Merge branch '78-scale-output-values' into 'master'

LearnerND scale output values before computing loss

Closes #78

See merge request qt/adaptive!128

Author: basnijholt

adaptive/learner/learnerND.py

@@ -11,11 +11,10 @@
 import scipy.spatial
 
 from adaptive.learner.base_learner import BaseLearner
+from adaptive.notebook_integration import ensure_holoviews, ensure_plotly
 from adaptive.learner.triangulation import (
     Triangulation, point_in_simplex, circumsphere,
-    simplex_volume_in_embedding, fast_det
-)
-from adaptive.notebook_integration import ensure_holoviews, ensure_plotly
+    simplex_volume_in_embedding, fast_det)
 from adaptive.utils import restore, cache_latest
 
 
@@ -178,8 +177,14 @@ def __init__(self, func, bounds, loss_per_simplex=None):
         # triangulation of the pending points inside a specific simplex
         self._subtriangulations = dict()  # simplex → triangulation
 
-        # scale to unit
+        # scale to unit hypercube
+        # for the input
         self._transform = np.linalg.inv(np.diag(np.diff(self._bbox).flat))
+        # for the output
+        self._min_value = None
+        self._max_value = None
+        self._output_multiplier = 1 # If we do not know anything, do not scale the values
+        self._recompute_losses_factor = 1.1
 
         # create a private random number generator with fixed seed
         self._random = random.Random(1)
@@ -271,6 +276,7 @@ def tell(self, point, value):
         if not self.inside_bounds(point):
             return
 
+        self._update_range(value)
         if tri is not None:
             simplex = self._pending_to_simplex.get(point)
             if simplex is not None and not self._simplex_exists(simplex):
@@ -338,6 +344,7 @@ def _update_subsimplex_losses(self, simplex, new_subsimplices):
         subtriangulation = self._subtriangulations[simplex]
         for subsimplex in new_subsimplices:
             subloss = subtriangulation.volume(subsimplex) * loss_density
+            subloss = round(subloss, ndigits=8)
             heapq.heappush(self._simplex_queue,
                            (-subloss, simplex, subsimplex))
 
@@ -448,21 +455,98 @@ def update_losses(self, to_delete: set, to_add: set):
                                      if p not in self.data)
 
         for simplex in to_add:
-            vertices = self.tri.get_vertices(simplex)
-            values = [self.data[tuple(v)] for v in vertices]
-            loss = float(self.loss_per_simplex(vertices, values))
-            self._losses[simplex] = float(loss)
+            loss = self.compute_loss(simplex)
+            self._losses[simplex] = loss
 
             for p in pending_points_unbound:
                 self._try_adding_pending_point_to_simplex(p, simplex)
 
             if simplex not in self._subtriangulations:
+                loss = round(loss, ndigits=8)
                 heapq.heappush(self._simplex_queue, (-loss, simplex, None))
                 continue
 
             self._update_subsimplex_losses(
                 simplex, self._subtriangulations[simplex].simplices)
 
+    def compute_loss(self, simplex):
+        # get the loss
+        vertices = self.tri.get_vertices(simplex)
+        values = [self.data[tuple(v)] for v in vertices]
+
+        # scale them to a cube with sides 1
+        vertices = vertices @ self._transform
+        values = self._output_multiplier * values
+
+        # compute the loss on the scaled simplex
+        return float(self.loss_per_simplex(vertices, values))
+
+    def recompute_all_losses(self):
+        """Recompute all losses and pending losses."""
+        # amortized O(N) complexity
+        if self.tri is None:
+            return
+
+        # reset the _simplex_queue
+        self._simplex_queue = []
+
+        # recompute all losses
+        for simplex in self.tri.simplices:
+            loss = self.compute_loss(simplex)
+            self._losses[simplex] = loss
+
+            # now distribute it around the the children if they are present
+            if simplex not in self._subtriangulations:
+                loss = round(loss, ndigits=8)
+                heapq.heappush(self._simplex_queue, (-loss, simplex, None))
+                continue
+
+            self._update_subsimplex_losses(
+                simplex, self._subtriangulations[simplex].simplices)
+
+    @property
+    def _scale(self):
+        # get the output scale
+        return self._max_value - self._min_value
+
+    def _update_range(self, new_output):
+        if self._min_value is None or self._max_value is None:
+            # this is the first point, nothing to do, just set the range
+            self._min_value = np.array(new_output)
+            self._max_value = np.array(new_output)
+            self._old_scale = self._scale
+            return False
+
+        # if range in one or more directions is doubled, then update all losses
+        self._min_value = np.minimum(self._min_value, new_output)
+        self._max_value = np.maximum(self._max_value, new_output)
+
+        scale_multiplier = 1 / self._scale
+        if isinstance(scale_multiplier, float):
+            scale_multiplier = np.array([scale_multiplier], dtype=float)
+
+        # the maximum absolute value that is in the range. Because this is the
+        # largest number, this also has the largest absolute numerical error.
+        max_absolute_value_in_range = np.max(np.abs([self._min_value, self._max_value]), axis=0)
+        # since a float has a relative error of 1e-15, the absolute error is the value * 1e-15
+        abs_err = 1e-15 * max_absolute_value_in_range
+        # when scaling the floats, the error gets increased.
+        scaled_err = abs_err * scale_multiplier
+
+        allowed_numerical_error = 1e-2
+
+        # do not scale along the axis if the numerical error gets too big
+        scale_multiplier[scaled_err > allowed_numerical_error] = 1
+
+        self._output_multiplier = scale_multiplier
+
+        scale_factor = np.max(np.nan_to_num(self._scale / self._old_scale))
+        if scale_factor > self._recompute_losses_factor:
+            self._old_scale = self._scale
+            self.recompute_all_losses()
+            return True
+        return False
+
     def losses(self):
         """Get the losses of each simplex in the current triangulation, as dict
 

adaptive/tests/test_learnernd.py

@@ -7,6 +7,7 @@
 
 from .test_learners import ring_of_fire, generate_random_parametrization
 
+
 def test_faiure_case_LearnerND():
     log = [
         ('ask', 4),
@@ -25,6 +26,7 @@ def test_faiure_case_LearnerND():
     learner = LearnerND(lambda *x: x, bounds=[(-1, 1), (-1, 1), (-1, 1)])
     replay_log(learner, log)
 
+
 def test_interior_vs_bbox_gives_same_result():
     f = generate_random_parametrization(ring_of_fire)
 

adaptive/tests/test_learners.py

@@ -362,6 +362,8 @@ def test_expected_loss_improvement_is_less_than_total_loss(learner_type, f, lear
 
 # XXX: This *should* pass (https://gitlab.kwant-project.org/qt/adaptive/issues/84)
 #      but we xfail it now, as Learner2D will be deprecated anyway
+# The LearnerND fails sometimes, see
+# https://gitlab.kwant-project.org/qt/adaptive/merge_requests/128#note_21807
 @run_with(Learner1D, xfail(Learner2D), xfail(LearnerND))
 def test_learner_performance_is_invariant_under_scaling(learner_type, f, learner_kwargs):
     """Learners behave identically under transformations that leave
@@ -384,6 +386,10 @@ def test_learner_performance_is_invariant_under_scaling(learner_type, f, learner
     learner = learner_type(lambda x: yscale * f(np.array(x) / xscale),
                            **l_kwargs)
 
+    if learner_type in [Learner1D, LearnerND]:
+        learner._recompute_losses_factor = 1
+        control._recompute_losses_factor = 1
+
     npoints = random.randrange(300, 500)
 
     for n in range(npoints):