def coordinate_descent(sigma,
cost_fn,
step_size=0.1,
step_change=0.5,
step_min=1e-5,
tolerance=1e-2,
max_iter=100,
**kwargs):
stepinfo, update_stepinfo = tc.create_stepinfo()
stop_fit = lambda: (tc.error_non_decreasing(
stepinfo, tolerance) or tc.max_iterations_reached(stepinfo, max_iter)
or tc.less_than_equal(step_size, step_min))
this_sigma = sigma.copy()
n_parameters = len(sigma)
step_errors = np.empty([n_parameters, 2])
while not stop_fit():
for i in range(0, n_parameters):
# Try shifting each parameter both negatively and positively
# proportional to step_size, and save both the new
# sigma vectors and resulting cost_fn outputs
this_sigma[i] = sigma[i] + step_size
step_errors[i, 0] = cost_fn(this_sigma)
this_sigma[i] = sigma[i] - step_size
step_errors[i, 1] = cost_fn(this_sigma)
this_sigma[i] = sigma[i]
# Get index tuple for the lowest error that resulted,
# and keep the corresponding sigma vector for the next iteration
i_param, j_sign = np.unravel_index(step_errors.argmin(),
step_errors.shape)
err = step_errors[i_param, j_sign]
# If change was negative, try reducing step size.
if err > stepinfo['err']:
log.debug(
"Error got worse, reducing step size from: %.06f to: "
"%.06f", step_size, step_size * step_change)
step_size *= step_change
continue
# If j is 1, shift was negative, otherwise it was 0 for positive.
if j_sign == 1:
sigma[i_param] = this_sigma[i_param] = sigma[i_param] - step_size
else:
sigma[i_param] = this_sigma[i_param] = sigma[i_param] + step_size
update_stepinfo(err=err)
if stepinfo['stepnum'] % 20 == 0:
log.debug("sigma is now: %s", sigma)
log.info("Final error: %.06f\n", stepinfo['err'])
return sigma
def dummy_fitter(sigma, cost_fn, bounds=None, fixed=None):
'''
This fitter does not actually take meaningful steps; it merely
varies the first element of the sigma vector to be equal to the step
number. It is intended purely for testing and example purposes so
that you can see how to re-use termination conditions to write
your own fitter.
'''
# Define a stepinfo and termination condition function 'stop_fit'
stepinfo, update_stepinfo = tc.create_stepinfo()
stop_fit = lambda : (tc.error_non_decreasing(stepinfo, 1e-5) or
tc.max_iterations_reached(stepinfo, 1000))
while not stop_fit():
sigma[0] = stepinfo['stepnum'] # Take a fake step
err = cost_fn(sigma)
update_stepinfo(err=err, sigma=sigma)
return sigma
def coordinate_descent(sigma, cost_fn, step_size=0.1, step_change=0.5,
step_min=1e-5, tolerance=1e-5, max_iter=100,
bounds=None, **kwargs):
if bounds is not None:
bounds = list(zip(*bounds))
stepinfo, update_stepinfo = tc.create_stepinfo()
stop_fit = lambda : (tc.error_non_decreasing(stepinfo, tolerance)
or tc.max_iterations_reached(stepinfo, max_iter)
or tc.less_than_equal(step_size, step_min))
this_sigma = sigma.copy()
n_parameters = len(sigma)
step_errors = np.empty([n_parameters, 2])
log.info("CD intializing: step_size=%.2f, tolerance=%e, max_iter=%d",
step_size, tolerance, max_iter)
this_steps = 0
while not stop_fit():
for i in range(0, n_parameters):
if bounds is None:
lower = np.NINF
upper = np.inf
else:
lower = bounds[i][0] if bounds[i][0] is not None else np.NINF
upper = bounds[i][1] if bounds[i][1] is not None else np.inf
# Try shifting each parameter both negatively and positively
# proportional to step_size, and save both the new
# sigma vectors and resulting cost_fn outputs
this_sigma[i] = sigma[i] + step_size
if this_sigma[i] > upper:
this_sigma[i] = upper
step_errors[i, 0] = cost_fn(this_sigma)
this_sigma[i] = sigma[i] - step_size
if this_sigma[i] < lower:
this_sigma[i] = lower
step_errors[i, 1] = cost_fn(this_sigma)
this_sigma[i] = sigma[i]
# Get index tuple for the lowest error that resulted,
# and keep the corresponding sigma vector for the next iteration
i_param, j_sign = np.unravel_index(
step_errors.argmin(), step_errors.shape
)
err = step_errors[i_param, j_sign]
# If change was negative, try reducing step size.
if err >= stepinfo['err']:
log.info("Error worse, reducing step size from %.06f to %.06f",
step_size, step_size * step_change)
step_size *= step_change
this_steps = 0
continue
else:
this_steps += 1
if this_steps > 10:
log.info("Increasing step size from %.06f to %.6f",
step_size, step_size / np.sqrt(step_change))
this_steps = 0
step_size /= np.sqrt(step_change)
# If j is 1, shift was negative, otherwise it was 0 for positive.
if j_sign == 1:
sigma[i_param] = this_sigma[i_param] = sigma[i_param] - step_size
else:
sigma[i_param] = this_sigma[i_param] = sigma[i_param] + step_size
update_stepinfo(err=err)
log.debug("step=%d", stepinfo["stepnum"])
if stepinfo['stepnum'] % 20 == 0:
log.debug("sigma is now: %s", sigma)
log.info("Final error: %.06f (step size %.06f)\n",
stepinfo['err'], step_size)
return sigma
