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Commit a388b869 authored by Kirill Terekhov's avatar Kirill Terekhov
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Fix algorithm for hessian calculation 

Fix for procedure merging hessians and multiplication of jacobins

Few more unit tests for hessian
parent 8f5f181f
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Source/Headers/inmost_expression.h
View file @ a388b869
......@@ -460,20 +460,24 @@ namespace INMOST
__INLINE hessian_multivar_expression & operator +=(basic_expression const & expr)
{
value += expr.GetValue();
Sparse::Row tmp(entries);
Sparse::HessianRow htmp(hessian_entries);
expr.GetHessian(1.0,tmp,1.0,htmp);
Sparse::Row tmpr, tmp;
Sparse::HessianRow htmpr, htmp;
expr.GetHessian(1.0,tmpr,1.0,htmpr);
Sparse::Row::MergeSortedRows(1.0,entries,1.0,tmpr,tmp);
entries.Swap(tmp);
Sparse::HessianRow::MergeSortedRows(1.0,hessian_entries,1.0,htmpr,htmp);
hessian_entries.Swap(htmp);
return *this;
}
__INLINE hessian_multivar_expression & operator -=(basic_expression const & expr)
{
value -= expr.GetValue();
Sparse::Row tmp(entries);
Sparse::HessianRow htmp(hessian_entries);
expr.GetHessian(-1.0,tmp,-1.0,htmp);
Sparse::Row tmpr, tmp;
Sparse::HessianRow htmpr, htmp;
expr.GetHessian(1.0,tmpr,1.0,htmpr);
Sparse::Row::MergeSortedRows(1.0,entries,-1.0,tmpr,tmp);
entries.Swap(tmp);
Sparse::HessianRow::MergeSortedRows(1.0,hessian_entries,-1.0,htmpr,htmp);
hessian_entries.Swap(htmp);
return *this;
}
......@@ -1046,9 +1050,7 @@ namespace INMOST
__INLINE void GetHessian(INMOST_DATA_REAL_TYPE multJ, Sparse::Row & J, INMOST_DATA_REAL_TYPE multH, Sparse::HessianRow & H) const
{
Sparse::HessianRow htmp;
arg.GetHessian(multJ,J,multH,htmp);
Sparse::HessianRow::MergeJacobianHessian(-value,J,J,dmult,htmp,H);
for(Sparse::Row::iterator it = J.Begin(); it != J.End(); ++it) it->second*=dmult;
arg.GetHessian(1,J,1,htmp);
}
};
......@@ -1078,9 +1080,6 @@ namespace INMOST
{
//arg.GetHessian(multJ*dmult,J,-multH*value,H);
Sparse::HessianRow htmp;
arg.GetHessian(multJ,J,multH,htmp);
Sparse::HessianRow::MergeJacobianHessian(-value,J,J,dmult,htmp,H);
for(Sparse::Row::iterator it = J.Begin(); it != J.End(); ++it) it->second*=dmult;
}
};
......@@ -1109,8 +1108,6 @@ namespace INMOST
//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);
}
......@@ -1272,16 +1269,12 @@ namespace INMOST
{
Sparse::Row JL, JR; //temporary jacobian rows from left and right expressions
Sparse::HessianRow HL, HR; //temporary hessian rows form left and right expressions
left.GetHessian(multJ,JL,multH,HL); //retrive jacobian row and hessian matrix of the left expression
right.GetHessian(multJ,JR,multH,HR); //retrive jacobian row and hessian matrix of the right expression
//assume rows are sorted (this is to be ensured by corresponding GetHessian functions)
//preallocate J to JL.Size+JR.Size
//perform merging of two sorted arrays
//resize to correct size
Sparse::Row::MergeSortedRows(right.GetValue(),JL,left.GetValue(),JR,J);
//preallocate H to HL.Size+HR.Size+JL.Size*JR.Size
//merge sorted
Sparse::HessianRow::MergeJacobianHessian(2.0,JL,JR,right.GetValue(),HL,left.GetValue(),HR,H);
}
};
......@@ -1357,10 +1350,6 @@ namespace INMOST
{
Sparse::Row JL, JR; //temporary jacobian rows from left and right expressions
Sparse::HessianRow HL, HR; //temporary hessian rows form left and right expressions
left.GetHessian(multJ,JL,multH,HL); //retrive jacobian row and hessian matrix of the left expression
right.GetHessian(multJ,JR,multH,HR); //retrive jacobian row and hessian matrix of the right expression
Sparse::Row::MergeSortedRows(1.0,JL,1.0,JR,J);
Sparse::HessianRow::MergeSortedRows(1.0,HL,1.0,HR,H);
}
};
......@@ -1392,10 +1381,6 @@ namespace INMOST
{
Sparse::Row JL, JR; //temporary jacobian rows from left and right expressions
Sparse::HessianRow HL, HR; //temporary hessian rows form left and right expressions
left.GetHessian(multJ,JL,multH,HL); //retrive jacobian row and hessian matrix of the left expression
right.GetHessian(multJ,JR,multH,HR); //retrive jacobian row and hessian matrix of the right expression
Sparse::Row::MergeSortedRows(1.0,JL,-1.0,JR,J);
Sparse::HessianRow::MergeSortedRows(1.0,HL,-1.0,HR,H);
}
};
......
Source/Headers/inmost_sparse.h
View file @ a388b869
......@@ -319,9 +319,9 @@ namespace INMOST
/// that allow for the modification of individual entries.
/// @param size New size of the row.
void Resize(INMOST_DATA_ENUM_TYPE size) {data.resize(size);}
void Print()
void Print() const
{
for(iterator it = Begin(); it != End(); ++it) std::cout << "(" << it->first.first << "," << it->first.second << "," << it->second << ") ";
for(const_iterator it = Begin(); it != End(); ++it) std::cout << "(" << it->first.first << "," << it->first.second << "," << it->second << ") ";
std::cout << std::endl;
}
bool isSorted() const;
......
Source/Solver/sparse.cpp
View file @ a388b869
......@@ -401,20 +401,23 @@ namespace INMOST
assert(HL.isSorted());
assert(HR.isSorted());
output.Resize(HL.Size()+HR.Size()+JL.Size()*JR.Size());
INMOST_DATA_ENUM_TYPE i = 0, j = 0, k = 0, l = 0, q = 0, kk = 0, ll = 0, r;
entry candidate[3] = {stub_entry,stub_entry,stub_entry};
INMOST_DATA_ENUM_TYPE i = 0, j = 0, k1 = 0, l1 = 0, k2 = 0, l2 = 0, q = 0, kk1 = 0, ll2 = 0, r;
entry candidate[4] = {stub_entry,stub_entry,stub_entry,stub_entry};
if( i < HL.Size() )
candidate[0] = make_entry(HL.GetIndex(i),b*HL.GetValue(i));
if( j < HR.Size() )
candidate[1] = make_entry(HR.GetIndex(j),c*HR.GetValue(j));
if( k < JL.Size() && l < JR.Size() )
candidate[2] = make_entry(make_index(JL.GetIndex(kk),JR.GetIndex(ll)),a*JL.GetValue(kk)*JR.GetValue(ll));
if( k1 < JL.Size() && l1 < JR.Size() )
candidate[2] = make_entry(make_index(JL.GetIndex(k1),JR.GetIndex(l1)),0.5*a*JL.GetValue(k1)*JR.GetValue(l1));
if( k2 < JL.Size() && l2 < JR.Size() )
candidate[3] = make_entry(make_index(JL.GetIndex(k2),JR.GetIndex(l2)),0.5*a*JL.GetValue(k2)*JR.GetValue(l2));
do
{
//pick smallest
r = 0;
if( candidate[1].first < candidate[r].first ) r = 1;
if( candidate[2].first < candidate[r].first ) r = 2;
if( candidate[3].first < candidate[r].first ) r = 3;
//all candidates are stub - exit
if( candidate[r].first == stub_entry.first ) break;
//record selected entry
......@@ -438,39 +441,37 @@ namespace INMOST
candidate[1] = make_entry(HR.GetIndex(j),c*HR.GetValue(j));
else candidate[1] = stub_entry;
}
else //update jacobians indexes
else if( r == 2 ) //update jacobians indexes
{
if( JR.GetIndex(l) < JL.GetIndex(k) )
if( ++k1 == JL.Size() )
{
if( ++kk == JL.Size() )
++l1;
if( l1 < JR.Size() )
{
++l;
kk = k;
ll = l;
while(kk1 < JL.Size() && JL.GetIndex(kk1) < JR.GetIndex(l1) ) kk1++;
k1 = kk1;
}
}
else if( JL.GetIndex(k) < JR.GetIndex(l) )
{
if( ++ll == JR.Size() )
{
++k;
kk = k;
ll = l;
}
if( k1 < JL.Size() && l1 < JR.Size() )
candidate[2] = make_entry(make_index(JL.GetIndex(k1),JR.GetIndex(l1)),(k1==l1?0.5:1)*a*JL.GetValue(k1)*JR.GetValue(l1));
else
candidate[2] = stub_entry;
}
else //values are equal
else //update jacobians indexes
{
if( ++ll == JR.Size() )
if( ++l2 == JR.Size() )
{
++k;
kk = k;
ll = l;
++k2;
if( k2 < JL.Size() )
{
while(ll2 < JR.Size() && JL.GetIndex(k2) > JR.GetIndex(ll2) ) ll2++;
l2 = ll2;
}
}
if( kk < JL.Size() && ll < JR.Size() )
candidate[2] = make_entry(make_index(JL.GetIndex(kk),JR.GetIndex(ll)),a*JL.GetValue(kk)*JR.GetValue(ll));
if( k2 < JL.Size() && l2 < JR.Size() )
candidate[3] = make_entry(make_index(JL.GetIndex(k2),JR.GetIndex(l2)),(k2==l2?0.5:1)*a*JL.GetValue(k2)*JR.GetValue(l2));
else
candidate[2] = stub_entry;
candidate[3] = stub_entry;
}
}
while(true);
......@@ -486,22 +487,27 @@ namespace INMOST
assert(JR.isSorted());
assert(H.isSorted());
output.Resize(H.Size()+JL.Size()*JR.Size());
INMOST_DATA_ENUM_TYPE i = 0, k = 0, l = 0, q = 0, kk = 0, ll = 0, r;
entry candidate[2] = {stub_entry,stub_entry};
INMOST_DATA_ENUM_TYPE i = 0, k1 = 0, l1 = 0, q = 0, k2 = 0, l2 = 0, r, ll2 = 0, kk1 = 0;
entry candidate[3] = {stub_entry,stub_entry,stub_entry};
if( i < H.Size() )
candidate[0] = make_entry(H.GetIndex(i),b*H.GetValue(i));
if( k < JL.Size() && l < JR.Size() )
candidate[1] = make_entry(make_index(JL.GetIndex(kk),JR.GetIndex(ll)),a*JL.GetValue(kk)*JR.GetValue(ll));
if( k1 < JL.Size() && l1 < JR.Size() )
candidate[1] = make_entry(make_index(JL.GetIndex(k1),JR.GetIndex(l1)),0.5*a*JL.GetValue(k1)*JR.GetValue(l1));
if( k2 < JL.Size() && l2 < JR.Size() )
candidate[2] = make_entry(make_index(JL.GetIndex(k2),JR.GetIndex(l2)),0.5*a*JL.GetValue(k2)*JR.GetValue(l2));
do
{
//pick smallest
r = 0;
if( candidate[1].first < candidate[r].first ) r = 1;
if( candidate[2].first < candidate[r].first ) r = 2;
//all candidates are stub - exit
if( candidate[r].first == stub_entry.first ) break;
//record selected entry
if( q > 0 && (output.GetIndex(q-1) == candidate[r].first) )
{
output.GetValue(q-1) += candidate[r].second;
}
else
{
output.GetIndex(q) = candidate[r].first;
......@@ -514,39 +520,37 @@ namespace INMOST
candidate[0] = make_entry(H.GetIndex(i),b*H.GetValue(i));
else candidate[0] = stub_entry;
}
else //update jacobians indexes
else if( r == 1 )
{
if( JR.GetIndex(l) < JL.GetIndex(k) )
if( ++k1 == JL.Size() )
{
if( ++kk == JL.Size() )
++l1;
if( l1 < JR.Size() )
{
++l;
kk = k;
ll = l;
}
while(kk1 < JL.Size() && JL.GetIndex(kk1) < JR.GetIndex(l1) ) kk1++;
k1 = kk1;
}
else if( JL.GetIndex(k) < JR.GetIndex(l) )
{
if( ++ll == JR.Size() )
{
++k;
kk = k;
ll = l;
}
if( k1 < JL.Size() && l1 < JR.Size() )
candidate[1] = make_entry(make_index(JL.GetIndex(k1),JR.GetIndex(l1)),(k1==l1?0.5:1)*a*JL.GetValue(k1)*JR.GetValue(l1));
else
candidate[1] = stub_entry;
}
else //values are equal
else //update jacobians indexes
{
if( ++ll == JR.Size() )
if( ++l2 == JR.Size() )
{
++k;
kk = k;
ll = l;
++k2;
if( k2 < JL.Size() )
{
while(ll2 < JR.Size() && JL.GetIndex(k2) > JR.GetIndex(ll2) ) ll2++;
l2 = ll2;
}
}
if( kk < JL.Size() && ll < JR.Size() )
candidate[1] = make_entry(make_index(JL.GetIndex(kk),JR.GetIndex(ll)),a*JL.GetValue(kk)*JR.GetValue(ll));
if( k2 < JL.Size() && l2 < JR.Size() )
candidate[2] = make_entry(make_index(JL.GetIndex(k2),JR.GetIndex(l2)),(k2==l2?0.5:1)*a*JL.GetValue(k2)*JR.GetValue(l2));
else
candidate[1] = stub_entry;
candidate[2] = stub_entry;
}
}
while(true);
......
Tests/autodiff_test000/CMakeLists.txt
View file @ a388b869
......@@ -20,3 +20,6 @@ add_test(NAME autodiff_test000_hessian_cos_mixed COMMAND $<TARGET_FILE
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)
add_test(NAME autodiff_test000_hessian_poly COMMAND $<TARGET_FILE:autodiff_test000> 6)
add_test(NAME autodiff_test000_hessian_sin_poly COMMAND $<TARGET_FILE:autodiff_test000> 7)
add_test(NAME autodiff_test000_hessian_minus_sin_poly COMMAND $<TARGET_FILE:autodiff_test000> 8)
Tests/autodiff_test000/main.cpp
View file @ a388b869
......@@ -128,6 +128,33 @@ int main(int argc,char ** argv)
_dydy = 3*_x*_x/(4*pow(_x*_x+_x*_y+_y*_y,1.5));
f = sqrt(x*x+y*y+x*y);
}
else if( test == 6 )
{
_dx = 4*_x + 4*_y;
_dy = 6*_y + 4*_x;
_dxdx = 4;
_dxdy = 8;
_dydy = 6;
f = 2*x*x+3*y*y+4*x*y;
}
else if( test == 7 )
{
_dx = 4 *(_x - 0.5)*cos(2*((_x - 0.5)*(_x - 0.5) + (_y - 0.5)*(_y - 0.5)));
_dy = 4 *(_y - 0.5)*cos(2*((_x - 0.5)*(_x - 0.5) + (_y - 0.5)*(_y - 0.5)));
_dxdx = 4*cos(2*((_x - 0.5)*(_x - 0.5) + (_y - 0.5)*(_y - 0.5))) - 16*(_x - 0.5)*(_x - 0.5)*sin(2.0*((_x - 0.5)*(_x - 0.5) + (_y - 0.5)*(_y - 0.5)));
_dxdy = -32*(_x-0.5)*(_y-0.5)*sin(2*((_x-0.5)*(_x-0.5)+(_y-0.5)*(_y-0.5)));
_dydy = 4*cos(2*((_x - 0.5)*(_x - 0.5) + (_y - 0.5)*(_y - 0.5))) - 16*(_y - 0.5)*(_y - 0.5)*sin(2.0*((_x - 0.5)*(_x - 0.5) + (_y - 0.5)*(_y - 0.5)));
f = sin(2*((x-0.5)*(x-0.5)+(y-0.5)*(y-0.5)));
}
else if( test == 8 )
{
_dx = -(4 *(_x - 0.5)*cos(2*((_x - 0.5)*(_x - 0.5) + (_y - 0.5)*(_y - 0.5))));
_dy = -(4 *(_y - 0.5)*cos(2*((_x - 0.5)*(_x - 0.5) + (_y - 0.5)*(_y - 0.5))));
_dxdx = -(4*cos(2*((_x - 0.5)*(_x - 0.5) + (_y - 0.5)*(_y - 0.5))) - 16*(_x - 0.5)*(_x - 0.5)*sin(2.0*((_x - 0.5)*(_x - 0.5) + (_y - 0.5)*(_y - 0.5))));
_dxdy = -(-32*(_x-0.5)*(_y-0.5)*sin(2*((_x-0.5)*(_x-0.5)+(_y-0.5)*(_y-0.5))));
_dydy = -(4*cos(2*((_x - 0.5)*(_x - 0.5) + (_y - 0.5)*(_y - 0.5))) - 16*(_y - 0.5)*(_y - 0.5)*sin(2.0*((_x - 0.5)*(_x - 0.5) + (_y - 0.5)*(_y - 0.5))));
f = 1.0-sin(2*((x-0.5)*(x-0.5)+(y-0.5)*(y-0.5)));
}
double dx = f.GetRow()[0];
double dy = f.GetRow()[1];
......
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