)
val mnState: MnUserParameterState = hesse.calculate(fcn, MINUITUtils.getFitParameters(pars, fitPars))
val allPars: ParamSet = pars.copy()
for (fitPar in fitPars) {
allPars.setParValue(fitPar, mnState.value(fitPar))
allPars.setParError(fitPar, mnState.error(fitPar))
}
val newState: FitState.Builder = state.edit()
newState.setPars(allPars)
if (mnState.hasCovariance()) {
val mnCov: MnUserCovariance = mnState.covariance()
var j: Int
val cov = Array(mnState.variableParameters()) { DoubleArray(mnState.variableParameters()) }
for (i in 0 until mnState.variableParameters()) {
j = 0
while (j < mnState.variableParameters()) {
cov[i][j] = mnCov.get(i, j)
j++
}
}
newState.setCovariance(NamedMatrix(fitPars, cov), true)
}
return FitResult.build(newState.build(), fitPars)
}
fun runFit(state: FitState, log: History, meta: Meta): FitResult {
val minuit: MnApplication
log.report("Starting fit using Minuit.")
val strategy: Int
strategy = Global.INSTANCE.getInt("MINUIT_STRATEGY", 2)
var force: Boolean
force = Global.INSTANCE.getBoolean("FORCE_DERIVS", false)
val fitPars: Array<String> = Fitter.Companion.getFitPars(state, meta)
for (fitPar in fitPars) {
if (!state.modelProvidesDerivs(fitPar)) {
force = true
log.reportError("Model does not provide derivatives for parameter '{}'", fitPar)
}
}
if (force) {
log.report("Using MINUIT gradient calculator.")
}
val fcn: MultiFunction
val pars: ParamSet = state.getParameters().copy()
fcn = MINUITUtils.getFcn(state, pars, fitPars)
val method: String = meta.getString("method", MINUIT_MIGRAD)
when (method) {
MINUIT_MINOS, MINUIT_MINIMIZE -> minuit =
MnMinimize(fcn, MINUITUtils.getFitParameters(pars, fitPars), strategy)
MINUIT_SIMPLEX -> minuit = MnSimplex(fcn, MINUITUtils.getFitParameters(pars, fitPars), strategy)
else -> minuit = MnMigrad(fcn, MINUITUtils.getFitParameters(pars, fitPars), strategy)
}
if (force) {
minuit.setUseAnalyticalDerivatives(false)
log.report("Forced to use MINUIT internal derivative calculator!")
}
// minuit.setUseAnalyticalDerivatives(true);
val minimum: FunctionMinimum
val maxSteps: Int = meta.getInt("iterations", -1)
val tolerance: Double = meta.getDouble("tolerance", -1)
minimum = if (maxSteps > 0) {
if (tolerance > 0) {
minuit.minimize(maxSteps, tolerance)
} else {
minuit.minimize(maxSteps)
}
} else {
minuit.minimize()
}
if (!minimum.isValid()) {
log.report("Minimization failed!")
}
log.report("MINUIT run completed in {} function calls.", minimum.nfcn())
/*
* Генерация результата
*/
val allPars: ParamSet = pars.copy()
for (fitPar in fitPars) {
allPars.setParValue(fitPar, minimum.userParameters().value(fitPar))
allPars.setParError(fitPar, minimum.userParameters().error(fitPar))
}
val newState: FitState.Builder = state.edit()
newState.setPars(allPars)
var valid: Boolean = minimum.isValid()
if (minimum.userCovariance().nrow() > 0) {
var j: Int
val cov = Array(minuit.variableParameters()) { DoubleArray(minuit.variableParameters()) }
if (cov[0].length == 1) {
cov[0][0] = minimum.userParameters().error(0) * minimum.userParameters().error(0)
} else {
for (i in 0 until minuit.variableParameters()) {
j = 0
while (j < minuit.variableParameters()) {
cov[i][j] = minimum.userCovariance().get(i, j)
j++
}
}
}
newState.setCovariance(NamedMatrix(fitPars, cov), true)
}
if (method == MINUIT_MINOS) {
log.report("Starting MINOS procedure for precise error estimation.")
val minos = MnMinos(fcn, minimum, strategy)
var mnError: MinosError
val errl = DoubleArray(fitPars.size)
val errp = DoubleArray(fitPars.size)
for (i in fitPars.indices) {
mnError = minos.minos(i)
if (mnError.isValid()) {
errl[i] = mnError.lower()
errp[i] = mnError.upper()
} else {
valid = false
}
}
val minosErrors = MINOSResult(fitPars, errl, errp)
newState.setInterval(minosErrors)
}
return FitResult.build(newState.build(), valid, fitPars)
}
companion object {
/**
* Constant `MINUIT_MIGRAD="MIGRAD"`
*/
const val MINUIT_MIGRAD = "MIGRAD"
/**
* Constant `MINUIT_MINIMIZE="MINIMIZE"`
*/
const val MINUIT_MINIMIZE = "MINIMIZE"
/**
* Constant `MINUIT_SIMPLEX="SIMPLEX"`
*/
const val MINUIT_SIMPLEX = "SIMPLEX"
/**
* Constant `MINUIT_MINOS="MINOS"`
*/
const val MINUIT_MINOS = "MINOS" //MINOS errors
/**
* Constant `MINUIT_HESSE="HESSE"`
*/
const val MINUIT_HESSE = "HESSE" //HESSE errors
/**
* Constant `MINUIT_ENGINE_NAME="MINUIT"`
*/
const val MINUIT_ENGINE_NAME = "MINUIT"
}
}

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/*
* Copyright 2018-2021 KMath contributors.
* Use of this source code is governed by the Apache 2.0 license that can be found in the license/LICENSE.txt file.
*/
package space.kscience.kmath.optimization.minuit
import hep.dataforge.context.*
/**
* Мэнеджер для MINUITа. Пока не играет никакой активной роли кроме ведения
* внутреннего лога.
*
* @author Darksnake
* @version $Id: $Id
*/
@PluginDef(group = "hep.dataforge",
name = "MINUIT",
dependsOn = ["hep.dataforge:fitting"],
info = "The MINUIT fitter engine for DataForge fitting")
class MINUITPlugin : BasicPlugin() {
fun attach(@NotNull context: Context?) {
super.attach(context)
clearStaticLog()
}
@Provides(Fitter.FITTER_TARGET)
fun getFitter(fitterName: String): Fitter? {
return if (fitterName == "MINUIT") {
MINUITFitter()
} else {
null
}
}
@ProvidesNames(Fitter.FITTER_TARGET)
fun listFitters(): List<String> {
return listOf("MINUIT")
}
fun detach() {
clearStaticLog()
super.detach()
}
class Factory : PluginFactory() {
fun build(meta: Meta?): Plugin {
return MINUITPlugin()
}
fun getType(): java.lang.Class<out Plugin?> {
return MINUITPlugin::class.java
}
}
companion object {
/**
* Constant `staticLog`
*/
private val staticLog: Chronicle? = Chronicle("MINUIT-STATIC", Global.INSTANCE.getHistory())
/**
*
*
* clearStaticLog.
*/
fun clearStaticLog() {
staticLog.clear()
}
/**
*
*
* logStatic.
*
* @param str a [String] object.
* @param pars a [Object] object.
*/
fun logStatic(str: String?, vararg pars: Any?) {
checkNotNull(staticLog) { "MINUIT log is not initialized." }
staticLog.report(str, pars)
LoggerFactory.getLogger("MINUIT").info(String.format(str, *pars))
// Out.out.printf(str,pars);
// Out.out.println();
}
}
}

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/*
* Copyright 2018-2021 KMath contributors.
* Use of this source code is governed by the Apache 2.0 license that can be found in the license/LICENSE.txt file.
*/
package space.kscience.kmath.optimization.minuit
import hep.dataforge.MINUIT.FunctionMinimum
internal object MINUITUtils {
fun getFcn(source: FitState, allPar: ParamSet, fitPars: Array<String>): MultiFunction {
return MnFunc(source, allPar, fitPars)
}
fun getFitParameters(set: ParamSet, fitPars: Array<String>): MnUserParameters {
val pars = MnUserParameters()
var i: Int
var par: Param
i = 0
while (i < fitPars.size) {
par = set.getByName(fitPars[i])
pars.add(fitPars[i], par.getValue(), par.getErr())
if (par.getLowerBound() > Double.NEGATIVE_INFINITY && par.getUpperBound() < Double.POSITIVE_INFINITY) {
pars.setLimits(i, par.getLowerBound(), par.getUpperBound())
} else if (par.getLowerBound() > Double.NEGATIVE_INFINITY) {
pars.setLowerLimit(i, par.getLowerBound())
} else if (par.getUpperBound() < Double.POSITIVE_INFINITY) {
pars.setUpperLimit(i, par.getUpperBound())
}
i++
}
return pars
}
fun getValueSet(allPar: ParamSet, names: Array<String>, values: DoubleArray): ParamSet {
assert(values.size == names.size)
assert(allPar.getNames().contains(names))
val vector: ParamSet = allPar.copy()
for (i in values.indices) {
vector.setParValue(names[i], values[i])
}
return vector
}
fun isValidArray(ar: DoubleArray): Boolean {
for (i in ar.indices) {
if (java.lang.Double.isNaN(ar[i])) {
return false
}
}
return true
}
/**
*
*
* printMINUITResult.
*
* @param out a [PrintWriter] object.
* @param minimum a [hep.dataforge.MINUIT.FunctionMinimum] object.
*/
fun printMINUITResult(out: PrintWriter, minimum: FunctionMinimum?) {
out.println()
out.println("***MINUIT INTERNAL FIT INFORMATION***")
out.println()
MnPrint.print(out, minimum)
out.println()
out.println("***END OF MINUIT INTERNAL FIT INFORMATION***")
out.println()
}
internal class MnFunc(source: FitState, allPar: ParamSet, fitPars: Array<String>) : MultiFunction {
var source: FitState
var allPar: ParamSet
var fitPars: Array<String>
fun value(doubles: DoubleArray): Double {
assert(isValidArray(doubles))
assert(doubles.size == fitPars.size)
return -2 * source.getLogProb(getValueSet(allPar, fitPars, doubles))
// source.getChi2(getValueSet(allPar, fitPars, doubles));
}
@Throws(NotDefinedException::class)
fun derivValue(n: Int, doubles: DoubleArray): Double {
assert(isValidArray(doubles))
assert(doubles.size == getDimension())
val set: ParamSet = getValueSet(allPar, fitPars, doubles)
// double res;
// double d, s, deriv;
//
// res = 0;
// for (int i = 0; i < source.getDataNum(); i++) {
// d = source.getDis(i, set);
// s = source.getDispersion(i, set);
// if (source.modelProvidesDerivs(fitPars[n])) {
// deriv = source.getDisDeriv(fitPars[n], i, set);
// } else {
// throw new NotDefinedException();
// // Такого не должно быть, поскольку мы где-то наверху должы были проверить, что производные все есть.
// }
// res += 2 * d * deriv / s;
// }
return -2 * source.getLogProbDeriv(fitPars[n], set)
}
fun getDimension(): Int {
return fitPars.size
}
fun providesDeriv(n: Int): Boolean {
return source.modelProvidesDerivs(fitPars[n])
}
init {
this.source = source
this.allPar = allPar
this.fitPars = fitPars
assert(source.getModel().getNames().contains(fitPars))
}
}
}

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/*
* Copyright 2015 Alexander Nozik.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at
*
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
package ru.inr.mass.minuit
import space.kscience.kmath.optimization.minuit.MinimumSeed
/**
*
* @version $Id$
*/
interface MinimumBuilder {
/**
*
* minimum.
*
* @param fcn a [hep.dataforge.MINUIT.MnFcn] object.
* @param gc a [hep.dataforge.MINUIT.GradientCalculator] object.
* @param seed a [hep.dataforge.MINUIT.MinimumSeed] object.
* @param strategy a [hep.dataforge.MINUIT.MnStrategy] object.
* @param maxfcn a int.
* @param toler a double.
* @return a [hep.dataforge.MINUIT.FunctionMinimum] object.
*/
fun minimum(
fcn: MnFcn?,
gc: GradientCalculator?,
seed: MinimumSeed?,
strategy: MnStrategy?,
maxfcn: Int,
toler: Double
): FunctionMinimum
}

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/*
* Copyright 2015 Alexander Nozik.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at
*
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
package ru.inr.mass.minuit
import space.kscience.kmath.optimization.minuit.MINUITPlugin
/**
* MinimumError keeps the inverse 2nd derivative (inverse Hessian) used for
* calculating the parameter step size (-V*g) and for the covariance update
* (ErrorUpdator). The covariance matrix is equal to twice the inverse Hessian.
*
* @version $Id$
*/
class MinimumError {
private var theAvailable = false
private var theDCovar: Double
private var theHesseFailed = false
private var theInvertFailed = false
private var theMadePosDef = false
private var theMatrix: MnAlgebraicSymMatrix
private var thePosDef = false
private var theValid = false
constructor(n: Int) {
theMatrix = MnAlgebraicSymMatrix(n)
theDCovar = 1.0
}
constructor(mat: MnAlgebraicSymMatrix, dcov: Double) {
theMatrix = mat
theDCovar = dcov
theValid = true
thePosDef = true
theAvailable = true
}
constructor(mat: MnAlgebraicSymMatrix, x: MnHesseFailed?) {
theMatrix = mat
theDCovar = 1.0
theValid = false
thePosDef = false
theMadePosDef = false
theHesseFailed = true
theInvertFailed = false
theAvailable = true
}
constructor(mat: MnAlgebraicSymMatrix, x: MnMadePosDef?) {
theMatrix = mat
theDCovar = 1.0
theValid = false
thePosDef = false
theMadePosDef = true
theHesseFailed = false
theInvertFailed = false
theAvailable = true
}
constructor(mat: MnAlgebraicSymMatrix, x: MnInvertFailed?) {
theMatrix = mat
theDCovar = 1.0
theValid = false
thePosDef = true
theMadePosDef = false
theHesseFailed = false
theInvertFailed = true
theAvailable = true
}
constructor(mat: MnAlgebraicSymMatrix, x: MnNotPosDef?) {
theMatrix = mat
theDCovar = 1.0
theValid = false
thePosDef = false
theMadePosDef = false
theHesseFailed = false
theInvertFailed = false
theAvailable = true
}
fun dcovar(): Double {
return theDCovar
}
fun hesseFailed(): Boolean {
return theHesseFailed
}
fun hessian(): MnAlgebraicSymMatrix {
return try {
val tmp: MnAlgebraicSymMatrix = theMatrix.copy()
tmp.invert()
tmp
} catch (x: SingularMatrixException) {
MINUITPlugin.logStatic("BasicMinimumError inversion fails; return diagonal matrix.")
val tmp = MnAlgebraicSymMatrix(theMatrix.nrow())
var i = 0
while (i < theMatrix.nrow()) {
tmp[i, i] = 1.0 / theMatrix[i, i]
i++
}
tmp
}
}
fun invHessian(): MnAlgebraicSymMatrix {
return theMatrix
}
fun invertFailed(): Boolean {
return theInvertFailed
}
fun isAccurate(): Boolean {
return theDCovar < 0.1
}
fun isAvailable(): Boolean {
return theAvailable
}
fun isMadePosDef(): Boolean {
return theMadePosDef
}
fun isPosDef(): Boolean {
return thePosDef
}
fun isValid(): Boolean {
return theValid
}
fun matrix(): MnAlgebraicSymMatrix {
return MnUtils.mul(theMatrix, 2)
}
internal class MnHesseFailed
internal class MnInvertFailed
internal class MnMadePosDef
internal class MnNotPosDef
}

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/*
* Copyright 2015 Alexander Nozik.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at
*
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
package ru.inr.mass.minuit
/**
*
* @version $Id$
*/
internal interface MinimumErrorUpdator {
/**
*
* update.
*
* @param state a [hep.dataforge.MINUIT.MinimumState] object.
* @param par a [hep.dataforge.MINUIT.MinimumParameters] object.
* @param grad a [hep.dataforge.MINUIT.FunctionGradient] object.
* @return a [hep.dataforge.MINUIT.MinimumError] object.
*/
fun update(state: MinimumState?, par: MinimumParameters?, grad: FunctionGradient?): MinimumError?
}

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/*
* Copyright 2015 Alexander Nozik.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at
*
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
package ru.inr.mass.minuit
import org.apache.commons.math3.linear.ArrayRealVector
/**
*
* @version $Id$
*/
class MinimumParameters {
private var theFVal = 0.0
private var theHasStep = false
private var theParameters: RealVector
private var theStepSize: RealVector
private var theValid = false
constructor(n: Int) {
theParameters = ArrayRealVector(n)
theStepSize = ArrayRealVector(n)
}
constructor(avec: RealVector, fval: Double) {
theParameters = avec
theStepSize = ArrayRealVector(avec.getDimension())
theFVal = fval
theValid = true
}
constructor(avec: RealVector, dirin: RealVector, fval: Double) {
theParameters = avec
theStepSize = dirin
theFVal = fval
theValid = true
theHasStep = true
}
fun dirin(): RealVector {
return theStepSize
}
fun fval(): Double {
return theFVal
}
fun hasStepSize(): Boolean {
return theHasStep
}
fun isValid(): Boolean {
return theValid
}
fun vec(): RealVector {
return theParameters
}
}

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/*
* Copyright 2015 Alexander Nozik.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at
*
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
package space.kscience.kmath.optimization.minuit
import ru.inr.mass.minuit.*
/**
*
* @version $Id$
*/
class MinimumSeed(state: MinimumState, trafo: MnUserTransformation) {
private val theState: MinimumState = state
private val theTrafo: MnUserTransformation = trafo
private val theValid: Boolean = true
val edm: Double get() = state().edm()
fun error(): MinimumError {
return state().error()
}
fun fval(): Double {
return state().fval()
}
fun gradient(): FunctionGradient {
return state().gradient()
}
fun isValid(): Boolean {
return theValid
}
fun nfcn(): Int {
return state().nfcn()
}
fun parameters(): MinimumParameters {
return state().parameters()
}
fun precision(): MnMachinePrecision {
return theTrafo.precision()
}
fun state(): MinimumState {
return theState
}
fun trafo(): MnUserTransformation {
return theTrafo
}
}

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/*
* Copyright 2015 Alexander Nozik.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at
*
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
package ru.inr.mass.minuit
import space.kscience.kmath.optimization.minuit.MinimumSeed
/**
* base class for seed generators (starting values); the seed generator prepares
* initial starting values from the input (MnUserParameterState) for the
* minimization;
*
* @version $Id$
*/
interface MinimumSeedGenerator {
/**
*
* generate.
*
* @param fcn a [hep.dataforge.MINUIT.MnFcn] object.
* @param calc a [hep.dataforge.MINUIT.GradientCalculator] object.
* @param user a [hep.dataforge.MINUIT.MnUserParameterState] object.
* @param stra a [hep.dataforge.MINUIT.MnStrategy] object.
* @return a [hep.dataforge.MINUIT.MinimumSeed] object.
*/
fun generate(fcn: MnFcn?, calc: GradientCalculator?, user: MnUserParameterState?, stra: MnStrategy?): MinimumSeed
}

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