If I'm getting a anonymous operator from a user I would like to test (extremely quickly) if the operator is linear. Is there a standard way to do this? I have no way of doing symbolic operators, or parsing the function. Is the only way trying some random functions (what random functions do I choose) and seeing if they satisfy linearity??
Thanks in advance.
Context:
User supplies a black box operator, that is a function which takes functions to functions.
I can give the operator a function and I get a function back. I want to determine if the operator is linear? Is there a standard fast method which gives me high confidence?
No, not without sweeping the entire parameter space. Imagine the following:
#(f) #(x) f(x) + (x == 1e6)
This operator is non-linear, but there's no way of knowing that unless you happen to test at x == 1e6.
UPDATE
As others have suggested, it may be "good enough" to determine a domain of interest, and check for linearity at periodic intervals across the domain. This may give you false positives (i.e. suggest an operator is linear when in fact it's non-linear), but never false negatives.
This is information the user should supply. Add a parameter linear true/false, default to false (I'm assuming that the code for non-linear will work for linear too, just taking more time).
The problem with random testing is that you will classify a non-linear function as linear sooner or later, and then the user has a problem, because your function unpredictably produces wrong results (depending on which points you pick randomly), that may be reasonably close to the correct results, ie people may not notice for a loooong time --> this is a recipe for disaster.
Really, the user should know this in the first place, its very important to avoid false positives and as said before there is no completely reliable way to test this. Save yourself the trouble and add an additional parameter.
Related
I build a simple model to understand the concept of "Discrete expressions", here is the code:
model Trywhen
parameter Real B[ :] = {1.0, 2.0, 3.0};
algorithm
when time>=0.5 then
Modelica.Utilities.Streams.print("message");
end when;
annotation (uses(Modelica(version="3.2.3")));
end Trywhen;
But when checking the model, I got an error showing that "time==0.5" isn't a discrete expression.
If I change time==0.5 to time>=0.5, the model would pass the check.
And if I use if-clause to when-clause, the model works fine but with a warning showing that "Variables of type Real cannot be compared for equality."
My questions are:
Why time==0.5 is NOT a discrete expression?
Why Variables of type Real cannot be compared for equality? It seems common when comparing two variables of type Real.
The first question is not important, since time==0.5 is not allowed.
The second question is the important one:
Comparing reals for equality is common in other languages, and also a common source of errors - unless special care is taken.
Merely using the floating point compare of the processor is a really bad idea on idea on some processors (like Intel) that mix 80-bit and 64-bit floating point numbers (or comes with a performance penalty), and also in other cases it may not work as intended. In this case 0.5 can be represented as a floating point number, but 0.1 and 0.2 cannot.
Often abs(x-y)<eps is a good alternative, but it depends on the intended use and the eps depends on additional factors; not only machine precision but also which algorithm is used to compute x and y and its error propagation.
In Modelica the problems are worse than in many other languages, since tools are allowed to optimize expressions a lot more (including symbolic manipulations) - which makes it even harder to figure out a good value for eps.
All those problems mean that it was decided to not allow comparison for equality - and require something more appropriate.
In particular if you know that you will only approach equality from one direction you can avoid many of the problems. In this case time is increasing, so if it has been >0.5 at an event it will not be <=0.5 at a later event, and when will only trigger the first time the expression becomes true.
Therefore when time>=0.5 will only trigger once, and will trigger about when time==0.5, so it is a good alternative. However, there might be some numerical inaccuracies and thus it might trigger at 0.500000000000001.
The noEvent operator in Modelica doesn't use iteration to find the precise time instant in which the event was triggered.
It seems this would cause calculation error, here is an example I find on the following website
https://mbe.modelica.university/behavior/discrete/decay/
So Do I have to ensure the function is smooth when using noEvent operator?
What's the purpose of using noEvent operator if it can't ensure accuracy?
Although the question is already answered I would like to add some points, as I think it could be useful for many.
There are some common reasons to use the noEvent() statement:
Guarding expressions: This is used to prevent a function from being evaluated outside of their validity range. A typical example is der(x) = if x>=0 then sqrt(x) else 0; which would work perfectly in most common programming languages. This doesn't work always in Modelica for the following reason: When searching for the time when the condition x>=0 becomes false, it is possible that both branches are evaluated with values of x varying around 0. The same fact is mentioned in the screenshot posted by marvel This results in a crash if the square root of a negative x is evaluated. Therefore der(x) = if noEvent(x>=0) then -sqrt(x) else 0; Is used to suppress the iteration to search for the crossing time, leaving the handling of the discontinuity to the solver (often referred to as "expressions are taken literally instead of generating crossing functions"). In case of a variable step-size solver being used, this makes the solver reduce the step-size to meet it's relative error tolerance, which will likely result in degraded performance. Additionally this can be critical if the function described is not smooth enough resulting in non-precise or even instable simulations.
Continuous Expressions: When a function is continuous there is actually no event necessary. This comes down to the fact, that events are used to describe discontinuities. So if there is none, usually the event is simply superfluous and can therefore be suppressed. This is actually covered by the smooth() operator in Modelica, but the specification says, that a tool is free to still generate events. To my experience, tools generate events if the change to the function is relatively big. Therefore it can make sense to have a noEvent() within a smooth().
Avoid chattering: noEvent can help here but actually chattering is a more general problem. Therefore I'd recommend to solve issues related to chattering by re-building the model.
If none of the above is true the use of noEvent should be considered carefully.
I think the Modelica Language Specification Version 3.4 Section 3.7.3.2. and Section 8.5. will help you out here (in case you have not already checked this).
From what i know it should only be used for efficiency reasons and in most cases one should use smooth() instead or in conjunction.
Based on the two different ways of dealing with the event. If using noEvent operator, there is no halt of the integration, but the numerical solver assumes that the function should be smooth, with unsmooth functions, there would be numerical errors.
I am writing a matlab code where i calculate the max-min.
I am using matlab's "fminimax" to solve the following problem:
ki=G(i,:);
ki(i)=0;
fs(i)=-((G(i,i)*pt(i)+sum(ki.*pt)+C1)-(C2*(sum(ki.*pt)+C1)));
G: is a system matrix. pt: is the optimization variable.
When the actual system matrix is used, the "fminimax" stops after one iteration and returns the initial value of "pt", no matter what the initial value for "pt", i.e. no solution is found. (the initial value is defined as X0 in the documentation). The system has the following parameters: G is in the order of e-11, pt is in the order of e-1, and c1 is in the order of e-14.
when i try a randomly generated test matrix and different parameters, the "fminimax" finds a solution for the problem, and everything works fine. G in order of e-2, pt in order of e-2, c1 is in the order of e-7.
I tried to scale the actual system: "fminimax" lasted more than one iteration, however, it still returned the initial value of pt, i.e. it couldn't find a solution.
I tried to change the tolerance of the "fminmax", using "options" [StepTolerance, OptimalityTolerance, ConstraintTolerance, and functiontolerance]. There were no impact at all. still no solution.
I thought that the problem might be that the precision of "fminimax" is not that high, or it is not suitable to solve the problem. i think it is also slow.
i downloaded CPLX, and i wanted to transform the max-min problem into linear programing, using a method i found in a book. However, when i tried my code on a simple minimax it didn't give the same solution.
I thought of using CVX for example, but the problem is not convex.
What might be the problem?
P.S. the system matrix, G, has different realizations, i tried some of them. However, the "fminimax" responds in the same way for all of them, i.e. it wasn't able to find an adequate solution.
I am not convinced that the optimization solvers are broken. If the problem is nonconvex, then there can be multiple local minimizers. Given the information you have provided, we have no way of knowing whether you started at an initial condition.
The first place you need to start is by getting more information from the optimization exit condition... Did it finish because it hit the iteration limit? (I hope not since it isn't doing many iterations)... Did it finish because a tolerance was hit (e.g. the function did not change by more than xxxx)? Or perhaps it could not find a feasible solution? (I don't know if you have any constraints that need to be met).
More than likely, I wold guess that you are starting at a local minimizer without realizing it. So you need to determine whether you are indeed at a local minimizer by looking at the jacobian of the function evaluated at your initial guess. Either calculate it analytically or use a finite step approximation....
I remember reading once in the Matlab documentation about an optimisation algorithm which allowed the user to specify the "scale" of variation expected for each parameter during the search (at least initially).
I can't remember what this function is, but now I am using fminsearch and there is no such option. In fact, I can't even specify parameter bounds, and the documentation states that it takes 5% of the initial guess as a default step (or 25e-5 if 0). Because this seems to be a relative choice to the initial guess, it makes me think that perhaps I should re-normalise my parameters to a suitable scale, in order to indirectly define a suitable step for my optimisation problem.
For example, if I have a parameter which value is on the order of 10e5 but that I would like steps on the order of 100, then I should "divide it" by 500 during optimisation (obviously I would then multiply it when computing the objective function). However this becomes trickier if a parameter range is centred around 0 for example; then I can rescale it and offset it.
My question is; is it effectively what people usually do when using the downhill-simplex method, and is there a "standard" or "better" way to do it?
I used Matlab-fminsearch for a negativ max likelihood model for a binomial distributed function. I don't get any error notice, but the parameter which I want to estimate, take always the start value. Apparently, there is a mistake. I know that I ask a totally general question. But is it possible that anybody had the same mistake and know how to deal with it?
Thanks a lot,
#woodchips, thank you a lot. Step by step, I've tried to do what you advised me. First of all, I actually maximized (-log(likelihood)) and this is not the problem. I think I found out the problem but I still have some questions, if I don't bother you. I have a model(param) to maximize in paramstart=p1. This model is built for (-log(likelihood(F))) and my F is a vectorized function like F(t,Z,X,T,param,m2,m3,k,l). I have a data like (tdata,kdata,ldata),X,T are grids and Z is a function on this grid and (m1,m2,m3) are given parameters.When I want to see the value of F(tdata,Z,X,T,m1,m2,m3,kdata,ldata), I get a good output. But I think fminsearch accept that F(tdata,Z,X,T,p,m2,m3,kdata,ldata) like a constant and thatswhy I always have as estimated parameter the start value. I will be happy, if you have any advise to tweak that.
You have some options you can try to tweak. I'd start with algorithm.
When the function value practically doesn't change around your startpoint it's also problematic. Maybe switching to log-likelyhood helps.
I always use fminunc or fmincon. They allow also providing the Hessian (typically better than "estimated") or 'typical values' so the algorithm doesn't spend time in unfeasible regions.
It is virtually always true that you should NEVER maximize a likelihood function, but ALWAYS maximize the log of that function. Floating point issues will almost always corrupt the problem otherwise. That your optimization starts and stops at the same point is a good indicator this is the problem.
You may well need to dig a little deeper than the above, but even so, this next test is the test I recommend that all users of optimization tools do for every one of their problems, BEFORE they throw a function into an optimizer. Evaluate your objective for several points in the vicinity. Does it yield significantly different values? If not, then look to see why not. Are you creating a non-smooth objective to optimize, or a zero objective? I.e., zero to within the supplied tolerances?
If it does yield different values but still not converge, then make sure you know how to call the optimizer correctly. Yeah, right, like nobody has ever made this mistake before. This is actually a very common cause of failure of optimizers.
If it does yield good values that vary, and you ARE calling the optimizer correctly, then think if there are regions into which the optimizer is trying to diverge that yield garbage results. Is the objective generating complex or imaginary results?