Skip to content

Commit

Permalink
Removed old code.
Browse files Browse the repository at this point in the history
  • Loading branch information
@olof3
olof3 committed Sep 7, 2017
1 parent 5bbee3f commit 28bae47
Show file tree
Hide file tree
Showing 7 changed files with 42 additions and 278 deletions.
33 changes: 19 additions & 14 deletions examples/example2.jl
View file
Original file line number Diff line number Diff line change
@@ -1,30 +1,32 @@
using IterTools

using Plots

include(joinpath(Pkg.dir("DynamicApproximations"),"src","dev.jl"))

##

data = readdlm(joinpath(Pkg.dir("DynamicApproximations"),"examples","data","snp500.txt"))
data = data[1:800]
data = data[1:300]

N = length(data)



@time ℓ = dev.compute_discrete_transition_costs(data);



K = 4
#@time I, Y, f = dev.brute_force_optimization(ℓ, K-1);
###

cost_last = dev.QuadraticPolynomial(1.0, -2*data[end], data[end]^2)
Λ_0 = [dev.create_new_pwq(dev.minimize_wrt_x2_fast(ℓ[i, N], cost_last)) for i in 1:N-1];

Λ_0 = [dev.create_new_pwq(dev.minimize_wrt_x2(ℓ[i, N], cost_last)) for i in 1:N-1];
start_time = time()
@profiler Λ = dev.find_optimal_fit(Λ_0, ℓ, 7);
gc()
@time Λ = dev.find_optimal_fit(Λ_0, ℓ, 10, Inf);
println("Time: ", time()-start_time)

#println(dev.counter1, " ", dev.counter2)

for k=3:10
println(k, " : ", dev.recover_solution(Λ[k, 1], 1, N)[3])
end
###

@time I2, y2, f2 = dev.recover_solution(Λ[7, 1], 1, N)
Expand All @@ -36,7 +38,8 @@ Y2, _ = dev.find_optimal_y_values(ℓ, I2)

#find_optimal_y_values


plot(layout=(1,2))
##
l = zeros(size(Λ))
for i=1:size(l,1)
for j=1:size(l,2)
Expand All @@ -45,15 +48,17 @@ for i=1:size(l,1)
end
end
end
sum(l)
##

plot!(l', subplot=2)

sum(l)
##

I2, y2, f2 = dev.recover_solution(Λ[6, 1], 1, N)
println(I2)
Y2, _ = dev.find_optimal_y_values(ℓ, I2)

plot(data)
plot!(I2, Y2)


plot(l')
2 changes: 1 addition & 1 deletion examples/example3.jl
View file
Original file line number Diff line number Diff line change
Expand Up @@ -126,4 +126,4 @@ plot!([1.5, 2.5], [1,1]*cost_l0[3:end]')
1.89786 1.76981
1.75176 1.59654]

plot(costs)
plot(3:10,costs[3:end,:])
156 changes: 3 additions & 153 deletions src/dev.jl
View file
Original file line number Diff line number Diff line change
Expand Up @@ -34,142 +34,6 @@ Inserts a quadratic polynomial ρ into the linked list Λ which represents a pie
"""
function add_quadratic{T}(Λ::PiecewiseQuadratic{T}, ρ::QuadraticPolynomial{T})

if isnull(Λ.next) # I.e. the piecewise quadratic object is empty, perhaps better to add dummy polynomial
insert(Λ, ρ, -1e9)
return
end


λ_prev = Λ
λ_curr = Λ.next

Δ = QuadraticPolynomial(0., 0., 0.)
while λ_curr.left_endpoint != Inf

left_endpoint = λ_curr.left_endpoint

# TODO: This is probably not needed now..
if left_endpoint == -1e9
#println("minus-inf")
left_endpoint = -10000.0
end

right_endpoint = get_right_endpoint(λ_curr)

if right_endpoint == 1e9
#println("inf")
right_endpoint = left_endpoint + 20000.0
end

Δ .= ρ .- λ_curr.p

root1,root2 = roots(Δ)

#println(root1, " : ", root2, " .... (", (left_endpoint, right_endpoint))

if root1 > left_endpoint && root1 < right_endpoint
#println("case 1:")
λ_prev, λ_curr = impose_quadratic_to_root(λ_prev, λ_curr, root1, (left_endpoint+root1)/2, ρ, Δ)
#println(Λ)
end

if isnull(λ_curr)
break
end

if root2 > left_endpoint && root2 < right_endpoint
#println("case 2:")
λ_prev, λ_curr = impose_quadratic_to_root(λ_prev, λ_curr, root2, (root1 + root2)/2, ρ, Δ)
#println(Λ)
if Δ.a > 0; return; end # Saves perhaps 5% of computation time
end

if isnull(λ_curr)
break
end

#println("case 3:")
λ_prev, λ_curr = impose_quadratic_to_endpoint(λ_prev, λ_curr, (λ_curr.left_endpoint + right_endpoint)/2, ρ, Δ)
#println(Λ)

if isnull(λ_curr)
break
end
end

end



# TODO Possibly just insert all roots, and then do the comparisons?
# Leads to some unnecessary nodes being created but is perhaps simplier?
function impose_quadratic_to_root{T}(λ_prev::PiecewiseQuadratic{T}, λ_curr::PiecewiseQuadratic{T}, root::T, midpoint::T, ρ::QuadraticPolynomial{T}, Δ::QuadraticPolynomial{T})
if Δ((λ_curr.left_endpoint + root)/2) < 0 # ρ is smallest, i.e., should be inserted
if λ_prev.p === ρ
#println("1")
λ_curr.left_endpoint = root
return λ_prev, Nullable{PiecewiseQuadratic{Float64}}(λ_curr)
else
#println("2")

#λ_new = insert(λ_prev, ρ, λ_curr.left_endpoint)
#λ_curr.left_endpoint = root
#return λ_new, λ_curr

λ_new = insert(λ_curr, λ_curr.p, root)
λ_curr.p = ρ
return λ_curr, λ_new
end
else
#println("3")
λ_new = insert(λ_curr, λ_curr.p, root) # insert new interval, but defer deciding on wheather λ_curr.p or ρ is smallest
return λ_curr, λ_new
end
end

@inline function impose_quadratic_to_endpoint{T}(λ_prev::PiecewiseQuadratic{T}, λ_curr::PiecewiseQuadratic{T}, midpoint, ρ, Δ)
local v1, v2
if Δ(midpoint) < 0 # ρ is smallest, i.e., should be inserted
if λ_prev.p === ρ
#println("1")
λ_new = delete_next(λ_prev)
v1, v2 = λ_prev, λ_new
else
#println("2")
λ_curr.p = ρ
v1, v2 = λ_curr, λ_curr.next
end
else
# Do nothing
#println("3")
v1, v2 = λ_curr, λ_curr.next
end
return v1, v2 #Single point of exit
end

function minimize_wrt_x2(qf::QuadraticForm2)
P = qf.P
q = qf.q
r = qf.r

if P[2,2] > 0
QuadraticPolynomial(P[1,1] - P[1,2]^2 / P[2,2],
q[1] - P[1,2]*q[2] / P[2,2],
r - q[2]^2 / P[2,2]/ 4)
elseif P[2,2] == 0 || P[1,2] == 0 || q[2] == 0
QuadraticPolynomial(P[1,1], q[1], r)
else
# There are some special cases, but disregards these
QuadraticPolynomial(0.,0.,-Inf)
end
end



##

function add_quadratic2{T}(Λ::PiecewiseQuadratic{T}, ρ::QuadraticPolynomial{T})


DEBUG && println("Inserting: ", ρ)
if Λ.next.left_endpoint == Inf # I.e. the piecewise quadratic object is empty, perhaps better to add dummy polynomial
Expand Down Expand Up @@ -351,19 +215,10 @@ end
return second_old_pwq_segment, second_old_pwq_segment.next
end

###





# Takes a quadratic form in [x1; x2] and a polynomial in x2
# and returns the minimum of the sum wrt to x2,
# i.e. a polynomial of x1
@inline function minimize_wrt_x2_fast{T}(qf::QuadraticForm2{T},p::QuadraticPolynomial{T},ρ=QuadraticPolynomial{T}())

# Create quadratic form representing the sum of qf and p

@inline function minimize_wrt_x2{T}(qf::QuadraticForm2{T},p::QuadraticPolynomial{T},ρ=QuadraticPolynomial{T}())
P = qf.P
q = qf.q
r = qf.r
Expand Down Expand Up @@ -421,13 +276,13 @@ function find_optimal_fit{T}(Λ_0::Array{PiecewiseQuadratic{T},1}, ℓ::Array{Qu

#counter1 += 1

dev.minimize_wrt_x2_fast(ℓ[i,ip], p, ρ)
minimize_wrt_x2(ℓ[i,ip], p, ρ)

if unsafe_minimum(ρ) > upper_bound
continue
end

add_quadratic2(Λ_new, ρ)
add_quadratic(Λ_new, ρ)

if ρ.has_been_used == true
ρ.time_index = ip
Expand All @@ -445,10 +300,6 @@ end







function recover_solution{T}(Λ::PiecewiseQuadratic{T}, first_index=1, last_index=-1)

p, y, f = find_minimum(Λ)
Expand Down Expand Up @@ -501,7 +352,6 @@ function compute_transition_costs(g, t::AbstractArray)
I_tg[i] = I_tg[i-1] + quadgk(t -> t*g(t), t[i-1], t[i], reltol=tol)[1]
end


ℓ = Array{QuadraticForm2{T}}(N-1,N)

for i=1:N-1
Expand Down
58 changes: 0 additions & 58 deletions src/types/LList.jl
View file

This file was deleted.

11 changes: 10 additions & 1 deletion src/types/QuadraticForm2.jl
View file
Original file line number Diff line number Diff line change
@@ -1,10 +1,19 @@
# Quadratic form of 2 variables, used for representing the transition costs ℓ
type QuadraticForm2{T}
struct QuadraticForm2{T}
P::SMatrix{2,2,T,4}
q::SVector{2,T}
r::T
end

struct QuadraticFormTest{T}
P11::T
P12::T
P22::T
q1::T
q2::T
r::T
end

function (qf::QuadraticForm2)(y, yp)
return [y,yp]'*qf.P*[y,yp] + qf.q'*[y, yp] + qf.r
end
Expand Down
Loading

0 comments on commit 28bae47

Please sign in to comment.