I noticed that there are only not-a-knot and clamped spline in Matlab, which is assembled in the function spline. Can we change the original code in matlab a little bit so it can perform (or only perform) natural spline? I felt like it is a easy task since we need only to change the extra two degrees of freedom of parameters, such that it is satisfied to have zero second derivatives at the end points. But staring at the code of spline I don't know how to proceed. Can anyone help me out?
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Can anyone explain to me in a easy and less mathematical way what is a Hessian and how does it work in practice when optimizing the learning process for a neural network ?
To understand the Hessian you first need to understand Jacobian, and to understand a Jacobian you need to understand the derivative
Derivative is the measure of how fast function value changes withe the change of the argument. So if you have the function f(x)=x^2 you can compute its derivative and obtain a knowledge how fast f(x+t) changes with small enough t. This gives you knowledge about basic dynamics of the function
Gradient shows you in multidimensional functions the direction of the biggest value change (which is based on the directional derivatives) so given a function ie. g(x,y)=-x+y^2 you will know, that it is better to minimize the value of x, while strongly maximize the vlaue of y. This is a base of gradient based methods, like steepest descent technique (used in the traditional backpropagation methods).
Jacobian is yet another generalization, as your function might have many values, like g(x,y)=(x+1, xy, x-z), thus you now have 23 partial derivatives, one gradient per each output value (each of 2 values) thus forming together a matrix of 2*3=6 values.
Now, derivative shows you the dynamics of the function itself. But you can go one step further, if you can use this dynamics to find the optimum of the function, maybe you can do even better if you find out the dynamics of this dynamics, and so - compute derivatives of second order? This is exactly what Hessian is, it is a matrix of second order derivatives of your function. It captures the dynamics of the derivatives, so how fast (in what direction) does the change change. It may seem a bit complex at the first sight, but if you think about it for a while it becomes quite clear. You want to go in the direction of the gradient, but you do not know "how far" (what is the correct step size). And so you define new, smaller optimization problem, where you are asking "ok, I have this gradient, how can I tell where to go?" and solve it analogously, using derivatives (and derivatives of the derivatives form the Hessian).
You may also look at this in the geometrical way - gradient based optimization approximates your function with the line. You simply try to find a line which is closest to your function in a current point, and so it defines a direction of change. Now, lines are quite primitive, maybe we could use some more complex shapes like.... parabolas? Second derivative, hessian methods are just trying to fit the parabola (quadratic function, f(x)=ax^2+bx+c) to your current position. And based on this approximation - chose the valid step.
I'm looking for a function that generates significant errors in numerical integration using Gaussian quadrature or Simpson quadrature.
Since Simpson's and Gaussian's methods are trying to fit a supposedly smooth function with pieces of simple smooth functions, such as 2nd-order polynomials, and otherwise make use of low-order polynomials and other simple algebraic functions such as $$a+5/6$$, it makes sense that the biggest challenges would be functions that aren't 2nd order polynomials or resembling those simple functions.
Step functions, or more generally functions that are constant for short runs then jump to another value. A staircase, or the Walsh functions (used for a kind of binary Fourier transform) should be interesting. Just a plain simple single step does not fit any polynomial approximation very well.
Try a high-order polynomial. Just x^n for a large n should be interesting. Maybe subtract x^n - x^(n-1) for some large n. How large is "large"? For Simpson, perhaps 4 or more. For Gaussian using k points, n>k. (Don't go nuts trying n beyond modest two digit numbers; that just becomes nasty calculation apart from any integration.)
Few numerical integration methods like poles, that is, functions resembling 1/(x-a) for some neighborhood around a. Since it may be trouble to deal with actual infinity, try pushing it off the real line, or a complex conjugate pair. Make a big but finite spike using 1/( (x-a)^2 + b) where b>0 is small. Or the square root of that expression, or the sine or exponential of it. You could replace the "2" with a bigger power, I bet that'll be nasty.
Once upon a time I wanted to test a numerical integration routine. I started with a stairstep function, or train of rectangular pulses, sampled on some set of points.
I computed an approximate derivative using a Savitzky-Golay filter. SG can differentiate numerical data using a finite window of neighboring points, though normally it's used for smoothing. It takes a window size (number of points), polynomial order (2 or 4 in practice, but you may want to go nuts with higher), and differentiation order (normally 0 to smooth, 1 to get derivatives).
The result was a series of pulses, which I then integrated. A good routine will recreate the original stairstep or rectangular pulses. I imagine if the SG parameters are chosen right, you will make Simpson and Gauss roll over in their graves.
If you are looking for a difficult function to integrate as a test method, you could consider the one in the CS Stack Exchange question:
Method for numerical integration of difficult oscillatory integral
In this question, one of the answers suggests using the chebfun library for Matlab, which contains an implementation of a basic Levin-type method. This suggests to me that the function would fail using a simpler method such as Simpsons rule.
I have about 100 data points which mostly satisfying a certain function (but some points are off). I would like to plot all those points in a smooth curve but the problem is the points are not uniformly distributed. So is that anyway to get the smooth curve? I am thinking to interpolate some points in between, but the only way that comes up to my mind is to linearly insert some artificial points between two data points. But that will show a pretty weird shape (like some sharp corner). So any better idea? Thanks.
If you know more or less what the actual curve should be, you can try to fit that curve to your points (e.g. using polyfit). Depending on how many points are off and how far, you can get by with least squares regression (which is fairly easy to get working). If you have too many outliers (or they are much too large/small), you can also try robust regression (e.g. least absolute deviation fitting) using the robustfit function.
If you can manually determine the outliers, you can also fit a curve through the other points to get better results or even use interpolation methods (e.g. interp1 in MATLAB) on those points to get a smoother curve.
If you know which function describes your data, robust fitting (using, e.g. ROBUSTFIT, or the new convenient functions LINEARMODEL and NONLINEARMODEL with the robust option) is a good way to go if there are outliers in your data.
If you don't know the function that describes your data, but want a smooth trendline that is little affected by outliers, SMOOTHN from the File Exchange does an excellent job in my experience.
Have you looked at the use of smoothing splines? Like interpolating splines, but with the knot points and coefficients chosen to minimise a least-squares error function. There is an excellent implementation available from Matlab central which I have used successfully.
I am looking for numerical integration with matlab. I know that there is a trapz function in matlab but the precision is not good enough. By searching it online, I found there is a quad function there it seems only accept symbolic expression as input. My data is all discrete and one-dimensional. Is that any way to use quad on my data? Thanks.
An answer to your question would be no. The only way to perform numerical integration for data with no expression in Matlab is by using the trapz function. If it's not accurate enough for you, try writing your own quad function as Li-aung said, it's very simple, this may help.
Another method you may try is to use the powerful Curve Fitting Tool cftool to make a fit then use the integrate function which can operate on cfit objects (it has a weird convention, the upper limit is the first argument!). I don't think you will get much accurate answers than trapz, it depends on the fit.
Use the spline function in MATLAB to interpolate your data, then integrate this data. This is the standard method for integrating data in discrete form.
You can use quadl() to integrate your data if you first create a function in which you interpolate them.
function f = int_fun(x,xdata,ydata)
f = interp1(xdata,ydata,x);
And then feed it to the quadl() function:
integral = quadl(#int_fun,A,B,[],[],x,y) % syntax to pass extra arguments
% to the function
Integration of a function of one variable is the computation of the area under the curve of the graph of the function. For this answer I'll leave aside the nasty functions and the corner cases and all the twists and turns that trip up writers of numerical integration routines, most of which are probably not relevant here.
Simpson's rule is an approach to the numerical integration of a function for which you have a code to evaluate the function at points within its domain. That's irrelevant here.
Let's suppose that your data represents a time series of values collected at regular intervals. Then you can plot your data as a histogram with bars of equal width. The integrand you seek is the sum of the areas of the bars in the histogram between the limits you are interested in.
You should be able to apply this approach to data sets where the x-axis (ie the width of the bars in the histogram) does not show time, to the situation where the bars are not of equal width, to the situation where the data crosses the x-axis, and most reasonable data sets, quite easily.
The discretisation of your data establishes a limit to the accuracy of the result you can get. If, for example, your time series is sampled at 1sec intervals you can't integrate over an interval which is not a whole number of seconds by this approach. But then, you don't really have the data on which to compute a figure with any more accuracy by any approach. Sure, you can use Matlab (or anything else) to generate extra digits of precision but they don't carry any meaning.
I have a problem where I am fitting a high-order polynomial to (not very) noisy data using linear least squares. Currently I'm using polynomial orders around 15 - 25, which work surprisingly well: The dependence is very nearly linear, but the accuracy of modelling the 'very nearly' is critical. I'm using Matlab's polyfit() function, and (obviously) normalising the x-data. This generally works fine, but I have come across an issue with some recent datasets. The fitted polynomial has extrema within the x-data interval. For the application I'm working on this is a non-no. The polynomial model must have no stationary points over the x-interval.
So I need to add a constraint to the least-squares problem: the derivative of the fitted polynomial must be strictly positive over a known x-range (or strictly negative - this depends on the data but a simple linear fit will quickly tell me which it is.) I have had a quick look at the available optimisation toolbox functions, but I admit I'm at a loss to know how to go about this. Does anyone have any suggestions?
[I appreciate there are probably better models than polynomials for this data, but in the short term it isn't feasible to change the form of the model]
[A closing note: I have finally got the go-ahead to replace this awful polynomial model! I am going to adopt a nonparametric approach, spline smoothing, using the excellent SPLINEFIT code by Jonas Lundgren. This has the advantage that I'm already using a spline model in the end-user application, so I already have C# code available to evaluate a spline model]
You could use cftool and use the exclude data points option.