forked from kscience/kmath
Separate object for fitting. Chi-squared
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@ -11,6 +11,7 @@
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- A separate `Symbol` entity, which is used for global unbound symbol.
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- A separate `Symbol` entity, which is used for global unbound symbol.
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- A `Symbol` indexing scope.
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- A `Symbol` indexing scope.
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- Basic optimization API for Commons-math.
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- Basic optimization API for Commons-math.
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- Chi squared optimization for array-like data in CM
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### Changed
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### Changed
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- Package changed from `scientifik` to `kscience.kmath`.
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- Package changed from `scientifik` to `kscience.kmath`.
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@ -0,0 +1,103 @@
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package kscience.kmath.commons.optimization
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import kscience.kmath.commons.expressions.DerivativeStructureExpression
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import kscience.kmath.commons.expressions.DerivativeStructureField
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import kscience.kmath.expressions.DifferentiableExpression
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import kscience.kmath.expressions.Expression
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import kscience.kmath.expressions.StringSymbol
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import kscience.kmath.expressions.Symbol
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import kscience.kmath.structures.Buffer
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import kscience.kmath.structures.indices
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import org.apache.commons.math3.analysis.differentiation.DerivativeStructure
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import org.apache.commons.math3.optim.nonlinear.scalar.GoalType
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import kotlin.math.pow
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public object CMFit {
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/**
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* Generate a chi squared expression from given x-y-sigma model represented by an expression. Does not provide derivatives
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* TODO move to core/separate module
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*/
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public fun chiSquaredExpression(
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x: Buffer<Double>,
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y: Buffer<Double>,
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yErr: Buffer<Double>,
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model: Expression<Double>,
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xSymbol: Symbol = StringSymbol("x"),
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): Expression<Double> {
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require(x.size == y.size) { "X and y buffers should be of the same size" }
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require(y.size == yErr.size) { "Y and yErr buffer should of the same size" }
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return Expression { arguments ->
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x.indices.sumByDouble {
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val xValue = x[it]
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val yValue = y[it]
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val yErrValue = yErr[it]
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val modifiedArgs = arguments + (xSymbol to xValue)
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val modelValue = model(modifiedArgs)
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((yValue - modelValue) / yErrValue).pow(2) / 2
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}
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}
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}
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/**
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* Generate a chi squared expression from given x-y-sigma data and inline model. Provides automatic differentiation
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*/
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public fun chiSquaredExpression(
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x: Buffer<Double>,
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y: Buffer<Double>,
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yErr: Buffer<Double>,
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model: DerivativeStructureField.(x: DerivativeStructure) -> DerivativeStructure,
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): DerivativeStructureExpression {
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require(x.size == y.size) { "X and y buffers should be of the same size" }
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require(y.size == yErr.size) { "Y and yErr buffer should of the same size" }
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return DerivativeStructureExpression {
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var sum = zero
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x.indices.forEach {
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val xValue = x[it]
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val yValue = y[it]
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val yErrValue = yErr[it]
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val modelValue = model(const(xValue))
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sum += ((yValue - modelValue) / yErrValue).pow(2) / 2
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}
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sum
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}
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}
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}
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/**
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* Optimize expression without derivatives
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*/
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public fun Expression<Double>.optimize(
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vararg symbols: Symbol,
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configuration: CMOptimizationProblem.() -> Unit,
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): OptimizationResult<Double> {
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require(symbols.isNotEmpty()) { "Must provide a list of symbols for optimization" }
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val problem = CMOptimizationProblem(symbols.toList()).apply(configuration)
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problem.expression(this)
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return problem.optimize()
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}
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/**
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* Optimize differentiable expression
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*/
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public fun DifferentiableExpression<Double>.optimize(
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vararg symbols: Symbol,
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configuration: CMOptimizationProblem.() -> Unit,
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): OptimizationResult<Double> {
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require(symbols.isNotEmpty()) { "Must provide a list of symbols for optimization" }
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val problem = CMOptimizationProblem(symbols.toList()).apply(configuration)
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problem.diffExpression(this)
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return problem.optimize()
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}
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public fun DifferentiableExpression<Double>.minimize(
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vararg symbols: Symbol,
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configuration: CMOptimizationProblem.() -> Unit,
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): OptimizationResult<Double> {
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require(symbols.isNotEmpty()) { "Must provide a list of symbols for optimization" }
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val problem = CMOptimizationProblem(symbols.toList()).apply(configuration)
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problem.diffExpression(this)
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problem.goal(GoalType.MINIMIZE)
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return problem.optimize()
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}
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@ -1,32 +0,0 @@
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package kscience.kmath.commons.optimization
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import kscience.kmath.expressions.DifferentiableExpression
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import kscience.kmath.expressions.Expression
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import kscience.kmath.expressions.Symbol
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/**
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* Optimize expression without derivatives
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*/
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public fun Expression<Double>.optimize(
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vararg symbols: Symbol,
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configuration: CMOptimizationProblem.() -> Unit,
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): OptimizationResult<Double> {
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require(symbols.isNotEmpty()) { "Must provide a list of symbols for optimization" }
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val problem = CMOptimizationProblem(symbols.toList()).apply(configuration)
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problem.expression(this)
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return problem.optimize()
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}
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/**
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* Optimize differentiable expression
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*/
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public fun DifferentiableExpression<Double>.optimize(
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vararg symbols: Symbol,
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configuration: CMOptimizationProblem.() -> Unit,
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): OptimizationResult<Double> {
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require(symbols.isNotEmpty()) { "Must provide a list of symbols for optimization" }
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val problem = CMOptimizationProblem(symbols.toList()).apply(configuration)
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problem.diffExpression(this)
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return problem.optimize()
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}
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@ -13,7 +13,7 @@ internal class OptimizeTest {
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}
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}
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@Test
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@Test
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fun testOptimization() {
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fun testGradientOptimization() {
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val result = normal.optimize(x, y) {
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val result = normal.optimize(x, y) {
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initialGuess(x to 1.0, y to 1.0)
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initialGuess(x to 1.0, y to 1.0)
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//no need to select optimizer. Gradient optimizer is used by default because gradients are provided by function
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//no need to select optimizer. Gradient optimizer is used by default because gradients are provided by function
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