def test_bpdn(par):
"""Basis pursuit denoise (BPDN) problem:
minimize ||x||_1 subject to ||Ax - b||_2 <= 0.1
"""
# Create random m-by-n encoding matrix
n = par['n']
m = par['m']
k = par['k']
A, A1 = np.linalg.qr(np.random.randn(n, m), 'reduced')
if m > n:
A = A1.copy()
# Create sparse vector
p = np.random.permutation(m)
p = p[0:k]
x = np.zeros(m)
x[p] = np.random.randn(k)
# Set up vector b, and run solver
b = A.dot(x) + np.random.randn(n) * 0.075
sigma = 0.10
xinv, resid, _, _ = spg_bpdn(A, b, sigma, iter_lim=1000, verbosity=0)
assert np.linalg.norm(resid) < sigma*1.1 # need to check why resid is slighly bigger than sigma
# Run solver with subspace minimization
xinv, _, _, _ = spg_bpdn(A, b, sigma, subspace_min=True, verbosity=0)
assert np.linalg.norm(resid) < sigma*1.1 # need to check why resid is slighly bigger than sigma
def spgl1_foopsi(fluor, b, c1, g, sn, p, bas_nonneg, verbosity, thr = 1e-2,debug=False):
if 'spg' not in globals():
raise Exception('The SPGL package could not be loaded, use a different method')
if b is None:
bas_flag = True
b = 0
else:
bas_flag = False
if c1 is None:
c1_flag = True
c1 = 0
else:
c1_flag = False
if bas_nonneg:
b_lb = 0
else:
b_lb = np.min(fluor)
T = len(fluor)
w = np.ones(np.shape(fluor))
if bas_flag:
w = np.hstack((w,1e-10))
if c1_flag:
w = np.hstack((w,1e-10))
gr = np.roots(np.concatenate([np.array([1]),-g.flatten()]))
gd_vec = np.max(gr)**np.arange(T) # decay vector for initial fluorescence
options = {'project' : spg.NormL1NN_project ,
'primal_norm' : spg.NormL1NN_primal ,
'dual_norm' : spg.NormL1NN_dual,
'weights' : w,
'verbosity' : verbosity,
'iterations': T}
opA = lambda x,mode: G_inv_mat(x,mode,T,g,gd_vec,bas_flag,c1_flag)
spikes,_,_,info = spg_bpdn(opA,np.squeeze(fluor)-bas_nonneg*b_lb - (1-bas_flag)*b -(1-c1_flag)*c1*gd_vec, sn*np.sqrt(T))
if np.min(spikes)<-thr*np.max(spikes) and not debug:
spikes[:T][spikes[:T]<0]=0
spikes,_,_,info = spg_bpdn(opA,np.squeeze(fluor)-bas_nonneg*b_lb - (1-bas_flag)*b -(1-c1_flag)*c1*gd_vec, sn*np.sqrt(T), options)
#print [np.min(spikes[:T]),np.max(spikes[:T])]
spikes[:T][spikes[:T]<0]=0
c = opA(np.hstack((spikes[:T],0)),1)
if bas_flag:
b = spikes[T] + b_lb
if c1_flag:
c1 = spikes[-1]
return c,b,c1,g,sn,spikes
def spgl1_solve(A, b, epsilon, obj):
W = [w + 1.01 for w in obj]
x, o1, o2, o3 = spg_bpdn(np.array(A),
np.array(b),
epsilon,
weights=np.array(W),
verbosity=1)
return x, sum(x), np.linalg.norm(np.subtract(np.dot(A, x), np.array(b)), 1)
def spgl1_solve(A, b, epsilon, obj):
W = [w + 1.01 for w in obj]
# print len(A), len(A[0])
# print len(b)
x, o1, o2, o3 = spg_bpdn(np.array(A),
np.array(b),
epsilon,
weights=np.array(W))
return x, sum(x), np.linalg.norm(np.subtract(np.dot(A, x), np.array(b)), 1)
def spgl1_foopsi(fluor, b, c1, g, sn, p, bas_nonneg, verbosity):
if "spg" not in globals():
raise Exception("The SPGL package could not be loaded, use a different method")
if b is None:
bas_flag = True
b = 0
else:
bas_flag = False
if c1 is None:
c1_flag = True
c1 = 0
else:
c1_flag = False
if bas_nonneg:
b_lb = 0
else:
b_lb = np.min(fluor)
T = len(fluor)
w = np.ones(np.shape(fluor))
if bas_flag:
w = np.hstack((w, 1e-10))
if c1_flag:
w = np.hstack((w, 1e-10))
gr = np.roots(np.concatenate([np.array([1]), -g.flatten()]))
gd_vec = np.max(gr) ** np.arange(T) # decay vector for initial fluorescence
options = {
"project": spg.NormL1NN_project,
"primal_norm": spg.NormL1NN_primal,
"dual_norm": spg.NormL1NN_dual,
"weights": w,
"verbosity": verbosity,
}
opA = lambda x, mode: G_inv_mat(x, mode, T, g, gd_vec, bas_flag, c1_flag)
spikes = spg_bpdn(
opA,
np.squeeze(fluor) - bas_nonneg * b_lb - (1 - bas_flag) * b - (1 - c1_flag) * c1 * gd_vec,
sn * np.sqrt(T),
options,
)[0]
c = opA(np.hstack((spikes[:T], 0)), 1)
if bas_flag:
b = spikes[T] + b_lb
if c1_flag:
c1 = spikes[-1]
return c, b, c1, g, sn, spikes
def solveSPGL1(Psi, u_samps, N, sigma):
delta = sigma * LA.norm(u_samps[:N])
C_SPG, r, g, i = spg_bpdn(Psi[0:N,:], u_samps[0:N],
delta, iter_lim=100000, verbosity=2,
opt_tol=1e-9, bp_tol=1e-9)
mean_SPG = C_SPG[0]
var_SPG = np.sum(C_SPG[1:]**2)
return C_SPG, mean_SPG, var_SPG, i
def solveSPGL1(Psi, u_samps, Ntot, N_SPG, sigma):
inds = np.random.choice(Ntot, size = N_SPG, replace = False)
delta = sigma * LA.norm(u_samps[inds])
C_SPG, r, g, i = spg_bpdn(Psi[inds,:], u_samps[inds],
delta, iter_lim=100000, verbosity=2,
opt_tol=1e-9, bp_tol=1e-9)
mean_SPG = C_SPG[0]
var_SPG = np.sum(C_SPG[1:]**2)
return C_SPG, mean_SPG, var_SPG, i
def spgl1_foopsi(fluor, b, c1, g, sn, p, bas_nonneg, verbosity):
if 'spg' not in globals():
raise Exception('The SPGL package could not be loaded, use a different method')
if b is None:
bas_flag = True
b = 0
else:
bas_flag = False
if c1 is None:
c1_flag = True
c1 = 0
else:
c1_flag = False
if bas_nonneg:
b_lb = 0
else:
b_lb = np.min(fluor)
T = len(fluor)
w = np.ones(np.shape(fluor))
if bas_flag:
w = np.hstack((w,1e-10))
if c1_flag:
w = np.hstack((w,1e-10))
gr = np.roots(np.concatenate([np.array([1]),-g.flatten()]))
gd_vec = np.max(gr)**np.arange(T) # decay vector for initial fluorescence
options = {'project' : spg.NormL1NN_project ,
'primal_norm' : spg.NormL1NN_primal ,
'dual_norm' : spg.NormL1NN_dual,
'weights' : w,
'verbosity' : verbosity}
opA = lambda x,mode: G_inv_mat(x,mode,T,g,gd_vec,bas_flag,c1_flag)
spikes = spg_bpdn(opA,np.squeeze(fluor)-bas_nonneg*b_lb - (1-bas_flag)*b -(1-c1_flag)*c1*gd_vec, sn*np.sqrt(T), options)[0]
c = opA(np.hstack((spikes[:T],0)),1)
if bas_flag:
b = spikes[T] + b_lb
if c1_flag:
c1 = spikes[-1]
return c,b,c1,g,sn,spikes
# % Solve the basis pursuit denoise (BPDN) problem:
# %
# % minimize ||x||_1 subject to ||Ax - b||_2 <= 0.1
# %
# % -----------------------------------------------------------
print('%s ' % ('-'*78))
print('Solve the basis pursuit denoise (BPDN) problem: ')
print(' ')
print(' minimize ||x||_1 subject to ||Ax - b||_2 <= 0.1')
print(' ')
print('%s%s ' % ('-'*78, '\n'))
# % Set up vector b, and run solver
b = A.dot(x0) + np.random.randn(m) * 0.075
sigma = 0.10 # % Desired ||Ax - b||_2
x,resid,grad,info = spg_bpdn(A, b, sigma)
figure()
plot(x,'b')
hold(True)
plot(x0,'ro')
legend(('Recovered coefficients','Original coefficients'))
title('(b) Basis Pursuit Denoise')
print('%s%s%s' % ('-'*35,' Solution ','-'*35))
print('See figure 1(b)')
print('%s%s ' % ('-'*78, '\n'))
# % -----------------------------------------------------------
# % Solve the basis pursuit (BP) problem in COMPLEX variables:
if mode == 1:
return problem.Jvec(mwav, iwavmap * x)
else:
return wavmap * problem.Jtvec(mwav, x)
b = survey_r.dpred(mwav) - survey_r.dpred(mtrue)
print "# of data: ", b.shape
opts = spgl1.spgSetParms({'iterations': 100, 'verbosity': 2})
sigtol = np.linalg.norm(b) / np.maximum(ratio[it], min_progress)
#tautol = 20000.
tic = time.clock()
x, resid, grad, info = spgl1.spg_bpdn(JS, b, sigma=sigtol, options=opts)
toc = time.clock()
print 'SPGL1 chronometer: ', toc - tic
timespgl1.append(toc - tic)
#x,resid,grad,info = spgl1.spg_lasso(JS,b,tautol,opts)
#assert dmis.eval(mwav) > dmis.eval(mwav - iwavmap*x)
mwav = mwav - iwavmap * x
xlist.append(x)
it += 1
print "end iteration: ", it, '; Subsample Normalized Misfit: ', dmis.eval(
mwav) / survey_r.nD
dmisfitsub.append(dmis.eval(mwav) / survey_r.nD)
problem.unpair()
b = Xb_Xa[:, i]
A = Int_Phi
Coef['ls'][:, i], res, rnk, s = lstsq(A, b)
##### Solve the coefficient with a regulaized least-square problem
##### with a constraint "min|Coef|_1 s.t. b - A*Coef <= tolerance"
Coef['bpdn'] = np.zeros((P, n_var)) ### basis pursuit denoising (BPDN)
tol_bpdn = 1e-3
for i in range(n_var):
b = Xb_Xa[:, i]
A = Int_Phi
Coef['bpdn'][:, i], resid, grad, info = spg_bpdn(A,
b,
tol_bpdn,
iter_lim=200,
verbosity=0)
##### Calculate approximation for dx from the coefficients achieved
for method in ['ls', 'bpdn']:
DATA['dx:' + method] = np.zeros(DATA['dx:true'].shape)
for i in range(n_var):
DATA['dx:' + method][:, i] = np.dot(Phi['approx'], Coef[method][:, i])
##### Plot: Compare coefficients
fig, (ax1, ax2) = plt.subplots(1, 2, figsize=(16, 5))
ax1.plot(Coef['true'][:, 0], 'k')
ax1.plot(Coef['ls'][:, 0], 'ro')
ax1.plot(Coef['bpdn'][:, 0], 'bo')
ax1.legend(('True', 'LS', 'BPDN'))
label=r'$||x||_1$')
plt.xlabel(r'#iter')
plt.ylabel(r'$||r||_2/||x||_1$')
plt.title('Norms')
plt.legend()
###############################################################################
# Solve the basis pursuit denoise (BPDN) problem:
#
# .. math::
# min. ||\mathbf{x}||_1 \quad subject \quad to \quad ||\mathbf{Ax} -
# \mathbf{b}||_2 <= 0.1
b = A.dot(x0) + np.random.randn(m) * 0.075
sigma = 0.10 # Desired ||Ax - b||_2
x, resid, grad, info = spgl1.spg_bpdn(A, b, sigma, iter_lim=100, verbosity=2)
plt.figure()
plt.plot(x, 'b')
plt.plot(x0, 'ro')
plt.legend(('Recovered coefficients', 'Original coefficients'))
plt.title('Basis Pursuit Denoise')
###############################################################################
# Solve the basis pursuit (BP) problem in complex variables:
#
# .. math::
# min. ||\mathbf{z}||_1 \quad subject \quad to \quad
# \mathbf{Az} = \mathbf{b}
class partialFourier(LinearOperator):
