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BUG: Optimization: fix incorrect weighted Jacobian (#684)

pull/685/head
diluculo 6 years ago
parent
990fa46fb2
commit
3f3cf42e3a
3 changed files with 89 additions and 43 deletions
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  1. 91
      .paket/Paket.Restore.targets
  2. 35
      src/Numerics.Tests/OptimizationTests/NonLinearCurveFittingTests.cs
  3. 6
      src/Numerics/Optimization/ObjectiveFunctions/NonlinearObjectiveFunction.cs

91
.paket/Paket.Restore.targets
View File

@ -20,18 +20,18 @@
<PaketBootstrapperStyle Condition="Exists('$(PaketToolsPath)paket.bootstrapper.proj')">proj</PaketBootstrapperStyle>
<PaketExeImage>assembly</PaketExeImage>
<PaketExeImage Condition=" '$(PaketBootstrapperStyle)' == 'proj' ">native</PaketExeImage>
<MonoPath Condition="'$(MonoPath)' == '' And Exists('/Library/Frameworks/Mono.framework/Commands/mono')">/Library/Frameworks/Mono.framework/Commands/mono</MonoPath>
<MonoPath Condition="'$(MonoPath)' == '' AND Exists('/Library/Frameworks/Mono.framework/Commands/mono')">/Library/Frameworks/Mono.framework/Commands/mono</MonoPath>
<MonoPath Condition="'$(MonoPath)' == ''">mono</MonoPath>
<!-- PaketBootStrapper -->
<PaketBootStrapperExePath Condition=" '$(PaketBootStrapperExePath)' == '' AND Exists('$(PaketRootPath)paket.bootstrapper.exe')">$(PaketRootPath)paket.bootstrapper.exe</PaketBootStrapperExePath>
<PaketBootStrapperExePath Condition=" '$(PaketBootStrapperExePath)' == '' ">$(PaketToolsPath)paket.bootstrapper.exe</PaketBootStrapperExePath>
<PaketBootStrapperExeDir Condition=" Exists('$(PaketBootStrapperExePath)') " >$([System.IO.Path]::GetDirectoryName("$(PaketBootStrapperExePath)"))\</PaketBootStrapperExeDir>
<PaketBootStrapperCommand Condition=" '$(OS)' == 'Windows_NT'">"$(PaketBootStrapperExePath)"</PaketBootStrapperCommand>
<PaketBootStrapperCommand Condition=" '$(OS)' == 'Windows_NT' ">"$(PaketBootStrapperExePath)"</PaketBootStrapperCommand>
<PaketBootStrapperCommand Condition=" '$(OS)' != 'Windows_NT' ">$(MonoPath) --runtime=v4.0.30319 "$(PaketBootStrapperExePath)"</PaketBootStrapperCommand>
<!-- Disable automagic references for F# dotnet sdk -->
<!-- Disable automagic references for F# DotNet SDK -->
<!-- This will not do anything for other project types -->
<!-- see https://github.com/fsharp/fslang-design/blob/master/tooling/FST-1002-fsharp-in-dotnet-sdk.md -->
<DisableImplicitFSharpCoreReference>true</DisableImplicitFSharpCoreReference>
@ -40,55 +40,68 @@
<!-- Disable Paket restore under NCrunch build -->
<PaketRestoreDisabled Condition="'$(NCrunch)' == '1'">True</PaketRestoreDisabled>
<!-- Disable test for CLI tool completely - overrideable via properties in projects or via environment variables -->
<PaketDisableCliTest Condition=" '$(PaketDisableCliTest)' == '' ">False</PaketDisableCliTest>
<PaketIntermediateOutputPath Condition=" '$(PaketIntermediateOutputPath)' == '' ">$(BaseIntermediateOutputPath.TrimEnd('\').TrimEnd('\/'))</PaketIntermediateOutputPath>
</PropertyGroup>
<!-- Check if paket is available as local dotnet cli tool -->
<!-- Resolve how paket should be called -->
<!-- Current priority is: local (1: repo root, 2: .paket folder) => 3: as CLI tool => as bootstrapper (4: proj Bootstrapper style, 5: BootstrapperExeDir) => 6: global path variable -->
<Target Name="SetPaketCommand" >
<!-- Call 'dotnet paket' and see if it returns without an error. Mute all the output. -->
<Exec Command="dotnet paket --version" IgnoreExitCode="true" StandardOutputImportance="low" StandardErrorImportance="low" >
<Output TaskParameter="ExitCode" PropertyName="LocalPaketToolExitCode" />
</Exec>
<!-- Test if paket is available in the standard locations. If so, that takes priority. Case 1/2 - non-windows specific -->
<PropertyGroup Condition=" '$(OS)' != 'Windows_NT' ">
<!-- no windows, try native paket as default, root => tool -->
<PaketExePath Condition=" '$(PaketExePath)' == '' AND Exists('$(PaketRootPath)paket') ">$(PaketRootPath)paket</PaketExePath>
<PaketExePath Condition=" '$(PaketExePath)' == '' AND Exists('$(PaketToolsPath)paket') ">$(PaketToolsPath)paket</PaketExePath>
</PropertyGroup>
<!-- If local paket tool is found, use that -->
<PropertyGroup Condition=" '$(LocalPaketToolExitCode)' == '0' ">
<InternalPaketCommand>dotnet paket</InternalPaketCommand>
<!-- Test if paket is available in the standard locations. If so, that takes priority. Case 2/2 - same across platforms -->
<PropertyGroup>
<!-- root => tool -->
<PaketExePath Condition=" '$(PaketExePath)' == '' AND Exists('$(PaketRootPath)paket.exe') ">$(PaketRootPath)paket.exe</PaketExePath>
<PaketExePath Condition=" '$(PaketExePath)' == '' AND Exists('$(PaketToolsPath)paket.exe') ">$(PaketToolsPath)paket.exe</PaketExePath>
</PropertyGroup>
<!-- If not, then we go through our normal steps of setting the Paket command. -->
<PropertyGroup Condition=" '$(LocalPaketToolExitCode)' != '0' ">
<!-- windows, root => tool => proj style => bootstrapper => global -->
<PaketExePath Condition=" '$(PaketExePath)' == '' AND '$(OS)' == 'Windows_NT' AND Exists('$(PaketRootPath)paket.exe') ">$(PaketRootPath)paket.exe</PaketExePath>
<PaketExePath Condition=" '$(PaketExePath)' == '' AND '$(OS)' == 'Windows_NT' AND Exists('$(PaketToolsPath)paket.exe') ">$(PaketToolsPath)paket.exe</PaketExePath>
<PaketExePath Condition=" '$(PaketExePath)' == '' AND '$(OS)' == 'Windows_NT' AND '$(PaketBootstrapperStyle)' == 'proj' ">$(PaketToolsPath)paket.exe</PaketExePath>
<PaketExePath Condition=" '$(PaketExePath)' == '' AND '$(OS)' == 'Windows_NT' AND Exists('$(PaketBootStrapperExeDir)') ">$(_PaketBootStrapperExeDir)paket.exe</PaketExePath>
<PaketExePath Condition=" '$(PaketExePath)' == '' AND '$(OS)' == 'Windows_NT' ">paket.exe</PaketExePath>
<!-- If paket hasn't be found in standard locations, test for CLI tool usage. -->
<!-- First test: Is CLI configured to be used in "dotnet-tools.json"? - can result in a false negative; only a positive outcome is reliable. -->
<PropertyGroup Condition=" '$(PaketExePath)' == '' ">
<_DotnetToolsJson Condition="Exists('$(PaketRootPath)/.config/dotnet-tools.json')">$([System.IO.File]::ReadAllText("$(PaketRootPath)/.config/dotnet-tools.json"))</_DotnetToolsJson>
<_ConfigContainsPaket Condition=" '$(_DotnetToolsJson)' != ''">$(_DotnetToolsJson.Contains('"paket"'))</_ConfigContainsPaket>
<_ConfigContainsPaket Condition=" '$(_ConfigContainsPaket)' == ''">false</_ConfigContainsPaket>
</PropertyGroup>
<!-- no windows, try native paket as default, root => tool => proj style => mono paket => bootstrpper => global -->
<PaketExePath Condition=" '$(PaketExePath)' == '' AND '$(OS)' != 'Windows_NT' AND Exists('$(PaketRootPath)paket') ">$(PaketRootPath)paket</PaketExePath>
<PaketExePath Condition=" '$(PaketExePath)' == '' AND '$(OS)' != 'Windows_NT' AND Exists('$(PaketToolsPath)paket') ">$(PaketToolsPath)paket</PaketExePath>
<PaketExePath Condition=" '$(PaketExePath)' == '' AND '$(OS)' != 'Windows_NT' AND '$(PaketBootstrapperStyle)' == 'proj' ">$(PaketToolsPath)paket</PaketExePath>
<!-- Second test: Call 'dotnet paket' and see if it returns without an error. Mute all the output. Only run if previous test failed and the test has not been disabled. -->
<!-- WARNING: This method can lead to processes hanging forever, and should be used as little as possible. See https://github.com/fsprojects/Paket/issues/3705 for details. -->
<Exec Condition=" '$(PaketExePath)' == '' AND !$(PaketDisableCliTest) AND !$(_ConfigContainsPaket)" Command="dotnet paket --version" IgnoreExitCode="true" StandardOutputImportance="low" StandardErrorImportance="low" >
<Output TaskParameter="ExitCode" PropertyName="LocalPaketToolExitCode" />
</Exec>
<!-- no windows, try mono paket -->
<PaketExePath Condition=" '$(PaketExePath)' == '' AND '$(OS)' != 'Windows_NT' AND Exists('$(PaketRootPath)paket.exe') ">$(PaketRootPath)paket.exe</PaketExePath>
<PaketExePath Condition=" '$(PaketExePath)' == '' AND '$(OS)' != 'Windows_NT' AND Exists('$(PaketToolsPath)paket.exe') ">$(PaketToolsPath)paket.exe</PaketExePath>
<!-- If paket is installed as CLI use that. Again, only if paket haven't already been found in standard locations. -->
<PropertyGroup Condition=" '$(PaketExePath)' == '' AND ($(_ConfigContainsPaket) OR '$(LocalPaketToolExitCode)' == '0') ">
<_PaketCommand>dotnet paket</_PaketCommand>
</PropertyGroup>
<!-- no windows, try bootstrapper -->
<PaketExePath Condition=" '$(PaketExePath)' == '' AND '$(OS)' != 'Windows_NT' AND Exists('$(PaketBootStrapperExeDir)') ">$(PaketBootStrapperExeDir)paket.exe</PaketExePath>
<!-- If neither local files nor CLI tool can be found, final attempt is searching for boostrapper config before falling back to global path variable. -->
<PropertyGroup Condition=" '$(PaketExePath)' == '' AND '$(_PaketCommand)' == '' ">
<!-- Test for bootstrapper setup -->
<PaketExePath Condition=" '$(PaketExePath)' == '' AND '$(PaketBootstrapperStyle)' == 'proj' ">$(PaketToolsPath)paket</PaketExePath>
<PaketExePath Condition=" '$(PaketExePath)' == '' AND Exists('$(PaketBootStrapperExeDir)') ">$(PaketBootStrapperExeDir)paket</PaketExePath>
<!-- no windows, try global native paket -->
<PaketExePath Condition=" '$(PaketExePath)' == '' AND '$(OS)' != 'Windows_NT' ">paket</PaketExePath>
<!-- If all else fails, use global path approach. -->
<PaketExePath Condition=" '$(PaketExePath)' == ''">paket</PaketExePath>
</PropertyGroup>
<!-- If not using CLI, setup correct execution command. -->
<PropertyGroup Condition=" '$(_PaketCommand)' == '' ">
<_PaketExeExtension>$([System.IO.Path]::GetExtension("$(PaketExePath)"))</_PaketExeExtension>
<InternalPaketCommand Condition=" '$(InternalPaketCommand)' == '' AND '$(_PaketExeExtension)' == '.dll' ">dotnet "$(PaketExePath)"</InternalPaketCommand>
<InternalPaketCommand Condition=" '$(InternalPaketCommand)' == '' AND '$(OS)' != 'Windows_NT' AND '$(_PaketExeExtension)' == '.exe' ">$(MonoPath) --runtime=v4.0.30319 "$(PaketExePath)"</InternalPaketCommand>
<InternalPaketCommand Condition=" '$(InternalPaketCommand)' == '' ">"$(PaketExePath)"</InternalPaketCommand>
<_PaketCommand Condition=" '$(_PaketCommand)' == '' AND '$(_PaketExeExtension)' == '.dll' ">dotnet "$(PaketExePath)"</_PaketCommand>
<_PaketCommand Condition=" '$(_PaketCommand)' == '' AND '$(OS)' != 'Windows_NT' AND '$(_PaketExeExtension)' == '.exe' ">$(MonoPath) --runtime=v4.0.30319 "$(PaketExePath)"</_PaketCommand>
<_PaketCommand Condition=" '$(_PaketCommand)' == '' ">"$(PaketExePath)"</_PaketCommand>
</PropertyGroup>
<!-- The way to get a property to be available outside the target is to use this task. -->
<CreateProperty Value="$(InternalPaketCommand)">
<CreateProperty Value="$(_PaketCommand)">
<Output TaskParameter="Value" PropertyName="PaketCommand"/>
</CreateProperty>
@ -123,7 +136,7 @@
<!-- Parse our simple 'paket.restore.cached' json ...-->
<PaketRestoreCachedSplitObject Include="$([System.Text.RegularExpressions.Regex]::Split(`$(PaketRestoreCachedContents)`, `{|}|,`))"></PaketRestoreCachedSplitObject>
<!-- Keep Key, Value ItemGroup-->
<PaketRestoreCachedKeyValue Include="@(PaketRestoreCachedSplitObject)"
<PaketRestoreCachedKeyValue Include="@(PaketRestoreCachedSplitObject)"
Condition=" $([System.Text.RegularExpressions.Regex]::Split(`%(Identity)`, `&quot;: &quot;`).Length) &gt; 1 ">
<Key>$([System.Text.RegularExpressions.Regex]::Split(`%(Identity)`, `": "`)[0].Replace(`"`, ``).Replace(` `, ``))</Key>
<Value>$([System.Text.RegularExpressions.Regex]::Split(`%(Identity)`, `": "`)[1].Replace(`"`, ``).Replace(` `, ``))</Value>
@ -156,7 +169,7 @@
<Exec Command='$(PaketBootStrapperCommand)' Condition=" '$(PaketBootstrapperStyle)' == 'classic' AND Exists('$(PaketBootStrapperExePath)') AND !(Exists('$(PaketExePath)'))" ContinueOnError="false" />
<Error Text="Stop build because of PAKET_ERROR_ON_MSBUILD_EXEC and we need a full restore (hashes don't match)" Condition=" '$(PAKET_ERROR_ON_MSBUILD_EXEC)' == 'true' AND '$(PaketRestoreRequired)' == 'true' AND '$(PaketDisableGlobalRestore)' != 'true'" />
<Exec Command='$(PaketCommand) restore' Condition=" '$(PaketRestoreRequired)' == 'true' AND '$(PaketDisableGlobalRestore)' != 'true' " ContinueOnError="false" />
<!-- Step 2 Detect project specific changes -->
<ItemGroup>
<MyTargetFrameworks Condition="'$(TargetFramework)' != '' " Include="$(TargetFramework)"></MyTargetFrameworks>

35
src/Numerics.Tests/OptimizationTests/NonLinearCurveFittingTests.cs
View File

@ -618,5 +618,40 @@ namespace MathNet.Numerics.UnitTests.OptimizationTests
}
#endregion Thurber
#region Weighted Nonlinear Regression
// Data from https://www.mathworks.com/help/stats/examples/weighted-nonlinear-regression.html
private Vector<double> PollutionModel(Vector<double> p, Vector<double> x)
{
var y = CreateVector.Dense<double>(x.Count);
for (int i = 0; i < x.Count; i++)
{
y[i] = p[0] * (1.0 - Math.Exp(-p[1] * x[i]));
}
return y;
}
private Vector<double> PollutionX = new DenseVector(new double[] { 1, 2, 3, 5, 7, 10 });
private Vector<double> PollutionY = new DenseVector(new double[] { 109, 149, 149, 191, 213, 224 });
private Vector<double> PollutionW = new DenseVector(new double[] { 1, 1, 5, 5, 5, 5 });
private Vector<double> PollutionStart = new DenseVector(new double[] { 240, 0.5 });
private Vector<double> PollutionBest = new DenseVector(new double[] { 225.17, 0.40078 });
[Test]
public void PollutionWithWeights()
{
var obj = ObjectiveFunction.NonlinearModel(PollutionModel, PollutionX, PollutionY, PollutionW, accuracyOrder: 6);
var solver = new LevenbergMarquardtMinimizer();
var result = solver.FindMinimum(obj, PollutionStart);
for (int i = 0; i < result.MinimizingPoint.Count; i++)
{
AssertHelpers.AlmostEqualRelative(PollutionBest[i], result.MinimizingPoint[i], 4);
}
}
#endregion Weighted Nonlinear Regression
}
}

6
src/Numerics/Optimization/ObjectiveFunctions/NonlinearObjectiveFunction.cs
View File

@ -329,11 +329,9 @@ namespace MathNet.Numerics.Optimization.ObjectiveFunctions
// if j-th parameter is fixed, set J[i, j] = 0
jacobianValue[i, j] = 0.0;
}
else
else if (Weights != null)
{
jacobianValue[i, j] = (Weights == null)
? jacobianValue[i, j]
: jacobianValue[i, j] * L[j];
jacobianValue[i, j] = jacobianValue[i, j] * L[i];
}
}
}

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