Understanding the complex-step in a physical sense - openmdao

I think I understand what complex step is doing numerically/algorithmically.
But the questions still linger. First two questions might have the same answer.
1- I replaced the partial derivative calculations of 'Betz_limit' example with complex step and removed the analytical gradients. Looking at the recorded design_var evolution none of the values are complex? Aren't they supposed to be shown as somehow a+bi?
Or it always steps in the real space. ?
2- Tying to picture 'cs', used in a physical concept. For example a design variable of beam length (m), objective of mass (kg) and a constraint of loads (Nm). I could be using an explicit component to calculate these (pure python) or an external code component (pure fortran). Numerically they all can handle complex numbers but obviously the mass is a real value. So when we say capable of handling the complex numbers is it just an issue of handling a+bi (where actual mass is always 'a' and b is always equal to 0?)
3- How about the step size. I understand there wont be any subtractive cancellation errors but what if i have a design variable normalized/scaled to 1 and a range of 0.8 to 1.2. Decreasing the step to 1e-10 does not make sense. I am a bit confused there.

The ability to use complex arithmetic to compute derivative approximations is based on the mathematics of complex arithmetic.
You should read about the theory to get a better understanding of why it works and how the step size issue is resolved with complex-step vs finite-difference.
There is no physical interpretation that you can make for the complex-step method. You are simply taking advantage of the mathematical properties of complex arithmetic to approximate a derivative in a more accurate manner than FD can. So the key is that your code is set up to do complex-arithmetic correctly.
Sometimes, engineering analyses do actually leverage complex numbers. One aerospace example of this is the Jukowski Transformation. In electrical engineering, complex numbers come up all the time for load-flow analysis of ac circuits. If you have such an analysis, then you can not easily use complex-step to approximate derivatives since the analysis itself is already complex. In these cases, it is technically possible to use a more general class of numbers called hyper dual numbers, but this is not supported in OpenMDAO. So if you had an analysis like this you could not use complex-step.
Also, occationally there are implementations of methods that are not complex-step safe which will prevent you from using it unless you define a new complex-step safe version. The simplest example of this is the np.absolute() method in the numpy library for python. The implementation of this, when passed a complex number, will return the asolute magnitude of the number:
abs(a+bj) = sqrt(1^2 + 1^2) = 1.4142
While not mathematically incorrect, this implementation would mess up the complex-step derivative approximation.
Instead you need an alternate version that gives:
abs(a+bj) = abs(a) + abs(b)*j
So in summary, you need to watch out for these kinds of functions that are not implemented correctly for use with complex-step. If you have those functions, you need to use alternate complex-step safe versions of them. Also, if your analysis itself uses complex numbers then you can not use complex-step derivative approximations either.
With regard to your step size question, again I refer you to the this paper for greater detail. The basic idea is that without subtractive cancellation you are free to use a very small step size with complex-step without the fear of lost accuracy due to numerical issues. So typically you will use 1e-20 smaller as the step. Since complex-step accuracy scalea with the order of step^2, using such a small step gives effectively exact results. You need not worry about scaling issues in most cases, if you just take a small enough step.

Related

Can I use automatic differentiation for non-differentiable functions?

I am testing performance of different solvers on minimizing an objective function derived from simulated method of moments. Given that my objective function is not differentiable, I wonder if automatic differentiation would work in this case? I tried my best to read some introduction on this method, but I couldn't figure it out.
I am actually trying to use Ipopt+JuMP in Julia for this test. Previously, I have tested it using BlackBoxoptim in Julia. I will also appreciate if you could provide some insights on optimization of non-differentiable functions in Julia.
It seems that I am not clear on "non-differentiable". Let me give you an example. Consider the following objective function. X is dataset, B is unobserved random errors which will be integrated out, \theta is parameters. However, A is discrete and therefore not differentiable.
I'm not exactly an expert on optimization, but: it depends on what you mean by "nondifferentiable".
For many mathematical functions that are used, "nondifferentiable" will just mean "not everywhere differentiable" -- but that's still "differentiable almost everywhere, except on countably many points" (e.g., abs, relu). These functions are not a problem at all -- you can just chose any subgradient and apply any normal gradient method. That's what basically all AD systems for machine learning do. The case for non-singular subgradients will happen with low probability anyway. An alternative for certain forms of convex objectives are proximal gradient methods, which "smooth" the objective in an efficient way that preserves optima (cf. ProximalOperators.jl).
Then there's those functions that seem like they can't be differentiated at all, since they seem "combinatoric" or discrete, but are in fact piecewise differentiable (if seen from the correct point of view). This includes sorting and ranking. But you have to find them, and describing and implementing the derivative is rather complicated. Whether such functions are supported by an AD system depends on how sophisticated its "standard library" is. Some variants of this, like "permute", can just fall out AD over control structures, while move complex ones require the primitive adjoints to be manually defined.
For certain kinds of problems, though, we just work in an intrinsically discrete space -- like, integer parameters of some probability distributions. In these case, differentiation makes no sense, and hence AD libraries define their primitives not to work on these parameters. Possible alternatives are to use (mixed) integer programming, approximations, search, and model selection. This case also occurs for problems where the optimized space itself depends on the parameter in question, like the second argument of fill. We also have things like the ℓ0 "norm" or the rank of a matrix, for which there exist well-known continuous relaxations, but that's outside of the scope of AD).
(In the specific case of MCMC for discrete or dimensional parameters, there's other ways to deal with that, like combining HMC with other MC methods in a Gibbs sampler, or using a nonparametric model instead. Other tricks are possible for VI.)
That being said, you will rarely encounter complicated nowhere differentiable continuous functions in optimization. They are already complicated to describe, are just unlikely to arise in the kind of math we use for modelling.

OpenMDAO efficiency with using multiple comp

I recently read this sentence in a paper:
One important feature of OpenMDAO is the ability to subdivide a
problem into components that have a small number of inputs and outputs
and contain relatively simple analyzes.
Moreover, looking at the examples in the manual there are few number of inputs and outputs for each component.
Would that mean it is more efficient to use an execcomp that takes in two inputs from from an explicit component and outputs a constraint instead of doing everything within the explicitcomp. I try to come up with an example here:
x1,x2 --> ExplicitComp -->y1
y1 --> Execcomp --->constraint
OR
x1,x2 --->ExplicitComp -->y1,constraint
What the comment in that paper is referring to is not computational efficiency, but rather the benefit to the user in terms of making models more modular and maintainable. Additionally, when you have smaller components with fewer inputs, it is much easier to compute analytic derivatives for them.
The idea is that by breaking your calculation up into smaller steps, the partial derivatives are them simpler for you to compute by hand. OpenMDAO will then compute the total derivatives across the model for you.
So in a sense, you're leaning on OpenMDAO's ability to compute derivatives across large models to lessen your work load.
From a computational cost perspective, there is some cost associated with having more components vs less. Taken to the extreme, if you had one component for each line of code in a huge calculation then the framework overhead could become a problem. There are some features in OpenMDAO that can help mitigate some of this cost, specifically the in-memory assembly of Jacobians, for serial models.
With regard to the ExecComp specifically, that component is meant for simple and inexpensive calculations. It computes its derivatives using complex-step, which can be costly if large array inputs are involved. Its there to make simple steps like adding variables easier. But for expensive calculations, you shouldn't use it.
In your specific case, I would suggest that you consider if it is hard to propogate the derivatives from x1,x1 through to the constraint yourself. If the chain rule is not hard to handle, then probably I would just lump it all into one calculation. If for some reason, the derivatives are nasty when you combine all the calculations, then just split them up.

Can any existing Machine Learning structures perfectly emulate recursive functions like the Fibonacci sequence?

To be clear I don't mean, provided the last two numbers in the sequence provide the next one:
(2, 3, -> 5)
But rather given any index provide the Fibonacci number:
(0 -> 1) or (7 -> 21) or (11 -> 144)
Adding two numbers is a very simple task for any machine learning structure, and by extension counting by ones, twos or any fixed number is a simple addition rule. Recursive calculations however...
To my understanding, most learning networks rely on forwards only evaluation, whereas most programming languages have loops, jumps, or circular flow patterns (all of which are usually ASM jumps of some kind), thus allowing recursion.
Sure some networks aren't forwards only; But can processing weights using the hyperbolic tangent or sigmoid function enter any computationally complete state?
i.e. conditional statements, conditional jumps, forced jumps, simple loops, complex loops with multiple conditions, providing sort order, actual reordering of elements, assignments, allocating extra registers, etc?
It would seem that even a non-forwards only network would only find a polynomial of best fit, reducing errors across the expanse of the training set and no further.
Am I missing something obvious, or did most of Machine Learning just look at recursion and pretend like those problems don't exist?
Update
Technically any programming language can be considered the DNA of a genetic algorithm, where the compiler (and possibly console out measurement) would be the fitness function.
The issue is that programming (so far) cannot be expressed in a hill climbing way - literally, the fitness is 0, until the fitness is 1. Things don't half work in programming, and if they do, there is no way of measuring how 'working' a program is for unknown situations. Even an off by one error could appear to be a totally different and chaotic system with no output. This is exactly the reason learning to code in the first place is so difficult, the learning curve is almost vertical.
Some might argue that you just need to provide stronger foundation rules for the system to exploit - but that just leads to attempting to generalize all programming problems, which circles right back to designing a programming language and loses all notion of some learning machine at all. Following this road brings you to a close variant of LISP with mutate-able code and virtually meaningless fitness functions that brute force the 'nice' and 'simple' looking code-space in attempt to follow human coding best practices.
Others might argue that we simply aren't using enough population or momentum to gain footing on the error surface, or make a meaningful step towards a solution. But as your population approaches the number of DNA permutations, you are really just brute forcing (and very inefficiently at that). Brute forcing code permutations is nothing new, and definitely not machine learning - it's actually quite common in regex golf, I think there's even an xkcd about it...
The real problem isn't finding a solution that works for some specific recursive function, but finding a solution space that can encompass the recursive domain in some useful way.
So other than Neural Networks trained using Backpropagation hypothetically finding the closed form of a recursive function (if a closed form even exists, and they don't in most real cases where recursion is useful), or a non-forwards only network acting like a pseudo-programming language with awful fitness prospects in the best case scenario, plus the virtually impossible task of tuning exit constraints to prevent infinite recursion... That's really it so far for machine learning and recursion?
According to Kolmogorov et al's On the representation of continuous functions of many variables by superposition of continuous functions of one variable and addition, a three layer neural network can model arbitrary function with the linear and logistic functions, including f(n) = ((1+sqrt(5))^n - (1-sqrt(5))^n) / (2^n * sqrt(5)), which is the close form solution of Fibonacci sequence.
If you would like to treat the problem as a recursive sequence without a closed-form solution, I would view it as a special sliding window approach (I called it special because your window size seems fixed as 2). There are more general studies on the proper window size for your interest. See these two posts:
Time Series Prediction via Neural Networks
Proper way of using recurrent neural network for time series analysis
Ok, where to start...
Firstly, you talk about 'machine learning' and 'perfectly emulate'. This is not generally the purpose of machine learning algorithms. They make informed guesses given some evidence and some general notions about structures that exist in the world. That typically means an approximate answer is better than an 'exact' one that is wrong. So, no, most existing machine learning approaches aren't the right tools to answer your question.
Second, you talk of 'recursive structures' as some sort of magic bullet. Yet they are merely convenient ways to represent functions, somewhat analogous to higher order differential equations. Because of the feedbacks they tend to introduce, the functions tend to be non-linear. Some machine learning approaches will have trouble with this, but many (neural networks for example) should be able to approximate you function quite well, given sufficient evidence.
As an aside, having or not having closed form solutions is somewhat irrelevant here. What matters is how well the function at hand fits with the assumptions embodied in the machine learning algorithm. That relationship may be complex (eg: try approximating fibbonacci with a support vector machine), but that's the essence.
Now, if you want a machine learning algorithm tailored to the search for exact representations of recursive structures, you could set up some assumptions and have your algorithm produce the most likely 'exact' recursive structure that fits your data. There are probably real world problems in which such a thing would be useful. Indeed the field of optimisation approaches similar problems.
The genetic algorithms mentioned in other answers could be an example of this, especially if you provided a 'genome' that matches the sort of recursive function you think you may be dealing with. Closed form primitives could form part of that space too, if you believe they are more likely to be 'exact' than more complex genetically generated algorithms.
Regarding your assertion that programming cannot be expressed in a hill climbing way, that doesn't prevent a learning algorithm from scoring possible solutions by how many much of your evidence it's able to reproduce and how complex they are. In many cases (most? though counting cases here isn't really possible) such an approach will find a correct answer. Sure, you can come up with pathological cases, but with those, there's little hope anyway.
Summing up, machine learning algorithms are not usually designed to tackle finding 'exact' solutions, so aren't the right tools as they stand. But, by embedding some prior assumptions that exact solutions are best, and perhaps the sort of exact solution you're after, you'll probably do pretty well with genetic algorithms, and likely also with algorithms like support vector machines.
I think you also sum things up nicely with this:
The real problem isn't finding a solution that works for some specific recursive function, but finding a solution space that can encompass the recursive domain in some useful way.
The other answers go a long way to telling you where the state of the art is. If you want more, a bright new research path lies ahead!
See this article:
Turing Machines are Recurrent Neural Networks
http://lipas.uwasa.fi/stes/step96/step96/hyotyniemi1/
The paper describes how a recurrent neural network can simulate a register machine, which is known to be a universal computational model equivalent to a Turing machine. The result is "academic" in the sense that the neurons have to be capable of computing with unbounded numbers. This works mathematically, but would have problems pragmatically.
Because the Fibonacci function is just one of many computable functions (in fact, it is primitive recursive), it could be computed by such a network.
Genetic algorithms should do be able to do the trick. The important this is (as always with GAs) the representation.
If you define the search space to be syntax trees representing arithmetic formulas and provide enough training data (as you would with any machine learning algorithm), it probably will converge to the closed-form solution for the Fibonacci numbers, which is:
Fib(n) = ( (1+srqt(5))^n - (1-sqrt(5))^n ) / ( 2^n * sqrt(5) )
[Source]
If you were asking for a machine learning algorithm to come up with the recursive formula to the Fibonacci numbers, then this should also be possible using the same method, but with individuals being syntax trees of a small program representing a function.
Of course, you also have to define good cross-over and mutation operators as well as a good evaluation function. And I have no idea how well it would converge, but it should at some point.
Edit: I'd also like to point out that in certain cases there is always a closed-form solution to a recursive function:
Like every sequence defined by a linear recurrence with constant coefficients, the Fibonacci numbers have a closed-form solution.
The Fibonacci sequence, where a specific index of the sequence must be returned, is often used as a benchmark problem in Genetic Programming research. In most cases recursive structures are generated, although my own research focused on imperative programs so used an iterative approach.
There's a brief review of other GP research that uses the Fibonacci problem in Section 3.4.2 of my PhD thesis, available here: http://kar.kent.ac.uk/34799/. The rest of the thesis also describes my own approach, which is covered a bit more succinctly in this paper: http://www.cs.kent.ac.uk/pubs/2012/3202/
Other notable research which used the Fibonacci problem is Simon Harding's work with Self-Modifying Cartesian GP (http://www.cartesiangp.co.uk/papers/eurogp2009-harding.pdf).

How can I do blind fitting on a list of x, y value pairs if I don't know the form of f(x) = y?

If I have a function f(x) = y that I don't know the form of, and if I have a long list of x and y value pairs (potentially thousands of them), is there a program/package/library that will generate potential forms of f(x)?
Obviously there's a lot of ambiguity to the possible forms of any f(x), so something that produces many non-trivial unique answers (in reduced terms) would be ideal, but something that could produce at least one answer would also be good.
If x and y are derived from observational data (i.e. experimental results), are there programs that can create approximate forms of f(x)? On the other hand, if you know beforehand that there is a completely deterministic relationship between x and y (as in the input and output of a pseudo random number generator) are there programs than can create exact forms of f(x)?
Soooo, I found the answer to my own question. Cornell has released a piece of software for doing exactly this kind of blind fitting called Eureqa. It has to be one of the most polished pieces of software that I've ever seen come out of an academic lab. It's seriously pretty nifty. Check it out:
It's even got turnkey integration with Amazon's ec2 clusters, so you can offload some of the heavy computational lifting from your local computer onto the cloud at the push of a button for a very reasonable fee.
I think that I'm going to have to learn more about GUI programming so that I can steal its interface.
(This is more of a numerical methods question.) If there is some kind of observable pattern (you can kinda see the function), then yes, there are several ways you can approximate the original function, but they'll be just that, approximations.
What you want to do is called interpolation. Two very simple (and not very good) methods are Newton's method and Laplace's method of interpolation. They both work on the same principle but they are implemented differently (Laplace's is iterative, Newton's is recursive, for one).
If there's not much going on between any two of your data points (ie, the actual function doesn't have any "bumps" whose "peaks" are not represented by one of your data points), then the spline method of interpolation is one of the best choices you can make. It's a bit harder to implement, but it produces nice results.
Edit: Sometimes, depending on your specific problem, these methods above might be overkill. Sometimes, you'll find that linear interpolation (where you just connect points with straight lines) is a perfectly good solution to your problem.
It depends.
If you're using data acquired from the real-world, then statistical regression techniques can provide you with some tools to evaluate the best fit; if you have several hypothesis for the form of the function, you can use statistical regression to discover the "best" fit, though you may need to be careful about over-fitting a curve -- sometimes the best fit (highest correlation) for a specific dataset completely fails to work for future observations.
If, on the other hand, the data was generated something synthetically (say, you know they were generated by a polynomial), then you can use polynomial curve fitting methods that will give you the exact answer you need.
Yes, there are such things.
If you plot the values and see that there's some functional relationship that makes sense, you can use least squares fitting to calculate the parameter values that minimize the error.
If you don't know what the function should look like, you can use simple spline or interpolation schemes.
You can also use software to guess what the function should be. Maybe something like Maxima can help.
Wolfram Alpha can help you guess:
http://blog.wolframalpha.com/2011/05/17/plotting-functions-and-graphs-in-wolframalpha/
Polynomial Interpolation is the way to go if you have a totally random set
http://en.wikipedia.org/wiki/Polynomial_interpolation
If your set is nearly linear, then regression will give you a good approximation.
Creating exact form from the X's and Y's is mostly impossible.
Notice that what you are trying to achieve is at the heart of many Machine Learning algorithm and therefor you might find what you are looking for on some specialized libraries.
A list of x/y values N items long can always be generated by an degree-N polynomial (assuming no x values are the same). See this article for more details:
http://en.wikipedia.org/wiki/Polynomial_interpolation
Some lists may also match other function types, such as exponential, sinusoidal, and many others. It is impossible to find the 'simplest' matching function, but the best you can do is go through a list of common ones like exponential, sinusoidal, etc. and if none of them match, interpolate the polynomial.
I'm not aware of any software that can do this for you, though.

Numerical integration, Runge-Kutta, RK4 in game design

Nearly every game tends to use some of a game loop. Gafferongames has a great article on how to make a well designed game loop: http://gafferongames.com/game-physics/fix-your-timestep/
In his code, he uses integrate( state, t, deltaTime );, where I believe state contains position, velocity, and acceleration of the object. He uses RK4 to integrate it from t to t+deltaTime.
My question is, why use a numerical integration technique like RK4, when you can use kinematics equations (here) to find the exact value?
These equations work when acceleration is constant. It seems rare that you would have a changing acceleration within a timestep. It seems like RK4 is a lower performance, lower accuracy, more complex solution.
Edit: I think you could add a "jerk" value to objects and still find exact expressions for acceleration, velocity, and displacement, if you really wanted to.
Edit 2: Well, I did not read his "Integration Basics" article too carefully. I think he's modelling a damper and spring, which do cause non-constant acceleration within a timestep.
As soon as you add things that many game designers want, like (velocity dependent) drag, position dependent forces, etc. the equations are no longer solvable exactly.
So, if you're happy to limit your forces to those the kinematic equation can handle, then go with it. If you want something flexible, then numerical integration is the only way to go.
Note: If you treat the forces as constant over a time interval when they are not really constant - then you are actually using a form of numerical integration. And it is an inaccurate form of integration too. So why not use a tried and proven numerical method instead? RK4 is one of many such methods.
Approximating acceleration (derivatives, really) as constant within a time step is how numerical integration methods work. When the derivatives are not constant, you need to consider what sort of error you introduce by treating them as constant.
Imagine breaking a time range T up into N equal steps of width h=T/N. Now integrate the dynamical equations stepwise. With RK4, the local error per-step is O(h^5) giving a global error of O(h^4).
Using the kinematical equations as you propose, we can assess the error by considering the Taylor expansion of the position, keeping terms to second order. The position will have error of O(h^3) introduced at each step, corresponding to where you truncate the expansion. This gives local error O(h^3) and global error O(h^2).
Based on the asymptotic error, the error from RK4 goes to zero much more rapidly than does the kinematical equations. It's more accurate. RK4 obtains a very nice accuracy obtained for the number of function evaluations that need to be done.

Resources