Changeset 17001 for branches/2925_AutoDiffForDynamicalModels

Timestamp:

06/02/19 07:44:35 (5 years ago)

Author:

gkronber

Message:

#2925: fixed a bug in AutoDiff code.

File:

• branches/2925_AutoDiffForDynamicalModels/HeuristicLab.Problems.DynamicalSystemsModelling/3.3/Problem.cs (modified) (6 diffs)

branches/2925_AutoDiffForDynamicalModels/HeuristicLab.Problems.DynamicalSystemsModelling/3.3/Problem.cs

@@ -238 +238 @@
       InitAllParameters();
 
+      // TODO: alglib gradient check fails for integration autodiff
+      // TODO: implement CVODES solver and use gradient check in alglib to verify
       // TODO: optimization of starting values for latent variables in CVODES solver
       // TODO: allow to specify the name for the time variable in the dataset and allow variable step-sizes
@@ -446 +448 @@
             alglib.minlmsetbc(state, lowerBounds, upperBounds);
 #if DEBUG
-            //alglib.minlmsetgradientcheck(state, 1.0e-7);
+            alglib.minlmsetgradientcheck(state, 1.0e-7);
 #endif
             alglib.minlmoptimize(state, EvaluateObjectiveVector, EvaluateObjectiveVectorAndJacobian, null, myState);
@@ -1667 +1669 @@
         for (int i = 1; i < node.SubtreeCount; i++) {
           InterpretRec(node.GetSubtree(i), nodeValues, out g, out dg);
-          f = f * g;
+          var newF = f * g;
           df = df.Scale(g).Add(dg.Scale(f));  // f'*g + f*g'
+
+          f = newF;
         }
         z = f;
@@ -1735 +1739 @@
         InterpretRec(node.GetSubtree(0), nodeValues, out f, out df);
         z = Math.Exp(f);
-        dz = df.Scale(Math.Exp(f));
+        dz = df.Scale(z);
       } else if (node.Symbol is Logarithm) {
         Assert(node.SubtreeCount == 1);
@@ -2148 +2152 @@
       public Tuple<double, Vector> VariableNodeValueAndGradient(VariableTreeNode node) {
         // (f*g)' = (f'*g)+(g'*f)        
-        var g = node2val[node];
-        var f = variableValues[node.VariableName];
+        var w = node2val[node];
+        var x = variableValues[node.VariableName];
 
         return Tuple.Create(
-          g.Item1 * f.Item1,
-          Vector.CreateNew(f.Item2).Scale(g.Item1).Add(Vector.CreateNew(g.Item2).Scale(f.Item1)));
+          w.Item1 * x.Item1,
+          x.Item2 == Vector.Zero ? Vector.CreateNew(w.Item2).Scale(x.Item1) :
+          Vector.CreateNew(w.Item2).Scale(x.Item1).Add(Vector.CreateNew(x.Item2).Scale(w.Item1)));
       }
 
@@ -2171 +2176 @@
           }
         } else {
+          throw new NotImplementedException();
           // variable gradient means we want to calculate the gradient over the target variables instead of parameters
           for (int paramIdx = 0; paramIdx < leafNodes.Length; paramIdx++) {