Added an example program showing how to use the least squares optimization

routines.

--HG--
extra : convert_revision : svn%3Afdd8eb12-d10e-0410-9acb-85c331704f74/trunk%403945

examples/CMakeLists.txt

@@ -55,6 +55,7 @@ add_example(krls_ex)
 add_example(krls_filter_ex)
 add_example(krr_classification_ex)
 add_example(krr_regression_ex)
+add_example(least_squares_ex)
 add_example(linear_manifold_regularizer_ex)
 add_example(logger_ex)
 add_example(logger_ex_2)

examples/least_squares_ex.cpp

@@ -0,0 +1,228 @@
+// The contents of this file are in the public domain. See LICENSE_FOR_EXAMPLE_PROGRAMS.txt
+/*
+
+    This is an example illustrating the use the general purpose non-linear 
+    least squares optimization routines from the dlib C++ Library.
+
+    This example program will demonstrate how these routines can be used for data fitting.
+    In particular, we will generate a set of data and then use the least squares  
+    routines to infer the parameters of the model which generated the data.
+*/
+
+
+#include "dlib/optimization.h"
+#include <iostream>
+#include <vector>
+
+
+using namespace std;
+using namespace dlib;
+
+// ----------------------------------------------------------------------------------------
+
+typedef matrix<double,2,1> input_vector;
+typedef matrix<double,3,1> parameter_vector;
+
+// ----------------------------------------------------------------------------------------
+
+// We will use this function to generate data.  It represents a function of 2 variables
+// and 3 parameters.   The least squares procedure will be used to infer the values of 
+// the 3 parameters based on a set of input/output pairs.
+double model (
+    const input_vector& input,
+    const parameter_vector& params
+)
+{
+    const double p0 = params(0);
+    const double p1 = params(1);
+    const double p2 = params(2);
+
+    const double i0 = input(0);
+    const double i1 = input(1);
+
+    const double temp = p0*i0 + p1*i1 + p2;
+
+    return temp*temp;
+}
+
+// ----------------------------------------------------------------------------------------
+
+// This function is the "residual" for a least squares problem.   It takes an input/output
+// pair and compares it to the output of our model and returns the amount of error.  The idea
+// is to find the set of parameters which makes the residual small on all the data pairs.
+double residual (
+    const std::pair<input_vector, double>& data,
+    const parameter_vector& params
+)
+{
+    return model(data.first, params) - data.second;
+}
+
+// ----------------------------------------------------------------------------------------
+
+// This function is the derivative of the residual() function with respect to the parameters.
+parameter_vector residual_derivative (
+    const std::pair<input_vector, double>& data,
+    const parameter_vector& params
+)
+{
+    parameter_vector der;
+
+    const double p0 = params(0);
+    const double p1 = params(1);
+    const double p2 = params(2);
+
+    const double i0 = data.first(0);
+    const double i1 = data.first(1);
+
+    const double temp = p0*i0 + p1*i1 + p2;
+
+    der(0) = i0*2*temp;
+    der(1) = i1*2*temp;
+    der(2) = 2*temp;
+
+    return der;
+}
+
+// ----------------------------------------------------------------------------------------
+
+int main()
+{
+    try
+    {
+        // randomly pick a set of parameters to use in this example
+        const parameter_vector params = 10*randm(3,1);
+        cout << "params: " << trans(params) << endl;
+
+
+        // Now lets generate a bunch of input/output pairs according to our model.
+        std::vector<std::pair<input_vector, double> > data_samples;
+        input_vector input;
+        for (int i = 0; i < 1000; ++i)
+        {
+            input = 10*randm(2,1);
+            const double output = model(input, params);
+
+            // save the pair
+            data_samples.push_back(make_pair(input, output));
+        }
+
+        // Before we do anything, lets make sure that our derivative function defined above matches
+        // the approximate derivative computed using central differences (via derivative()).  
+        // If this value is big then it means we probably typed the derivative function incorrectly.
+        cout << "derivative error: " << length(residual_derivative(data_samples[0], params) - 
+                                               derivative(&residual)(data_samples[0], params) ) << endl;
+
+
+
+
+
+        // Now lets use the solve_least_squares_lm() routine to figure out what the
+        // parameters are based on just the data_samples.
+        parameter_vector x;
+        x = 1;
+
+        cout << "Use Levenberg-Marquardt" << endl;
+        // Use the Levenberg-Marquardt method to determine the parameters which
+        // minimize the sum of all squared residuals.
+        solve_least_squares_lm(objective_delta_stop_strategy(1e-7).be_verbose(), 
+                               &residual,
+                               &residual_derivative,
+                               data_samples,
+                               x);
+
+        // Now x contains the solution.  If everything worked it will be equal to params.
+        cout << "inferred parameters: "<< trans(x) << endl;
+        cout << "solution error:      "<< length(x - params) << endl;
+        cout << endl;
+
+
+
+
+        x = 1;
+        cout << "Use Levenberg-Marquardt, approximate derivatives" << endl;
+        // If we didn't create the residual_derivative function then we could
+        // have used this method which numerically approximates the derivatives for you.
+        solve_least_squares_lm(objective_delta_stop_strategy(1e-7).be_verbose(), 
+                               &residual,
+                               derivative(&residual),
+                               data_samples,
+                               x);
+
+        // Now x contains the solution.  If everything worked it will be equal to params.
+        cout << "inferred parameters: "<< trans(x) << endl;
+        cout << "solution error:      "<< length(x - params) << endl;
+        cout << endl;
+
+
+
+
+        x = 1;
+        cout << "Use Levenberg-Marquardt/quasi-newton hybrid" << endl;
+        // This version of the solver uses a method which is appropriate for problems
+        // where the residuals don't go to zero at the solution.  So in these cases
+        // it may provide a better answer.
+        solve_least_squares(objective_delta_stop_strategy(1e-7).be_verbose(), 
+                            &residual,
+                            &residual_derivative,
+                            data_samples,
+                            x);
+
+        // Now x contains the solution.  If everything worked it will be equal to params.
+        cout << "inferred parameters: "<< trans(x) << endl;
+        cout << "solution error:      "<< length(x - params) << endl;
+
+    }
+    catch (std::exception& e)
+    {
+        cout << e.what() << endl;
+    }
+}
+
+// Example output:
+/*
+params: 8.40188 3.94383 7.83099 
+
+derivative error: 9.78267e-06
+Use Levenberg-Marquardt
+iteration: 0   objective: 2.14455e+10
+iteration: 1   objective: 1.96248e+10
+iteration: 2   objective: 1.39172e+10
+iteration: 3   objective: 1.57036e+09
+iteration: 4   objective: 2.66917e+07
+iteration: 5   objective: 4741.9
+iteration: 6   objective: 0.000238674
+iteration: 7   objective: 7.8815e-19
+iteration: 8   objective: 0
+inferred parameters: 8.40188 3.94383 7.83099 
+
+solution error:      0
+
+Use Levenberg-Marquardt, approximate derivatives
+iteration: 0   objective: 2.14455e+10
+iteration: 1   objective: 1.96248e+10
+iteration: 2   objective: 1.39172e+10
+iteration: 3   objective: 1.57036e+09
+iteration: 4   objective: 2.66917e+07
+iteration: 5   objective: 4741.87
+iteration: 6   objective: 0.000238701
+iteration: 7   objective: 1.0571e-18
+iteration: 8   objective: 4.12469e-22
+inferred parameters: 8.40188 3.94383 7.83099 
+
+solution error:      5.34754e-15
+
+Use Levenberg-Marquardt/quasi-newton hybrid
+iteration: 0   objective: 2.14455e+10
+iteration: 1   objective: 1.96248e+10
+iteration: 2   objective: 1.3917e+10
+iteration: 3   objective: 1.5572e+09
+iteration: 4   objective: 2.74139e+07
+iteration: 5   objective: 5135.98
+iteration: 6   objective: 0.000285539
+iteration: 7   objective: 1.15441e-18
+iteration: 8   objective: 3.38834e-23
+inferred parameters: 8.40188 3.94383 7.83099 
+
+solution error:      1.77636e-15
+*/