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Posted to dev@commons.apache.org by Fran Lattanzio <sy...@gmail.com> on 2011/08/11 23:27:29 UTC
[math] Numerical derivatives in Commons Math
Hello,
I have a proposal for a numerical derivatives framework for Commons
Math. I'd like to add the ability to take any UnivariateRealFunction
and produce another function that represents it's derivative for an
arbitrary order. Basically, I'm saying add a factory-like interface
that looks something like the following:
public interface UniverateNumericalDeriver {
public UnivariateRealFunction derive(UnivariateRealFunction f, int derivOrder);
}
For an initial implementation of this interface, I propose using
finite differences - either central, forward, or backward. Computing
the finite difference coefficients, for any derivative order and any
error order, is a relatively trivial linear algebra problem. The user
will simply choose an error order and difference type when setting up
an FD univariate deriver - everything else will happen automagically.
You can compute the FD coefficients once the user invokes the function
in the interface above (might be expensive), and determine an
appropriate stencil width when they call evaluate(double) on the
function returned by the aformentioned method - for example, if the
user has asked for the nth derivative, we simply use the nth root of
the machine epsilon/double ulp for the stencil width. It would also be
pretty easy to let the user control this (which might be desirable in
some cases). Wikipedia has decent article on FDs of all flavors:
http://en.wikipedia.org/wiki/Finite_difference
There are, of course, many other univariate numerical derivative
schemes that could be added in the future - using Fourier transforms,
Barak's adaptive degree polynomial method, etc. These could be added
later. We could also add the ability to numerically differentiate at
single point using an arbitrary or user-defined grid (rather than an
automatically generated one, like above). Barak's method and Fornberg
finite difference coefficients could be used in this case:
http://pubs.acs.org/doi/abs/10.1021/ac00113a006
http://amath.colorado.edu/faculty/fornberg/Docs/MathComp_88_FD_formulas.pdf
It would also make sense to add vectorial and matrix-flavored versions
of interface above. These interfaces would be slightly more complex,
but nothing too crazy. Again, the initial implementation would be
finite differences. This would also be really easy to implement, since
multivariate FD coefficients are nothing more than an outer product of
their univariate cousins. The Wikipedia article also has some good
introductory material on multivariate FDs.
Cheers,
Fran.
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Re: [math] Numerical derivatives in Commons Math
Posted by Luc Maisonobe <Lu...@free.fr>.
Hi Fran,
Le 12/08/2011 16:51, Fran Lattanzio a écrit :
> I have a working prototype for real univariate functions that uses
> finite differences. The code is very small and simple, but quite
> messy. I'll clean it up soon. It's trivial to extend this to
> univariate vectorial and matrix functions. I think it's also worth add
> Savitzky-Golay smoothing filters for univariate functions for the
> first pass. Computing SG coefficients is really easy:
> http://en.wikipedia.org/wiki/Savitzky%E2%80%93Golay_smoothing_filter
> Or see Numerical Recipes. (The implementation in NR is crazy, but
> obviously correct. It could be written with CM objects in about 10
> simple, clear lines; NR's uses about 50 lines of relative madness.)
Be careful about NR. Its licensing terms are not compatible at all with
Apache (see
<http://commons.apache.org/math/developers.html#Licensing_and_copyright>).
>
> Adding SG filters for the first pass is, I think, a reasonably good
> idea since both SG and FD are basically convolution-type filters, so
> we could develop some infrastructure for these. With it, we also use
> other algos, such as the low-noise filters from Holoborodko mentioned
> in a previous email, without much extra work.
OK.
>
> I think the multivariate world should come later. It can be built atop
> the univariate infrastructure for the most part, so
> all-things-univariate should get nailed down before tackling the
> multivariate side.
Yes, this seems reasonable.
>
> Shall I create a JIRA ticket and submit a patch for this?
Yes, thanks.
Luc
>
> Cheers,
> Fran.
>
>
>
> On Fri, Aug 12, 2011 at 7:42 AM, Patrick Meyer<me...@gmail.com> wrote:
>> Thanks for the information Luc. I didn't know those existed. I'm happy to
>> keep the discussion at the implementation levels.
>>
>> On 8/12/2011 6:23 AM, Luc Maisonobe wrote:
>>>
>>> Le 12/08/2011 00:30, Patrick Meyer a écrit :
>>>>
>>>> I like the idea of adding this feature. What about an abstract class
>>>> that implements DifferentiableMultivariateRealFunction and provides the
>>>> method for partialDerivative (). People could then override the
>>>> partialDerivative method if they have an analytic derivative.
>>>>
>>>> Here's some code that I'm happy to contribute to Commons-math. It
>>>> computes the derivative by the central difference meathod and the
>>>> Hessian by finite difference. I can add this to JIRA when it's there.
>>>
>>> Hi Patrick,
>>>
>>> I think we need to discuss about the API we want and then about the
>>> implementation. There are already other finite differences implementations
>>> in some tests for both Apache Commons Math and a complete package in Apache
>>> Commons Nabla. Your code adds Hessian to this which is really a good thing.
>>>
>>> Thanks,
>>> Luc
>>>
>>>>
>>>> /**
>>>> * Numerically compute gradient by the central difference method.
>>>> Override this method
>>>> * when the analytic gradient is available.
>>>> *
>>>> *
>>>> * @param x
>>>> * @return
>>>> */
>>>> public double[] derivativeAt(double[] x){
>>>> int n = x.length;
>>>> double[] grd = new double[n];
>>>> double[] u = Arrays.copyOfRange(x, 0, x.length);
>>>> double f1 = 0.0;
>>>> double f2 = 0.0;
>>>> double stepSize = 0.0001;
>>>>
>>>> for(int i=0;i<n;i++){
>>>> stepSize = Math.sqrt(EPSILON)*(Math.abs(x[i])+1.0);//from SAS manual on
>>>> nlp procedure
>>>> u[i] = x[i] + stepSize;
>>>> f1 = valueAt(u);
>>>> u[i] = x[i] - stepSize;
>>>> f2 = valueAt(u);
>>>> grd[i] = (f1-f2)/(2.0*stepSize);
>>>> }
>>>> return grd;
>>>> }
>>>>
>>>> /**
>>>> * Numerically compute Hessian using a finite difference method. Override
>>>> this
>>>> * method when the analytic Hessian is available.
>>>> *
>>>> * @param x
>>>> * @return
>>>> */
>>>> public double[][] hessianAt(double[] x){
>>>> int n = x.length;
>>>> double[][] hessian = new double[n][n];
>>>> double[] gradientAtXpls = null;
>>>> double[] gradientAtX = derivativeAt(x);
>>>> double xtemp = 0.0;
>>>> double stepSize = 0.0001;
>>>>
>>>> for(int j=0;j<n;j++){
>>>> stepSize = Math.sqrt(EPSILON)*(Math.abs(x[j])+1.0);//from SAS manual on
>>>> nlp procedure
>>>> xtemp = x[j];
>>>> x[j] = xtemp + stepSize;
>>>> double [] x_copy = Arrays.copyOfRange(x, 0, x.length);
>>>> gradientAtXpls = derivativeAt(x_copy);
>>>> x[j] = xtemp;
>>>> for(int i=0;i<n;i++){
>>>> hessian[i][j] = (gradientAtXpls[i]-gradientAtX[i])/stepSize;
>>>> }
>>>> }
>>>> return hessian;
>>>> }
>>>>
>>>>
>>>> On 8/11/2011 5:36 PM, Luc Maisonobe wrote:
>>>>>
>>>>> Le 11/08/2011 23:27, Fran Lattanzio a écrit :
>>>>>>
>>>>>> Hello,
>>>>>
>>>>> Hi Fran,
>>>>>
>>>>>>
>>>>>> I have a proposal for a numerical derivatives framework for Commons
>>>>>> Math. I'd like to add the ability to take any UnivariateRealFunction
>>>>>> and produce another function that represents it's derivative for an
>>>>>> arbitrary order. Basically, I'm saying add a factory-like interface
>>>>>> that looks something like the following:
>>>>>>
>>>>>> public interface UniverateNumericalDeriver {
>>>>>> public UnivariateRealFunction derive(UnivariateRealFunction f, int
>>>>>> derivOrder);
>>>>>> }
>>>>>
>>>>> This sound interesting. did you have a look at Commons Nabla
>>>>> UnivariateDifferentiator interface and its implementations ?
>>>>>
>>>>> Luc
>>>>>
>>>>>>
>>>>>> For an initial implementation of this interface, I propose using
>>>>>> finite differences - either central, forward, or backward. Computing
>>>>>> the finite difference coefficients, for any derivative order and any
>>>>>> error order, is a relatively trivial linear algebra problem. The user
>>>>>> will simply choose an error order and difference type when setting up
>>>>>> an FD univariate deriver - everything else will happen automagically.
>>>>>> You can compute the FD coefficients once the user invokes the function
>>>>>> in the interface above (might be expensive), and determine an
>>>>>> appropriate stencil width when they call evaluate(double) on the
>>>>>> function returned by the aformentioned method - for example, if the
>>>>>> user has asked for the nth derivative, we simply use the nth root of
>>>>>> the machine epsilon/double ulp for the stencil width. It would also be
>>>>>> pretty easy to let the user control this (which might be desirable in
>>>>>> some cases). Wikipedia has decent article on FDs of all flavors:
>>>>>> http://en.wikipedia.org/wiki/Finite_difference
>>>>>>
>>>>>> There are, of course, many other univariate numerical derivative
>>>>>> schemes that could be added in the future - using Fourier transforms,
>>>>>> Barak's adaptive degree polynomial method, etc. These could be added
>>>>>> later. We could also add the ability to numerically differentiate at
>>>>>> single point using an arbitrary or user-defined grid (rather than an
>>>>>> automatically generated one, like above). Barak's method and Fornberg
>>>>>> finite difference coefficients could be used in this case:
>>>>>> http://pubs.acs.org/doi/abs/10.1021/ac00113a006
>>>>>>
>>>>>> http://amath.colorado.edu/faculty/fornberg/Docs/MathComp_88_FD_formulas.pdf
>>>>>>
>>>>>>
>>>>>> It would also make sense to add vectorial and matrix-flavored versions
>>>>>> of interface above. These interfaces would be slightly more complex,
>>>>>> but nothing too crazy. Again, the initial implementation would be
>>>>>> finite differences. This would also be really easy to implement, since
>>>>>> multivariate FD coefficients are nothing more than an outer product of
>>>>>> their univariate cousins. The Wikipedia article also has some good
>>>>>> introductory material on multivariate FDs.
>>>>>>
>>>>>> Cheers,
>>>>>> Fran.
>>>>>>
>>>>>> ---------------------------------------------------------------------
>>>>>> To unsubscribe, e-mail: dev-unsubscribe@commons.apache.org
>>>>>> For additional commands, e-mail: dev-help@commons.apache.org
>>>>>>
>>>>>>
>>>>>
>>>>>
>>>>> ---------------------------------------------------------------------
>>>>> To unsubscribe, e-mail: dev-unsubscribe@commons.apache.org
>>>>> For additional commands, e-mail: dev-help@commons.apache.org
>>>>>
>>>>
>>>> ---------------------------------------------------------------------
>>>> To unsubscribe, e-mail: dev-unsubscribe@commons.apache.org
>>>> For additional commands, e-mail: dev-help@commons.apache.org
>>>>
>>>>
>>>
>>>
>>> ---------------------------------------------------------------------
>>> To unsubscribe, e-mail: dev-unsubscribe@commons.apache.org
>>> For additional commands, e-mail: dev-help@commons.apache.org
>>>
>>
>> ---------------------------------------------------------------------
>> To unsubscribe, e-mail: dev-unsubscribe@commons.apache.org
>> For additional commands, e-mail: dev-help@commons.apache.org
>>
>>
>
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>
>
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Re: [math] Numerical derivatives in Commons Math
Posted by Fran Lattanzio <sy...@gmail.com>.
I have a working prototype for real univariate functions that uses
finite differences. The code is very small and simple, but quite
messy. I'll clean it up soon. It's trivial to extend this to
univariate vectorial and matrix functions. I think it's also worth add
Savitzky-Golay smoothing filters for univariate functions for the
first pass. Computing SG coefficients is really easy:
http://en.wikipedia.org/wiki/Savitzky%E2%80%93Golay_smoothing_filter
Or see Numerical Recipes. (The implementation in NR is crazy, but
obviously correct. It could be written with CM objects in about 10
simple, clear lines; NR's uses about 50 lines of relative madness.)
Adding SG filters for the first pass is, I think, a reasonably good
idea since both SG and FD are basically convolution-type filters, so
we could develop some infrastructure for these. With it, we also use
other algos, such as the low-noise filters from Holoborodko mentioned
in a previous email, without much extra work.
I think the multivariate world should come later. It can be built atop
the univariate infrastructure for the most part, so
all-things-univariate should get nailed down before tackling the
multivariate side.
Shall I create a JIRA ticket and submit a patch for this?
Cheers,
Fran.
On Fri, Aug 12, 2011 at 7:42 AM, Patrick Meyer <me...@gmail.com> wrote:
> Thanks for the information Luc. I didn't know those existed. I'm happy to
> keep the discussion at the implementation levels.
>
> On 8/12/2011 6:23 AM, Luc Maisonobe wrote:
>>
>> Le 12/08/2011 00:30, Patrick Meyer a écrit :
>>>
>>> I like the idea of adding this feature. What about an abstract class
>>> that implements DifferentiableMultivariateRealFunction and provides the
>>> method for partialDerivative (). People could then override the
>>> partialDerivative method if they have an analytic derivative.
>>>
>>> Here's some code that I'm happy to contribute to Commons-math. It
>>> computes the derivative by the central difference meathod and the
>>> Hessian by finite difference. I can add this to JIRA when it's there.
>>
>> Hi Patrick,
>>
>> I think we need to discuss about the API we want and then about the
>> implementation. There are already other finite differences implementations
>> in some tests for both Apache Commons Math and a complete package in Apache
>> Commons Nabla. Your code adds Hessian to this which is really a good thing.
>>
>> Thanks,
>> Luc
>>
>>>
>>> /**
>>> * Numerically compute gradient by the central difference method.
>>> Override this method
>>> * when the analytic gradient is available.
>>> *
>>> *
>>> * @param x
>>> * @return
>>> */
>>> public double[] derivativeAt(double[] x){
>>> int n = x.length;
>>> double[] grd = new double[n];
>>> double[] u = Arrays.copyOfRange(x, 0, x.length);
>>> double f1 = 0.0;
>>> double f2 = 0.0;
>>> double stepSize = 0.0001;
>>>
>>> for(int i=0;i<n;i++){
>>> stepSize = Math.sqrt(EPSILON)*(Math.abs(x[i])+1.0);//from SAS manual on
>>> nlp procedure
>>> u[i] = x[i] + stepSize;
>>> f1 = valueAt(u);
>>> u[i] = x[i] - stepSize;
>>> f2 = valueAt(u);
>>> grd[i] = (f1-f2)/(2.0*stepSize);
>>> }
>>> return grd;
>>> }
>>>
>>> /**
>>> * Numerically compute Hessian using a finite difference method. Override
>>> this
>>> * method when the analytic Hessian is available.
>>> *
>>> * @param x
>>> * @return
>>> */
>>> public double[][] hessianAt(double[] x){
>>> int n = x.length;
>>> double[][] hessian = new double[n][n];
>>> double[] gradientAtXpls = null;
>>> double[] gradientAtX = derivativeAt(x);
>>> double xtemp = 0.0;
>>> double stepSize = 0.0001;
>>>
>>> for(int j=0;j<n;j++){
>>> stepSize = Math.sqrt(EPSILON)*(Math.abs(x[j])+1.0);//from SAS manual on
>>> nlp procedure
>>> xtemp = x[j];
>>> x[j] = xtemp + stepSize;
>>> double [] x_copy = Arrays.copyOfRange(x, 0, x.length);
>>> gradientAtXpls = derivativeAt(x_copy);
>>> x[j] = xtemp;
>>> for(int i=0;i<n;i++){
>>> hessian[i][j] = (gradientAtXpls[i]-gradientAtX[i])/stepSize;
>>> }
>>> }
>>> return hessian;
>>> }
>>>
>>>
>>> On 8/11/2011 5:36 PM, Luc Maisonobe wrote:
>>>>
>>>> Le 11/08/2011 23:27, Fran Lattanzio a écrit :
>>>>>
>>>>> Hello,
>>>>
>>>> Hi Fran,
>>>>
>>>>>
>>>>> I have a proposal for a numerical derivatives framework for Commons
>>>>> Math. I'd like to add the ability to take any UnivariateRealFunction
>>>>> and produce another function that represents it's derivative for an
>>>>> arbitrary order. Basically, I'm saying add a factory-like interface
>>>>> that looks something like the following:
>>>>>
>>>>> public interface UniverateNumericalDeriver {
>>>>> public UnivariateRealFunction derive(UnivariateRealFunction f, int
>>>>> derivOrder);
>>>>> }
>>>>
>>>> This sound interesting. did you have a look at Commons Nabla
>>>> UnivariateDifferentiator interface and its implementations ?
>>>>
>>>> Luc
>>>>
>>>>>
>>>>> For an initial implementation of this interface, I propose using
>>>>> finite differences - either central, forward, or backward. Computing
>>>>> the finite difference coefficients, for any derivative order and any
>>>>> error order, is a relatively trivial linear algebra problem. The user
>>>>> will simply choose an error order and difference type when setting up
>>>>> an FD univariate deriver - everything else will happen automagically.
>>>>> You can compute the FD coefficients once the user invokes the function
>>>>> in the interface above (might be expensive), and determine an
>>>>> appropriate stencil width when they call evaluate(double) on the
>>>>> function returned by the aformentioned method - for example, if the
>>>>> user has asked for the nth derivative, we simply use the nth root of
>>>>> the machine epsilon/double ulp for the stencil width. It would also be
>>>>> pretty easy to let the user control this (which might be desirable in
>>>>> some cases). Wikipedia has decent article on FDs of all flavors:
>>>>> http://en.wikipedia.org/wiki/Finite_difference
>>>>>
>>>>> There are, of course, many other univariate numerical derivative
>>>>> schemes that could be added in the future - using Fourier transforms,
>>>>> Barak's adaptive degree polynomial method, etc. These could be added
>>>>> later. We could also add the ability to numerically differentiate at
>>>>> single point using an arbitrary or user-defined grid (rather than an
>>>>> automatically generated one, like above). Barak's method and Fornberg
>>>>> finite difference coefficients could be used in this case:
>>>>> http://pubs.acs.org/doi/abs/10.1021/ac00113a006
>>>>>
>>>>> http://amath.colorado.edu/faculty/fornberg/Docs/MathComp_88_FD_formulas.pdf
>>>>>
>>>>>
>>>>> It would also make sense to add vectorial and matrix-flavored versions
>>>>> of interface above. These interfaces would be slightly more complex,
>>>>> but nothing too crazy. Again, the initial implementation would be
>>>>> finite differences. This would also be really easy to implement, since
>>>>> multivariate FD coefficients are nothing more than an outer product of
>>>>> their univariate cousins. The Wikipedia article also has some good
>>>>> introductory material on multivariate FDs.
>>>>>
>>>>> Cheers,
>>>>> Fran.
>>>>>
>>>>> ---------------------------------------------------------------------
>>>>> To unsubscribe, e-mail: dev-unsubscribe@commons.apache.org
>>>>> For additional commands, e-mail: dev-help@commons.apache.org
>>>>>
>>>>>
>>>>
>>>>
>>>> ---------------------------------------------------------------------
>>>> To unsubscribe, e-mail: dev-unsubscribe@commons.apache.org
>>>> For additional commands, e-mail: dev-help@commons.apache.org
>>>>
>>>
>>> ---------------------------------------------------------------------
>>> To unsubscribe, e-mail: dev-unsubscribe@commons.apache.org
>>> For additional commands, e-mail: dev-help@commons.apache.org
>>>
>>>
>>
>>
>> ---------------------------------------------------------------------
>> To unsubscribe, e-mail: dev-unsubscribe@commons.apache.org
>> For additional commands, e-mail: dev-help@commons.apache.org
>>
>
> ---------------------------------------------------------------------
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>
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Re: [math] Numerical derivatives in Commons Math
Posted by Patrick Meyer <me...@gmail.com>.
Thanks for the information Luc. I didn't know those existed. I'm happy
to keep the discussion at the implementation levels.
On 8/12/2011 6:23 AM, Luc Maisonobe wrote:
> Le 12/08/2011 00:30, Patrick Meyer a écrit :
>> I like the idea of adding this feature. What about an abstract class
>> that implements DifferentiableMultivariateRealFunction and provides the
>> method for partialDerivative (). People could then override the
>> partialDerivative method if they have an analytic derivative.
>>
>> Here's some code that I'm happy to contribute to Commons-math. It
>> computes the derivative by the central difference meathod and the
>> Hessian by finite difference. I can add this to JIRA when it's there.
>
> Hi Patrick,
>
> I think we need to discuss about the API we want and then about the
> implementation. There are already other finite differences
> implementations in some tests for both Apache Commons Math and a
> complete package in Apache Commons Nabla. Your code adds Hessian to
> this which is really a good thing.
>
> Thanks,
> Luc
>
>>
>> /**
>> * Numerically compute gradient by the central difference method.
>> Override this method
>> * when the analytic gradient is available.
>> *
>> *
>> * @param x
>> * @return
>> */
>> public double[] derivativeAt(double[] x){
>> int n = x.length;
>> double[] grd = new double[n];
>> double[] u = Arrays.copyOfRange(x, 0, x.length);
>> double f1 = 0.0;
>> double f2 = 0.0;
>> double stepSize = 0.0001;
>>
>> for(int i=0;i<n;i++){
>> stepSize = Math.sqrt(EPSILON)*(Math.abs(x[i])+1.0);//from SAS manual on
>> nlp procedure
>> u[i] = x[i] + stepSize;
>> f1 = valueAt(u);
>> u[i] = x[i] - stepSize;
>> f2 = valueAt(u);
>> grd[i] = (f1-f2)/(2.0*stepSize);
>> }
>> return grd;
>> }
>>
>> /**
>> * Numerically compute Hessian using a finite difference method. Override
>> this
>> * method when the analytic Hessian is available.
>> *
>> * @param x
>> * @return
>> */
>> public double[][] hessianAt(double[] x){
>> int n = x.length;
>> double[][] hessian = new double[n][n];
>> double[] gradientAtXpls = null;
>> double[] gradientAtX = derivativeAt(x);
>> double xtemp = 0.0;
>> double stepSize = 0.0001;
>>
>> for(int j=0;j<n;j++){
>> stepSize = Math.sqrt(EPSILON)*(Math.abs(x[j])+1.0);//from SAS manual on
>> nlp procedure
>> xtemp = x[j];
>> x[j] = xtemp + stepSize;
>> double [] x_copy = Arrays.copyOfRange(x, 0, x.length);
>> gradientAtXpls = derivativeAt(x_copy);
>> x[j] = xtemp;
>> for(int i=0;i<n;i++){
>> hessian[i][j] = (gradientAtXpls[i]-gradientAtX[i])/stepSize;
>> }
>> }
>> return hessian;
>> }
>>
>>
>> On 8/11/2011 5:36 PM, Luc Maisonobe wrote:
>>> Le 11/08/2011 23:27, Fran Lattanzio a écrit :
>>>> Hello,
>>>
>>> Hi Fran,
>>>
>>>>
>>>> I have a proposal for a numerical derivatives framework for Commons
>>>> Math. I'd like to add the ability to take any UnivariateRealFunction
>>>> and produce another function that represents it's derivative for an
>>>> arbitrary order. Basically, I'm saying add a factory-like interface
>>>> that looks something like the following:
>>>>
>>>> public interface UniverateNumericalDeriver {
>>>> public UnivariateRealFunction derive(UnivariateRealFunction f, int
>>>> derivOrder);
>>>> }
>>>
>>> This sound interesting. did you have a look at Commons Nabla
>>> UnivariateDifferentiator interface and its implementations ?
>>>
>>> Luc
>>>
>>>>
>>>> For an initial implementation of this interface, I propose using
>>>> finite differences - either central, forward, or backward. Computing
>>>> the finite difference coefficients, for any derivative order and any
>>>> error order, is a relatively trivial linear algebra problem. The user
>>>> will simply choose an error order and difference type when setting up
>>>> an FD univariate deriver - everything else will happen automagically.
>>>> You can compute the FD coefficients once the user invokes the function
>>>> in the interface above (might be expensive), and determine an
>>>> appropriate stencil width when they call evaluate(double) on the
>>>> function returned by the aformentioned method - for example, if the
>>>> user has asked for the nth derivative, we simply use the nth root of
>>>> the machine epsilon/double ulp for the stencil width. It would also be
>>>> pretty easy to let the user control this (which might be desirable in
>>>> some cases). Wikipedia has decent article on FDs of all flavors:
>>>> http://en.wikipedia.org/wiki/Finite_difference
>>>>
>>>> There are, of course, many other univariate numerical derivative
>>>> schemes that could be added in the future - using Fourier transforms,
>>>> Barak's adaptive degree polynomial method, etc. These could be added
>>>> later. We could also add the ability to numerically differentiate at
>>>> single point using an arbitrary or user-defined grid (rather than an
>>>> automatically generated one, like above). Barak's method and Fornberg
>>>> finite difference coefficients could be used in this case:
>>>> http://pubs.acs.org/doi/abs/10.1021/ac00113a006
>>>> http://amath.colorado.edu/faculty/fornberg/Docs/MathComp_88_FD_formulas.pdf
>>>>
>>>>
>>>>
>>>> It would also make sense to add vectorial and matrix-flavored versions
>>>> of interface above. These interfaces would be slightly more complex,
>>>> but nothing too crazy. Again, the initial implementation would be
>>>> finite differences. This would also be really easy to implement, since
>>>> multivariate FD coefficients are nothing more than an outer product of
>>>> their univariate cousins. The Wikipedia article also has some good
>>>> introductory material on multivariate FDs.
>>>>
>>>> Cheers,
>>>> Fran.
>>>>
>>>> ---------------------------------------------------------------------
>>>> To unsubscribe, e-mail: dev-unsubscribe@commons.apache.org
>>>> For additional commands, e-mail: dev-help@commons.apache.org
>>>>
>>>>
>>>
>>>
>>> ---------------------------------------------------------------------
>>> To unsubscribe, e-mail: dev-unsubscribe@commons.apache.org
>>> For additional commands, e-mail: dev-help@commons.apache.org
>>>
>>
>> ---------------------------------------------------------------------
>> To unsubscribe, e-mail: dev-unsubscribe@commons.apache.org
>> For additional commands, e-mail: dev-help@commons.apache.org
>>
>>
>
>
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Re: [math] Numerical derivatives in Commons Math
Posted by Luc Maisonobe <Lu...@free.fr>.
Le 12/08/2011 00:30, Patrick Meyer a écrit :
> I like the idea of adding this feature. What about an abstract class
> that implements DifferentiableMultivariateRealFunction and provides the
> method for partialDerivative (). People could then override the
> partialDerivative method if they have an analytic derivative.
>
> Here's some code that I'm happy to contribute to Commons-math. It
> computes the derivative by the central difference meathod and the
> Hessian by finite difference. I can add this to JIRA when it's there.
Hi Patrick,
I think we need to discuss about the API we want and then about the
implementation. There are already other finite differences
implementations in some tests for both Apache Commons Math and a
complete package in Apache Commons Nabla. Your code adds Hessian to this
which is really a good thing.
Thanks,
Luc
>
> /**
> * Numerically compute gradient by the central difference method.
> Override this method
> * when the analytic gradient is available.
> *
> *
> * @param x
> * @return
> */
> public double[] derivativeAt(double[] x){
> int n = x.length;
> double[] grd = new double[n];
> double[] u = Arrays.copyOfRange(x, 0, x.length);
> double f1 = 0.0;
> double f2 = 0.0;
> double stepSize = 0.0001;
>
> for(int i=0;i<n;i++){
> stepSize = Math.sqrt(EPSILON)*(Math.abs(x[i])+1.0);//from SAS manual on
> nlp procedure
> u[i] = x[i] + stepSize;
> f1 = valueAt(u);
> u[i] = x[i] - stepSize;
> f2 = valueAt(u);
> grd[i] = (f1-f2)/(2.0*stepSize);
> }
> return grd;
> }
>
> /**
> * Numerically compute Hessian using a finite difference method. Override
> this
> * method when the analytic Hessian is available.
> *
> * @param x
> * @return
> */
> public double[][] hessianAt(double[] x){
> int n = x.length;
> double[][] hessian = new double[n][n];
> double[] gradientAtXpls = null;
> double[] gradientAtX = derivativeAt(x);
> double xtemp = 0.0;
> double stepSize = 0.0001;
>
> for(int j=0;j<n;j++){
> stepSize = Math.sqrt(EPSILON)*(Math.abs(x[j])+1.0);//from SAS manual on
> nlp procedure
> xtemp = x[j];
> x[j] = xtemp + stepSize;
> double [] x_copy = Arrays.copyOfRange(x, 0, x.length);
> gradientAtXpls = derivativeAt(x_copy);
> x[j] = xtemp;
> for(int i=0;i<n;i++){
> hessian[i][j] = (gradientAtXpls[i]-gradientAtX[i])/stepSize;
> }
> }
> return hessian;
> }
>
>
> On 8/11/2011 5:36 PM, Luc Maisonobe wrote:
>> Le 11/08/2011 23:27, Fran Lattanzio a écrit :
>>> Hello,
>>
>> Hi Fran,
>>
>>>
>>> I have a proposal for a numerical derivatives framework for Commons
>>> Math. I'd like to add the ability to take any UnivariateRealFunction
>>> and produce another function that represents it's derivative for an
>>> arbitrary order. Basically, I'm saying add a factory-like interface
>>> that looks something like the following:
>>>
>>> public interface UniverateNumericalDeriver {
>>> public UnivariateRealFunction derive(UnivariateRealFunction f, int
>>> derivOrder);
>>> }
>>
>> This sound interesting. did you have a look at Commons Nabla
>> UnivariateDifferentiator interface and its implementations ?
>>
>> Luc
>>
>>>
>>> For an initial implementation of this interface, I propose using
>>> finite differences - either central, forward, or backward. Computing
>>> the finite difference coefficients, for any derivative order and any
>>> error order, is a relatively trivial linear algebra problem. The user
>>> will simply choose an error order and difference type when setting up
>>> an FD univariate deriver - everything else will happen automagically.
>>> You can compute the FD coefficients once the user invokes the function
>>> in the interface above (might be expensive), and determine an
>>> appropriate stencil width when they call evaluate(double) on the
>>> function returned by the aformentioned method - for example, if the
>>> user has asked for the nth derivative, we simply use the nth root of
>>> the machine epsilon/double ulp for the stencil width. It would also be
>>> pretty easy to let the user control this (which might be desirable in
>>> some cases). Wikipedia has decent article on FDs of all flavors:
>>> http://en.wikipedia.org/wiki/Finite_difference
>>>
>>> There are, of course, many other univariate numerical derivative
>>> schemes that could be added in the future - using Fourier transforms,
>>> Barak's adaptive degree polynomial method, etc. These could be added
>>> later. We could also add the ability to numerically differentiate at
>>> single point using an arbitrary or user-defined grid (rather than an
>>> automatically generated one, like above). Barak's method and Fornberg
>>> finite difference coefficients could be used in this case:
>>> http://pubs.acs.org/doi/abs/10.1021/ac00113a006
>>> http://amath.colorado.edu/faculty/fornberg/Docs/MathComp_88_FD_formulas.pdf
>>>
>>>
>>> It would also make sense to add vectorial and matrix-flavored versions
>>> of interface above. These interfaces would be slightly more complex,
>>> but nothing too crazy. Again, the initial implementation would be
>>> finite differences. This would also be really easy to implement, since
>>> multivariate FD coefficients are nothing more than an outer product of
>>> their univariate cousins. The Wikipedia article also has some good
>>> introductory material on multivariate FDs.
>>>
>>> Cheers,
>>> Fran.
>>>
>>> ---------------------------------------------------------------------
>>> To unsubscribe, e-mail: dev-unsubscribe@commons.apache.org
>>> For additional commands, e-mail: dev-help@commons.apache.org
>>>
>>>
>>
>>
>> ---------------------------------------------------------------------
>> To unsubscribe, e-mail: dev-unsubscribe@commons.apache.org
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>>
>
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Re: [math] Numerical derivatives in Commons Math
Posted by Luc Maisonobe <Lu...@free.fr>.
Hi Bruce,
Le 12/08/2011 00:47, Bruce A Johnson a écrit :
> I'd be quite interested in seeing Numerical Derivatives in CM. There are some interesting ideas about Numerical Differentiation here:
>
> http://www.holoborodko.com/pavel/numerical-methods/
Thanks for the link.
Do you think we should have both a classical differentiation for regular
functions and something else for noisy ones or is the robust approach
also useful in the regular case ?
Luc
>
> Bruce
>
>
> On Aug 11, 2011, at 6:30 PM, Patrick Meyer wrote:
>
>> I like the idea of adding this feature. What about an abstract class that implements DifferentiableMultivariateRealFunction and provides the method for partialDerivative (). People could then override the partialDerivative method if they have an analytic derivative.
>>
>> Here's some code that I'm happy to contribute to Commons-math. It computes the derivative by the central difference meathod and the Hessian by finite difference. I can add this to JIRA when it's there.
>>
>> /**
>> * Numerically compute gradient by the central difference method. Override this method
>> * when the analytic gradient is available.
>> *
>> *
>> * @param x
>> * @return
>> */
>> public double[] derivativeAt(double[] x){
>> int n = x.length;
>> double[] grd = new double[n];
>> double[] u = Arrays.copyOfRange(x, 0, x.length);
>> double f1 = 0.0;
>> double f2 = 0.0;
>> double stepSize = 0.0001;
>>
>> for(int i=0;i<n;i++){
>> stepSize = Math.sqrt(EPSILON)*(Math.abs(x[i])+1.0);//from SAS manual on nlp procedure
>> u[i] = x[i] + stepSize;
>> f1 = valueAt(u);
>> u[i] = x[i] - stepSize;
>> f2 = valueAt(u);
>> grd[i] = (f1-f2)/(2.0*stepSize);
>> }
>> return grd;
>> }
>>
>> /**
>> * Numerically compute Hessian using a finite difference method. Override this
>> * method when the analytic Hessian is available.
>> *
>> * @param x
>> * @return
>> */
>> public double[][] hessianAt(double[] x){
>> int n = x.length;
>> double[][] hessian = new double[n][n];
>> double[] gradientAtXpls = null;
>> double[] gradientAtX = derivativeAt(x);
>> double xtemp = 0.0;
>> double stepSize = 0.0001;
>>
>> for(int j=0;j<n;j++){
>> stepSize = Math.sqrt(EPSILON)*(Math.abs(x[j])+1.0);//from SAS manual on nlp procedure
>> xtemp = x[j];
>> x[j] = xtemp + stepSize;
>> double [] x_copy = Arrays.copyOfRange(x, 0, x.length);
>> gradientAtXpls = derivativeAt(x_copy);
>> x[j] = xtemp;
>> for(int i=0;i<n;i++){
>> hessian[i][j] = (gradientAtXpls[i]-gradientAtX[i])/stepSize;
>> }
>> }
>> return hessian;
>> }
>>
>>
>> On 8/11/2011 5:36 PM, Luc Maisonobe wrote:
>>> Le 11/08/2011 23:27, Fran Lattanzio a écrit :
>>>> Hello,
>>>
>>> Hi Fran,
>>>
>>>>
>>>> I have a proposal for a numerical derivatives framework for Commons
>>>> Math. I'd like to add the ability to take any UnivariateRealFunction
>>>> and produce another function that represents it's derivative for an
>>>> arbitrary order. Basically, I'm saying add a factory-like interface
>>>> that looks something like the following:
>>>>
>>>> public interface UniverateNumericalDeriver {
>>>> public UnivariateRealFunction derive(UnivariateRealFunction f, int derivOrder);
>>>> }
>>>
>>> This sound interesting. did you have a look at Commons Nabla UnivariateDifferentiator interface and its implementations ?
>>>
>>> Luc
>>>
>>>>
>>>> For an initial implementation of this interface, I propose using
>>>> finite differences - either central, forward, or backward. Computing
>>>> the finite difference coefficients, for any derivative order and any
>>>> error order, is a relatively trivial linear algebra problem. The user
>>>> will simply choose an error order and difference type when setting up
>>>> an FD univariate deriver - everything else will happen automagically.
>>>> You can compute the FD coefficients once the user invokes the function
>>>> in the interface above (might be expensive), and determine an
>>>> appropriate stencil width when they call evaluate(double) on the
>>>> function returned by the aformentioned method - for example, if the
>>>> user has asked for the nth derivative, we simply use the nth root of
>>>> the machine epsilon/double ulp for the stencil width. It would also be
>>>> pretty easy to let the user control this (which might be desirable in
>>>> some cases). Wikipedia has decent article on FDs of all flavors:
>>>> http://en.wikipedia.org/wiki/Finite_difference
>>>>
>>>> There are, of course, many other univariate numerical derivative
>>>> schemes that could be added in the future - using Fourier transforms,
>>>> Barak's adaptive degree polynomial method, etc. These could be added
>>>> later. We could also add the ability to numerically differentiate at
>>>> single point using an arbitrary or user-defined grid (rather than an
>>>> automatically generated one, like above). Barak's method and Fornberg
>>>> finite difference coefficients could be used in this case:
>>>> http://pubs.acs.org/doi/abs/10.1021/ac00113a006
>>>> http://amath.colorado.edu/faculty/fornberg/Docs/MathComp_88_FD_formulas.pdf
>>>>
>>>> It would also make sense to add vectorial and matrix-flavored versions
>>>> of interface above. These interfaces would be slightly more complex,
>>>> but nothing too crazy. Again, the initial implementation would be
>>>> finite differences. This would also be really easy to implement, since
>>>> multivariate FD coefficients are nothing more than an outer product of
>>>> their univariate cousins. The Wikipedia article also has some good
>>>> introductory material on multivariate FDs.
>>>>
>>>> Cheers,
>>>> Fran.
>>>>
>>>> ---------------------------------------------------------------------
>>>> To unsubscribe, e-mail: dev-unsubscribe@commons.apache.org
>>>> For additional commands, e-mail: dev-help@commons.apache.org
>>>>
>>>>
>>>
>>>
>>> ---------------------------------------------------------------------
>>> To unsubscribe, e-mail: dev-unsubscribe@commons.apache.org
>>> For additional commands, e-mail: dev-help@commons.apache.org
>>>
>>
>> ---------------------------------------------------------------------
>> To unsubscribe, e-mail: dev-unsubscribe@commons.apache.org
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>>
>>
>
>
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Re: [math] Numerical derivatives in Commons Math
Posted by Sébastien Brisard <se...@m4x.org>.
Hi Luc,
>
> I don't fully agree with this. Both numerical and analytical approach are
> useful and have advantages and drawbacks.
>
Wowww!
I certainly did not want to start a debate on this topic. I'm just
reporting on a conference I heard which lead me think that CM users
might find such a feature usefull. I think we can safely assume
Prevost knows what he is talking about, he has been around long enough
in the FE community. Having said that, I'm confident you also know
what you are talking about... So maybe you both are talking about
slightly different things. Prevost is differentiating a material
constitutive law: multivariate, yes, but not too many variables. So
maybe the time overhead is not so great at low dimensionality, you
tell me.
As for automatic differentiation: that topic was not raised in his
talk, and I'm sure he is using an external CAS software and
copy/pasting into his huge FORTRAN (ughhh) software.
Sébastien
2011/8/12 Luc Maisonobe <Lu...@free.fr>:
> Hi Sébastien,
>
> Le 12/08/2011 07:50, Sébastien Brisard a écrit :
>>
>> As Patrick suggested, this approach should really be extended to
>> multivariate functions. To cite but one example, I recently attended a
>> conf where Pr. Prevost (Princeton) talked about non-linear finite
>> elements calcs. The long standing approach had always been to
>> implement the analytical expressions tangent stiffness (which is
>> nothing but a jacobian matrix). He argued strongly against it for at
>> least two reasons
>> - it is error-prone,
>> - most of the time, the expressions are so complex that their
>> evaluation is just as time-consuming as a numerical derivative.
> The fact analytical approach is error-prone is true only when analytical
> differentiation is done manually. Using automatic differentiation completely
> removes this problem (take a look at Nabla).
>
> The fact expression are has time consuming as numerical derivatives is
> simply false when speaking about multivariate functions. This result is
> known as the "cheap gradient" property. The relative computing effort for
> gradients or Jacobians using finite differences for an n variables function
> with respect to the basic function evaluation is roughly 2n. Using the
> automatic differentiation technique known as "reverse mode" (which is not
> implemented in Nabla but should be in the unknown future), this cost is
> about 4 and is *independent of n*, which is really an amazing result.
>
>> So, having some robust algorithms for multidimensional functions
>> already implemented in CM would in my view be invaluable.
> Luc
>
>> Sébastien
>>
>> ---------------------------------------------------------------------
>> To unsubscribe, e-mail: dev-unsubscribe@commons.apache.org
>> For additional commands, e-mail: dev-help@commons.apache.org
>>
>>
>
>
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Re: [math] Numerical derivatives in Commons Math
Posted by Luc Maisonobe <Lu...@free.fr>.
Hi Sébastien,
Le 12/08/2011 07:50, Sébastien Brisard a écrit :
> As Patrick suggested, this approach should really be extended to
> multivariate functions. To cite but one example, I recently attended a
> conf where Pr. Prevost (Princeton) talked about non-linear finite
> elements calcs. The long standing approach had always been to
> implement the analytical expressions tangent stiffness (which is
> nothing but a jacobian matrix). He argued strongly against it for at
> least two reasons
> - it is error-prone,
> - most of the time, the expressions are so complex that their
> evaluation is just as time-consuming as a numerical derivative.
I don't fully agree with this. Both numerical and analytical approach
are useful and have advantages and drawbacks.
The fact analytical approach is error-prone is true only when analytical
differentiation is done manually. Using automatic differentiation
completely removes this problem (take a look at Nabla).
The fact expression are has time consuming as numerical derivatives is
simply false when speaking about multivariate functions. This result is
known as the "cheap gradient" property. The relative computing effort
for gradients or Jacobians using finite differences for an n variables
function with respect to the basic function evaluation is roughly 2n.
Using the automatic differentiation technique known as "reverse mode"
(which is not implemented in Nabla but should be in the unknown future),
this cost is about 4 and is *independent of n*, which is really an
amazing result.
> So, having some robust algorithms for multidimensional functions
> already implemented in CM would in my view be invaluable.
I agree with that.
Luc
> Sébastien
>
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>
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Re: [math] Numerical derivatives in Commons Math
Posted by Sébastien Brisard <se...@m4x.org>.
As Patrick suggested, this approach should really be extended to
multivariate functions. To cite but one example, I recently attended a
conf where Pr. Prevost (Princeton) talked about non-linear finite
elements calcs. The long standing approach had always been to
implement the analytical expressions tangent stiffness (which is
nothing but a jacobian matrix). He argued strongly against it for at
least two reasons
- it is error-prone,
- most of the time, the expressions are so complex that their
evaluation is just as time-consuming as a numerical derivative.
So, having some robust algorithms for multidimensional functions
already implemented in CM would in my view be invaluable.
Sébastien
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Re: [math] Numerical derivatives in Commons Math
Posted by Bruce A Johnson <jo...@umbc.edu>.
I'd be quite interested in seeing Numerical Derivatives in CM. There are some interesting ideas about Numerical Differentiation here:
http://www.holoborodko.com/pavel/numerical-methods/
Bruce
On Aug 11, 2011, at 6:30 PM, Patrick Meyer wrote:
> I like the idea of adding this feature. What about an abstract class that implements DifferentiableMultivariateRealFunction and provides the method for partialDerivative (). People could then override the partialDerivative method if they have an analytic derivative.
>
> Here's some code that I'm happy to contribute to Commons-math. It computes the derivative by the central difference meathod and the Hessian by finite difference. I can add this to JIRA when it's there.
>
> /**
> * Numerically compute gradient by the central difference method. Override this method
> * when the analytic gradient is available.
> *
> *
> * @param x
> * @return
> */
> public double[] derivativeAt(double[] x){
> int n = x.length;
> double[] grd = new double[n];
> double[] u = Arrays.copyOfRange(x, 0, x.length);
> double f1 = 0.0;
> double f2 = 0.0;
> double stepSize = 0.0001;
>
> for(int i=0;i<n;i++){
> stepSize = Math.sqrt(EPSILON)*(Math.abs(x[i])+1.0);//from SAS manual on nlp procedure
> u[i] = x[i] + stepSize;
> f1 = valueAt(u);
> u[i] = x[i] - stepSize;
> f2 = valueAt(u);
> grd[i] = (f1-f2)/(2.0*stepSize);
> }
> return grd;
> }
>
> /**
> * Numerically compute Hessian using a finite difference method. Override this
> * method when the analytic Hessian is available.
> *
> * @param x
> * @return
> */
> public double[][] hessianAt(double[] x){
> int n = x.length;
> double[][] hessian = new double[n][n];
> double[] gradientAtXpls = null;
> double[] gradientAtX = derivativeAt(x);
> double xtemp = 0.0;
> double stepSize = 0.0001;
>
> for(int j=0;j<n;j++){
> stepSize = Math.sqrt(EPSILON)*(Math.abs(x[j])+1.0);//from SAS manual on nlp procedure
> xtemp = x[j];
> x[j] = xtemp + stepSize;
> double [] x_copy = Arrays.copyOfRange(x, 0, x.length);
> gradientAtXpls = derivativeAt(x_copy);
> x[j] = xtemp;
> for(int i=0;i<n;i++){
> hessian[i][j] = (gradientAtXpls[i]-gradientAtX[i])/stepSize;
> }
> }
> return hessian;
> }
>
>
> On 8/11/2011 5:36 PM, Luc Maisonobe wrote:
>> Le 11/08/2011 23:27, Fran Lattanzio a écrit :
>>> Hello,
>>
>> Hi Fran,
>>
>>>
>>> I have a proposal for a numerical derivatives framework for Commons
>>> Math. I'd like to add the ability to take any UnivariateRealFunction
>>> and produce another function that represents it's derivative for an
>>> arbitrary order. Basically, I'm saying add a factory-like interface
>>> that looks something like the following:
>>>
>>> public interface UniverateNumericalDeriver {
>>> public UnivariateRealFunction derive(UnivariateRealFunction f, int derivOrder);
>>> }
>>
>> This sound interesting. did you have a look at Commons Nabla UnivariateDifferentiator interface and its implementations ?
>>
>> Luc
>>
>>>
>>> For an initial implementation of this interface, I propose using
>>> finite differences - either central, forward, or backward. Computing
>>> the finite difference coefficients, for any derivative order and any
>>> error order, is a relatively trivial linear algebra problem. The user
>>> will simply choose an error order and difference type when setting up
>>> an FD univariate deriver - everything else will happen automagically.
>>> You can compute the FD coefficients once the user invokes the function
>>> in the interface above (might be expensive), and determine an
>>> appropriate stencil width when they call evaluate(double) on the
>>> function returned by the aformentioned method - for example, if the
>>> user has asked for the nth derivative, we simply use the nth root of
>>> the machine epsilon/double ulp for the stencil width. It would also be
>>> pretty easy to let the user control this (which might be desirable in
>>> some cases). Wikipedia has decent article on FDs of all flavors:
>>> http://en.wikipedia.org/wiki/Finite_difference
>>>
>>> There are, of course, many other univariate numerical derivative
>>> schemes that could be added in the future - using Fourier transforms,
>>> Barak's adaptive degree polynomial method, etc. These could be added
>>> later. We could also add the ability to numerically differentiate at
>>> single point using an arbitrary or user-defined grid (rather than an
>>> automatically generated one, like above). Barak's method and Fornberg
>>> finite difference coefficients could be used in this case:
>>> http://pubs.acs.org/doi/abs/10.1021/ac00113a006
>>> http://amath.colorado.edu/faculty/fornberg/Docs/MathComp_88_FD_formulas.pdf
>>>
>>> It would also make sense to add vectorial and matrix-flavored versions
>>> of interface above. These interfaces would be slightly more complex,
>>> but nothing too crazy. Again, the initial implementation would be
>>> finite differences. This would also be really easy to implement, since
>>> multivariate FD coefficients are nothing more than an outer product of
>>> their univariate cousins. The Wikipedia article also has some good
>>> introductory material on multivariate FDs.
>>>
>>> Cheers,
>>> Fran.
>>>
>>> ---------------------------------------------------------------------
>>> To unsubscribe, e-mail: dev-unsubscribe@commons.apache.org
>>> For additional commands, e-mail: dev-help@commons.apache.org
>>>
>>>
>>
>>
>> ---------------------------------------------------------------------
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>>
>
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Re: [math] Numerical derivatives in Commons Math
Posted by Patrick Meyer <me...@gmail.com>.
I like the idea of adding this feature. What about an abstract class
that implements DifferentiableMultivariateRealFunction and provides the
method for partialDerivative (). People could then override the
partialDerivative method if they have an analytic derivative.
Here's some code that I'm happy to contribute to Commons-math. It
computes the derivative by the central difference meathod and the
Hessian by finite difference. I can add this to JIRA when it's there.
/**
* Numerically compute gradient by the central difference method.
Override this method
* when the analytic gradient is available.
*
*
* @param x
* @return
*/
public double[] derivativeAt(double[] x){
int n = x.length;
double[] grd = new double[n];
double[] u = Arrays.copyOfRange(x, 0, x.length);
double f1 = 0.0;
double f2 = 0.0;
double stepSize = 0.0001;
for(int i=0;i<n;i++){
stepSize = Math.sqrt(EPSILON)*(Math.abs(x[i])+1.0);//from
SAS manual on nlp procedure
u[i] = x[i] + stepSize;
f1 = valueAt(u);
u[i] = x[i] - stepSize;
f2 = valueAt(u);
grd[i] = (f1-f2)/(2.0*stepSize);
}
return grd;
}
/**
* Numerically compute Hessian using a finite difference method.
Override this
* method when the analytic Hessian is available.
*
* @param x
* @return
*/
public double[][] hessianAt(double[] x){
int n = x.length;
double[][] hessian = new double[n][n];
double[] gradientAtXpls = null;
double[] gradientAtX = derivativeAt(x);
double xtemp = 0.0;
double stepSize = 0.0001;
for(int j=0;j<n;j++){
stepSize = Math.sqrt(EPSILON)*(Math.abs(x[j])+1.0);//from
SAS manual on nlp procedure
xtemp = x[j];
x[j] = xtemp + stepSize;
double [] x_copy = Arrays.copyOfRange(x, 0, x.length);
gradientAtXpls = derivativeAt(x_copy);
x[j] = xtemp;
for(int i=0;i<n;i++){
hessian[i][j] =
(gradientAtXpls[i]-gradientAtX[i])/stepSize;
}
}
return hessian;
}
On 8/11/2011 5:36 PM, Luc Maisonobe wrote:
> Le 11/08/2011 23:27, Fran Lattanzio a écrit :
>> Hello,
>
> Hi Fran,
>
>>
>> I have a proposal for a numerical derivatives framework for Commons
>> Math. I'd like to add the ability to take any UnivariateRealFunction
>> and produce another function that represents it's derivative for an
>> arbitrary order. Basically, I'm saying add a factory-like interface
>> that looks something like the following:
>>
>> public interface UniverateNumericalDeriver {
>> public UnivariateRealFunction derive(UnivariateRealFunction f, int
>> derivOrder);
>> }
>
> This sound interesting. did you have a look at Commons Nabla
> UnivariateDifferentiator interface and its implementations ?
>
> Luc
>
>>
>> For an initial implementation of this interface, I propose using
>> finite differences - either central, forward, or backward. Computing
>> the finite difference coefficients, for any derivative order and any
>> error order, is a relatively trivial linear algebra problem. The user
>> will simply choose an error order and difference type when setting up
>> an FD univariate deriver - everything else will happen automagically.
>> You can compute the FD coefficients once the user invokes the function
>> in the interface above (might be expensive), and determine an
>> appropriate stencil width when they call evaluate(double) on the
>> function returned by the aformentioned method - for example, if the
>> user has asked for the nth derivative, we simply use the nth root of
>> the machine epsilon/double ulp for the stencil width. It would also be
>> pretty easy to let the user control this (which might be desirable in
>> some cases). Wikipedia has decent article on FDs of all flavors:
>> http://en.wikipedia.org/wiki/Finite_difference
>>
>> There are, of course, many other univariate numerical derivative
>> schemes that could be added in the future - using Fourier transforms,
>> Barak's adaptive degree polynomial method, etc. These could be added
>> later. We could also add the ability to numerically differentiate at
>> single point using an arbitrary or user-defined grid (rather than an
>> automatically generated one, like above). Barak's method and Fornberg
>> finite difference coefficients could be used in this case:
>> http://pubs.acs.org/doi/abs/10.1021/ac00113a006
>> http://amath.colorado.edu/faculty/fornberg/Docs/MathComp_88_FD_formulas.pdf
>>
>>
>> It would also make sense to add vectorial and matrix-flavored versions
>> of interface above. These interfaces would be slightly more complex,
>> but nothing too crazy. Again, the initial implementation would be
>> finite differences. This would also be really easy to implement, since
>> multivariate FD coefficients are nothing more than an outer product of
>> their univariate cousins. The Wikipedia article also has some good
>> introductory material on multivariate FDs.
>>
>> Cheers,
>> Fran.
>>
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>> To unsubscribe, e-mail: dev-unsubscribe@commons.apache.org
>> For additional commands, e-mail: dev-help@commons.apache.org
>>
>>
>
>
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Re: [math] Numerical derivatives in Commons Math
Posted by Luc Maisonobe <Lu...@free.fr>.
Le 11/08/2011 23:27, Fran Lattanzio a écrit :
> Hello,
Hi Fran,
>
> I have a proposal for a numerical derivatives framework for Commons
> Math. I'd like to add the ability to take any UnivariateRealFunction
> and produce another function that represents it's derivative for an
> arbitrary order. Basically, I'm saying add a factory-like interface
> that looks something like the following:
>
> public interface UniverateNumericalDeriver {
> public UnivariateRealFunction derive(UnivariateRealFunction f, int derivOrder);
> }
This sound interesting. did you have a look at Commons Nabla
UnivariateDifferentiator interface and its implementations ?
Luc
>
> For an initial implementation of this interface, I propose using
> finite differences - either central, forward, or backward. Computing
> the finite difference coefficients, for any derivative order and any
> error order, is a relatively trivial linear algebra problem. The user
> will simply choose an error order and difference type when setting up
> an FD univariate deriver - everything else will happen automagically.
> You can compute the FD coefficients once the user invokes the function
> in the interface above (might be expensive), and determine an
> appropriate stencil width when they call evaluate(double) on the
> function returned by the aformentioned method - for example, if the
> user has asked for the nth derivative, we simply use the nth root of
> the machine epsilon/double ulp for the stencil width. It would also be
> pretty easy to let the user control this (which might be desirable in
> some cases). Wikipedia has decent article on FDs of all flavors:
> http://en.wikipedia.org/wiki/Finite_difference
>
> There are, of course, many other univariate numerical derivative
> schemes that could be added in the future - using Fourier transforms,
> Barak's adaptive degree polynomial method, etc. These could be added
> later. We could also add the ability to numerically differentiate at
> single point using an arbitrary or user-defined grid (rather than an
> automatically generated one, like above). Barak's method and Fornberg
> finite difference coefficients could be used in this case:
> http://pubs.acs.org/doi/abs/10.1021/ac00113a006
> http://amath.colorado.edu/faculty/fornberg/Docs/MathComp_88_FD_formulas.pdf
>
> It would also make sense to add vectorial and matrix-flavored versions
> of interface above. These interfaces would be slightly more complex,
> but nothing too crazy. Again, the initial implementation would be
> finite differences. This would also be really easy to implement, since
> multivariate FD coefficients are nothing more than an outer product of
> their univariate cousins. The Wikipedia article also has some good
> introductory material on multivariate FDs.
>
> Cheers,
> Fran.
>
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> To unsubscribe, e-mail: dev-unsubscribe@commons.apache.org
> For additional commands, e-mail: dev-help@commons.apache.org
>
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