Skip to content

GitLab

Commit 8f5f181f authored by Kirill Terekhov's avatar Kirill Terekhov
Browse files

Fix and unit test 

Fix hessian calculation for sqrt and add unit test
parent 9ea0f06c
Show whitespace changes
Inline Side-by-side
Source/Headers/inmost_expression.h
View file @ 8f5f181f
......@@ -1106,7 +1106,13 @@ namespace INMOST
}
__INLINE void GetHessian(INMOST_DATA_REAL_TYPE multJ, Sparse::Row & J, INMOST_DATA_REAL_TYPE multH, Sparse::HessianRow & H) const
{
arg.GetHessian(0.5*multJ/value,J,-0.25*multH/::pow(value,3),H);
//general formula:
// (F(G))'' = F'(G) G'' + F''(G) G'.G'
Sparse::HessianRow htmp;
arg.GetHessian(multJ,J,multH,htmp);
Sparse::HessianRow::MergeJacobianHessian(-0.25/::pow(value,3.0),J,J,0.5/value,htmp,H);
for(Sparse::Row::iterator it = J.Begin(); it != J.End(); ++it) it->second *= 0.5/value;
//arg.GetHessian(0.5*multJ/value,J,-0.25*multH/::pow(value,3),H);
}
};
......
Tests/autodiff_test000/CMakeLists.txt
View file @ 8f5f181f
......@@ -17,3 +17,6 @@ endif(USE_MPI)
add_test(NAME autodiff_test000_hessian_sin COMMAND $<TARGET_FILE:autodiff_test000> 0)
add_test(NAME autodiff_test000_hessian_sin_mixed COMMAND $<TARGET_FILE:autodiff_test000> 1)
add_test(NAME autodiff_test000_hessian_cos_mixed COMMAND $<TARGET_FILE:autodiff_test000> 2)
add_test(NAME autodiff_test000_hessian_sin_mult COMMAND $<TARGET_FILE:autodiff_test000> 3)
add_test(NAME autodiff_test000_hessian_cos_mult COMMAND $<TARGET_FILE:autodiff_test000> 4)
add_test(NAME autodiff_test000_hessian_sqrt_mixed COMMAND $<TARGET_FILE:autodiff_test000> 5)
Tests/autodiff_test000/main.cpp
View file @ 8f5f181f
......@@ -8,6 +8,12 @@ int main(int argc,char ** argv)
int test = 0;
if (argc > 1) test = atoi(argv[1]);
double _x = 0.5;
double _y = 0.25;
double _dx, _dy, _dxdx, _dydy, _dxdy;
unknown x(_x,0), y(_y,1);
hessian_variable f;
if( test == 0 ) //check derivative and hessian of sin(x*x+y*y)
{
......@@ -22,35 +28,12 @@ int main(int argc,char ** argv)
// 0,0: 2*cos(x*x+y*y)-4*sin(x*x+y*y) x*x dxdx
// 0,1: -8*sin(x*x+y*y) x*y dx dy
// 1,1: 2*cos(x*x+y*y)-4*sin(x*x+y*y) y*y dydy
double _x = 0.5;
double _y = 0.25;
double _dx = 2*cos(_x*_x+_y*_y)*_x;
double _dy = 2*cos(_x*_x+_y*_y)*_y;
double _dxdx = 2*cos(_x*_x+_y*_y)-4*sin(_x*_x+_y*_y)*_x*_x;
double _dydy = 2*cos(_x*_x+_y*_y)-4*sin(_x*_x+_y*_y)*_y*_y;
double _dxdy = -8*sin(_x*_x+_y*_y)*_x*_y;
unknown x(_x,0), y(_y,1);
hessian_variable f = sin(x*x+y*y);
double dx = f.GetRow()[0];
double dy = f.GetRow()[1];
double dxdx = f.GetHessianRow()[Sparse::HessianRow::make_index(0,0)];
double dxdy = f.GetHessianRow()[Sparse::HessianRow::make_index(0,1)];
double dydy = f.GetHessianRow()[Sparse::HessianRow::make_index(1,1)];
bool error = false;
std::cout << std::setw(10) << "derivative " << std::setw(10) << "original " << std::setw(10) << "computed" << std::endl;
std::cout << std::setw(10) << "dx " << std::setw(10) << _dx << std::setw(10) << dx << std::endl;
std::cout << std::setw(10) << "dy " << std::setw(10) << _dy << std::setw(10) << dy << std::endl;
std::cout << std::setw(10) << "dxdx " << std::setw(10) << _dxdx << std::setw(10) << dxdx << std::endl;
std::cout << std::setw(10) << "dxdy " << std::setw(10) << _dxdy << std::setw(10) << dxdy << std::endl;
std::cout << std::setw(10) << "dydy " << std::setw(10) << _dydy << std::setw(10) << dydy << std::endl;
if( std::abs(dx-_dx) > 1.0e-9 ) error = true, std::cout << "Error in dx: " << std::abs(dx-_dx) << " original " << _dx << " computed " << dx << std::endl;
if( std::abs(dy-_dy) > 1.0e-9 ) error = true, std::cout << "Error in dy: " << std::abs(dy-_dy) << " original " << _dy << " computed " << dy << std::endl;
if( std::abs(dxdx-_dxdx) > 1.0e-9 ) error = true, std::cout << "Error in dxdx: " << std::abs(dxdx-_dxdx) << " original " << _dxdx << " computed " << dxdx << std::endl;
if( std::abs(dxdy-_dxdy) > 1.0e-9 ) error = true, std::cout << "Error in dxdy: " << std::abs(dxdy-_dxdy) << " original " << _dxdy << " computed " << dxdy << std::endl;
if( std::abs(dydy-_dydy) > 1.0e-9 ) error = true, std::cout << "Error in dydy: " << std::abs(dydy-_dydy) << " original " << _dydy << " computed " << dydy << std::endl;
if( error ) return -1;
_dx = 2*cos(_x*_x+_y*_y)*_x;
_dy = 2*cos(_x*_x+_y*_y)*_y;
_dxdx = 2*cos(_x*_x+_y*_y)-4*sin(_x*_x+_y*_y)*_x*_x;
_dydy = 2*cos(_x*_x+_y*_y)-4*sin(_x*_x+_y*_y)*_y*_y;
_dxdy = -8*sin(_x*_x+_y*_y)*_x*_y;
f = sin(x*x+y*y);
}
else if( test == 1 )
{
......@@ -66,35 +49,12 @@ int main(int argc,char ** argv)
// 0,0: 2cos(x*x+y*y+x*y) - sin(x*x+y*y+x*y) (2x+y)(2x+y) dxdx
// 0,1: 2cos(x*x+y*y+x*y) - 2sin(x*x+y*y+x*y) (2x+y)(2y+x) dxdy
// 1,1: 2cos(x*x+y*y+x*y) - sin(x*x+y*y+x*y) (x+2y)(x+2y) dydy
double _x = 0.5;
double _y = 0.25;
double _dx = cos(_x*_x+_y*_y+_x*_y)*(2*_x+_y);
double _dy = cos(_x*_x+_y*_y+_x*_y)*(_x+2*_y);
double _dxdx = 2*cos(_x*_x+_y*_y+_x*_y)-sin(_x*_x+_y*_y+_x*_y)*(2*_x+_y)*(2*_x+_y);
double _dydy = 2*cos(_x*_x+_y*_y+_x*_y)-sin(_x*_x+_y*_y+_x*_y)*(_x+2*_y)*(_x+2*_y);
double _dxdy = 2*cos(_x*_x+_y*_y+_x*_y)-2*sin(_x*_x+_y*_y+_x*_y)*(2*_x+_y)*(_x+2*_y);
unknown x(_x,0), y(_y,1);
hessian_variable f = sin(x*x+y*y+x*y);
double dx = f.GetRow()[0];
double dy = f.GetRow()[1];
double dxdx = f.GetHessianRow()[Sparse::HessianRow::make_index(0,0)];
double dxdy = f.GetHessianRow()[Sparse::HessianRow::make_index(0,1)];
double dydy = f.GetHessianRow()[Sparse::HessianRow::make_index(1,1)];
bool error = false;
std::cout << std::setw(10) << "derivative " << std::setw(10) << "original " << std::setw(10) << "computed" << std::endl;
std::cout << std::setw(10) << "dx " << std::setw(10) << _dx << std::setw(10) << dx << std::endl;
std::cout << std::setw(10) << "dy " << std::setw(10) << _dy << std::setw(10) << dy << std::endl;
std::cout << std::setw(10) << "dxdx " << std::setw(10) << _dxdx << std::setw(10) << dxdx << std::endl;
std::cout << std::setw(10) << "dxdy " << std::setw(10) << _dxdy << std::setw(10) << dxdy << std::endl;
std::cout << std::setw(10) << "dydy " << std::setw(10) << _dydy << std::setw(10) << dydy << std::endl;
if( std::abs(dx-_dx) > 1.0e-9 ) error = true, std::cout << "Error in dx: " << std::abs(dx-_dx) << " original " << _dx << " computed " << dx << std::endl;
if( std::abs(dy-_dy) > 1.0e-9 ) error = true, std::cout << "Error in dy: " << std::abs(dy-_dy) << " original " << _dy << " computed " << dy << std::endl;
if( std::abs(dxdx-_dxdx) > 1.0e-9 ) error = true, std::cout << "Error in dxdx: " << std::abs(dxdx-_dxdx) << " original " << _dxdx << " computed " << dxdx << std::endl;
if( std::abs(dxdy-_dxdy) > 1.0e-9 ) error = true, std::cout << "Error in dxdy: " << std::abs(dxdy-_dxdy) << " original " << _dxdy << " computed " << dxdy << std::endl;
if( std::abs(dydy-_dydy) > 1.0e-9 ) error = true, std::cout << "Error in dydy: " << std::abs(dydy-_dydy) << " original " << _dydy << " computed " << dydy << std::endl;
if( error ) return -1;
_dx = cos(_x*_x+_y*_y+_x*_y)*(2*_x+_y);
_dy = cos(_x*_x+_y*_y+_x*_y)*(_x+2*_y);
_dxdx = 2*cos(_x*_x+_y*_y+_x*_y)-sin(_x*_x+_y*_y+_x*_y)*(2*_x+_y)*(2*_x+_y);
_dydy = 2*cos(_x*_x+_y*_y+_x*_y)-sin(_x*_x+_y*_y+_x*_y)*(_x+2*_y)*(_x+2*_y);
_dxdy = 2*cos(_x*_x+_y*_y+_x*_y)-2*sin(_x*_x+_y*_y+_x*_y)*(2*_x+_y)*(_x+2*_y);
f = sin(x*x+y*y+x*y);
}
else if( test == 2 )
{
......@@ -110,15 +70,65 @@ int main(int argc,char ** argv)
// 0,0: -2sin(x*x+y*y+x*y) - cos(x*x+y*y+x*y) (2x+y)(2x+y) dxdx
// 0,1: -2sin(x*x+y*y+x*y) - 2cos(x*x+y*y+x*y) (2x+y)(2y+x) dxdy
// 1,1: -2sin(x*x+y*y+x*y) - cos(x*x+y*y+x*y) (x+2y)(x+2y) dydy
double _x = 0.5;
double _y = 0.25;
double _dx = -sin(_x*_x+_y*_y+_x*_y)*(2*_x+_y);
double _dy = -sin(_x*_x+_y*_y+_x*_y)*(_x+2*_y);
double _dxdx = -2*sin(_x*_x+_y*_y+_x*_y)-cos(_x*_x+_y*_y+_x*_y)*(2*_x+_y)*(2*_x+_y);
double _dydy = -2*sin(_x*_x+_y*_y+_x*_y)-cos(_x*_x+_y*_y+_x*_y)*(_x+2*_y)*(_x+2*_y);
double _dxdy = -2*sin(_x*_x+_y*_y+_x*_y)-2*cos(_x*_x+_y*_y+_x*_y)*(2*_x+_y)*(_x+2*_y);
unknown x(_x,0), y(_y,1);
hessian_variable f = cos(x*x+y*y+x*y);
_dx = -sin(_x*_x+_y*_y+_x*_y)*(2*_x+_y);
_dy = -sin(_x*_x+_y*_y+_x*_y)*(_x+2*_y);
_dxdx = -2*sin(_x*_x+_y*_y+_x*_y)-cos(_x*_x+_y*_y+_x*_y)*(2*_x+_y)*(2*_x+_y);
_dydy = -2*sin(_x*_x+_y*_y+_x*_y)-cos(_x*_x+_y*_y+_x*_y)*(_x+2*_y)*(_x+2*_y);
_dxdy = -2*sin(_x*_x+_y*_y+_x*_y)-2*cos(_x*_x+_y*_y+_x*_y)*(2*_x+_y)*(_x+2*_y);
f = cos(x*x+y*y+x*y);
}
else if( test == 3 )
{
//f = sin(x)*y
//Expected Jacobian
// 0: y cos(x)
// 1: sin(x)
//Expected Hessian
// 0,0: -y*sin(x)
// 0,1: 2*cos(x)
// 1,1: 0
_dx = _y*cos(_x);
_dy = sin(_x);
_dxdx = -_y*sin(_x);
_dxdy = 2*cos(_x);
_dydy = 0;
f = sin(x)*y;
}
else if( test == 4 )
{
//f = cos(x)*y
//Expected Jacobian
// 0: -y sin(x)
// 1: cos(x)
//Expected Hessian
// 0,0: -y*cos(x)
// 0,1: -2*sin(x)
// 1,1: 0
_dx = -_y*sin(_x);
_dy = cos(_x);
_dxdx = -_y*cos(_x);
_dxdy = -2*sin(_x);
_dydy = 0;
f = cos(x)*y;
}
else if( test == 5 )
{
// f = (sqrt(x*x+y*y+x*y))'
// Expected Jacobian
// 0: (2x+y)/(2sqrt(x*x+x*y+y*y)
// 1: (x+2y)/(2sqrt(x*x+x*y+y*y)
// Expected Hessian
// 0,0: 3*y*y/(4(x*x+x*y+y*y)^(3/2))
// 0,1: -6*x*y/(4*(x*x+x*y+y*y)^(3/2))
// 1,1: 3*x*x/(4(x*x+x*y+y*y)^(3/2))
_dx = (2*_x+_y)/(2*sqrt(_x*_x+_x*_y+_y*_y));
_dy = (2*_y+_x)/(2*sqrt(_x*_x+_x*_y+_y*_y));
_dxdx = 3*_y*_y/(4*pow(_x*_x+_x*_y+_y*_y,1.5));
_dxdy = -6*_x*_y/(4*pow(_x*_x+_x*_y+_y*_y,1.5));
_dydy = 3*_x*_x/(4*pow(_x*_x+_x*_y+_y*_y,1.5));
f = sqrt(x*x+y*y+x*y);
}
double dx = f.GetRow()[0];
double dy = f.GetRow()[1];
double dxdx = f.GetHessianRow()[Sparse::HessianRow::make_index(0,0)];
......@@ -139,11 +149,6 @@ int main(int argc,char ** argv)
if( std::abs(dydy-_dydy) > 1.0e-9 ) error = true, std::cout << "Error in dydy: " << std::abs(dydy-_dydy) << " original " << _dydy << " computed " << dydy << std::endl;
if( error ) return -1;
}
else if( test == 3 )
{
// (sqrt(x*x+y*y+x*y))'
}
return 0;
}
Markdown is supported
0% or .
You are about to add 0 people to the discussion. Proceed with caution.
Finish editing this message first!
Please register or to comment