# HG changeset patch # User nikcleju # Date 1320613091 0 # Node ID ef63b89b375a6895ad96612c5bbd96aae0333bf0 # Parent a6ca929f49f15dda33c3868e2c6bd2d714fd431e Started working on GAP, but not complete diff -r a6ca929f49f1 -r ef63b89b375a matlab/GAP/GAP.m --- /dev/null Thu Jan 01 00:00:00 1970 +0000 +++ b/matlab/GAP/GAP.m Sun Nov 06 20:58:11 2011 +0000 @@ -0,0 +1,144 @@ +function [xhat, Lambdahat] = GAP(y, M, MH, Omega, OmegaH, params, xinit) + +%% +% [xhat, Lambdahat] = GAP(y, M, MH, Omega, OmegaH, params, xinit) +% +% Greedy Analysis Pursuit Algorithm +% This aims to find an approximate (sometimes exact) solution of +% xhat = argmin || Omega * x ||_0 subject to || y - M * x ||_2 <= epsilon. +% +% Outputs: +% xhat : estimate of the target cosparse vector x0. +% Lambdahat : estimate of the cosupport of x0. +% +% Inputs: +% y : observation/measurement vector of a target cosparse solution x0, +% given by relation y = M * x0 + noise. +% M : measurement matrix. This should be given either as a matrix or as a function handle +% which implements linear transformation. +% MH : conjugate transpose of M. +% Omega : analysis operator. Like M, this should be given either as a matrix or as a function +% handle which implements linear transformation. +% OmegaH : conjugate transpose of OmegaH. +% params : parameters that govern the behavior of the algorithm (mostly). +% params.num_iteration : GAP performs this number of iterations. +% params.greedy_level : determines how many rows of Omega GAP eliminates at each iteration. +% if the value is < 1, then the rows to be eliminated are determined by +% j : |omega_j * xhat| > greedy_level * max_i |omega_i * xhat|. +% if the value is >= 1, then greedy_level is the number of rows to be +% eliminated at each iteration. +% params.stopping_coefficient_size : when the maximum analysis coefficient is smaller than +% this, GAP terminates. +% params.l2solver : legitimate values are 'pseudoinverse' or 'cg'. determines which method +% is used to compute +% argmin || Omega_Lambdahat * x ||_2 subject to || y - M * x ||_2 <= epsilon. +% params.l2_accuracy : when l2solver is 'cg', this determines how accurately the above +% problem is solved. +% params.noise_level : this corresponds to epsilon above. +% xinit : initial estimate of x0 that GAP will start with. can be zeros(d, 1). +% +% Examples: +% +% Not particularly interesting: +% >> d = 100; p = 110; m = 60; +% >> M = randn(m, d); +% >> Omega = randn(p, d); +% >> y = M * x0 + noise; +% >> params.num_iteration = 40; +% >> params.greedy_level = 0.9; +% >> params.stopping_coefficient_size = 1e-4; +% >> params.l2solver = 'pseudoinverse'; +% >> [xhat, Lambdahat] = GAP(y, M, M', Omega, Omega', params, zeros(d, 1)); +% +% Assuming that FourierSampling.m, FourierSamplingH.m, FDAnalysis.m, etc. exist: +% >> n = 128; +% >> M = @(t) FourierSampling(t, n); +% >> MH = @(u) FourierSamplingH(u, n); +% >> Omega = @(t) FDAnalysis(t, n); +% >> OmegaH = @(u) FDSynthesis(t, n); +% >> params.num_iteration = 1000; +% >> params.greedy_level = 50; +% >> params.stopping_coefficient_size = 1e-5; +% >> params.l2solver = 'cg'; % in fact, 'pseudoinverse' does not even make sense. +% >> [xhat, Lambdahat] = GAP(y, M, MH, Omega, OmegaH, params, zeros(d, 1)); +% +% Above: FourierSampling and FourierSamplingH are conjugate transpose of each other. +% FDAnalysis and FDSynthesis are conjugate transpose of each other. +% These routines are problem specific and need to be implemented by the user. + +d = length(xinit(:)); + +if strcmp(class(Omega), 'function_handle') + p = length(Omega(zeros(d,1))); +else %% Omega is a matrix + p = size(Omega, 1); +end + +iter = 0; +lagmult = 1e-4; +Lambdahat = 1:p; +while iter < params.num_iteration + iter = iter + 1; + [xhat, analysis_repr, lagmult] = ArgminOperL2Constrained(y, M, MH, Omega, OmegaH, Lambdahat, xinit, lagmult, params); + [to_be_removed, maxcoef] = FindRowsToRemove(analysis_repr, params.greedy_level); + %disp(['** maxcoef=', num2str(maxcoef), ' target=', num2str(params.stopping_coefficient_size), ' rows_remaining=', num2str(length(Lambdahat)), ' lagmult=', num2str(lagmult)]); + if check_stopping_criteria(xhat, xinit, maxcoef, lagmult, Lambdahat, params) + break; + end + xinit = xhat; + Lambdahat(to_be_removed) = []; + + %n = sqrt(d); + %figure(9); + %RR = zeros(2*n, n-1); + %RR(Lambdahat) = 1; + %XD = ones(n, n); + %XD(:, 2:end) = XD(:, 2:end) .* RR(1:n, :); + %XD(:, 1:(end-1)) = XD(:, 1:(end-1)) .* RR(1:n, :); + %XD(2:end, :) = XD(2:end, :) .* RR((n+1):(2*n), :)'; + %XD(1:(end-1), :) = XD(1:(end-1), :) .* RR((n+1):(2*n), :)'; + %XD = FD2DiagnosisPlot(n, Lambdahat); + %imshow(XD); + %figure(10); + %imshow(reshape(real(xhat), n, n)); +end +return; + + +function [to_be_removed, maxcoef] = FindRowsToRemove(analysis_repr, greedy_level) + + abscoef = abs(analysis_repr(:)); + n = length(abscoef); + maxcoef = max(abscoef); + if greedy_level >= 1 + qq = quantile(abscoef, 1-greedy_level/n); + else + qq = maxcoef*greedy_level; + end + + to_be_removed = find(abscoef >= qq); + return; + +function r = check_stopping_criteria(xhat, xinit, maxcoef, lagmult, Lambdahat, params) + + r = 0; + + if isfield(params, 'stopping_coefficient_size') && maxcoef < params.stopping_coefficient_size + r = 1; + return; + end + + if isfield(params, 'stopping_lagrange_multiplier_size') && lagmult > params.stopping_lagrange_multiplier_size + r = 1; + return; + end + + if isfield(params, 'stopping_relative_solution_change') && norm(xhat-xinit)/norm(xhat) < params.stopping_relative_solution_change + r = 1; + return; + end + + if isfield(params, 'stopping_cosparsity') && length(Lambdahat) < params.stopping_cosparsity + r = 1; + return; + end diff -r a6ca929f49f1 -r ef63b89b375a pyCSalgos/GAP/gap.py --- /dev/null Thu Jan 01 00:00:00 1970 +0000 +++ b/pyCSalgos/GAP/gap.py Sun Nov 06 20:58:11 2011 +0000 @@ -0,0 +1,312 @@ +# -*- coding: utf-8 -*- +""" +Created on Thu Oct 13 14:05:22 2011 + +@author: ncleju +""" + +#from numpy import * +#from scipy import * +import numpy as np +import scipy as sp +from scipy import linalg +import math + +from numpy.random import RandomState +rng = RandomState() + + + +def Generate_Analysis_Operator(d, p): + # generate random tight frame with equal column norms + if p == d: + T = rng.randn(d,d); + [Omega, discard] = np.qr(T); + else: + Omega = rng.randn(p, d); + T = np.zeros((p, d)); + tol = 1e-8; + max_j = 200; + j = 1; + while (sum(sum(abs(T-Omega))) > np.dot(tol,np.dot(p,d)) and j < max_j): + j = j + 1; + T = Omega; + [U, S, Vh] = sp.linalg.svd(Omega); + V = Vh.T + #Omega = U * [eye(d); zeros(p-d,d)] * V'; + Omega2 = np.dot(np.dot(U, np.concatenate((np.eye(d), np.zeros((p-d,d))))), V.transpose()) + #Omega = diag(1./sqrt(diag(Omega*Omega')))*Omega; + Omega = np.dot(np.diag(1 / np.sqrt(np.diag(np.dot(Omega2,Omega2.transpose())))), Omega2) + #end + ##disp(j); +#end + return Omega + + +def Generate_Data_Known_Omega(Omega, d,p,m,k,noiselevel, numvectors, normstr): + #function [x0,y,M,LambdaMat] = Generate_Data_Known_Omega(Omega, d,p,m,k,noiselevel, numvectors, normstr) + + # Building an analysis problem, which includes the ingredients: + # - Omega - the analysis operator of size p*d + # - M is anunderdetermined measurement matrix of size m*d (m params['noise_level']: + was_infeasible = 1; + if was_feasible == 1: + xhat = xprev; + break; + lagmult = lagmult/lagmultfactor; + if lagmult < lagmultmin or lagmult > lagmultmax: + break; + xprev = xhat; + arepr = np.dot(Omega[Lambdahat, :], xhat); + return xhat,arepr,lagmult; + + + ######################################################################## + ## Computation using conjugate gradient method. + ######################################################################## + #if strcmp(class(MH),'function_handle') + if hasattr(MH, '__call__'): + b = MH(y); + else: + b = np.dot(MH, y); + + norm_b = np.linalg.norm(b, 2); + xhat = xinit; + xprev = xinit; + residual = TheHermitianMatrix(xhat, M, MH, Omega, OmegaH, Lambdahat, lagmult) - b; + direction = -residual; + iter = 0; + + while iter < params.max_inner_iteration: + iter = iter + 1; + alpha = np.linalg.norm(residual,2)**2 / np.dot(direction.T, TheHermitianMatrix(direction, M, MH, Omega, OmegaH, Lambdahat, lagmult)); + xhat = xhat + alpha*direction; + prev_residual = residual; + residual = TheHermitianMatrix(xhat, M, MH, Omega, OmegaH, Lambdahat, lagmult) - b; + beta = np.linalg.norm(residual,2)**2 / np.linalg.norm(prev_residual,2)**2; + direction = -residual + beta*direction; + + if np.linalg.norm(residual,2)/norm_b < params['l2_accuracy']*(lagmult**(accuracy_adjustment_exponent)) or iter == params['max_inner_iteration']: + #if strcmp(class(M), 'function_handle') + if hasattr(M, '__call__'): + temp = np.linalg.norm(y-M(xhat), 2); + else: + temp = np.linalg.norm(y-np.dot(M,xhat), 2); + + #if strcmp(class(Omega), 'function_handle') + if hasattr(Omega, '__call__'): + u = Omega(xhat); + u = math.sqrt(lagmult)*np.linalg.norm(u(Lambdahat), 2); + else: + u = math.sqrt(lagmult)*np.linalg.norm(Omega[Lambdahat,:]*xhat, 2); + + + #disp(['residual=', num2str(norm(residual,2)), ' norm_b=', num2str(norm_b), ' omegapart=', num2str(u), ' fidelity error=', num2str(temp), ' lagmult=', num2str(lagmult), ' iter=', num2str(iter)]); + + if temp <= params['noise_level']: + was_feasible = 1; + if was_infeasible == 1: + break; + else: + lagmult = lagmultfactor*lagmult; + residual = TheHermitianMatrix(xhat, M, MH, Omega, OmegaH, Lambdahat, lagmult) - b; + direction = -residual; + iter = 0; + elif temp > params['noise_level']: + lagmult = lagmult/lagmultfactor; + if was_feasible == 1: + xhat = xprev; + break; + was_infeasible = 1; + residual = TheHermitianMatrix(xhat, M, MH, Omega, OmegaH, Lambdahat, lagmult) - b; + direction = -residual; + iter = 0; + if lagmult > lagmultmax or lagmult < lagmultmin: + break; + xprev = xhat; + #elseif norm(xprev-xhat)/norm(xhat) < 1e-2 + # disp(['rel_change=', num2str(norm(xprev-xhat)/norm(xhat))]); + # if strcmp(class(M), 'function_handle') + # temp = norm(y-M(xhat), 2); + # else + # temp = norm(y-M*xhat, 2); + # end + # + # if temp > 1.2*params.noise_level + # was_infeasible = 1; + # lagmult = lagmult/lagmultfactor; + # xprev = xhat; + # end + + #disp(['fidelity_error=', num2str(temp)]); + print 'fidelity_error=',temp + #if iter == params['max_inner_iteration']: + #disp('max_inner_iteration reached. l2_accuracy not achieved.'); + + ## + # Compute analysis representation for xhat + ## + #if strcmp(class(Omega),'function_handle') + if hasattr(Omega, '__call__'): + temp = Omega(xhat); + arepr = temp(Lambdahat); + else: ## here Omega is assumed to be a matrix + arepr = np.dot(Omega[Lambdahat, :], xhat); + + return xhat,arepr,lagmult + + +## +# This function computes (M'*M + lm*Omega(L,:)'*Omega(L,:)) * x. +## +#function w = TheHermitianMatrix(x, M, MH, Omega, OmegaH, L, lm) +def TheHermitianMatrix(x, M, MH, Omega, OmegaH, L, lm): + #if strcmp(class(M), 'function_handle') + if hasattr(M, '__call__'): + w = MH(M(x)); + else: ## M and MH are matrices + w = np.dot(np.dot(MH, M), x); + + if hasattr(Omega, '__call__'): + v = Omega(x); + vt = np.zeros(v.size); + vt[L] = v[L].copy(); + w = w + lm*OmegaH(vt); + else: ## Omega is assumed to be a matrix and OmegaH is its conjugate transpose + w = w + lm*np.dot(np.dot(OmegaH[:, L],Omega[L, :]),x); + + return w diff -r a6ca929f49f1 -r ef63b89b375a tests/GAP_test.py --- /dev/null Thu Jan 01 00:00:00 1970 +0000 +++ b/tests/GAP_test.py Sun Nov 06 20:58:11 2011 +0000 @@ -0,0 +1,69 @@ +# -*- coding: utf-8 -*- +""" +Created on Sun Nov 06 20:53:14 2011 + +@author: Nic +""" +import numpy as np +import numpy.linalg +import scipy.io +import unittest +from pyCSalgos.SL0.SL0_approx import SL0_approx + +class SL0results(unittest.TestCase): + def testResults(self): + mdict = scipy.io.loadmat('SL0approxtestdata.mat') + + # A = system matrix + # Y = matrix with measurements (on columns) + # sigmamin = vector with sigma_min + for A,Y,eps,sigmamin,Xr in zip(mdict['cellA'].squeeze(),mdict['cellY'].squeeze(),mdict['cellEps'].squeeze(),mdict['sigmamin'].squeeze(),mdict['cellXr'].squeeze()): + for i in np.arange(Y.shape[1]): + + # Fix numpy error "LapackError: Parameter a has non-native byte order in lapack_lite.dgesdd" + A = A.newbyteorder('=') + Y = Y.newbyteorder('=') + eps = eps.newbyteorder('=') + sigmamin = sigmamin.newbyteorder('=') + Xr = Xr.newbyteorder('=') + + xr = SL0_approx(A, Y[:,i], eps.squeeze()[i], sigmamin) + + # check if found solution is the same as the correct cslution + diff = numpy.linalg.norm(xr - Xr[:,i]) + self.assertTrue(diff < 1e-12) + # err1 = numpy.linalg.norm(Y[:,i] - np.dot(A,xr)) + # err2 = numpy.linalg.norm(Y[:,i] - np.dot(A,Xr[:,i])) + # norm1 = numpy.linalg.norm(xr,1) + # norm2 = numpy.linalg.norm(Xr[:,i],1) + # + # # Make a more robust condition: + # # OK; if solutions are close enough (diff < 1e-6) + # # or + # # ( + # # Python solution fulfills the constraint better (or up to 1e-6 worse) + # # and + # # Python solution has l1 norm no more than 1e-6 larger as the reference solution + # # (i.e. either norm1 < norm2 or norm1>norm2 not by more than 1e-6) + # # ) + # # + # # ERROR: else + # differr = err1 - err2 # intentionately no abs(), since err1` < err2 is good + # diffnorm = norm1 - norm2 # intentionately no abs(), since norm1 < norm2 is good + # if diff < 1e-6 or (differr < 1e-6 and (diffnorm < 1e-6)): + # isok = True + # else: + # isok = False + # self.assertTrue(isok) + + #diff = numpy.linalg.norm(xr - Xr[:,i]) + #if diff > 1e-6: + # self.assertTrue(diff < 1e-6) + + +if __name__ == "__main__": + #import cProfile + #cProfile.run('unittest.main()', 'profres') + unittest.main() + #suite = unittest.TestLoader().loadTestsFromTestCase(CompareResults) + #unittest.TextTestRunner(verbosity=2).run(suite)