import numeric from 'numeric'; import {_matrix, _vec} from '../vec'; const SUCCESS = 1, ITER_LIMIT = 2, SMALL_DELTA = 3, SMALL_STEP = 4, DIVERGENCE = 5, INVALID_STATE = 6; var inv = function inv(A) { A = numeric.clone(A); var s = numeric.dim(A), abs = Math.abs, m = s[0], n = s[1]; var Ai, Aj; var I = numeric.identity(m), Ii, Ij; var i,j,k,x; for(j=0;jv0) { i0 = i; v0 = k; } } Aj = A[i0]; A[i0] = A[j]; A[j] = Aj; Ij = I[i0]; I[i0] = I[j]; I[j] = Ij; x = Aj[j]; if (x === 0) { console.log("CAN' INVERSE MATRIX"); x = 1e-32 } for(k=j;k!==n;++k) Aj[k] /= x; for(k=n-1;k!==-1;--k) Ij[k] /= x; for(i=m-1;i!==-1;--i) { if(i!==j) { Ai = A[i]; Ii = I[i]; x = Ai[j]; for(k=j+1;k!==n;++k) Ai[k] -= Aj[k]*x; for(k=n-1;k>0;--k) { Ii[k] -= Ij[k]*x; --k; Ii[k] -= Ij[k]*x; } if(k===0) Ii[0] -= Ij[0]*x; } } } return I; }; var _result = function(evalCount, error, returnCode) { return { evalCount, error, returnCode, success: returnCode === SUCCESS }; }; var dog_leg = function (subsys, rough) { //rough = true //var tolg = rough ? 1e-3 : 1e-4; var tolg, tolf; if (rough) { tolg = 1e-3; tolf = 1e-3; } else { tolg = 1e-6; tolf = 1e-6; } var tolx = 1e-80; var xsize = subsys.params.length; var csize = subsys.constraints.length; if (xsize == 0) { return _result(0, 0, 1); } var vec = _vec; var mx = _matrix; var n = numeric; var x = vec(xsize); var x_new = vec(xsize); var fx = vec(csize); var fx_new = vec(csize); var J = mx(csize, xsize); var J_new = mx(csize, xsize); var gn_step = vec(xsize); var dl_step = vec(xsize); subsys.fillParams(x); var err = subsys.calcResidual(fx); subsys.fillJacobian(J); function lsolve_slow(A, b) { var At = n.transpose(A); var res = n.dot(n.dot(At, inv(n.dot(A, At))), b); return res; } function lsolve(A, b) { if (csize < xsize) { var At = n.transpose(A); var sol = lu_solve(n.dot(A, At), b, true); return n.dot(At, sol); } else { return lu_solve(A, b, false); } } var g = n.dot(n.transpose(J), fx); var g_inf = n.norminf(g); var fx_inf = n.norminf(fx); var iterLimit = rough ? 100 : 500; var divergenceLimit = 1e6 * (err + 1e6); var delta = 10; var alpha = 0.; var iter = 0, returnCode = 0; //var log = []; while (returnCode === 0) { dogleg.DEBUG_HANDLER(iter, err); if (fx_inf <= tolf) { returnCode = SUCCESS; } else if (g_inf <= tolg) { returnCode = SUCCESS; } else if (iter >= iterLimit) { returnCode = ITER_LIMIT; } else if (delta <= tolx * (tolx + n.norm2(x))) { returnCode = SMALL_DELTA; } else if (err > divergenceLimit) { returnCode = DIVERGENCE; } else if (isNaN(err)) { returnCode = INVALID_STATE; } if (returnCode !== 0) { break; } // get the gauss-newton step //gn_step = n.solve(J, n.mul(fx, -1)); gn_step = lsolve(J, n.mul(fx, -1)); //LU-Decomposition //gn_step = lusolve(J, n.mul(fx, -1)); //Conjugate gradient method //gn_step = cg(J, gn_step, n.mul(fx, -1), 1e-8, iterLimit); //solve linear problem using svd formula to get the gauss-newton step //gn_step = lls(J, n.mul(fx, -1)); var hitBoundary = false; var gnorm = n.norm2(g); var gnNorm = n.norm2(gn_step); if (gnNorm < delta) { dl_step = gn_step; } else { var Jt = n.transpose(J); var B = n.dot(Jt, J); var gBg = n.dot(g, n.dot(B, g)); alpha = n.norm2Squared(g) / gBg; if (alpha * gnorm >= delta) { dl_step = n.mul(g, - delta / gnorm); hitBoundary = true; } else { var sd_step = n.mul(g, - alpha); if (isNaN(gnNorm)) { dl_step = sd_step; } else { var d = n.sub(gn_step, sd_step); var a = n.dot(d, d); var b = 2 * n.dot(sd_step, d); var c = n.dot(sd_step, sd_step) - delta * delta; var sqrt_discriminant = Math.sqrt(b * b - 4 * a * c); var beta = (-b + sqrt_discriminant) / (2 * a); dl_step = n.add(sd_step, n.mul(beta, d)); hitBoundary = true; } } } var dl_norm = n.norm2(dl_step); // if (dl_norm <= tolx) { // returnCode = SMALL_STEP; // break; // } x_new = n.add(x, dl_step); subsys.setParams(x_new); var err_new = subsys.calcResidual(fx_new); subsys.fillJacobian(J_new); var fxNormSq = n.norm2Squared(fx); var dF = fxNormSq - n.norm2Squared(fx_new); var dL = fxNormSq - n.norm2Squared( n.add(fx, n.dot(J, dl_step)) ); var acceptCandidate; if (dF == 0 || dL == 0) { acceptCandidate = true; } else { var rho = dF / dL; if (rho < 0.25) { // if the model is a poor predictor reduce the size of the trust region delta = 0.25 * dl_norm; //delta *= 0.5; } else { // only increase the size of the trust region if it is taking a step of maximum size // otherwise just assume it's doing good enough job if (rho > 0.75 && hitBoundary) { //delta = Math.max(delta,3*dl_norm); delta *= 2; } } acceptCandidate = rho > 0; // could be 0 .. 0.25 } //log.push([stepKind,err, delta,rho]); if (acceptCandidate) { x = n.clone(x_new); J = n.clone(J_new); fx = n.clone(fx_new); err = err_new; g = n.dot(n.transpose(J), fx); // get infinity norms g_inf = n.norminf(g); fx_inf = n.norminf(fx); } iter++; } //log.push(returnCode); //window.___log(log); return _result(iter, err, returnCode); }; function gaussElimination(A) { let h = 0; let k = 0; const m = A.length; const n = A[0].length; while (h < m && k < n) { let i_max = h; for (let i = h + 1; i < m; i++) { if (Math.abs(A[i][k]) > Math.abs(A[i_max][k]) ) { i_max = i; } } if (A[i_max][k] === 0) { /* No pivot in this column, pass to next column */ k ++; } else { let t = A[h]; A[h] = A[i_max]; A[i_max] = t; for (let i = h + 1; i < m; i++) { let f = A[i][k] / A[h][k]; //it cant be 0 here see condition up A[i][k] = 0; for (let j = k + 1; j < n; j++) { A[i][j] = A[i][j] - A[h][j] * f; } } h ++; k ++; } } } function LU(A, fast) { fast = fast || false; var abs = Math.abs; var i, j, k, absAjk, Akk, Ak, Pk, Ai; var max; var n = A.length, n1 = n-1; var P = new Array(n); if(!fast) A = numeric.clone(A); for (k = 0; k < n; ++k) { Pk = k; Ak = A[k]; max = abs(Ak[k]); for (j = k + 1; j < n; ++j) { absAjk = abs(A[j][k]); if (max < absAjk) { max = absAjk; Pk = j; } } P[k] = Pk; if (Pk != k) { A[k] = A[Pk]; A[Pk] = Ak; Ak = A[k]; } Akk = Ak[k]; if (Akk === 0) { Akk = 0.0000001; } for (i = k + 1; i < n; ++i) { A[i][k] /= Akk; } for (i = k + 1; i < n; ++i) { Ai = A[i]; for (j = k + 1; j < n1; ++j) { Ai[j] -= Ai[k] * Ak[j]; ++j; Ai[j] -= Ai[k] * Ak[j]; } if(j===n1) Ai[j] -= Ai[k] * Ak[j]; } } return { LU: A, P: P }; } function LUsolve(LUP, b) { var i, j; var LU = LUP.LU; var n = LU.length; var x = numeric.clone(b); var P = LUP.P; var Pi, LUi, LUii, tmp; for (i=n-1;i!==-1;--i) x[i] = b[i]; for (i = 0; i < n; ++i) { Pi = P[i]; if (P[i] !== i) { tmp = x[i]; x[i] = x[Pi]; x[Pi] = tmp; } LUi = LU[i]; for (j = 0; j < i; ++j) { x[i] -= x[j] * LUi[j]; } } for (i = n - 1; i >= 0; --i) { LUi = LU[i]; for (j = i + 1; j < n; ++j) { x[i] -= x[j] * LUi[j]; } if (LUi[i] !== 0) { // We want it because it 99% of the time happens when penalty function returns ZERO gradient, so we just ignore zero-rows x[i] /= LUi[i]; } } return x; } function lu_solve(A, b, fast) { const lu = LU(A,fast); return LUsolve(lu, b); } var cg = function(A, x, b, tol, maxIt) { var _ = numeric; var tr = _.transpose; var At = tr(A); if (A.length != A[0].length) { A = _.dot(At, A); b = _.dot(At, b); } var r = _.sub(_.dot(A, x), b); var p = _.mul(r, -1); var rr = _.dotVV(r, r); var a; var _rr; var beta; for (var i = 0; i < maxIt; ++i) { if (_.norm2(r) <= tol) break; var Axp =_.dot(A, p); a = rr / _.dotVV(Axp, p); x = _.add(x, _.mul(p, a)); r = _.add(r, _.mul(Axp, a)); _rr = rr; rr = _.dotVV(r, r); beta = rr / _rr; p = _.add(_.mul(r, -1), _.mul(p, beta)); } // console.log("liner problem solved in " + i); return x; }; var dogleg = {DEBUG_HANDLER : function() {}}; //backward compatibility export {dog_leg, dogleg}