/* generate random square orthogonal matrix via QR decomposition */ static void test_random_matrix_orth(gsl_matrix *m, const gsl_rng *r) { const size_t M = m->size1; gsl_matrix *A = gsl_matrix_alloc(M, M); gsl_vector *tau = gsl_vector_alloc(M); gsl_matrix *R = gsl_matrix_alloc(M, M); test_random_matrix(A, r, -1.0, 1.0); gsl_linalg_QR_decomp(A, tau); gsl_linalg_QR_unpack(A, tau, m, R); gsl_matrix_free(A); gsl_matrix_free(R); gsl_vector_free(tau); } /* construct ill-conditioned matrix via SVD */ static void test_random_matrix_ill(gsl_matrix *m, const gsl_rng *r) { const size_t M = m->size1; const size_t N = m->size2; gsl_matrix *U = gsl_matrix_alloc(M, M); gsl_matrix *V = gsl_matrix_alloc(N, N); gsl_vector *S = gsl_vector_alloc(N); gsl_matrix_view Uv = gsl_matrix_submatrix(U, 0, 0, M, N); const double smin = 16.0 * GSL_DBL_EPSILON; const double smax = 10.0; const double ratio = pow(smin / smax, 1.0 / (N - 1.0)); double s; size_t j; test_random_matrix_orth(U, r); test_random_matrix_orth(V, r); /* compute U * S */ s = smax; for (j = 0; j < N; ++j) { gsl_vector_view uj = gsl_matrix_column(U, j); gsl_vector_scale(&uj.vector, s); s *= ratio; } /* compute m = (U * S) * V' */ gsl_blas_dgemm(CblasNoTrans, CblasTrans, 1.0, &Uv.matrix, V, 0.0, m); gsl_matrix_free(U); gsl_matrix_free(V); gsl_vector_free(S); } /* solve system with lambda = 0 and test against OLS solution */ static void test_reg1(const gsl_matrix * X, const gsl_vector * y, const gsl_vector * wts, const double tol, gsl_multifit_linear_workspace * w, const char * desc) { const size_t n = X->size1; const size_t p = X->size2; double rnorm, snorm, chisq; gsl_vector *c0 = gsl_vector_alloc(p); gsl_vector *c1 = gsl_vector_alloc(p); gsl_matrix *cov = gsl_matrix_alloc(p, p); size_t j; if (wts) { gsl_matrix *Xs = gsl_matrix_alloc(n, p); gsl_vector *ys = gsl_vector_alloc(n); gsl_multifit_wlinear(X, wts, y, c0, cov, &chisq, w); gsl_multifit_linear_wstdform1(NULL, X, wts, y, Xs, ys, w); gsl_multifit_linear_svd(Xs, w); gsl_multifit_linear_solve(0.0, Xs, ys, c1, &rnorm, &snorm, w); gsl_matrix_free(Xs); gsl_vector_free(ys); } else { gsl_multifit_linear(X, y, c0, cov, &chisq, w); gsl_multifit_linear_svd(X, w); gsl_multifit_linear_solve(0.0, X, y, c1, &rnorm, &snorm, w); } gsl_test_rel(rnorm*rnorm, chisq, tol, "test_reg1: %s, lambda = 0, n=%zu p=%zu chisq", desc, n, p); /* test c0 = c1 */ for (j = 0; j < p; ++j) { double c0j = gsl_vector_get(c0, j); double c1j = gsl_vector_get(c1, j); gsl_test_rel(c1j, c0j, tol, "test_reg1: %s, lambda = 0, n=%zu p=%zu c0/c1", desc, n, p); } gsl_vector_free(c0); gsl_vector_free(c1); gsl_matrix_free(cov); } /* solve standard form system with given lambda and test against * normal equations solution, L = I */ static void test_reg2(const double lambda, const gsl_matrix * X, const gsl_vector * y, const gsl_vector * wts, const double tol, gsl_multifit_linear_workspace * w, const char * desc) { const size_t n = X->size1; const size_t p = X->size2; double rnorm0, snorm0; double rnorm1, snorm1; gsl_vector *c0 = gsl_vector_alloc(p); gsl_vector *c1 = gsl_vector_alloc(p); gsl_matrix *XTX = gsl_matrix_alloc(p, p); /* X^T W X + lambda^2 I */ gsl_vector *XTy = gsl_vector_alloc(p); /* X^T W y */ gsl_matrix *Xs = gsl_matrix_alloc(n, p); gsl_vector *ys = gsl_vector_alloc(n); gsl_vector_view xtx_diag = gsl_matrix_diagonal(XTX); gsl_permutation *perm = gsl_permutation_alloc(p); gsl_vector *r = gsl_vector_alloc(n); int signum; size_t j; /* compute Xs = sqrt(W) X and ys = sqrt(W) y */ gsl_multifit_linear_wstdform1(NULL, X, wts, y, Xs, ys, w); /* construct XTy = X^T W y */ gsl_blas_dgemv(CblasTrans, 1.0, Xs, ys, 0.0, XTy); /* construct XTX = X^T W X + lambda^2 I */ gsl_blas_dgemm(CblasTrans, CblasNoTrans, 1.0, Xs, Xs, 0.0, XTX); gsl_vector_add_constant(&xtx_diag.vector, lambda*lambda); /* solve XTX c = XTy with LU decomp */ gsl_linalg_LU_decomp(XTX, perm, &signum); gsl_linalg_LU_solve(XTX, perm, XTy, c0); /* compute SVD of X */ gsl_multifit_linear_svd(Xs, w); /* solve regularized standard form system with lambda */ gsl_multifit_linear_solve(lambda, Xs, ys, c1, &rnorm0, &snorm0, w); /* test snorm = ||c1|| */ snorm1 = gsl_blas_dnrm2(c1); gsl_test_rel(snorm0, snorm1, tol, "test_reg2: %s, snorm lambda=%g n=%zu p=%zu", desc, lambda, n, p); /* test rnorm = ||y - X c1|| */ gsl_vector_memcpy(r, ys); gsl_blas_dgemv(CblasNoTrans, -1.0, Xs, c1, 1.0, r); rnorm1 = gsl_blas_dnrm2(r); gsl_test_rel(rnorm0, rnorm1, tol, "test_reg2: %s, rnorm lambda=%g n=%zu p=%zu", desc, lambda, n, p); /* test c0 = c1 */ for (j = 0; j < p; ++j) { double c0j = gsl_vector_get(c0, j); double c1j = gsl_vector_get(c1, j); gsl_test_rel(c1j, c0j, tol, "test_reg2: %s, c0/c1 lambda=%g n=%zu p=%zu", desc, lambda, n, p); } gsl_matrix_free(XTX); gsl_vector_free(XTy); gsl_matrix_free(Xs); gsl_vector_free(ys); gsl_vector_free(c0); gsl_vector_free(c1); gsl_vector_free(r); gsl_permutation_free(perm); } /* solve system with given lambda and L = diag(L) and test against * normal equations solution */ static void test_reg3(const double lambda, const gsl_vector * L, const gsl_matrix * X, const gsl_vector * y, const gsl_vector * wts, const double tol, gsl_multifit_linear_workspace * w, const char * desc) { const size_t n = X->size1; const size_t p = X->size2; double rnorm0, snorm0; double rnorm1, snorm1; gsl_vector *c0 = gsl_vector_alloc(p); gsl_vector *c1 = gsl_vector_alloc(p); gsl_matrix *XTX = gsl_matrix_alloc(p, p); /* X^T W X + lambda^2 L^T L */ gsl_vector *XTy = gsl_vector_alloc(p); /* X^T W y */ gsl_matrix *Xs = gsl_matrix_alloc(n, p); /* standard form X~ */ gsl_vector *ys = gsl_vector_alloc(n); /* standard form y~ */ gsl_vector *Lc = gsl_vector_alloc(p); gsl_vector *r = gsl_vector_alloc(n); gsl_permutation *perm = gsl_permutation_alloc(p); int signum; size_t j; /* compute Xs = sqrt(W) X, ys = sqrt(W) y */ gsl_multifit_linear_wstdform1(NULL, X, wts, y, Xs, ys, w); /* construct XTy = X^T W y */ gsl_blas_dgemv(CblasTrans, 1.0, Xs, ys, 0.0, XTy); /* construct XTX = X^T W X + lambda^2 L^T L */ gsl_blas_dgemm(CblasTrans, CblasNoTrans, 1.0, Xs, Xs, 0.0, XTX); for (j = 0; j < p; ++j) { double lj = gsl_vector_get(L, j); *gsl_matrix_ptr(XTX, j, j) += pow(lambda * lj, 2.0); } /* solve XTX c = XTy with LU decomp */ gsl_linalg_LU_decomp(XTX, perm, &signum); gsl_linalg_LU_solve(XTX, perm, XTy, c0); /* solve with reg routine */ gsl_multifit_linear_wstdform1(L, X, wts, y, Xs, ys, w); gsl_multifit_linear_svd(Xs, w); gsl_multifit_linear_solve(lambda, Xs, ys, c1, &rnorm0, &snorm0, w); gsl_multifit_linear_genform1(L, c1, c1, w); /* test snorm = ||L c1|| */ gsl_vector_memcpy(Lc, c1); gsl_vector_mul(Lc, L); snorm1 = gsl_blas_dnrm2(Lc); gsl_test_rel(snorm0, snorm1, tol, "test_reg3: %s, snorm lambda=%g n=%zu p=%zu", desc, lambda, n, p); /* test rnorm = ||y - X c1||, compute again Xs = sqrt(W) X and ys = sqrt(W) y */ gsl_multifit_linear_wstdform1(NULL, X, wts, y, Xs, ys, w); gsl_vector_memcpy(r, ys); gsl_blas_dgemv(CblasNoTrans, -1.0, Xs, c1, 1.0, r); rnorm1 = gsl_blas_dnrm2(r); gsl_test_rel(rnorm0, rnorm1, tol, "test_reg3: %s, rnorm lambda=%g n=%zu p=%zu", desc, lambda, n, p); /* test c0 = c1 */ for (j = 0; j < p; ++j) { double c0j = gsl_vector_get(c0, j); double c1j = gsl_vector_get(c1, j); gsl_test_rel(c1j, c0j, tol, "test_reg3: %s, c0/c1 j=%zu lambda=%g n=%zu p=%zu", desc, j, lambda, n, p); } gsl_matrix_free(Xs); gsl_matrix_free(XTX); gsl_vector_free(XTy); gsl_vector_free(c0); gsl_vector_free(c1); gsl_vector_free(Lc); gsl_vector_free(ys); gsl_vector_free(r); gsl_permutation_free(perm); } /* solve system with given lambda and L and test against * normal equations solution */ static void test_reg4(const double lambda, const gsl_matrix * L, const gsl_matrix * X, const gsl_vector * y, const gsl_vector * wts, const double tol, gsl_multifit_linear_workspace * w, const char *desc) { const size_t m = L->size1; const size_t n = X->size1; const size_t p = X->size2; double rnorm0, snorm0; double rnorm1, snorm1; gsl_vector *c0 = gsl_vector_alloc(p); gsl_vector *c1 = gsl_vector_alloc(p); gsl_matrix *LTL = gsl_matrix_alloc(p, p); /* L^T L */ gsl_matrix *XTX = gsl_matrix_alloc(p, p); /* X^T W X + lambda^2 L^T L */ gsl_vector *XTy = gsl_vector_alloc(p); /* X^T W y */ gsl_permutation *perm = gsl_permutation_alloc(p); gsl_matrix *Xs = (m < p) ? gsl_matrix_alloc(n - (p - m), m) : gsl_matrix_alloc(n, p); gsl_vector *ys = (m < p) ? gsl_vector_alloc(n - (p - m)) : gsl_vector_alloc(n); gsl_matrix *M = (m < p) ? gsl_matrix_alloc(n, p) : gsl_matrix_alloc(m, p); gsl_vector *cs = (m < p) ? gsl_vector_alloc(m) : gsl_vector_alloc(p); gsl_matrix *WX = gsl_matrix_alloc(n, p); gsl_vector *Wy = gsl_vector_alloc(n); gsl_vector *Lc = gsl_vector_alloc(m); gsl_vector *r = gsl_vector_alloc(n); gsl_matrix *LQR = gsl_matrix_alloc(m, p); gsl_vector *Ltau = gsl_vector_alloc(GSL_MIN(m, p)); int signum; size_t j; /* compute WX = sqrt(W) X, Wy = sqrt(W) y */ gsl_multifit_linear_wstdform1(NULL, X, wts, y, WX, Wy, w); /* construct XTy = X^T W y */ gsl_blas_dgemv(CblasTrans, 1.0, WX, Wy, 0.0, XTy); /* construct XTX = X^T W X + lambda^2 L^T L */ gsl_blas_dgemm(CblasTrans, CblasNoTrans, 1.0, L, L, 0.0, LTL); gsl_matrix_scale(LTL, lambda * lambda); gsl_blas_dgemm(CblasTrans, CblasNoTrans, 1.0, WX, WX, 0.0, XTX); gsl_matrix_add(XTX, LTL); /* solve XTX c = XTy with LU decomp */ gsl_linalg_LU_decomp(XTX, perm, &signum); gsl_linalg_LU_solve(XTX, perm, XTy, c0); /* solve with reg routine */ gsl_matrix_memcpy(LQR, L); gsl_multifit_linear_L_decomp(LQR, Ltau); gsl_multifit_linear_wstdform2(LQR, Ltau, X, wts, y, Xs, ys, M, w); gsl_multifit_linear_svd(Xs, w); gsl_multifit_linear_solve(lambda, Xs, ys, cs, &rnorm0, &snorm0, w); gsl_multifit_linear_wgenform2(LQR, Ltau, X, wts, y, cs, M, c1, w); /* test snorm = ||L c1|| */ gsl_blas_dgemv(CblasNoTrans, 1.0, L, c1, 0.0, Lc); snorm1 = gsl_blas_dnrm2(Lc); gsl_test_rel(snorm0, snorm1, tol, "test_reg4: %s snorm lambda=%g", desc, lambda); /* test rnorm = ||y - X c1||_W */ gsl_vector_memcpy(r, Wy); gsl_blas_dgemv(CblasNoTrans, -1.0, WX, c1, 1.0, r); rnorm1 = gsl_blas_dnrm2(r); gsl_test_rel(rnorm0, rnorm1, tol, "test_reg4: %s rnorm lambda=%g", desc, lambda); /* test c0 = c1 */ for (j = 0; j < p; ++j) { double c0j = gsl_vector_get(c0, j); double c1j = gsl_vector_get(c1, j); gsl_test_rel(c1j, c0j, tol, "test_reg4: %s lambda=%g n=%zu p=%zu j=%zu", desc, lambda, n, p, j); } gsl_matrix_free(LTL); gsl_matrix_free(XTX); gsl_vector_free(XTy); gsl_vector_free(c0); gsl_vector_free(c1); gsl_permutation_free(perm); gsl_matrix_free(Xs); gsl_vector_free(ys); gsl_vector_free(cs); gsl_matrix_free(M); gsl_vector_free(Lc); gsl_matrix_free(WX); gsl_vector_free(Wy); gsl_vector_free(r); gsl_matrix_free(LQR); gsl_vector_free(Ltau); } static void test_reg_system(const size_t n, const size_t p, const gsl_rng *r) { gsl_matrix *X = gsl_matrix_alloc(n, p); gsl_vector *y = gsl_vector_alloc(n); gsl_vector *c = gsl_vector_alloc(p); gsl_vector *wts = gsl_vector_alloc(n); gsl_multifit_linear_workspace *w = gsl_multifit_linear_alloc(n, p); gsl_multifit_linear_workspace *wbig = gsl_multifit_linear_alloc(n + 10, p + 5); gsl_vector *diagL = gsl_vector_alloc(p); gsl_matrix *Lsqr = gsl_matrix_alloc(p, p); gsl_matrix *Ltall = gsl_matrix_alloc(5*p, p); gsl_matrix *L1 = gsl_matrix_alloc(p - 1, p); gsl_matrix *L2 = gsl_matrix_alloc(p - 2, p); gsl_matrix *L3 = gsl_matrix_alloc(p - 3, p); gsl_matrix *L5 = gsl_matrix_alloc(p - 5, p); size_t i; /* generate random weights */ test_random_vector(wts, r, 0.0, 1.0); /* generate well-conditioned system and test against OLS solution */ test_random_matrix(X, r, -1.0, 1.0); test_random_vector(y, r, -1.0, 1.0); test_reg1(X, y, NULL, 1.0e-10, w, "unweighted"); test_reg1(X, y, wts, 1.0e-10, w, "weighted"); /* generate ill-conditioned system */ test_random_matrix_ill(X, r); test_random_vector(c, r, -1.0, 1.0); /* compute y = X c + noise */ gsl_blas_dgemv(CblasNoTrans, 1.0, X, c, 0.0, y); test_random_vector_noise(r, y); /* random diag(L) vector */ test_random_vector(diagL, r, -2.0, 2.0); /* random square and tall L matrices */ test_random_matrix(Lsqr, r, -2.0, 2.0); test_random_matrix(Ltall, r, -2.0, 2.0); gsl_multifit_linear_Lk(p, 1, L1); gsl_multifit_linear_Lk(p, 2, L2); gsl_multifit_linear_Lk(p, 3, L3); gsl_multifit_linear_Lk(p, 5, L5); for (i = 0; i < 3; ++i) { /* * can't make lambda too small or normal equations * approach won't work well */ double lambda = pow(10.0, -(double) i); /* test unweighted */ test_reg2(lambda, X, y, NULL, 1.0e-6, w, "unweighted"); test_reg3(lambda, diagL, X, y, NULL, 1.0e-6, w, "unweighted"); test_reg4(lambda, Lsqr, X, y, NULL, 1.0e-8, w, "Lsqr unweighted"); test_reg4(lambda, Ltall, X, y, NULL, 1.0e-8, w, "Ltall unweighted"); test_reg4(lambda, L1, X, y, NULL, 1.0e-6, w, "L1 unweighted"); test_reg4(lambda, L2, X, y, NULL, 1.0e-6, w, "L2 unweighted"); test_reg4(lambda, L3, X, y, NULL, 1.0e-5, w, "L3 unweighted"); test_reg4(lambda, L5, X, y, NULL, 1.0e-4, w, "L5 unweighted"); /* test weighted */ test_reg2(lambda, X, y, wts, 1.0e-6, w, "weighted"); test_reg3(lambda, diagL, X, y, wts, 1.0e-6, w, "weighted"); test_reg4(lambda, Lsqr, X, y, wts, 1.0e-8, w, "Lsqr weighted"); test_reg4(lambda, L1, X, y, wts, 1.0e-6, w, "L1 weighted"); test_reg4(lambda, L2, X, y, wts, 1.0e-6, w, "L2 weighted"); test_reg4(lambda, L3, X, y, wts, 1.0e-5, w, "L3 weighted"); test_reg4(lambda, L5, X, y, wts, 1.0e-4, w, "L5 weighted"); /* test again with larger workspace */ test_reg2(lambda, X, y, NULL, 1.0e-6, wbig, "unweighted big"); test_reg3(lambda, diagL, X, y, NULL, 1.0e-6, wbig, "unweighted big"); test_reg4(lambda, Lsqr, X, y, NULL, 1.0e-8, wbig, "Lsqr unweighted big"); test_reg4(lambda, L1, X, y, NULL, 1.0e-6, wbig, "L1 unweighted big"); test_reg4(lambda, L2, X, y, NULL, 1.0e-6, wbig, "L2 unweighted big"); test_reg4(lambda, L3, X, y, NULL, 1.0e-5, wbig, "L3 unweighted big"); test_reg4(lambda, L5, X, y, NULL, 1.0e-4, wbig, "L5 unweighted big"); test_reg2(lambda, X, y, wts, 1.0e-6, wbig, "weighted big"); test_reg3(lambda, diagL, X, y, wts, 1.0e-6, wbig, "weighted big"); test_reg4(lambda, Lsqr, X, y, wts, 1.0e-8, wbig, "Lsqr weighted big"); test_reg4(lambda, L1, X, y, wts, 1.0e-6, wbig, "L1 weighted big"); test_reg4(lambda, L2, X, y, wts, 1.0e-6, wbig, "L2 weighted big"); test_reg4(lambda, L3, X, y, wts, 1.0e-5, wbig, "L3 weighted big"); test_reg4(lambda, L5, X, y, wts, 1.0e-4, wbig, "L5 weighted big"); } gsl_matrix_free(X); gsl_vector_free(y); gsl_vector_free(c); gsl_vector_free(wts); gsl_vector_free(diagL); gsl_matrix_free(Lsqr); gsl_matrix_free(Ltall); gsl_matrix_free(L1); gsl_matrix_free(L2); gsl_matrix_free(L3); gsl_matrix_free(L5); gsl_multifit_linear_free(w); gsl_multifit_linear_free(wbig); } static void test_reg_sobolev(const size_t p, const size_t kmax, const gsl_rng *r) { const double tol = 1.0e-12; size_t i, j, k; gsl_matrix *L = gsl_matrix_calloc(p, p); gsl_matrix *LTL = gsl_matrix_alloc(p, p); /* Sobolov L^T L */ gsl_matrix *LTL2 = gsl_matrix_alloc(p, p); /* alternate L^T L */ gsl_matrix *Li = gsl_matrix_alloc(p, p); gsl_multifit_linear_workspace *w = gsl_multifit_linear_alloc(p, p); for (k = 0; k <= kmax; ++k) { gsl_vector *alpha = gsl_vector_alloc(k + 1); /* random weights */ test_random_vector(alpha, r, 0.0, 1.0); /* compute Sobolev matrix */ gsl_multifit_linear_Lsobolev(p, k, alpha, L, w); /* compute LTL = L^T L */ gsl_blas_dgemm(CblasTrans, CblasNoTrans, 1.0, L, L, 0.0, LTL); /* now compute LTL2 = L^T L using individual L_i factors */ { gsl_matrix_set_zero(LTL2); for (i = 0; i <= k; ++i) { gsl_matrix_view Liv = gsl_matrix_submatrix(Li, 0, 0, p - i, p); double ai = gsl_vector_get(alpha, i); /* compute a_i L_i */ gsl_multifit_linear_Lk(p, i, &Liv.matrix); gsl_matrix_scale(&Liv.matrix, ai); /* LTL += L_i^T L_i */ gsl_blas_dgemm(CblasTrans, CblasNoTrans, 1.0, &Liv.matrix, &Liv.matrix, 1.0, LTL2); } } /* test LTL = LTL2 */ for (i = 0; i < p; ++i) { for (j = 0; j < p; ++j) { double aij = gsl_matrix_get(LTL, i, j); double bij = gsl_matrix_get(LTL2, i, j); gsl_test_rel(aij, bij, tol, "sobolov k=%zu LTL(%zu,%zu)", k, i, j); } } gsl_vector_free(alpha); } gsl_matrix_free(L); gsl_matrix_free(Li); gsl_matrix_free(LTL); gsl_matrix_free(LTL2); gsl_multifit_linear_free(w); } /* test linear regularized regression */ static void test_reg(void) { gsl_rng *r = gsl_rng_alloc(gsl_rng_default); test_reg_system(100, 15, r); test_reg_system(100, 50, r); test_reg_system(100, 99, r); test_reg_sobolev(20, 10, r); gsl_rng_free(r); }