multicalc 0.7.2

Calculus, autodiff, nonlinear least squares and linear algebra in pure safe no_std Rust
Documentation 
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#![allow(clippy::unwrap_used, clippy::expect_used, clippy::panic)]

use multicalc::approximation::linear_approximation::*;
use multicalc::approximation::quadratic_approximation::*;
use multicalc::numerical_derivative::autodiff::AutoDiffMulti;
use multicalc::scalar::{ScalarFnN, c};
use multicalc::scalar_fn;
use rand::Rng;

#[test]
fn test_linear_approximation_1() {
    //function is x + y^2 + z^3, which we want to linearize
    let function_to_approximate = scalar_fn!(|v: &[f64; 3]| v[0] + v[1].powi(2) + v[2].powi(3));

    let point = [1.0, 2.0, 3.0]; //the point we want to linearize around

    let approximator = LinearApproximator::<AutoDiffMulti>::default();

    let result = approximator.get(&function_to_approximate, &point).unwrap();
    assert!(f64::abs(function_to_approximate.eval(&point) - result.predict(&point)) < 1e-9);

    //now test the prediction metrics. For prediction, generate a list of 1000 points, all centered around the original point
    //with random noise between [-0.1, +0.1)
    let mut prediction_points = [[0.0; 3]; 1000];
    let mut random_generator = rand::thread_rng();

    for p in &mut prediction_points {
        let noise = random_generator.gen_range(-0.1..0.1);
        *p = [point[0] + noise, point[1] + noise, point[2] + noise];
    }

    let prediction_metrics =
        result.get_prediction_metrics(&prediction_points, &function_to_approximate);

    assert!(prediction_metrics.root_mean_squared_error < 0.05);
    assert!(prediction_metrics.mean_absolute_error < 0.05);
    assert!(prediction_metrics.mean_squared_error < 0.05);
    assert!(prediction_metrics.r_squared > 0.99);
    assert!(prediction_metrics.adjusted_r_squared > 0.99);
}

#[test]
fn test_quadratic_approximation_1() {
    //function is e^(x/2) + sin(y) + 2.0*z
    let function_to_approximate =
        scalar_fn!(|v: &[f64; 3]| (c(0.5) * v[0]).exp() + v[1].sin() + c(2.0) * v[2]);

    let point = [0.0, core::f64::consts::FRAC_PI_2, 10.0]; //the point we want to approximate around

    let approximator = QuadraticApproximator::<AutoDiffMulti>::default();

    let result = approximator.get(&function_to_approximate, &point).unwrap();

    assert!(f64::abs(function_to_approximate.eval(&point) - result.predict(&point)) < 1e-9);

    //now test the prediction metrics. For prediction, generate a list of 1000 points, all centered around the original point
    //with random noise between [-0.1, +0.1)
    let mut prediction_points = [[0.0; 3]; 1000];
    let mut random_generator = rand::thread_rng();

    for p in &mut prediction_points {
        let noise = random_generator.gen_range(-0.1..0.1);
        *p = [noise, core::f64::consts::FRAC_PI_2 + noise, 10.0 + noise];
    }

    let prediction_metrics =
        result.get_prediction_metrics(&prediction_points, &function_to_approximate);

    assert!(prediction_metrics.root_mean_squared_error < 0.01);
    assert!(prediction_metrics.mean_absolute_error < 0.01);
    assert!(prediction_metrics.mean_squared_error < 1e-5);
    assert!(prediction_metrics.r_squared > 0.9999);
    assert!(prediction_metrics.adjusted_r_squared > 0.9999);
}

#[test]
fn test_linear_approximation_exact() {
    //an exactly-linear truth: 2x + 3y - z + 5. The linear approximation is exact
    //everywhere, so the fit is perfect (R² == 1, near-zero error).
    let function_to_approximate =
        scalar_fn!(|v: &[f64; 3]| c(5.0) + c(2.0) * v[0] + c(3.0) * v[1] - v[2]);

    let point = [1.0, 2.0, 3.0];

    let approximator = LinearApproximator::<AutoDiffMulti>::default();
    let result = approximator.get(&function_to_approximate, &point).unwrap();

    //prediction matches the truth away from the base point, not just at it
    let elsewhere = [4.0, -1.0, 0.5];
    assert!(f64::abs(function_to_approximate.eval(&elsewhere) - result.predict(&elsewhere)) < 1e-9);

    //metrics on a spread of points where the truth genuinely varies
    let mut prediction_points = [[0.0; 3]; 10];
    for (iter, p) in prediction_points.iter_mut().enumerate() {
        let s = iter as f64;
        *p = [1.0 + s, 2.0 - s, 3.0 + 0.5 * s];
    }

    let metrics = result.get_prediction_metrics(&prediction_points, &function_to_approximate);
    assert!(metrics.mean_absolute_error < 1e-9);
    assert!(metrics.root_mean_squared_error < 1e-9);
    assert!(f64::abs(metrics.r_squared - 1.0) < 1e-9);
    assert!(f64::abs(metrics.adjusted_r_squared - 1.0) < 1e-9);
}

#[test]
fn metrics_are_accurate_on_large_point_set() {
    //truth is x^2, so a linear approximation about `a` has the exact residual -(x - a)^2.
    //over a large point set this exercises the four running sums inside the metrics; assert the
    //returned metrics match the closed-form analytic values.
    const N: usize = 10_000;
    let truth = scalar_fn!(|v: &[f64; 1]| v[0] * v[0]);
    let a = 6.0;

    let approximator = LinearApproximator::<AutoDiffMulti>::default();
    let result = approximator.get(&truth, &[a]).unwrap();

    let mut prediction_points = [[0.0; 1]; N];
    for (i, p) in prediction_points.iter_mut().enumerate() {
        p[0] = 1.0 + i as f64 * 0.001; //x spread over [1.0, 11.0)
    }

    let metrics = result.get_prediction_metrics(&prediction_points, &truth);

    //closed-form reference: residual(x) = -(x - a)^2 and y = x^2
    let n = N as f64;
    let mut sum_abs = 0.0;
    let mut ss_res = 0.0;
    let mut sum_y = 0.0;
    for p in &prediction_points {
        let residual_sq = (p[0] - a) * (p[0] - a);
        sum_abs += residual_sq;
        ss_res += residual_sq * residual_sq;
        sum_y += p[0] * p[0];
    }
    let mean_y = sum_y / n;
    let mut ss_tot = 0.0;
    for p in &prediction_points {
        let d = p[0] * p[0] - mean_y;
        ss_tot += d * d;
    }
    let mae_ref = sum_abs / n;
    let mse_ref = ss_res / n;
    let rmse_ref = mse_ref.sqrt();
    let r2_ref = 1.0 - ss_res / ss_tot;

    let close = |got: f64, want: f64| (got - want).abs() <= 1e-8 * want.abs().max(1.0);
    assert!(
        close(metrics.mean_absolute_error, mae_ref),
        "mae {} vs {mae_ref}",
        metrics.mean_absolute_error
    );
    assert!(
        close(metrics.mean_squared_error, mse_ref),
        "mse {} vs {mse_ref}",
        metrics.mean_squared_error
    );
    assert!(
        close(metrics.root_mean_squared_error, rmse_ref),
        "rmse {} vs {rmse_ref}",
        metrics.root_mean_squared_error
    );
    assert!(
        close(metrics.r_squared, r2_ref),
        "r2 {} vs {r2_ref}",
        metrics.r_squared
    );
}

#[test]
fn test_linear_approximation_f32() {
    //exactly-linear truth 2x + 3y - z + 5
    let truth = scalar_fn!(|v: &[f64; 3]| c(5.0) + c(2.0) * v[0] + c(3.0) * v[1] - v[2]);

    let point = [1.0_f32, 2.0, 3.0];

    let approximator = LinearApproximator::<AutoDiffMulti<f32>>::default();
    let result = approximator.get(&truth, &point).unwrap();

    let nearby = [1.05_f32, 2.05, 2.95];
    let predicted = result.predict(&nearby);
    assert!(
        f32::abs(truth.eval(&nearby) - predicted) < 1e-4,
        "got {predicted}"
    );
}