add dev rbfmodels

.gitignore

+*.mat
+*.pdf
+*.log
+*.aux
+*.gz
+*.tex
+*.m~
+*.m

src/rbfmodels/getPsiVec.jl

+function getΨVec!(Ψ,σvec,phi,centers,w=0;period = 0, normalized=false)
+
+    if period > 0
+        psi(Phi,c,σ) = exp((cos((Phi-c)*period/(2*pi))-1)/σ);
+    else
+        function psi!(ψ,j,Phi,c,σ)
+            @simd for i = 1:size(ψ,1)
+                ψ[i,j] = exp(-(c-Phi[i])^2*σ)[1]
+            end
+        end
+    end
+
+    if w == 0
+        w = zeros(size(Ψ,2))
+    end
+    σvec = σvec[:]
+    centers = centers[:]
+    Nsignals = 1
+    (Nbasis, ) = size(centers);
+    ∇ = zeros(size(Ψ,1),size(centers,1)*2)
+    if normalized
+        for i = 1:Nbasis
+            psi!(Ψ,i,phi,centers[i],σvec[i]);
+            @devec Ψ[:,i] = Ψ[:,i]./sum(Ψ[:,i])
+            ∇[:,i] = -Ψ[:,i].*2.*(centers[i] - phi).*σvec[i]
+            ∇[:,i+Nbasis] = -Ψ[:,i].*(centers[i] - phi).^2
+        end
+    else
+
+        for i = 1:Nbasis
+            psi!(Ψ,i, phi,centers[i],σvec[i]);
+            ∇[:,i] = -Ψ[:,i].*2.*(centers[i] - phi).*σvec[i]
+            ∇[:,i+Nbasis] = -Ψ[:,i].*(centers[i] - phi).^2
+        end
+
+    end
+
+
+    return ∇
+    #     if normalized
+    #         Ψ = Ψ./repmat(sum(Ψ,2),1,size(Ψ,2))
+    #     end
+
+end

src/rbfmodels/getPsiVecNd.jl

+function getΨVecNd!(Ψ, phi , params, w=0; period = 0, normalized=true)
+
+    Nbasis = size(Ψ,2)
+    Nsignals = size(phi,2)
+
+    if period > 0
+        psi(Phi,c,σ) = exp((cos((c-Phi)*period/(2*pi))-1)/σ);
+    else
+        if Nsignals >= 1
+            function psi(Phi,c,σ)
+                # Denna jävla funktionen allokerar en massa minne!
+                ret = exp(- sum(((c-Phi).^2).*σ)  )
+            end
+        else
+            function psi(Phi,c,σ)
+                # Denna jävla funktionen allokerar en massa minne!
+                ret = exp(-  ((Phi-c)^2*(1/σ))[1,1]         )
+            end
+        end
+    end
+
+    if w == 0
+        w = zeros(Nbasis)
+    end
+
+
+    #     figure(); pp= imagesc(Centers); display(pp);
+    #     figure(); pp= imagesc(Σ); display(pp);
+
+    Σoffset = convert(Int64,size(params,1)/2);
+    N = size(phi,1)
+    ∇ = zeros(N,size(params,1))
+    if normalized
+        s = 1e-10*ones(size(phi,1))
+        i1 = 1
+        for i = 1:Nbasis
+            for j = 1:size(phi,1)
+                Ψ[j,i] = psi(phi[j,:]',params[i1:(i1+Nsignals-1)],params[(Σoffset+i1):(Σoffset+i1+Nsignals-1)])
+                s[j] += Ψ[j,i]
+            end
+            i1 += Nsignals
+        end
+        for j = 1:size(phi,1)
+            @devec Ψ[j,:] = Ψ[j,:]./s[j]
+        end
+        i1 = 1
+        for i = 1:Nbasis
+            for j = 1:N
+                c = params[i1:(i1+Nsignals-1)]
+                s = params[(Σoffset+i1):(Σoffset+i1+Nsignals-1)]
+                x = phi[j,:]'
+                ∇[j,i1:(i1+Nsignals-1)] = (Ψ[j,i]*w[i]).*(2*(x-c).*s)
+                ∇[j,(Σoffset+i1):(Σoffset+i1+Nsignals-1)] = -(Ψ[j,i]*w[i]).*((c-x).^2 )
+            end
+            i1 += Nsignals
+        end
+
+    else
+        i1 = 1
+
+
+        for i = 1:Nbasis
+            for j = 1:N
+                c = params[i1:(i1+Nsignals-1)]
+                s = params[(Σoffset+i1):(Σoffset+i1+Nsignals-1)]
+                x = phi[j,:]'
+                Ψ[j,i] = psi(x,c,s)[1]
+                ∇[j,i1:(i1+Nsignals-1)] = (Ψ[j,i]*w[i]).*(2*(x-c).*s)
+                ∇[j,(Σoffset+i1):(Σoffset+i1+Nsignals-1)] = -(Ψ[j,i]*w[i]).*((c-x).^2 )
+
+            end
+            i1 += Nsignals
+        end
+
+    end
+    return ∇
+end
+
+
+function getCenters(centers,σvec)
+
+    (nbasis,Nsignals) = size(centers)
+    Nbasis::Int64 = nbasis^Nsignals
+    Centers = zeros(Nsignals, Nbasis)
+    Σ = zeros(Nsignals, Nbasis)
+    v = Nbasis
+    h = 1
+    for i = 1:Nsignals
+        v = convert(Int64,v / nbasis)
+        Centers[i,:] = vec(repmat(centers[:,i]',v,h))'
+        Σ[i,:] = vec(repmat(σvec[:,i]',v,h))'
+        h *= nbasis
+    end
+
+    [vec(Centers), vec(Σ)]
+
+end

src/rbfmodels/testJacobian.jl

+N = 100
+m = 2
+
+w = randn(m,1)
+A = randn(N,m)
+b = A*w + 0.1randn(N)
+plot([b A*w])
+
+f(w) = A*w-b
+g(w) = A
+
+X0 = zeros(2)
+@time res = levenberg_marquardt(f, g, X0,
+                                maxIter = 200,
+                                tolG = 1e-7,
+                                tolX = 1e-9,
+                                show_trace=true)
+@show w
+@show wh = res.minimum
+we = norm(w-wh)

src/rbfmodels/testRBF.jl

+Pkg.pin("Winston", v"0.11.0")
+using Winston
+using Optim
+using Debug
+N = 150;
+k = [1:N];
+
+x = linspace(-2,2,N)
+y = linspace(-pi,pi,N)
+z = x.^2 + sign(y) + 0.1randn(N)
+
+
+
+Nbasis = 3;
+σ = 1./[2 2];
+# dbstop in learnRBF at 16
+
+(w,params, Psi) = trainRBF(z, Nbasis, σ, [x y], nonlin=true, liniters=50, ND=true, λ=1e-2)
+
+
+rms(e) = sqrt(mean(e.^2))
+mae(e) = mean(abs(e))
+
+@show rms(z)
+@show rms(z-Psi*w)
+
+

src/rbfmodels/trainRBF.jl

+using Optim
+using Devectorize
+import ASCIIPlots.scatterplot
+function trainRBF(b, Nbasis, σ, ϕtrain; nonlin=false, liniters=20,nonliniters=5, λ=1e-8, ND=false, normalized=false)
+    limits = [minimum(ϕtrain,1)' maximum(ϕtrain,1)']
+    Nseries = size(ϕtrain,2);
+    NBASIS::Int64 = Nbasis^Nseries
+    if Nseries == 1
+        ND = false;
+    end
+    Ψ = Array{Float64,2}
+    if ND
+        Ψ = zeros(size(ϕtrain,1),NBASIS)
+    else
+        Ψ = zeros(size(ϕtrain,1),Nbasis);
+    end
+    assert(length(σ) == Nseries)
+    σvec = zeros(Nbasis,Nseries)
+    centers = zeros(Nbasis,Nseries)
+    for s = 1:Nseries
+        l = limits[s,2]-limits[s,1];
+        d = l/Nbasis;
+        lc = [(d/2):d:l]+limits[s,1]
+        centers[:,s] = lc;
+        σvec[:,s] = σ[s].*ones(Nbasis);
+    end
+
+    #     params = Array{Float64,1}
+
+    if ND
+        params = getCenters(centers,σvec)
+        getΨVecNd!(Ψ, ϕtrain , params, normalized=normalized)
+    else
+        getΨVec!(Ψ,σvec,ϕtrain,centers, normalized=normalized)
+    end
+
+    figure(); pp= imagesc(Ψ); display(pp);
+    Nparams = size(Ψ,2)
+    #     @show size(Ψ)
+    #     @show size(b)
+
+    w = ((Ψ'*Ψ + λ*eye(Nparams))\Ψ'*b);
+
+
+
+
+    if nonlin
+        if ND
+            function costfunc(Ψ,w,ϕtrain,b , params)
+                getΨVecNd!(Ψ, ϕtrain , params, w, normalized=normalized)
+                f = Ψ*w - b
+                #             @devec c = sum(f.^2);
+                #             c
+            end
+            cost(X) = costfunc(Ψ,w,ϕtrain,b,X);
+            function g(xparams)
+                return getΨVecNd!(Ψ, ϕtrain , xparams, w, normalized=normalized)
+                #figure();plot(storage); ylabel("gradient");  display(pp)
+            end
+        else
+            function costfunc(Ψ,w,ϕtrain,centers,σvec,b)
+                getΨVec!(Ψ,σvec,ϕtrain,centers,w, normalized=normalized)
+                f = Ψ*w - b
+            end
+            cost(X) = costfunc(Ψ,w,ϕtrain,reshape(X[1:(Nbasis*Nseries)],Nbasis,Nseries),reshape(X[(Nbasis*Nseries)+1:end],Nbasis,Nseries),b);
+            function g(xparams)
+                return getΨVec!(Ψ,σvec,ϕtrain,centers,w, normalized=normalized)
+                #figure();plot(storage); ylabel("gradient");  display(pp)
+            end
+        end
+
+
+        #         function cost∇cost(X,storage)
+        #             h = 1e-10
+        #             x = X + h*im
+        #             y = cost(x)
+        #             storage[:] = imag(y)./h
+        #             return real(y)
+        #         end
+
+        #         ∇ = DifferentiableFunction(cost,∇cost, cost∇cost)
+        cold = 1e20
+        fvec = zeros(liniters+1)
+        fvec[1] = ND ? sum(cost(params).^2) : sum(cost([centers[:],σvec[:]]).^2)
+        finalIter = 1
+        useCuckoo = false
+        for i = 1:liniters
+            X0 = ND ? params : [centers[:],σvec[:]]
+            #                         test = copy(X0)
+            #                         show(∇cost(X0,test))
+            try
+                #                 test = X0
+                #                 @show ∇cost(X0,test)
+                if true#!useCuckoo #i % 2 == 1
+                    #                     @time res = optimize(cost, X0,
+                    #                                          method = :l_bfgs,
+                    #                                          iterations = iters,
+                    #                                          grtol = 1e-5,
+                    #                                          xtol = 1e-8,
+                    #                                          ftol = 1e-8)
+                    @time res = Optim.levenberg_marquardt(cost,g, X0,
+                                                          maxIter = nonliniters,
+                                                          tolG = 1e-5,
+                                                          tolX = 1e-8,
+                                                          show_trace=false)
+                    X = res.minimum
+                    fvec[i+1] = res.f_minimum
+                else
+                    display("Using cuckoo search to escape local minimum")
+                    @time (bestnest,fmin) = cuckoo_search(x -> sum(cost(x).^2),X0;Lb=-inf(Float64),Ub=inf(Float64),n=30,pa=0.25, Tol=1.0e-5, max_iter = 10*nonliniters+100)
+                    X = bestnest
+                    fvec[i+1] = fmin
+                end
+                if ND
+                    params = X
+                    getΨVecNd!(Ψ, ϕtrain , params,b, w, normalized=normalized)
+                else
+                    centers = reshape(X[1:(Nbasis*Nseries)],Nbasis,Nseries)
+                    σvec = reshape(X[(Nbasis*Nseries)+1:end],Nbasis,Nseries)
+                    getΨVec!(Ψ,σvec,ϕtrain,centers,w, normalized=normalized)
+                end
+                w = ((Ψ'*Ψ + λ*eye(Nparams))\Ψ'*b)
+                display("Non-linear optimization, iteration $i")
+                #                 iters *= convert(Int64,round(20^(1/liniters)))
+                f = Ψ*w - b
+                c = fvec[i+1]
+                if abs(cold-c) < 1e-10
+                    if useCuckoo
+                        finalIter += 1
+                        display("No significant change in function value")
+                        break
+                    end
+                    useCuckoo = true
+                elseif useCuckoo
+                    useCuckoo = false
+                end
+                cold = c
+            catch ex
+                display("Optimization failed, using current best point")
+                display(ex)
+                if ND
+                    getΨVecNd!(Ψ, ϕtrain , params, w, normalized=normalized)
+                else
+                    getΨVec!(Ψ,σvec,ϕtrain,centers,w, normalized=normalized)
+                end
+                w = ((Ψ'*Ψ + λ*eye(Nparams))\Ψ'*b)
+                break
+            end
+
+            finalIter += 1
+            try
+                display(scatterplot(fvec[1:finalIter],sym='*'))
+            catch
+                display("Plot failed")
+            end
+        end
+        figure();pp = plot(fvec[1:finalIter],"o"); xlabel("Iteration"); title("Best function value");  display(pp)
+        diffFvec = diff(fvec[1:finalIter])
+        figure();pp = plot(diffFvec[1:2:end],"o");hold(true);plot(diffFvec[2:2:end],"og"); xlabel("Iteration"); title("Best function value decrease");  display(pp)
+    end
+    f = Ψ*w;
+    figure();pp = plot(ϕtrain[:,1],".b");hold(true)
+    plot(ϕtrain,f[:,1],"--b"); xlabel("ϕ"); ylabel("output");  display(pp)
+
+    if size(b,2) > 1
+        hold(true)
+        plot(ϕtrain[:,2],"g.")
+        plot(ϕtrain,f[:,2],"g--")
+        display(pp)
+        figure(); pp= plot(f[:,1],f[:,2],"--"); hold(true)
+        plot(b[:,1][:,2]); xlabel("output dim 1");ylabel("output dim 2")
+        display(pp)
+    end
+    if ND
+        return w,params, Ψ
+    else
+        return w,σ, centers, Ψ
+    end
+end

src/rbfmodels/trainRBF_ARX.jl

+using Devectorize
+using Clustering
+using Debug
+
+
+type RbfNonlinearParameters
+    x::Vector{Float64}
+    n_state::Integer
+    n_centers::Integer
+end
+
+type RbfLinearParameters
+    x::Vector{Float64}
+end
+
+type RbfParameters
+    n::RbfNonlinearParameters
+    l::RbfLinearParameters
+end
+
+
+
+
+# for op = (:+, :*, :\, :/)
+#     @eval ($op)(a::RbfNonlinearParameters,b) = ($op)(a.x,b)
+#     @eval ($op)(b,a::RbfNonlinearParameters) = ($op)(b,a.x)
+# end
+
+Base.display(p::RbfNonlinearParameters) = println("RbfNonlinearParameters: Parameters = $(length(p.x)), n_state(x) = $(p.n_state), n_centers(x) = $(p.n_centers)")
+Base.start(p::RbfNonlinearParameters) =  1
+Base.done(p::RbfNonlinearParameters, state) = state > p.n_centers
+Base.next(p::RbfNonlinearParameters, state) = (p.x[1+(state-1)*2*p.n_state:state*2p.n_state])::VecOrMat, state + 1
+"""Train your RBF-ARX network.`trainRBF_ARX(y, na, nc; state = :A, liniters=3,nonliniters=50, normalized=false, initialcenters="equidistant", inputpca=false, outputnet = true, cuckoosearch = false)`\n
+The number of centers is equal to `nc` if Kmeans is used to get initial centers, otherwise the number of centers is `nc^n_state`\n
+`n_state` is equal to the state dimension, possibly reduced to `inputpca` if so desired.\n
+The number of nonlinear parameters is `n_centers × n_state`\n
+The number of linear parameters is `outputnet ? n_state × (n_centers+1) × (na)+1) : (na)×(n_centers+1)+1)`"""
+function trainRBF_ARX(y, A, state, nc; liniters=3,nonliniters=50, normalized=false, initialcenters="equidistant", inputpca=false, outputnet = true, cuckoosearch = false)
+    n_points = length(y)
+    na = isa(A,Matrix) ? size(A,2) : 1
+
+    function getcentersKmeans(state, nc)
+        iters = 21
+        errorvec = zeros(iters)
+        params = Array(Float64,(nc*2*n_state,iters))
+        methods = [:rand;:kmpp]
+        for iter = 1:iters
+            clusterresult = kmeans(state', nc; maxiter=200, display=:none, init=iter<iters ? methods[iter%2+1] : :kmcen)
+            for i = 1:nc
+                si = 1+(i-1)n_state*2
+                params[si:si+n_state-1,iter] = clusterresult.centers[:,i]
+                C = cov(state[clusterresult.assignments .== i,:])
+                params[si+n_state:si+2n_state-1,iter] = diag(inv(C))
+            end
+            errorvec[iter] = rms(predictionerror(params[:,iter]))
+        end
+        println("Std in errors among initial centers: ", round(std(errorvec),3))
+        ind = indmin(errorvec)
+        return RbfNonlinearParameters(params[:,ind],n_state, nc)
+    end
+
+
+    function saturatePrecision(x,n_state)
+        for i = 1:2n_state:length(x)
+            range = i+n_state:i+2n_state-1
+            x[range] = abs(x[range])
+        end
+        return x
+    end
+
+    function plotcenters(Z)
+        X = zeros(Z.n_centers,2)
+        for (i,Zi) in enumerate(Z)
+            X[i,:] = Zi[1:2]'
+        end
+        newplot(X[:,1],X[:,2],"o"); title("Centers")
+    end
+
+    function getΨ(Znl)
+        RBF(x, Znl::VecOrMat,n_state::Integer) = exp(-(((x-Znl[1:n_state]).^2.*Znl[n_state+1:end])[1]))
+        if normalized
+            rowsum = ones(n_points)
+            for (j,Zi) in enumerate(Znl)
+                for i = n_state+1:2n_state
+                    Zi[i] = Zi[i] <= 0 ? 1.0 : Zi[i] # Reset to 1 if precision became negative
+                end
+                for i = 1:n_points
+                    statei = squeeze(state[i,:]',2)
+                    a = RBF(statei, Zi, n_state)
+                    Ψ[i,j] = a
+                    rowsum[i] += a
+                end
+            end
+            for i = 1:n_points
+                if rowsum[i] <= 1e-10
+                    continue
+                end
+                @devec Ψ[i,:] ./= rowsum[i]
+            end
+        else # Not normalized
+            for (j,Zi) in enumerate(Znl)
+                for i = n_state+1:2n_state
+                    Zi[i] = Zi[i] <= 0 ? 1.0 : Zi[i] # Reset to 1 if precision became negative
+                end
+
+                for i = 1:n_points
+                    statei = squeeze(state[i,:]',2)
+                    #                     statei = slice(state,i,:)
+                    Ψ[i,j] = RBF(statei, Zi, n_state)
+                    if DEBUG && !isfinite(Ψ[i,j])
+                        @show i,j,statei, Zi, n_state, Ψ[i,j]
+                        @show (statei-Zi[1:n_state]).^2
+                        @show Zi[n_state+1:end]
+                        #                     @show exp(-(((statei-Zi[1:n_state]).^2.*Zi[n_state+1:end])[1]))
+                        error("Stopping")
+                    end
+                end
+            end
+        end
+        if DEBUG && sum(!isfinite(Ψ)) > 0
+            @show sum(!isfinite(Ψ))
+        end
+        return Ψ
+    end
+
+    function fitlinear(V)
+        try
+            assert(isa(V,Matrix))
+            assert(isa(y,Vector))
+            DEBUG && assert(!any(!isfinite(V)))
+            DEBUG && assert(!any(!isfinite(y)))
+            return V\y
+        catch ex
+            @show reshape(Znl.x,2n_state,n_centers)
+            display(ex)
+            error("Linear fitting failed")
+        end
+    end
+
+    function jacobian(Znl, Ψ, w)
+        J = Array(Float64,(n_points,length(Znl.x)))
+        ii = 1
+        for (k,Zi) in enumerate(Znl)
+            μ = Zi[1:n_state] # slice?
+            γ = Zi[n_state+1:end]
+            i1 = ii-1
+            for l = 1:n_points
+                Ψw = 1.0
+                if outputnet
+                    for i = 1:na
+                        for j = 1:n_state
+                            ind = j + n_state*(k-1) + n_state*(n_centers+1)*(i-1)
+                            Ψw  += V[l,ind]*w[ind]
+                        end
+                    end
+                else
+                    for i = 1:na
+                        ind = k + (n_centers+1)*(i-1)
+                        Ψw  += V[l,ind]*w[ind]
+                    end
+                end
+                for p = 1:n_state
+                    x_μ = state[l,p]-μ[p]
+                    J[l,i1+p] = 2*Ψw*x_μ*γ[p]
+                    J[l,i1+n_state+p] = (-Ψw)*x_μ^2
+                end
+            end
+            ii += 2n_state
+        end
+        return J
+    end
+
+    function getLinearRegressor(Ψ)
+        if outputnet
+            ii = 1
+            for i = 1:na
+                for k = 1:n_centers+1
+                    for j = 1:n_state
+                        for l = 1:n_points
+                            V[l,ii] = Ψ[l,k]*A[l,i]*state[l,j]
+                        end
+                        ii = ii+1
+                    end
+                end
+            end
+        else
+            ii = 1
+            for i = 1:na
+                for k = 1:n_centers+1
+                    for l = 1:n_points
+                        V[l,ii] = Ψ[l,k]*A[l,i]
+                    end
+                    ii = ii+1
+                end
+            end
+        end
+        if DEBUG && sum(!isfinite(V)) > 0
+            @show sum(!isfinite(V))
+        end
+        return V
+    end
+
+    function predictionerror(z)
+        znl = RbfNonlinearParameters(z,n_state,n_centers)
+        getΨ(znl);
+        getLinearRegressor(Ψ);
+        zl = fitlinear(V);
+        prediction = V*zl
+        error = prediction-y
+        return error