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Advanced configuration API for cm-optimization

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This commit is contained in:
Alexander Nozik 2020-10-25 19:31:12 +03:00
parent d826dd9e83
commit 1fbe12149d
9 changed files with 188 additions and 114 deletions
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4
.space.kts
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@ -1 +1,3 @@
job("Build") { gradlew("openjdk:11", "build") }
job("Build") {
gradlew("openjdk:11", "build")
}

2
kmath-commons/src/main/kotlin/kscience/kmath/commons/expressions/DerivativeStructureExpression.kt
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@ -106,7 +106,7 @@ public class DerivativeStructureExpression(
/**
* Get the derivative expression with given orders
*/
public override fun derivative(orders: Map<Symbol, Int>): Expression<Double> = Expression { arguments ->
public override fun derivativeOrNull(orders: Map<Symbol, Int>): Expression<Double> = Expression { arguments ->
with(DerivativeStructureField(orders.values.maxOrNull() ?: 0, arguments)) { function().derivative(orders) }
}
}

100
kmath-commons/src/main/kotlin/kscience/kmath/commons/optimization/CMOptimizationProblem.kt Normal file
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@ -0,0 +1,100 @@
package kscience.kmath.commons.optimization
import kscience.kmath.expressions.*
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 kotlin.reflect.KClass
public operator fun PointValuePair.component1(): DoubleArray = point
public operator fun PointValuePair.component2(): Double = value
public class CMOptimizationProblem(
override val symbols: List<Symbol>,
) : OptimizationProblem<Double>, SymbolIndexer {
protected val optimizationData: HashMap<KClass<out OptimizationData>, OptimizationData> = HashMap()
private var optimizatorBuilder: (() -> MultivariateOptimizer)? = null
public var convergenceChecker: ConvergenceChecker<PointValuePair> = SimpleValueChecker(DEFAULT_RELATIVE_TOLERANCE,
DEFAULT_ABSOLUTE_TOLERANCE, DEFAULT_MAX_ITER)
private fun addOptimizationData(data: OptimizationData) {
optimizationData[data::class] = data
}
init {
addOptimizationData(MaxEval.unlimited())
}
public fun initialGuess(map: Map<Symbol, Double>): Unit {
addOptimizationData(InitialGuess(map.toDoubleArray()))
}
public fun expression(expression: Expression<Double>): Unit {
val objectiveFunction = ObjectiveFunction {
val args = it.toMap()
expression(args)
}
addOptimizationData(objectiveFunction)
}
public fun derivatives(expression: DifferentiableExpression<Double>): Unit {
expression(expression)
val gradientFunction = ObjectiveFunctionGradient {
val args = it.toMap()
DoubleArray(symbols.size) { index ->
expression.derivative(symbols[index])(args)
}
}
addOptimizationData(gradientFunction)
if (optimizatorBuilder == null) {
optimizatorBuilder = {
NonLinearConjugateGradientOptimizer(
NonLinearConjugateGradientOptimizer.Formula.FLETCHER_REEVES,
convergenceChecker
)
}
}
}
public fun simplex(simplex: AbstractSimplex) {
addOptimizationData(simplex)
//Set optimization builder to simplex if it is not present
if (optimizatorBuilder == null) {
optimizatorBuilder = { 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) {
optimizatorBuilder = block
}
override fun optimize(): OptimizationResult<Double> {
val optimizer = optimizatorBuilder?.invoke() ?: error("Optimizer not defined")
val (point, value) = optimizer.optimize(*optimizationData.values.toTypedArray())
return OptimizationResult(point.toMap(), value)
}
public companion object {
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 fun CMOptimizationProblem.initialGuess(vararg pairs: Pair<Symbol, Double>): Unit = initialGuess(pairs.toMap())
public fun CMOptimizationProblem.simplexSteps(vararg pairs: Pair<Symbol, Double>): Unit = simplexSteps(pairs.toMap())

17
kmath-commons/src/main/kotlin/kscience/kmath/commons/optimization/OptimizationProblem.kt Normal file
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@ -0,0 +1,17 @@
package kscience.kmath.commons.optimization
import kscience.kmath.expressions.Symbol
import kotlin.reflect.KClass
public typealias ParameterSpacePoint<T> = Map<Symbol, T>
public class OptimizationResult<T>(
public val point: ParameterSpacePoint<T>,
public val value: T,
public val extra: Map<KClass<*>, Any> = emptyMap()
)
public interface OptimizationProblem<T : Any> {
public fun optimize(): OptimizationResult<T>
}

105
kmath-commons/src/main/kotlin/kscience/kmath/commons/optimization/optimize.kt
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@ -1,103 +1,32 @@
package kscience.kmath.commons.optimization
import kscience.kmath.expressions.*
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 kscience.kmath.expressions.DifferentiableExpression
import kscience.kmath.expressions.Expression
import kscience.kmath.expressions.Symbol
public typealias ParameterSpacePoint = Map<Symbol, Double>
public class OptimizationResult(public val point: ParameterSpacePoint, public val value: Double)
public operator fun PointValuePair.component1(): DoubleArray = point
public operator fun PointValuePair.component2(): Double = value
public object Optimization {
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
}
private fun SymbolIndexer.objectiveFunction(expression: Expression<Double>) = ObjectiveFunction {
val args = it.toMap()
expression(args)
}
private fun SymbolIndexer.objectiveFunctionGradient(
expression: DifferentiableExpression<Double>,
) = ObjectiveFunctionGradient {
val args = it.toMap()
DoubleArray(symbols.size) { index ->
expression.derivative(symbols[index])(args)
}
}
private fun SymbolIndexer.initialGuess(point: ParameterSpacePoint) = InitialGuess(point.toArray())
/**
* Optimize expression without derivatives
*/
public fun Expression<Double>.optimize(
startingPoint: ParameterSpacePoint,
goalType: GoalType = GoalType.MAXIMIZE,
vararg additionalArguments: OptimizationData,
optimizerBuilder: () -> MultivariateOptimizer = {
SimplexOptimizer(
SimpleValueChecker(
Optimization.DEFAULT_RELATIVE_TOLERANCE,
Optimization.DEFAULT_ABSOLUTE_TOLERANCE,
Optimization.DEFAULT_MAX_ITER
)
)
},
): OptimizationResult = withSymbols(startingPoint.keys) {
val optimizer = optimizerBuilder()
val objectiveFunction = objectiveFunction(this@optimize)
val (point, value) = optimizer.optimize(
objectiveFunction,
initialGuess(startingPoint),
goalType,
MaxEval.unlimited(),
NelderMeadSimplex(symbols.size, 1.0),
*additionalArguments
)
OptimizationResult(point.toMap(), value)
vararg symbols: Symbol,
configuration: CMOptimizationProblem.() -> Unit,
): OptimizationResult<Double> {
require(symbols.isNotEmpty()) { "Must provide a list of symbols for optimization" }
val problem = CMOptimizationProblem(symbols.toList()).apply(configuration).apply(configuration)
problem.expression(this)
return problem.optimize()
}
/**
* Optimize differentiable expression
*/
public fun DifferentiableExpression<Double>.optimize(
startingPoint: ParameterSpacePoint,
goalType: GoalType = GoalType.MAXIMIZE,
vararg additionalArguments: OptimizationData,
optimizerBuilder: () -> NonLinearConjugateGradientOptimizer = {
NonLinearConjugateGradientOptimizer(
NonLinearConjugateGradientOptimizer.Formula.FLETCHER_REEVES,
SimpleValueChecker(
Optimization.DEFAULT_RELATIVE_TOLERANCE,
Optimization.DEFAULT_ABSOLUTE_TOLERANCE,
Optimization.DEFAULT_MAX_ITER
)
)
},
): OptimizationResult = withSymbols(startingPoint.keys) {
val optimizer = optimizerBuilder()
val objectiveFunction = objectiveFunction(this@optimize)
val objectiveGradient = objectiveFunctionGradient(this@optimize)
val (point, value) = optimizer.optimize(
objectiveFunction,
objectiveGradient,
initialGuess(startingPoint),
goalType,
MaxEval.unlimited(),
*additionalArguments
)
OptimizationResult(point.toMap(), value)
vararg symbols: Symbol,
configuration: CMOptimizationProblem.() -> Unit,
): OptimizationResult<Double> {
require(symbols.isNotEmpty()) { "Must provide a list of symbols for optimization" }
val problem = CMOptimizationProblem(symbols.toList()).apply(configuration).apply(configuration)
problem.derivatives(this)
return problem.optimize()
}

18
kmath-commons/src/test/kotlin/kscience/kmath/commons/optimization/OptimizeTest.kt
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@ -1,10 +1,7 @@
package kscience.kmath.commons.optimization
import kscience.kmath.commons.expressions.DerivativeStructureExpression
import kscience.kmath.expressions.Expression
import kscience.kmath.expressions.Symbol
import kscience.kmath.expressions.symbol
import org.apache.commons.math3.optim.nonlinear.scalar.noderiv.SimplexOptimizer
import org.junit.jupiter.api.Test
internal class OptimizeTest {
@ -14,22 +11,25 @@ internal class OptimizeTest {
val normal = DerivativeStructureExpression {
val x = bind(x)
val y = bind(y)
exp(-x.pow(2)/2) + exp(-y.pow(2)/2)
exp(-x.pow(2) / 2) + exp(-y.pow(2) / 2)
}
val startingPoint: Map<Symbol, Double> = mapOf(x to 1.0, y to 1.0)
@Test
fun testOptimization() {
val result = normal.optimize(startingPoint)
val result = normal.optimize(x, y) {
initialGuess(x to 1.0, y to 1.0)
//no need to select optimizer. Gradient optimizer is used by default
}
println(result.point)
println(result.value)
}
@Test
fun testSimplexOptimization() {
val result = (normal as Expression<Double>).optimize(startingPoint){
SimplexOptimizer(1e-4,1e-4)
val result = normal.optimize(x, y) {
initialGuess(x to 1.0, y to 1.0)
simplexSteps(x to 2.0, y to 0.5)
//this sets simplex optimizer
}
println(result.point)
println(result.value)

21
kmath-core/src/commonMain/kotlin/kscience/kmath/expressions/DifferentiableExpression.kt
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@ -4,9 +4,15 @@ package kscience.kmath.expressions
* And object that could be differentiated
*/
public interface Differentiable<T> {
public fun derivative(orders: Map<Symbol, Int>): T
public fun derivativeOrNull(orders: Map<Symbol, Int>): T?
}
public fun <T> Differentiable<T>.derivative(orders: Map<Symbol, Int>): T =
derivativeOrNull(orders) ?: error("Derivative with orders $orders not provided")
/**
* An expression that provid
*/
public interface DifferentiableExpression<T> : Differentiable<Expression<T>>, Expression<T>
public fun <T> DifferentiableExpression<T>.derivative(vararg orders: Pair<Symbol, Int>): Expression<T> =
@ -14,8 +20,19 @@ public fun <T> DifferentiableExpression<T>.derivative(vararg orders: Pair<Symbol
public fun <T> DifferentiableExpression<T>.derivative(symbol: Symbol): Expression<T> = derivative(symbol to 1)
public fun <T> DifferentiableExpression<T>.derivative(name: String): Expression<T> = derivative(StringSymbol(name) to 1)
public fun <T> DifferentiableExpression<T>.derivative(name: String): Expression<T> =
derivative(StringSymbol(name) to 1)
//public interface DifferentiableExpressionBuilder<T, E, A : ExpressionAlgebra<T, E>>: ExpressionBuilder<T,E,A> {
// public override fun expression(block: A.() -> E): DifferentiableExpression<T>
//}
public abstract class FirstDerivativeExpression<T> : DifferentiableExpression<T> {
public abstract fun derivativeOrNull(symbol: Symbol): Expression<T>?
public override fun derivativeOrNull(orders: Map<Symbol, Int>): Expression<T>? {
val dSymbol = orders.entries.singleOrNull { it.value == 1 }?.key ?: return null
return derivativeOrNull(dSymbol)
}
}

13
kmath-core/src/commonMain/kotlin/kscience/kmath/expressions/SimpleAutoDiff.kt
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@ -221,23 +221,16 @@ private class AutoDiffContext<T : Any, F : Field<T>>(
public class SimpleAutoDiffExpression<T : Any, F : Field<T>>(
public val field: F,
public val function: AutoDiffField<T, F>.() -> AutoDiffValue<T>,
) : DifferentiableExpression<T> {
) : FirstDerivativeExpression<T>() {
public override operator fun invoke(arguments: Map<Symbol, T>): T {
//val bindings = arguments.entries.map { it.key.bind(it.value) }
return AutoDiffContext(field, arguments).function().value
}
/**
* Get the derivative expression with given orders
*/
public override fun derivative(orders: Map<Symbol, Int>): Expression<T> {
val dSymbol = orders.entries.singleOrNull { it.value == 1 }
?: error("SimpleAutoDiff supports only first order derivatives")
return Expression { arguments ->
override fun derivativeOrNull(symbol: Symbol): Expression<T> = Expression { arguments ->
//val bindings = arguments.entries.map { it.key.bind(it.value) }
val derivationResult = AutoDiffContext(field, arguments).derivate(function)
derivationResult.derivative(dSymbol.key)
}
derivationResult.derivative(symbol)
}
}

18
kmath-core/src/commonMain/kotlin/kscience/kmath/expressions/SymbolIndexer.kt
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@ -1,7 +1,12 @@
package kscience.kmath.expressions
import kscience.kmath.linear.Point
import kscience.kmath.structures.BufferFactory
import kscience.kmath.structures.Structure2D
/**
* An environment to easy transform indexed variables to symbols and back.
* TODO requires multi-receivers to be beutiful
*/
public interface SymbolIndexer {
public val symbols: List<Symbol>
@ -22,15 +27,26 @@ public interface SymbolIndexer {
return get(this@SymbolIndexer.indexOf(symbol))
}
public operator fun <T> Point<T>.get(symbol: Symbol): T {
require(size == symbols.size) { "The input buffer size for indexer should be ${symbols.size} but $size found" }
return get(this@SymbolIndexer.indexOf(symbol))
}
public fun DoubleArray.toMap(): Map<Symbol, Double> {
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 =
get(indexOf(rowSymbol), indexOf(columnSymbol))
public fun <T> Map<Symbol, T>.toList(): List<T> = symbols.map { getValue(it) }
public fun Map<Symbol, Double>.toArray(): DoubleArray = DoubleArray(symbols.size) { getValue(symbols[it]) }
public fun <T> Map<Symbol, T>.toPoint(bufferFactory: BufferFactory<T>): Point<T> =
bufferFactory(symbols.size) { getValue(symbols[it]) }
public fun Map<Symbol, Double>.toDoubleArray(): DoubleArray = DoubleArray(symbols.size) { getValue(symbols[it]) }
}
public inline class SimpleSymbolIndexer(override val symbols: List<Symbol>) : SymbolIndexer