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Posted to dev@systemds.apache.org by GitBox <gi...@apache.org> on 2021/04/24 19:26:20 UTC
[GitHub] [systemds] JustYeti32 opened a new pull request #1240: [AMLS] Garch
JustYeti32 opened a new pull request #1240:
URL: https://github.com/apache/systemds/pull/1240
Aim:
- build Garch(1,1) model
Planned Features:
- simulation of Garch(1,1) process
- fitting a Garch(1,1) to given data by max QMLE
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[GitHub] [systemds] JustYeti32 edited a comment on pull request #1240: [WIP] [AMLS] Garch
Posted by GitBox <gi...@apache.org>.
JustYeti32 edited a comment on pull request #1240:
URL: https://github.com/apache/systemds/pull/1240#issuecomment-826268651
```
mario@mario-MS-7C95:~/github/systemds/scripts/builtin$ systemds garch.dml -debug
###############################################################################
# SYSTEMDS_ROOT= ../..
# SYSTEMDS_JAR_FILE= ../../target/SystemDS.jar
# CONFIG_FILE=
# LOG4JPROP= -Dlog4j.configuration=file:../../conf/log4j.properties
# CLASSPATH= ../../target/SystemDS.jar:../../lib/*:../../target/lib/*
# HADOOP_HOME= /home/mario/github/systemds/target/hadoop-test/org/apache/hadoop
#
# Running script garch.dml locally with opts: -debug
###############################################################################
Executing command: java -Xmx4g -Xms4g -Xmn400m -cp ../../target/SystemDS.jar:../../lib/*:../../target/lib/* -Dlog4j.configuration=file:../../conf/log4j.properties org.apache.sysds.api.DMLScript -f garch.dml -exec singlenode -debug
An Error Occured :
ParseException -- An Parsing exception occured
NullPointerException -- null
org.apache.sysds.parser.ParseException: An Parsing exception occured
at org.apache.sysds.parser.DMLTranslator.processExpression(DMLTranslator.java:1611)
at org.apache.sysds.parser.DMLTranslator.constructHops(DMLTranslator.java:1139)
at org.apache.sysds.parser.DMLTranslator.constructHopsForFunctionControlBlock(DMLTranslator.java:1374)
at org.apache.sysds.parser.DMLTranslator.constructHops(DMLTranslator.java:965)
at org.apache.sysds.parser.DMLTranslator.constructHops(DMLTranslator.java:263)
at org.apache.sysds.parser.DMLTranslator.constructHops(DMLTranslator.java:254)
at org.apache.sysds.api.DMLScript.execute(DMLScript.java:391)
at org.apache.sysds.api.DMLScript.executeScript(DMLScript.java:266)
at org.apache.sysds.api.DMLScript.main(DMLScript.java:164)
Caused by: java.lang.NullPointerException
at org.apache.sysds.hops.BinaryOp.<init>(BinaryOp.java:101)
at org.apache.sysds.parser.DMLTranslator.processBinaryExpression(DMLTranslator.java:1756)
at org.apache.sysds.parser.DMLTranslator.processExpression(DMLTranslator.java:1542)
... 8 more
```
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[GitHub] [systemds] Baunsgaard commented on pull request #1240: [WIP] [AMLS] Garch
Posted by GitBox <gi...@apache.org>.
Baunsgaard commented on pull request #1240:
URL: https://github.com/apache/systemds/pull/1240#issuecomment-826149839
When executing add a -debug flag (this enables java stack-trace output), and then post the entire program output you get here,
This will give us the precise location inside the system that the null pointer happens at.
That said, ideally the system should never get null pointer exceptions so you have most likely found a bug.
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[GitHub] [systemds] asfgit closed pull request #1240: [AMLS] [AMLS] Garch
Posted by GitBox <gi...@apache.org>.
asfgit closed pull request #1240:
URL: https://github.com/apache/systemds/pull/1240
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[GitHub] [systemds] JustYeti32 edited a comment on pull request #1240: [WIP] [AMLS] Garch
Posted by GitBox <gi...@apache.org>.
JustYeti32 edited a comment on pull request #1240:
URL: https://github.com/apache/systemds/pull/1240#issuecomment-826268651
`mario@mario-MS-7C95:~/github/systemds/scripts/builtin$ systemds garch.dml -debug
###############################################################################
# SYSTEMDS_ROOT= ../..
# SYSTEMDS_JAR_FILE= ../../target/SystemDS.jar
# CONFIG_FILE=
# LOG4JPROP= -Dlog4j.configuration=file:../../conf/log4j.properties
# CLASSPATH= ../../target/SystemDS.jar:../../lib/*:../../target/lib/*
# HADOOP_HOME= /home/mario/github/systemds/target/hadoop-test/org/apache/hadoop
#
# Running script garch.dml locally with opts: -debug
###############################################################################
Executing command: java -Xmx4g -Xms4g -Xmn400m -cp ../../target/SystemDS.jar:../../lib/*:../../target/lib/* -Dlog4j.configuration=file:../../conf/log4j.properties org.apache.sysds.api.DMLScript -f garch.dml -exec singlenode -debug
An Error Occured :
ParseException -- An Parsing exception occured
NullPointerException -- null
org.apache.sysds.parser.ParseException: An Parsing exception occured
at org.apache.sysds.parser.DMLTranslator.processExpression(DMLTranslator.java:1611)
at org.apache.sysds.parser.DMLTranslator.constructHops(DMLTranslator.java:1139)
at org.apache.sysds.parser.DMLTranslator.constructHopsForFunctionControlBlock(DMLTranslator.java:1374)
at org.apache.sysds.parser.DMLTranslator.constructHops(DMLTranslator.java:965)
at org.apache.sysds.parser.DMLTranslator.constructHops(DMLTranslator.java:263)
at org.apache.sysds.parser.DMLTranslator.constructHops(DMLTranslator.java:254)
at org.apache.sysds.api.DMLScript.execute(DMLScript.java:391)
at org.apache.sysds.api.DMLScript.executeScript(DMLScript.java:266)
at org.apache.sysds.api.DMLScript.main(DMLScript.java:164)
Caused by: java.lang.NullPointerException
at org.apache.sysds.hops.BinaryOp.<init>(BinaryOp.java:101)
at org.apache.sysds.parser.DMLTranslator.processBinaryExpression(DMLTranslator.java:1756)
at org.apache.sysds.parser.DMLTranslator.processExpression(DMLTranslator.java:1542)
... 8 more
`
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[GitHub] [systemds] JustYeti32 commented on pull request #1240: [WIP] [AMLS] Garch
Posted by GitBox <gi...@apache.org>.
JustYeti32 commented on pull request #1240:
URL: https://github.com/apache/systemds/pull/1240#issuecomment-841867838
Great to hear it could be fixed! @j143 thank you for offering your help, I will happily come back to it if need be!
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[GitHub] [systemds] j143 commented on pull request #1240: [WIP] [AMLS] Garch
Posted by GitBox <gi...@apache.org>.
j143 commented on pull request #1240:
URL: https://github.com/apache/systemds/pull/1240#issuecomment-847945482
Hi @JustYeti32 - I am wondering is this script taken from a standard text book? or inspired by another doc like https://www.mathworks.com/help/econ/garch.html ?
This would help [maintain](https://github.com/apache/systemds/blob/master/CONTRIBUTING.md#general-guidelines-and-philosophy-for-contribution) the algorithm later! 😃
Answer is voluntary, though.
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[GitHub] [systemds] JustYeti32 commented on pull request #1240: [WIP] [AMLS] Garch
Posted by GitBox <gi...@apache.org>.
JustYeti32 commented on pull request #1240:
URL: https://github.com/apache/systemds/pull/1240#issuecomment-841867838
Great to hear it could be fixed! @j143 thank you for offering your help, I will happily come back to it if need be!
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[GitHub] [systemds] Baunsgaard edited a comment on pull request #1240: [WIP] [AMLS] Garch
Posted by GitBox <gi...@apache.org>.
Baunsgaard edited a comment on pull request #1240:
URL: https://github.com/apache/systemds/pull/1240#issuecomment-826304267
the bug seems to be related to calling a function twice with the same arguments, this makes our compiler return null in one of the calls. so there definally is a bug in our system.
if you need to call it twice with the same arguments i suggest making a temporary variable like so:
```R
r = qmle(Xt, nb_a0, arch_coef, var_coef)
a = r - curr_qmle
df_a0 = r - a
```
but thanks for spotting a bug, i will ad a JIRA task to fix it.
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[GitHub] [systemds] JustYeti32 edited a comment on pull request #1240: [WIP] [AMLS] Garch
Posted by GitBox <gi...@apache.org>.
JustYeti32 edited a comment on pull request #1240:
URL: https://github.com/apache/systemds/pull/1240#issuecomment-826268651
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[GitHub] [systemds] Baunsgaard commented on pull request #1240: [WIP] [AMLS] Garch
Posted by GitBox <gi...@apache.org>.
Baunsgaard commented on pull request #1240:
URL: https://github.com/apache/systemds/pull/1240#issuecomment-826304267
the bug seems to be related to calling a function twice with the same arguments, this makes our compiler return null in one of the calls. so there definally is a bug in our system.
if you need to call it twice with the same arguments i suggest making a temporary variable like so:
```R
r = qmle(Xt, nb_a0, arch_coef, var_coef)
df_a0 = r - curr_qmle
df_a0 = r - curr_qmle
```
but thanks for spotting a bug, i will ad a JIRA task to fix it.
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[GitHub] [systemds] mboehm7 commented on pull request #1240: [AMLS] [AMLS] Garch
Posted by GitBox <gi...@apache.org>.
mboehm7 commented on pull request #1240:
URL: https://github.com/apache/systemds/pull/1240#issuecomment-878628404
LGTM - thanks for the patch @JustYeti32. In general this is an awesome initial version. I'll merge it in hopefully tomorrow with a few minor tweaks and additional TODOs for future vectorization.
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[GitHub] [systemds] JustYeti32 commented on pull request #1240: [WIP] [AMLS] Garch
Posted by GitBox <gi...@apache.org>.
JustYeti32 commented on pull request #1240:
URL: https://github.com/apache/systemds/pull/1240#issuecomment-847975587
@j143 most literature suggests the [BHHH algorithm](https://en.wikipedia.org/wiki/Berndt%E2%80%93Hall%E2%80%93Hall%E2%80%93Hausman_algorithm) or [BFGS](https://en.wikipedia.org/wiki/Broyden%E2%80%93Fletcher%E2%80%93Goldfarb%E2%80%93Shanno_algorithm) (like it is used in R). I think the best move would be to update to such a proper optimizer if it becomes available for systemds.
For this optimization method I followed the advice of @mboehm7 who suggested using a sort of meta-heuristic in order to avoid the complexity of implementing one of the above. I however tried to incorporate some ideas of gradient descent and ideas of simulated annealing.
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[GitHub] [systemds] j143 commented on pull request #1240: [WIP] [AMLS] Garch
Posted by GitBox <gi...@apache.org>.
j143 commented on pull request #1240:
URL: https://github.com/apache/systemds/pull/1240#issuecomment-840984953
Hi @JustYeti32, your script is working now.
```sh
spark-submit ./target/SystemDS.jar -f ./garch.dml -debug
```
<details>
<summary>Output</summary>
```log
500
0.1465992000635401
inside fct
0.4953763721731841
0.16662955948948133
0.5139428358834109
arch_coef
0.16662955948948133
2021-05-14 09:07:51 WARN ProgramBlock:159 - Function output diff_a0 has wrong value type: INT64.
2021-05-14 09:07:51 WARN ProgramBlock:159 - Function output diff_arch_coef has wrong value type: INT64.
2021-05-14 09:07:51 WARN ProgramBlock:159 - Function output diff_var_coef has wrong value type: INT64.
inside fct
0.5486355770452269
0.143963405024472
0.5671089367003042
arch_coef
0.143963405024472
2021-05-14 09:07:51 WARN ProgramBlock:159 - Function output diff_a0 has wrong value type: INT64.
2021-05-14 09:07:51 WARN ProgramBlock:159 - Function output diff_arch_coef has wrong value type: INT64.
2021-05-14 09:07:52 WARN ProgramBlock:159 - Function output diff_var_coef has wrong value type: INT64.
inside fct
0.5575099506987744
0.18387546158151635
0.5002680823800243
arch_coef
0.18387546158151635
2021-05-14 09:07:52 WARN ProgramBlock:159 - Function output diff_a0 has wrong value type: INT64.
2021-05-14 09:07:52 WARN ProgramBlock:159 - Function output diff_arch_coef has wrong value type: INT64.
2021-05-14 09:07:52 WARN ProgramBlock:159 - Function output diff_var_coef has wrong value type: INT64.
inside fct
0.5617856260447684
0.18168832532508336
0.5224789046199482
arch_coef
0.18168832532508336
2021-05-14 09:07:52 WARN ProgramBlock:159 - Function output diff_a0 has wrong value type: INT64.
2021-05-14 09:07:52 WARN ProgramBlock:159 - Function output diff_arch_coef has wrong value type: INT64.
2021-05-14 09:07:52 WARN ProgramBlock:159 - Function output diff_var_coef has wrong value type: INT64.
inside fct
0.5340070916896925
0.1515061489091135
0.5718176153552492
arch_coef
0.1515061489091135
2021-05-14 09:07:52 WARN ProgramBlock:159 - Function output diff_a0 has wrong value type: INT64.
2021-05-14 09:07:52 WARN ProgramBlock:159 - Function output diff_arch_coef has wrong value type: INT64.
2021-05-14 09:07:52 WARN ProgramBlock:159 - Function output diff_var_coef has wrong value type: INT64.
inside fct
0.5675331949522027
0.17258134095835503
0.5024475266312846
arch_coef
0.17258134095835503
2021-05-14 09:07:52 WARN ProgramBlock:159 - Function output diff_a0 has wrong value type: INT64.
2021-05-14 09:07:52 WARN ProgramBlock:159 - Function output diff_arch_coef has wrong value type: INT64.
2021-05-14 09:07:52 WARN ProgramBlock:159 - Function output diff_var_coef has wrong value type: INT64.
inside fct
0.5594974002032855
0.1524429867325436
0.5575131871765586
arch_coef
0.1524429867325436
2021-05-14 09:07:52 WARN ProgramBlock:159 - Function output diff_a0 has wrong value type: INT64.
2021-05-14 09:07:52 WARN ProgramBlock:159 - Function output diff_arch_coef has wrong value type: INT64.
2021-05-14 09:07:52 WARN ProgramBlock:159 - Function output diff_var_coef has wrong value type: INT64.
inside fct
0.5408704415549264
0.16589084968418205
0.5258133459717219
arch_coef
0.16589084968418205
2021-05-14 09:07:52 WARN ProgramBlock:159 - Function output diff_a0 has wrong value type: INT64.
2021-05-14 09:07:52 WARN ProgramBlock:159 - Function output diff_arch_coef has wrong value type: INT64.
2021-05-14 09:07:52 WARN ProgramBlock:159 - Function output diff_var_coef has wrong value type: INT64.
inside fct
0.5209856201311941
0.15171010554582864
0.5233097391731367
arch_coef
0.15171010554582864
2021-05-14 09:07:52 WARN ProgramBlock:159 - Function output diff_a0 has wrong value type: INT64.
2021-05-14 09:07:52 WARN ProgramBlock:159 - Function output diff_arch_coef has wrong value type: INT64.
2021-05-14 09:07:52 WARN ProgramBlock:159 - Function output diff_var_coef has wrong value type: INT64.
```
</details>
---
If adding tests is overwhelming for you, just complete this script with correct numeric output.
We will help you with the tests! 😃
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[GitHub] [systemds] JustYeti32 commented on pull request #1240: [AMLS] Garch
Posted by GitBox <gi...@apache.org>.
JustYeti32 commented on pull request #1240:
URL: https://github.com/apache/systemds/pull/1240#issuecomment-826142867
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[GitHub] [systemds] mboehm7 commented on pull request #1240: [WIP] [AMLS] Garch
Posted by GitBox <gi...@apache.org>.
mboehm7 commented on pull request #1240:
URL: https://github.com/apache/systemds/pull/1240#issuecomment-840102506
Thanks for catching this issue @JustYeti32 - this is now fixed in main and it was a rather complex case where hoisting multiple functions out of expressions affected each other. With the change the test script runs through just fine, we now added the respective tests and much better error handling.
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[GitHub] [systemds] JustYeti32 commented on pull request #1240: [WIP] [AMLS] Garch
Posted by GitBox <gi...@apache.org>.
JustYeti32 commented on pull request #1240:
URL: https://github.com/apache/systemds/pull/1240#issuecomment-826268651
mario@mario-MS-7C95:~/github/systemds/scripts/builtin$ systemds garch.dml -debug
###############################################################################
# SYSTEMDS_ROOT= ../..
# SYSTEMDS_JAR_FILE= ../../target/SystemDS.jar
# CONFIG_FILE=
# LOG4JPROP= -Dlog4j.configuration=file:../../conf/log4j.properties
# CLASSPATH= ../../target/SystemDS.jar:../../lib/*:../../target/lib/*
# HADOOP_HOME= /home/mario/github/systemds/target/hadoop-test/org/apache/hadoop
#
# Running script garch.dml locally with opts: -debug
###############################################################################
Executing command: java -Xmx4g -Xms4g -Xmn400m -cp ../../target/SystemDS.jar:../../lib/*:../../target/lib/* -Dlog4j.configuration=file:../../conf/log4j.properties org.apache.sysds.api.DMLScript -f garch.dml -exec singlenode -debug
An Error Occured :
ParseException -- An Parsing exception occured
NullPointerException -- null
org.apache.sysds.parser.ParseException: An Parsing exception occured
at org.apache.sysds.parser.DMLTranslator.processExpression(DMLTranslator.java:1611)
at org.apache.sysds.parser.DMLTranslator.constructHops(DMLTranslator.java:1139)
at org.apache.sysds.parser.DMLTranslator.constructHopsForFunctionControlBlock(DMLTranslator.java:1374)
at org.apache.sysds.parser.DMLTranslator.constructHops(DMLTranslator.java:965)
at org.apache.sysds.parser.DMLTranslator.constructHops(DMLTranslator.java:263)
at org.apache.sysds.parser.DMLTranslator.constructHops(DMLTranslator.java:254)
at org.apache.sysds.api.DMLScript.execute(DMLScript.java:391)
at org.apache.sysds.api.DMLScript.executeScript(DMLScript.java:266)
at org.apache.sysds.api.DMLScript.main(DMLScript.java:164)
Caused by: java.lang.NullPointerException
at org.apache.sysds.hops.BinaryOp.<init>(BinaryOp.java:101)
at org.apache.sysds.parser.DMLTranslator.processBinaryExpression(DMLTranslator.java:1756)
at org.apache.sysds.parser.DMLTranslator.processExpression(DMLTranslator.java:1542)
... 8 more
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[GitHub] [systemds] Baunsgaard commented on pull request #1240: [WIP] [AMLS] Garch
Posted by GitBox <gi...@apache.org>.
Baunsgaard commented on pull request #1240:
URL: https://github.com/apache/systemds/pull/1240#issuecomment-826304947
also while i am looking, i would suggest adding a test inside src/test/java/org/apache/sysds/test/functions/builtin that automate the testing of this new builtin.
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[GitHub] [systemds] Baunsgaard commented on pull request #1240: [WIP] [AMLS] Garch
Posted by GitBox <gi...@apache.org>.
Baunsgaard commented on pull request #1240:
URL: https://github.com/apache/systemds/pull/1240#issuecomment-826149839
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[GitHub] [systemds] JustYeti32 commented on pull request #1240: [AMLS] [AMLS] Garch
Posted by GitBox <gi...@apache.org>.
JustYeti32 commented on pull request #1240:
URL: https://github.com/apache/systemds/pull/1240#issuecomment-878259060
@mboehm7
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[GitHub] [systemds] Baunsgaard edited a comment on pull request #1240: [WIP] [AMLS] Garch
Posted by GitBox <gi...@apache.org>.
Baunsgaard edited a comment on pull request #1240:
URL: https://github.com/apache/systemds/pull/1240#issuecomment-826304267
the bug seems to be related to calling a function twice with the same arguments, this makes our compiler return null in one of the calls. so there definally is a bug in our system.
if you need to call it twice with the same arguments i suggest making a temporary variable like so:
```R
r = qmle(Xt, nb_a0, arch_coef, var_coef)
a = r - curr_qmle
df_a0 = r - a
```
but thanks for spotting a bug, i will ad a JIRA task to fix it.
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[GitHub] [systemds] JustYeti32 commented on pull request #1240: [WIP] [AMLS] Garch
Posted by GitBox <gi...@apache.org>.
JustYeti32 commented on pull request #1240:
URL: https://github.com/apache/systemds/pull/1240#issuecomment-826360097
Thank you for having a look and your suggestions!
I will definately incorporate some tests and make sure everything works as expected.
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[GitHub] [systemds] JustYeti32 commented on pull request #1240: [AMLS] Garch
Posted by GitBox <gi...@apache.org>.
JustYeti32 commented on pull request #1240:
URL: https://github.com/apache/systemds/pull/1240#issuecomment-826142867
Hello everybody!
I would appreciate if somebody would check out L116 - L125 in builtin/garch.dml
There I encounter some unexpected behavior - maybe a bug? In any case I would appreciate a look.
regards
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