octave-optim 1.0.17-1 / usr / share / octave / packages / 3.2 / optim-1.0.17 / private / __lm_svd__.m

%% Copyright (C) 1992-1994 Richard Shrager
%% Copyright (C) 1992-1994 Arthur Jutan
%% Copyright (C) 1992-1994 Ray Muzic
%% Copyright (C) 2010, 2011 Olaf Till <olaf.till@uni-jena.de>
%%
%% This program is free software; you can redistribute it and/or modify
%% it under the terms of the GNU General Public License as published by
%% the Free Software Foundation; either version 2 of the License, or
%% (at your option) any later version.
%%
%% This program is distributed in the hope that it will be useful,
%% but WITHOUT ANY WARRANTY; without even the implied warranty of
%% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
%% GNU General Public License for more details.
%%
%% You should have received a copy of the GNU General Public License
%% along with this program; If not, see <http://www.gnu.org/licenses/>.

function [p, resid, cvg, outp] = __lm_svd__ (F, pin, hook)

  %% This is a backend for optimization. This code was originally
  %% contained in leasqr.m, which is now a frontend.

  %% some backend specific defaults
  fract_prec_default = 0;
  max_fract_step_default = Inf;

  %% needed for some anonymous functions
  if (exist ('ifelse') ~= 5)
    ifelse = @ scalar_ifelse;
  end

  %% passed constraints
  mc = hook.mc; % matrix of linear constraints
  vc = hook.vc; % vector of linear constraints
  f_cstr = hook.f_cstr; % function of all constraints
  df_cstr = hook.df_cstr; % function of derivatives of all constraints
  n_gencstr = hook.n_gencstr; % number of non-linear constraints
  eq_idx = hook.eq_idx; % logical index of equality constraints in all
				% constraints
  lbound = hook.lbound; % bounds, subset of linear inequality
  ubound = hook.ubound; % constraints in mc and vc

  %% passed values of constraints for initial parameters
  pin_cstr = hook.pin_cstr;

  %% passed return value of F for initial parameters
  f_pin = hook.f_pin;

  %% passed derivative of residual function
  dfdp = hook.dfdp;

  %% passed function for complementary pivoting
  cpiv = hook.cpiv;

  %% passed options
  maxstep = hook.max_fract_change;
  maxstep(isna (maxstep)) = max_fract_step_default;
  pprec = hook.fract_prec;
  pprec(isna (pprec)) = fract_prec_default;
  stol = hook.TolFun;
  niter = hook.MaxIter;
  if (isempty (niter)) niter = 20; end
  wt = hook.weights;
  fixed = hook.fixed;
  verbose = strcmp (hook.Display, 'iter');

  %% only preliminary, for testing
  if (isfield (hook, 'testing'))
    testing = hook.testing;
  else
    testing = false;
  end
  if (isfield (hook, 'new_s'))
    new_s = hook.new_s;
  else
    new_s = false;
  end

  %% some useful variables derived from passed variables
  n_lcstr = size (vc, 1);
  have_constraints_except_bounds = ...
      n_lcstr + n_gencstr > ...
      sum (lbound ~= -Inf) + sum (ubound ~= Inf);
  n = length (pin);
  wtl = wt(:);

  nz = 20 * eps; % This is arbitrary. Constraint function will be
				% regarded as <= zero if less than nz.

  %% backend-specific checking of options and constraints
  if (have_constraints_except_bounds)
    if (any (pin_cstr.inequ.lin_except_bounds < 0) || ...
	(n_gencstr > 0 && any (pin_cstr.inequ.gen < 0)))
      warning ('initial parameters violate inequality constraints');
    end
    if (any (abs (pin_cstr.equ.lin) >= nz) || ...
	(n_gencstr > 0 && any (abs (pin_cstr.equ.gen) >= nz)))
      warning ('initial parameters violate equality constraints');
    end
  end
  idx = lbound == ubound;
  if (any (idx))
    warning ('lower and upper bounds identical for some parameters, fixing the respective parameters');
    fixed(idx) = true;
  end
  if (all (fixed))
    error ('no free parameters');
  end
  lidx = pin < lbound;
  uidx = pin > ubound;
  if (any (lidx | uidx) && have_constraints_except_bounds)
    warning ('initial parameters outside bounds, not corrected since other constraints are given');
  else
    if (any (lidx))
      warning ('some initial parameters set to lower bound');
      pin(lidx, 1) = lbound(lidx, 1);
    end
    if (any (uidx))
      warning ('some initial parameters set to upper bound');
      pin(uidx, 1) = ubound(uidx, 1);
    end
  end
  if (n_gencstr > 0 && any (~isinf (maxstep)))
    warning ('setting both a maximum fractional step change of parameters and general constraints may result in inefficiency and failure');
  end

  %% fill constant fields of hook for derivative-functions; some fields
  %% may be backend-specific
  dfdp_hook.fixed = fixed; % this may be handled by the frontend, but
				% the backend still may add to it

  %% set up for iterations
  %%
  p = pin;
  f = f_pin; fbest=f; pbest=p;
  m = prod (size (f));
  r = wt .* f;
  r = r(:);
  if (~isreal (r)) error ('weighted residuals are not real'); end
  ss = r.' * r;
  sbest=ss;
  chgprev=Inf*ones(n,1);
  cvg=0;
  epsLlast=1;
  epstab=[.1, 1, 1e2, 1e4, 1e6];
  ac_idx = true (n_lcstr + n_gencstr, 1); % all constraints
  nc_idx = false (n_lcstr + n_gencstr, 1); % non of all constraints
  gc_idx = cat (1, false (n_lcstr, 1), true (n_gencstr, 1)); % gen. constr.
  lc_idx = ~gc_idx;

  %% do iterations
  %%
  for iter = 1:niter
    deb_printf (testing, '\nstart outer iteration\n');
    v_cstr = f_cstr (p, ac_idx);
    %% index of active constraints
    c_act =  v_cstr < nz | eq_idx; # equality constraints might be
				# violated at start
    if (any (c_act))
      if (n_gencstr > 0)
	dct = df_cstr (p, ac_idx, ...
		       setfield (dfdp_hook, 'f', v_cstr));
	dct(:, fixed) = 0; % for user supplied dfdp; necessary?
	dc = dct.';
	dcat = dct(c_act, :);
      else
	dcat = df_cstr (p, c_act, ...
			setfield (dfdp_hook, 'f', v_cstr));
	dcat(:, fixed) = 0; % for user supplied dfdp; necessary?
      end
      dca = dcat.';
    end
    nrm = zeros (1, n);
    pprev=pbest;
    prt = dfdp (p, setfield (dfdp_hook, 'f', fbest(:)));
    prt(:, fixed) = 0; % for user supplied dfdp; necessary?
    r = wt .* -fbest;
    r = r(:);
    if (~isreal (r)) error ('weighted residuals are not real'); end
    sprev=sbest;
    sgoal=(1-stol)*sprev;
    msk = ~fixed;
    prt(:, msk) = prt(:, msk) .* wtl(:, ones (1, sum (msk)));
    nrm(msk) = sumsq (prt(:, msk), 1);
    msk = nrm > 0;
    nrm(msk) = 1 ./ sqrt (nrm(msk));
    prt = prt .* nrm(ones (1, m), :);
    nrm = nrm.';
    [prt,s,v]=svd(prt,0);
    s=diag(s);
    g = prt.' * r;
    for jjj=1:length(epstab)
      deb_printf (testing, '\nstart inner iteration\n');
      epsL = max(epsLlast*epstab(jjj),1e-7);
      %% printf ('epsL: %e\n', epsL); % for testing

      %% Usage of this 'ser' later is equivalent to pre-multiplying the
      %% gradient with a positive-definit matrix, but not with a
      %% diagonal matrix, at epsL -> Inf; so there is a fallback to
      %% gradient descent, but not in general to descent for each
      %% gradient component. Using the commented-out 'ser' ((1 / (1 +
      %% epsL^2)) * (1 ./ se + epsL * s)) would be equivalent to using
      %% Marquardts diagonal of the Hessian-approximation for epsL ->
      %% Inf, but currently this gives no advantages in tests, even with
      %% constraints.
%%% ser = 1 ./ sqrt((s.*s)+epsL);
      se = sqrt ((s.*s) + epsL);
      if (new_s)
	%% for testing
	ser = (1 / (1 + epsL^2)) * (1 ./ se + epsL * s);
      else
	ser = 1 ./ se;
      end
      tp1 = (v * (g .* ser)) .* nrm;
      if (any (c_act))
	deb_printf (testing, 'constraints are active:\n');
	deb_printf (testing, '%i\n', c_act);
	%% calculate chg by 'quadratic programming'
	nrme= diag (nrm);
	ser2 = diag (ser .* ser);
	mfc1 = nrme * v * ser2 * v.' * nrme;
	tp2 = mfc1 * dca;
	a_eq_idx = eq_idx(c_act);
	[lb, bidx, ridx, tbl] = cpiv (dcat * tp1, dcat * tp2, a_eq_idx);
	chg = tp1 + tp2(:, bidx) * lb; % if a parameter is 'fixed',
				% the respective component of chg should
				% be zero too, even here (with active
				% constraints)
	deb_printf (testing, 'change:\n');
	deb_printf (testing, '%e\n', chg);
	deb_printf (testing, '\n');
	%% indices for different types of constraints
	c_inact = ~c_act; % inactive constraints
	c_binding = nc_idx; 
	c_binding(c_act) = bidx; % constraints selected binding
	c_unbinding = nc_idx;
	c_unbinding(c_act) = ridx; % constraints unselected binding
	c_nonbinding = c_act & ~(c_binding | c_unbinding); % constraints
				% selected non-binding
      else
	%% chg is the Levenberg/Marquardt step
	chg = tp1;
	%% indices for different types of constraints
	c_inact = ac_idx; % inactive constraints consist of all
				% constraints
	c_binding = nc_idx;
	c_unbinding = nc_idx;
	c_nonbinding = nc_idx;
      end
      %% apply constraints to step width (since this is a
      %% Levenberg/Marquardt algorithm, no line-search is performed
      %% here)
      k = 1;
      c_tp = c_inact(1:n_lcstr);
      mcit = mc(:, c_tp).';
      vci = vc(c_tp);
      hstep = mcit * chg;
      idx = hstep < 0;
      if (any (idx))
	k = min (1, min (- (vci(idx) + mcit(idx, :) * pprev) ./ ...
			 hstep(idx)));
      end
      if (k < 1)
	deb_printf (testing, 'stepwidth: linear constraints\n');
      end
      if (n_gencstr > 0)
	c_tp = gc_idx & (c_nonbinding | c_inact);
	if (any (c_tp) && any (f_cstr (pprev + k * chg, c_tp) < 0))
	  [k, fval, info] = ...
	      fzero (@ (x) min (cat (1, ...
				     f_cstr (pprev + x * chg, c_tp), ...
				     k - x, ...
				     ifelse (x < 0, -Inf, Inf))), ...
		     0);
	  if (info ~= 1 || abs (fval) >= nz)
	    error ('could not find stepwidth to satisfy inactive and non-binding general inequality constraints');
	  end
	  deb_printf (testing, 'general constraints limit stepwidth\n');
	end
      end
      chg = k * chg;

      if (any (gc_idx & c_binding)) % none selected binding =>
				% none unselected binding
	deb_printf (testing, 'general binding constraints must be regained:\n');
	%% regain binding constraints and one of the possibly active
	%% previously inactive or non-binding constraints
	ptp1 = pprev + chg;

	tp = true;
	nt_nosuc = true;
	lim = 20;
	while (nt_nosuc && lim >= 0)
	  deb_printf (testing, 'starting from new value of p in regaining:\n');
	  deb_printf (testing, '%e\n', ptp1);
 	  %% we keep d_p.' * inv (mfc1) * d_p minimal in each step of
	  %% the inner loop; this is both sensible (this metric
	  %% considers a guess of curvature of sum of squared residuals)
	  %% and convenient (we have useful matrices available for it)
	  c_tp0 = c_inact | c_nonbinding;
	  c_tp1 = c_inact | (gc_idx & c_nonbinding);
	  btbl = tbl(bidx, bidx);
	  c_tp2 = c_binding;
	  if (any (tp)) % if none before, does not get true again
	    tp = f_cstr (ptp1, c_tp1) < nz;
	    if (any (tp)) % could be less clumsy, but ml-compatibility..
	      %% keep only the first true entry in tp
	      tp(tp) = logical (cat (1, 1, zeros (sum (tp) - 1, 1)));
	      %% supplement binding index with one (the first) getting
	      %% binding in c_tp1
	      c_tp2(c_tp1) = tp;
	      %% gradient of this added constraint
	      caddt = dct(c_tp2 & ~c_binding, :);
	      cadd = caddt.';
	      C = dct(c_binding, :) * mfc1 * cadd;
	      Ct = C.';
	      G = [btbl, btbl * C; ...
		   -Ct * btbl, caddt * mfc1 * cadd - Ct * btbl * C];
	      btbl = gjp (G, size (G, 1));
	    end
	  end
	  dcbt = dct(c_tp2, :);
	  mfc = - mfc1 * dcbt.' * btbl;
	  deb_printf (testing, 'constraints to regain:\n');
	  deb_printf (testing, '%i\n', c_tp2);

	  ptp2 = ptp1;
	  nt_niter_start = 100;
	  nt_niter = nt_niter_start;
	  while (nt_nosuc && nt_niter >= 0)
	    hv = f_cstr (ptp2, c_tp2);
	    if (all (abs (hv) < nz))
	      nt_nosuc = false;
	      chg = ptp2 - pprev;
	    else
	      ptp2 = ptp2 + mfc * hv; % step should be zero for each
				% component for which the parameter is
				% 'fixed'
	    end
	    nt_niter = nt_niter - 1;
	  end
	  deb_printf (testing, 'constraints after regaining:\n');
	  deb_printf (testing, '%e\n', hv);
	  if (nt_nosuc || ...
	      any (abs (chg) > abs (pprev .* maxstep)) || ...
	      any (f_cstr (ptp2, c_tp0) < -nz))
	    if (nt_nosuc)
	      deb_printf (testing, 'regaining did not converge\n');
	    else
	      deb_printf (testing, 'regaining violated type 3 and 4\n');
	    end
	    nt_nosuc = true;
	    ptp1 = (pprev + ptp1) / 2;
	  end
	  if (~nt_nosuc)
	    tp = f_cstr (ptp2, c_unbinding);
	    if (any (tp) < 0) % again ml-compatibility clumsyness..
	      [discarded, id] = min(tp);
	      tid = find (ridx);
	      id = tid(id); % index within active constraints
	      unsuccessful_exchange = false;
	      if (abs (tbl(id, id)) < nz) % Bard: not absolute value
		%% exchange this unselected binding constraint against a
		%% binding constraint, but not against an equality
		%% constraint
		tbidx = bidx & ~a_eq_idx;
		if (~any (tbidx))
		  unsuccessful_exchange = true;
		else
		  [discarded, idm] = max (abs (tbl(tbidx, id)));
		  tid = find (tbidx);
		  idm = tid(idm); % -> index within active constraints
		  tbl = gjp (tbl, idm);
		  bidx(idm) = false;
		  ridx(idm) = true;
		end
	      end
	      if (unsuccessful_exchange)
		%% It probably doesn't look good now; this desperate
		%% last attempt is not in the original algortithm, since
		%% that didn't account for equality constraints.
		ptp1 = (pprev + ptp1) / 2;
	      else
		tbl = gjp (tbl, id);
		bidx(id) = true;
		ridx(id) = false;
		c_binding = nc_idx;
		c_binding(c_act) = bidx;
		c_unbinding = nc_idx;
		c_unbinding(c_act) = ridx;
	      end
	      nt_nosuc = true;
	      deb_printf (testing, 'regaining violated type 2\n');
	    end
	  end
	  if (~nt_nosuc)
	    deb_printf (testing, 'regaining successful, converged with %i iterations:\n', ...
	    nt_niter_start - nt_niter);
	    deb_printf (testing, '%e\n', ptp2);
	  end
	  lim = lim - 1;
	end
	if (nt_nosuc)
	  error ('could not regain binding constraints');
	end
      else
	%% check the maximal stepwidth and apply as necessary
	ochg=chg;
	idx = ~isinf(maxstep);
	limit = abs(maxstep(idx).*pprev(idx));
	chg(idx) = min(max(chg(idx),-limit),limit);
	if (verbose && any(ochg ~= chg))
	  disp(['Change in parameter(s): ', ...
		sprintf('%d ',find(ochg ~= chg)), 'maximal fractional stepwidth enforced']);
	end
      end
      aprec=abs(pprec.*pbest);       %---
      %% ss=scalar sum of squares=sum((wt.*f)^2).
      if (any(abs(chg) > 0.1*aprec))%---  % only worth evaluating
				% function if there is some non-miniscule
				% change
	p=chg+pprev;
	%% since the projection method may have slightly violated
	%% constraints due to inaccuracy, correct parameters to bounds
	%% --- but only if no further constraints are given, otherwise
	%% the inaccuracy in honoring them might increase by this
	if (~have_constraints_except_bounds)
	  lidx = p < lbound;
	  uidx = p > ubound;
	  p(lidx, 1) = lbound(lidx, 1);
	  p(uidx, 1) = ubound(uidx, 1);
	  chg(lidx, 1) = p(lidx, 1) - pprev(lidx, 1);
	  chg(uidx, 1) = p(uidx, 1) - pprev(uidx, 1);
	end
	%%
	f = F (p);
	r = wt .* f;
	r = r(:);
	if (~isreal (r))
	  error ('weighted residuals are not real');
	end
	ss = r.' * r;
	deb_printf (testing, 'sbest: %.16e\n', sbest);
	deb_printf (testing, 'sgoal: %.16e\n', sgoal);
	deb_printf (testing, '   ss: %.16e\n', ss);
	if (ss<sbest)
          pbest=p;
          fbest=f;
          sbest=ss;
	end
	if (ss<=sgoal)
          break;
	end
      end                          %---
    end
    %% printf ('epsL no.: %i\n', jjj); % for testing
    epsLlast = epsL;
    if (verbose)
      hook.plot_cmd (f);
    end
    if (ss < eps) % in this case ss == sbest
      cvg = 3; % there is no more suitable flag for this
      break;
    end
    if (ss>sgoal)
      cvg = 3;
      break;
    end
    aprec=abs(pprec.*pbest);
    %% [aprec, chg, chgprev]
    if (all(abs(chg) <= aprec) && all(abs(chgprev) <= aprec))
      cvg = 2;
      if (verbose)
	fprintf('Parameter changes converged to specified precision\n');
      end
      break;
    else
      chgprev=chg;
    end
  end

  %% set further return values
  %%
  p = pbest;
  resid = fbest;
  outp.niter = iter;

function deb_printf (do_printf, varargin)

  %% for testing

  if (do_printf)
    printf (varargin{:})
  end

function fval = scalar_ifelse (cond, tval, fval)

  %% needed for some anonymous functions, builtin ifelse only available
  %% in Octave > 3.2; we need only the scalar case here

  if (cond)
    fval = tval;
  end