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use crate::LeastSquaresProblem; use alloc::{format, string::String}; use core::cell::RefCell; use nalgebra::{ allocator::Allocator, convert, storage::Storage, Complex, ComplexField, DefaultAllocator, Dim, Matrix, MatrixMN, RealField, Vector, U1, }; use num_traits::float::Float; // mod derivest; mod finite_difference; cfg_if::cfg_if! { if #[cfg(feature = "RUSTC_IS_NIGHTLY")] { pub use core::intrinsics::{likely, unlikely}; } else { #[inline] pub fn likely(b: bool) -> bool { b } #[inline] pub fn unlikely(b: bool) -> bool { b } } } /// Compute a numerical approximation of the Jacobian. /// /// The residuals function is called approximately `$30\cdot nm$` times which /// can make this slow in debug builds and for larger problems. /// /// The function is intended to be used for debugging or testing. /// You can try to check your derivative implementation of an /// [`LeastSquaresProblem`](trait.LeastSquaresProblem.html) with this. /// /// Computing the derivatives numerically is unstable: You can construct /// functions where the computed result is far off. If you /// observe large differences between the derivative computed by this function /// and your implementation the reason _might_ be due to instabilty. /// /// The achieved precision by this function /// is lower than the floating point precision in general. So the error is bigger /// than `$10^{-15}$` for `f64` and bigger than `$10^{-7}$` for `f32`. See the example /// below for what that means in your tests. If possible use `f64` for the testing. /// /// A much more precise alternative is provided by /// [`differentiate_holomorphic_numerically`](fn.differentiate_holomorphic_numerically.html) /// but it requires your residuals to be holomorphic and `LeastSquaresProblem` to be implemented /// for complex numbers. /// /// # Example /// /// You can use this function to check your derivative implementation in a unit test. /// For example: /// /// ```rust /// # use levenberg_marquardt::{LeastSquaresProblem, differentiate_numerically}; /// # use approx::assert_relative_eq; /// # use nalgebra::{convert, ComplexField, storage::Owned, Matrix2, Vector2, VectorN, U2}; /// # /// # struct ExampleProblem<F: ComplexField> { /// # p: Vector2<F>, /// # } /// # /// # impl<F: ComplexField> LeastSquaresProblem<F, U2, U2> for ExampleProblem<F> { /// # type ParameterStorage = Owned<F, U2>; /// # type ResidualStorage = Owned<F, U2>; /// # type JacobianStorage = Owned<F, U2, U2>; /// # /// # fn set_params(&mut self, p: &VectorN<F, U2>) { /// # self.p.copy_from(p); /// # } /// # /// # fn params(&self) -> VectorN<F, U2> { self.p } /// # /// # fn residuals(&self) -> Option<Vector2<F>> { /// # Some(Vector2::new( /// # self.p.x * self.p.x + self.p.y - convert(11.0), /// # self.p.x + self.p.y * self.p.y - convert(7.0), /// # )) /// # } /// # /// # fn jacobian(&self) -> Option<Matrix2<F>> { /// # let two: F = convert(2.); /// # Some(Matrix2::new( /// # two * self.p.x, /// # F::one(), /// # F::one(), /// # two * self.p.y, /// # )) /// # } /// # } /// // Let `problem` be an instance of `LeastSquaresProblem` /// # let mut problem = ExampleProblem::<f64> { p: Vector2::new(6., -10.), }; /// let jacobian_numerical = differentiate_numerically(&mut problem).unwrap(); /// let jacobian_trait = problem.jacobian().unwrap(); /// assert_relative_eq!(jacobian_numerical, jacobian_trait, epsilon = 1e-13); /// ``` /// /// The `assert_relative_eq!` macro is from the `approx` crate. pub fn differentiate_numerically<F, N, M, O>( problem: &mut O, ) -> Option<Matrix<F, M, N, O::JacobianStorage>> where F: RealField + Float, N: Dim, M: Dim, O: LeastSquaresProblem<F, M, N>, O::JacobianStorage: Clone, DefaultAllocator: Allocator<F, M, N, Buffer = O::JacobianStorage>, { let params = problem.params(); let n = params.data.shape().0; let m = problem.residuals()?.data.shape().0; let params = RefCell::new(params); let problem = RefCell::new(problem); let mut jacobian = Matrix::<F, M, N, O::JacobianStorage>::zeros_generic(m, n); for j in 0..n.value() { let x = params.borrow()[j]; for i in 0..m.value() { let f = |x| { params.borrow_mut()[j] = x; let mut problem = problem.borrow_mut(); problem.set_params(¶ms.borrow()); problem.residuals().map(|v| v[i]) }; jacobian[(i, j)] = finite_difference::derivative(x, f)?; } params.borrow_mut()[j] = x; } // reset the initial params problem.borrow_mut().set_params(¶ms.borrow()); Some(jacobian) } /// Compute a numerical approximation of the Jacobian for _holomorphic_ residuals. /// /// This method is _much_ more precise than /// [`differentiate_numerically`](fn.differentiate_numerically.html) but /// it requires that your residuals are holomorphic on a neighborhood of the real line. /// You also must provide an implementation of /// [`LeastSquaresProblem`](trait.LeastSquaresProblem.html) for complex numbers. /// /// This method is mainly intended for testing your derivative implementation. /// /// # Panics /// /// The function panics if the parameters which are set when the function is /// called are not real. /// /// # Example /// /// ```rust /// # use levenberg_marquardt::{LeastSquaresProblem, differentiate_holomorphic_numerically}; /// # use approx::assert_relative_eq; /// # use nalgebra::{storage::Owned, Complex, Matrix2, Vector2, VectorN, U2}; /// use nalgebra::{ComplexField, convert}; /// /// struct ExampleProblem<F: ComplexField> { /// params: Vector2<F>, /// } /// /// // Implement LeastSquaresProblem to be usable with complex numbers /// impl<F: ComplexField> LeastSquaresProblem<F, U2, U2> for ExampleProblem<F> { /// // ... omitted ... /// # type ParameterStorage = Owned<F, U2>; /// # type ResidualStorage = Owned<F, U2>; /// # type JacobianStorage = Owned<F, U2, U2>; /// # /// # fn set_params(&mut self, params: &VectorN<F, U2>) { /// # self.params.copy_from(params); /// # } /// # /// # fn params(&self) -> VectorN<F, U2> { self.params } /// # /// # fn residuals(&self) -> Option<Vector2<F>> { /// # Some(Vector2::new( /// # self.params.x * self.params.x + self.params.y - convert(11.0), /// # self.params.x + self.params.y * self.params.y - convert(7.0), /// # )) /// # } /// # /// # fn jacobian(&self) -> Option<Matrix2<F>> { /// # let two: F = convert(2.); /// # Some(Matrix2::new( /// # two * self.params.x, /// # F::one(), /// # F::one(), /// # two * self.params.y, /// # )) /// # } /// } /// /// // parameters for which you want to test your derivative /// let x = Vector2::new(0.03877264483558185, -0.7734472300384164); /// /// // instantiate f64 variant to compute the derivative we want to check /// let jacobian_from_trait = (ExampleProblem::<f64> { params: x }).jacobian().unwrap(); /// /// // then use Complex<f64> and compute the numerical derivative /// let jacobian_numerically = { /// let mut problem = ExampleProblem::<Complex<f64>> { /// params: convert(x), /// }; /// differentiate_holomorphic_numerically(&mut problem).unwrap() /// }; /// /// assert_relative_eq!(jacobian_from_trait, jacobian_numerically, epsilon = 1e-15); /// ``` pub fn differentiate_holomorphic_numerically<F, N, M, O>( problem: &mut O, ) -> Option<MatrixMN<F, M, N>> where F: RealField, N: Dim, M: Dim, O: LeastSquaresProblem<Complex<F>, M, N>, DefaultAllocator: Allocator<Complex<F>, N, Buffer = O::ParameterStorage> + Allocator<F, N> + Allocator<F, M, N>, { let mut params = problem.params(); assert!(params.iter().all(|x| x.im.is_zero()), "params must be real"); let n = params.data.shape().0; let m = problem.residuals()?.data.shape().0; let mut jacobian = MatrixMN::<F, M, N>::zeros_generic(m, n); for i in 0..n.value() { let xi = params[i]; let h = Complex::<F>::from_real(F::default_epsilon()) * xi.abs(); params[i] = xi + Complex::<F>::i() * h; problem.set_params(¶ms); let mut residuals = problem.residuals()?; residuals /= h; for (dst, src) in jacobian.column_mut(i).iter_mut().zip(residuals.iter()) { *dst = src.imaginary(); } params[i] = xi; } problem.set_params(¶ms); Some(jacobian) } #[inline] #[allow(clippy::unreadable_literal)] pub(crate) fn epsmch<F: RealField>() -> F { if cfg!(feature = "minpack-compat") { convert(2.22044604926e-16f64) } else { F::default_epsilon() } } #[inline] #[allow(clippy::unreadable_literal)] pub(crate) fn giant<F: Float>() -> F { if cfg!(feature = "minpack-compat") { F::from(1.79769313485e+308f64).unwrap() } else { F::max_value() } } #[inline] #[allow(clippy::unreadable_literal)] pub(crate) fn dwarf<F: Float>() -> F { if cfg!(feature = "minpack-compat") { F::from(2.22507385852e-308f64).unwrap() } else { F::min_positive_value() } } #[inline] pub(crate) fn enorm<F, N, VS>(v: &Vector<F, N, VS>) -> F where F: nalgebra::RealField + Float, N: Dim, VS: Storage<F, N, U1>, { let mut s1 = F::zero(); let mut s2 = F::zero(); let mut s3 = F::zero(); let mut x1max = F::zero(); let mut x3max = F::zero(); let agiant = if cfg!(feature = "minpack-compat") { convert(1.304e19f64) } else { Float::sqrt(giant::<F>()) } / convert(v.nrows() as f64); let rdwarf = if cfg!(feature = "minpack-compat") { convert(3.834e-20f64) } else { Float::sqrt(dwarf()) }; for xi in v.iter() { let xabs = xi.abs(); if unlikely(xabs.is_nan()) { return xabs; } if unlikely(xabs >= agiant || xabs <= rdwarf) { if xabs > rdwarf { // sum for large components if xabs > x1max { s1 = F::one() + s1 * Float::powi(x1max / xabs, 2); x1max = xabs; } else { s1 += Float::powi(xabs / x1max, 2); } } else { // sum for small components if xabs > x3max { s3 = F::one() + s3 * Float::powi(x3max / xabs, 2); x3max = xabs; } else if xabs != F::zero() { s3 += Float::powi(xabs / x3max, 2); } } } else { s2 += xabs * xabs; } } if unlikely(!s1.is_zero()) { x1max * Float::sqrt(s1 + (s2 / x1max) / x1max) } else if likely(!s2.is_zero()) { Float::sqrt(if likely(s2 >= x3max) { s2 * (F::one() + (x3max / s2) * (x3max * s3)) } else { x3max * ((s2 / x3max) + (x3max * s3)) }) } else { x3max * Float::sqrt(s3) } } #[inline] /// Dot product between two vectors pub(crate) fn dot<F, N, AS, BS>(a: &Vector<F, N, AS>, b: &Vector<F, N, BS>) -> F where F: nalgebra::RealField, N: Dim, AS: Storage<F, N, U1>, BS: Storage<F, N, U1>, { // To achieve floating point equality with MINPACK // the dot product implementation from nalgebra must not // be used. let mut dot = F::zero(); for (x, y) in a.iter().zip(b.iter()) { dot += *x * *y; } dot } #[allow(dead_code)] /// Debug helper to inspect the binary representation of a `f64` or `f32`. pub(crate) fn float_repr<F: Float>(f: F) -> alloc::string::String { assert!(F::one() / (F::one() + F::one()) != F::zero()); let bytes = core::mem::size_of::<F>(); let mut out; if bytes == 8 { out = String::with_capacity((8 * 2 + 8 - 1) + 27 + 3); let f = unsafe { *(&f as *const F as *const f64) }; let as_int: u64 = f.to_bits(); for i in (0..bytes).rev() { out += &format!( "{:02x}{}", as_int >> (8 * i) & 0xFF, if i == 0 { "" } else { ":" } ); } out += &format!(" ({:+.20E})", f); } else if bytes == 4 { out = String::with_capacity((4 * 2 + 4 - 1) + 17 + 3); let f = unsafe { *(&f as *const F as *const f32) }; let as_int: u32 = f.to_bits(); for i in (0..bytes).rev() { out += &format!( "{:02x}{}", as_int >> (8 * i) & 0xFF, if i == 0 { "" } else { ":" } ); } out += &format!(" ({:.10E})", f); } else { unimplemented!() } out } #[test] fn test_linear_case() { use crate::lm::test_examples::LinearFullRank; use approx::assert_relative_eq; use nalgebra::{VectorN, U5}; let mut x = VectorN::<f64, U5>::from_element(1.); x[2] = -10.; let mut problem = LinearFullRank { params: x, m: 6 }; let jac_num = differentiate_numerically(&mut problem).unwrap(); let jac_trait = problem.jacobian().unwrap(); assert_relative_eq!(jac_num, jac_trait, epsilon = 1e-12); } #[test] fn test_reset_parameters() { use approx::assert_relative_eq; use nalgebra::{storage::Owned, Matrix2, Vector2, VectorN, U2}; #[derive(Clone)] struct AllButOne { params: VectorN<f64, U2>, } impl LeastSquaresProblem<f64, U2, U2> for AllButOne { type ParameterStorage = Owned<f64, U2>; type ResidualStorage = Owned<f64, U2>; type JacobianStorage = Owned<f64, U2, U2>; fn set_params(&mut self, params: &VectorN<f64, U2>) { self.params.copy_from(params); } fn params(&self) -> VectorN<f64, U2> { self.params } fn residuals(&self) -> Option<VectorN<f64, U2>> { Some(Vector2::new(0.0, -100. * self.params[1].powi(2))) } #[rustfmt::skip] fn jacobian(&self) -> Option<MatrixMN<f64, U2, U2>> { Some(Matrix2::new( 0.,0., 0.,-200. * self.params[1], )) } } let mut problem = AllButOne { params: Vector2::<f64>::new(0., 1. / 3.), }; let jac_num = differentiate_numerically(&mut problem).unwrap(); let jac_trait = problem.jacobian().unwrap(); assert_relative_eq!(jac_num, jac_trait, epsilon = 1e-12); }