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clean dogleg, loose precision

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Val Erastov 2015-07-23 00:43:08 -07:00
parent 449fd71f44
commit 2c4f1e0aa4
1 changed files with 10 additions and 40 deletions
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50
web/app/math/optim.js
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@ -259,9 +259,11 @@ optim.inv = function inv(x) {
optim.dog_leg = function (subsys, rough) { optim.dog_leg = function (subsys, rough) {
//rough = true //rough = true
var tolg = rough ? 1e-3 : 1e-4; //var tolg = rough ? 1e-3 : 1e-4;
var tolg = 1e-1;
var tolf = 1e-2;
var tolx = 1e-80, tolf = 1e-10; var tolx = 1e-80;
var xsize = subsys.params.length; var xsize = subsys.params.length;
var csize = subsys.constraints.length; var csize = subsys.constraints.length;
@ -295,32 +297,8 @@ optim.dog_leg = function (subsys, rough) {
subsys.setParams(x); subsys.setParams(x);
err = subsys.calcResidual(fx); err = subsys.calcResidual(fx);
subsys.fillJacobian(Jx); subsys.fillJacobian(Jx);
function lls(A, b) {
var At = n.transpose(A);
var J = n.dot(At, A);
var r = n.dot(At, b);
return nocadel_10_18(J, r);
}
function nocadel_10_18(A, r) {
//10.18
var usv = n.svd(A);
var x = vec(xsize);
for (var i = 0; i < usv.S.length; ++i) {
var u = usv.U[i];
var v = usv.V[i];
var b = usv.S[i];
if (b != 0) {
var _t = n.mul(v, n.dot(u, r) / b);
x = n.add(x, _t);
}
}
return x;
}
function lsolve(A, b) { function lsolve(A, b) {
// if (csize < xsize) { // if (csize < xsize) {
// var At = n.transpose(A); // var At = n.transpose(A);
@ -333,14 +311,6 @@ optim.dog_leg = function (subsys, rough) {
var At = n.transpose(A); var At = n.transpose(A);
var res = n.dot(n.dot(At, optim.inv(n.dot(A, At))), b); var res = n.dot(n.dot(At, optim.inv(n.dot(A, At))), b);
return res; return res;
}
function lusolve(A, b) {
var At = n.transpose(A);
var A = n.dot(At, A);
var b = n.dot(At, b);
return n.solve(A, b, true);
} }
var g = n.dot(n.transpose(Jx), fx); var g = n.dot(n.transpose(Jx), fx);
@ -355,14 +325,14 @@ optim.dog_leg = function (subsys, rough) {
var alpha = 0.; var alpha = 0.;
var nu = 2.; var nu = 2.;
var iter = 0, stop = 0, reduce = 0; var iter = 0, stop = 0, reduce = 0;
var log = []; //var log = [];
while (stop === 0) { while (stop === 0) {
// check if finished // check if finished
if (fx_inf <= tolf || (rough && err <= 1e-3)) // Success if (fx_inf <= tolf ) // Success
stop = 1;
else if (g_inf <= tolg) // Success too
stop = 1; stop = 1;
else if (g_inf <= tolg)
stop = 2;
else if (delta <= tolx * (tolx + n.norm2(x))) else if (delta <= tolx * (tolx + n.norm2(x)))
stop = 3; stop = 3;
else if (iter >= maxIterNumber) else if (iter >= maxIterNumber)
@ -469,7 +439,7 @@ optim.dog_leg = function (subsys, rough) {
} }
acceptCandidate = rho > 0; // could be 0 .. 0.25 acceptCandidate = rho > 0; // could be 0 .. 0.25
} }
log.push([stepKind,err, delta,rho]); //log.push([stepKind,err, delta,rho]);
if (acceptCandidate) { if (acceptCandidate) {
x = n.clone(x_new); x = n.clone(x_new);
@ -487,7 +457,7 @@ optim.dog_leg = function (subsys, rough) {
// count this iteration and start again // count this iteration and start again
iter++; iter++;
} }
log.push(stop); //log.push(stop);
//window.___log(log); //window.___log(log);
return { return {
evalCount: iter, evalCount: iter,