// QuasiNewtonMin uses the Quasi-Newton method to carry out multi-dimensional minimisation
func QuasiNewtonMin(x0 matrix.Matrix, N int, f func(matrix.Matrix, int) float64) (x1 matrix.Matrix) {
// Create G matrix, initially identity matrix
G, _ := matrix.Identity(x0.Size().Y)
// Central difference scheme to calculate gradient
CDS := func(in matrix.Matrix) matrix.Matrix {
res, _ := matrix.New(in.Size())
var p, m float64
res.Foreach(func(r, c int) {
in[r][c] += 1e-8
p = f(in, N)
in[r][c] -= 2e-8
m = f(in, N)
in[r][c] += 1e-8
res[r][c] = (p - m) / 2e-8
})
return res
}
a := 1.0
r0 := CDS(x0)
x1, _ = matrix.New(x0)
var cond int
var dx, ddx, tmp, tmp1, tmp2, r1, dr matrix.Matrix
// Main minimisation loop
for i := 0; i < 1000; i++ {
// Determine a using Wolfe Conditions
a, cond = 1.0, 0
for {
// tmp = p_k
tmp, _ = G.Multiply(r0)
tmp, _ = tmp.Multiply(-1)
tmp1, _ = tmp.Multiply(a)
tmp1, _ = x0.Add(tmp1)
// Check last term only if condition not yet met
if cond == 0 {
tmp2, _ = tmp.Transpose().Multiply(r0)
// Sufficient Decrease Condition
if f(tmp1, N) <= f(x0, N)+a*1e-4*tmp2[0][0] {
cond++
}
}
// If first condition met, try second condition
if cond > 0 {
tmp1, _ = tmp.Transpose().Multiply(CDS(tmp1))
tmp2, _ = tmp.Transpose().Multiply(r0)
// Curvature Condition
// fmt.Println(tmp1[0][0], 0.9*tmp2[0][0])
if math.Abs(tmp1[0][0]) >= 0.9*math.Abs(tmp2[0][0]) {
break
}
}
// Backtracking line search
a *= 0.5
cond = 0 // Reset checked cond count
}
// Find next x
tmp, _ = G.Multiply(a)
tmp, _ = tmp.Multiply(r0)
x1, _ = x0.Subtract(tmp)
// fmt.Println(i, "x1:", x1)
// Calculate change in x and grad
r1 = CDS(x1)
// fmt.Println(i, "r1:", r1)
// Convergence condition:
// when gradient no longer changes
if r0[0][0] == r1[0][0] && r0[1][0] == r1[1][0] {
break
}
dx, _ = x1.Subtract(x0)
dr, _ = r1.Subtract(r0)
// First term in increment of G
tmp, _ = dr.Transpose().Multiply(dx)
ddx, _ = dx.OuterProduct(dx)
tmp1, _ = ddx.Multiply(1 / tmp[0][0])
// fmt.Println(i, "G:", G)
// Second term in increment of G
tmp, _ = dr.Transpose().Multiply(G)
tmp, _ = tmp.Multiply(dr)
tmp2, _ = G.Multiply(dr)
tmp2, _ = tmp2.OuterProduct(dr)
tmp2, _ = tmp2.OuterProduct(G)
tmp2, _ = tmp2.Multiply(1 / tmp[0][0])
// Update G for next x
G, _ = G.Add(tmp1)
// fmt.Println(i, "Add -> G:", G)
G, _ = G.Subtract(tmp2)
// fmt.Println(i, "Subtract -> G:", G)
// Update old x and grad for later dx and dgrad
x0 = x1
r0 = r1
}
return
}
func main() {
/*
Plot histograms of sigma with varying bin widths
*/
createHistogram(data[0], 50)
createHistogram(data[0], 100)
createHistogram(data[0], 500)
createHistogram(data[0], 1000)
createHistogram(data[0], 5000)
fmt.Println("Plotted histogram of source data")
/*
Plot fit function graphs
*/
var x, y []float64
N := len(data[0])
tau := 0.1
sigma := 0.1
// vary sigma
xs := make([][]float64, 5)
ys := make([][]float64, 5)
yls := make([]string, 5)
for i := 0; i < 5; i++ {
xs[i], ys[i] = calcFitFunc(0.0, 0.01, tau, sigma)
yls[i] = fmt.Sprintf("sigma = %.1f", sigma)
sigma += 0.2
}
createLine(xs, ys, yls, fmt.Sprintf("Fit Function (tau = %.1f)", tau))
// vary tau
tau, sigma = 0.1, 0.1
for i := 0; i < 5; i++ {
xs[i], ys[i] = calcFitFunc(0.0, 0.01, tau, sigma)
yls[i] = fmt.Sprintf("tau = %.1f", tau)
tau += 0.2
}
createLine(xs, ys, yls, fmt.Sprintf("Fit Function (sigma = %.1f)", sigma))
fmt.Println("Plotted fit function with varying variables")
/*
Plot NLL vs tau for idea of what we're minimising
*/
tau = 0.1
x = make([]float64, 0, 100)
y = make([]float64, 0, 100)
for i := 0; i < 100; i++ {
x = append(x, tau)
y = append(y, NLLFunc(tau, N))
tau += 0.01
}
createScatter(x, y, "NLL vs tau")
fmt.Println("Plotted NLL against tau")
/*
Parabolic Minimisation
*/
tau = parabolicMin(0.5, N, NLLFunc)
fmt.Println("Minimum of NLL (no Background) found using parabolic method: tau =", tau, "NLL =", NLLFunc(tau, N))
/*
Plot std dev of 1-d fit result
*/
var min, tau_p, tau_m float64
x = make([]float64, 0, 100)
y = make([]float64, 0, 100)
mins := make([]float64, 0, 100)
for i := 0; i < 100; i++ {
N = len(data[0]) - i*50
tau_p, min, tau_m = tauFromNLL(0.5, N)
x = append(x, float64(N))
mins = append(mins, min)
y = append(y, tau_p-tau_m)
}
createScatter(x, y, "Standard Deviation vs Sample Size")
fmt.Println("Plotted graph of standard dev vs sample size")
saveFile("stddev v samp size.txt", [][]float64{x, y})
createScatter(x, mins, "Determined Minimum vs Sample Size")
fmt.Println("Plotted graph of minimum found through parabolic minimisation vs sample size")
saveFile("parabolic min v samp size.txt", [][]float64{x, mins})
N = len(data[0])
/*
Find minimum tau and a for NLLFuncWithBG
*/
x0, _ := matrix.New("0.4;0.1")
x0 = QuasiNewtonMin(x0, N, NLLFuncWithBG)
fmt.Println("Minimum of NLL (w Background) found using Quasi-Newton DFP method: tau =",
x0[0][0], "a =", x0[1][0], "NLL =", NLLFuncWithBG(x0, N))
/*
Plot of NLLFuncWithBG against tau to confirm minimum found in previous step
*/
tau = 0.1
var mat matrix.Matrix
x = make([]float64, 0, 100)
y = make([]float64, 0, 100)
for i := 0; i < 100; i++ {
x = append(x, tau)
mat, _ = matrix.New(fmt.Sprintf("%f;0.983684", tau))
y = append(y, NLLFuncWithBG(mat, N))
tau += 0.01
}
createScatter(x, y, fmt.Sprintf("NLL with BG, a = %f", x0[1][0]))
/*
Find error of NLLBG fit
*/
tau_p, tau_m = tauFromNLLBG(x0, 0.5, N)
fmt.Println("Error of calculated NLL (w BG) is: ", tau_p-tau_m)
}
