Mercurial > repos > pointsource_algs / file revision

/*!
Solver for the point source localisation problem using a sliding
forward-backward splitting method.
*/

use numeric_literals::replace_float_literals;
use serde::{Serialize, Deserialize};
//use colored::Colorize;
//use nalgebra::{DVector, DMatrix};
use itertools::izip;
use std::iter::{Map, Flatten};

use alg_tools::iterate::{
    AlgIteratorFactory,
    AlgIteratorState
};
use alg_tools::euclidean::{
    Euclidean,
    Dot
};
use alg_tools::sets::Cube;
use alg_tools::loc::Loc;
use alg_tools::mapping::{Apply, Differentiable};
use alg_tools::bisection_tree::{
    BTFN,
    PreBTFN,
    Bounds,
    BTNodeLookup,
    BTNode,
    BTSearch,
    P2Minimise,
    SupportGenerator,
    LocalAnalysis,
    //Bounded,
};
use alg_tools::mapping::RealMapping;
use alg_tools::nalgebra_support::ToNalgebraRealField;

use crate::types::*;
use crate::measures::{
    DiscreteMeasure,
    DeltaMeasure,
};
use crate::measures::merging::{
    //SpikeMergingMethod,
    SpikeMerging,
};
use crate::forward_model::ForwardModel;
use crate::seminorms::DiscreteMeasureOp;
//use crate::tolerance::Tolerance;
use crate::plot::{
    SeqPlotter,
    Plotting,
    PlotLookup
};
use crate::fb::*;
use crate::regularisation::SlidingRegTerm;
use crate::dataterm::{
    L2Squared,
    //DataTerm,
    calculate_residual,
    calculate_residual2,
};
use crate::transport::TransportLipschitz;

/// Settings for [`pointsource_sliding_fb_reg`].
#[derive(Clone, Copy, Eq, PartialEq, Serialize, Deserialize, Debug)]
#[serde(default)]
pub struct SlidingFBConfig<F : Float> {
    /// Step length scaling
    pub τ0 : F,
    /// Transport smoothness assumption
    pub ℓ0 : F,
    /// Inverse of the scaling factor $θ$ of the 2-norm-squared transport cost.
    /// This means that $τθ$ is the step length for the transport step.
    pub inverse_transport_scaling : F,
    /// Factor for deciding transport reduction based on smoothness assumption violation
    pub minimum_goodness_factor : F,
    /// Maximum rays to retain in transports from each source.
    pub maximum_rays : usize,
    /// Generic parameters
    pub insertion : FBGenericConfig<F>,
}

#[replace_float_literals(F::cast_from(literal))]
impl<F : Float> Default for SlidingFBConfig<F> {
    fn default() -> Self {
        SlidingFBConfig {
            τ0 : 0.99,
            ℓ0 : 1.5,
            inverse_transport_scaling : 1.0,
            minimum_goodness_factor : 1.0, // TODO: totally arbitrary choice,
                                           // should be scaled by problem data?
            maximum_rays : 10,
            insertion : Default::default()
        }
    }
}

/// A transport ray (including various additional computational information).
#[derive(Clone, Debug)]
pub struct Ray<Domain, F : Num> {
    /// The destination of the ray, and the mass. The source is indicated in a [`RaySet`].
    δ : DeltaMeasure<Domain, F>,
    /// Goodness of the data term for the aray: $v(z)-v(y)-⟨∇v(x), z-y⟩ + ℓ‖z-y‖^2$.
    goodness : F,
    /// Goodness of the regularisation term for the ray: $w(z)-w(y)$.
    /// Initially zero until $w$ can be constructed.
    reg_goodness : F,
    /// Indicates that this ray also forms a component in γ^{k+1} with the mass `to_return`.
    to_return : F,
}

/// A set of transport rays with the same source point.
#[derive(Clone, Debug)]
pub struct RaySet<Domain, F : Num> {
    /// Source of every ray in thset
    source : Domain,
    /// Mass of the diagonal ray, with destination the same as the source.
    diagonal: F,
    /// Goodness of the data term for the diagonal ray with $z=x$:
    /// $v(x)-v(y)-⟨∇v(x), x-y⟩ + ℓ‖x-y‖^2$.
    diagonal_goodness : F,
    /// Goodness of the data term for the diagonal ray with $z=x$: $w(x)-w(y)$.
    diagonal_reg_goodness : F,
    /// The non-diagonal rays.
    rays : Vec<Ray<Domain, F>>,
}

#[replace_float_literals(F::cast_from(literal))]
impl<Domain, F : Float> RaySet<Domain, F> {
    fn non_diagonal_mass(&self) -> F {
        self.rays
            .iter()
            .map(|Ray{ δ : DeltaMeasure{ α, .. }, .. }| *α)
            .sum()
    }

    fn total_mass(&self) -> F {
        self.non_diagonal_mass() + self.diagonal
    }

    fn targets<'a>(&'a self)
    -> Map<
        std::slice::Iter<'a, Ray<Domain, F>>,
        fn(&'a Ray<Domain, F>) -> &'a DeltaMeasure<Domain, F>
    > {
        fn get_δ<'b, Domain, F : Float>(Ray{ δ, .. }: &'b Ray<Domain, F>)
        -> &'b DeltaMeasure<Domain, F> {
            δ
        }
        self.rays
            .iter()
            .map(get_δ)
    }

    // fn non_diagonal_goodness(&self) -> F {
    //     self.rays
    //         .iter()
    //         .map(|&Ray{ δ : DeltaMeasure{ α, .. }, goodness, reg_goodness, .. }| {
    //             α * (goodness + reg_goodness)
    //         })
    //         .sum()
    // }

    // fn total_goodness(&self) -> F {
    //     self.non_diagonal_goodness() + (self.diagonal_goodness + self.diagonal_reg_goodness)
    // }

    fn non_diagonal_badness(&self) -> F {
        self.rays
            .iter()
            .map(|&Ray{ δ : DeltaMeasure{ α, .. }, goodness, reg_goodness, .. }| {
                0.0.max(- α * (goodness + reg_goodness))
            })
            .sum()
    }

    fn total_badness(&self) -> F {
        self.non_diagonal_badness()
        + 0.0.max(- self.diagonal * (self.diagonal_goodness + self.diagonal_reg_goodness))
    }

    fn total_return(&self) -> F {
        self.rays
            .iter()
            .map(|&Ray{ to_return, .. }| to_return)
            .sum()
    }
}

#[replace_float_literals(F::cast_from(literal))]
impl<Domain : Clone, F : Num> RaySet<Domain, F> {
    fn return_targets<'a>(&'a self)
    -> Flatten<Map<
        std::slice::Iter<'a, Ray<Domain, F>>,
        fn(&'a Ray<Domain, F>) -> Option<DeltaMeasure<Domain, F>>
    >> {
        fn get_return<'b, Domain : Clone, F : Num>(ray: &'b Ray<Domain, F>)
        -> Option<DeltaMeasure<Domain, F>> {
            (ray.to_return != 0.0).then_some(
                DeltaMeasure{x : ray.δ.x.clone(), α : ray.to_return}
            )
        }
        let tmp : Map<
            std::slice::Iter<'a, Ray<Domain, F>>,
            fn(&'a Ray<Domain, F>) -> Option<DeltaMeasure<Domain, F>>
        > = self.rays
                .iter()
                .map(get_return);
        tmp.flatten()
    }
}

/// Iteratively solve the pointsource localisation problem using sliding forward-backward
/// splitting
///
/// The parametrisatio is as for [`pointsource_fb_reg`].
/// Inertia is currently not supported.
#[replace_float_literals(F::cast_from(literal))]
pub fn pointsource_sliding_fb_reg<'a, F, I, A, GA, 𝒟, BTA, G𝒟, S, K, Reg, const N : usize>(
    opA : &'a A,
    b : &A::Observable,
    reg : Reg,
    op𝒟 : &'a 𝒟,
    sfbconfig : &SlidingFBConfig<F>,
    iterator : I,
    mut plotter : SeqPlotter<F, N>,
) -> DiscreteMeasure<Loc<F, N>, F>
where F : Float + ToNalgebraRealField,
      I : AlgIteratorFactory<IterInfo<F, N>>,
      for<'b> &'b A::Observable : std::ops::Neg<Output=A::Observable>,
                                  //+ std::ops::Mul<F, Output=A::Observable>,  <-- FIXME: compiler overflow
      A::Observable : std::ops::MulAssign<F>,
      A::PreadjointCodomain : for<'b> Differentiable<&'b Loc<F, N>, Output=Loc<F, N>>,
      GA : SupportGenerator<F, N, SupportType = S, Id = usize> + Clone,
      A : ForwardModel<Loc<F, N>, F, PreadjointCodomain = BTFN<F, GA, BTA, N>>
          + Lipschitz<&'a 𝒟, FloatType=F> + TransportLipschitz<L2Squared, FloatType=F>,
      BTA : BTSearch<F, N, Data=usize, Agg=Bounds<F>>,
      G𝒟 : SupportGenerator<F, N, SupportType = K, Id = usize> + Clone,
      𝒟 : DiscreteMeasureOp<Loc<F, N>, F, PreCodomain = PreBTFN<F, G𝒟, N>>,
      𝒟::Codomain : RealMapping<F, N>,
      S: RealMapping<F, N> + LocalAnalysis<F, Bounds<F>, N>
         + Differentiable<Loc<F, N>, Output=Loc<F,N>>,
      K: RealMapping<F, N> + LocalAnalysis<F, Bounds<F>, N>,
         //+ Differentiable<Loc<F, N>, Output=Loc<F,N>>,
      BTNodeLookup: BTNode<F, usize, Bounds<F>, N>,
      Cube<F, N>: P2Minimise<Loc<F, N>, F>,
      PlotLookup : Plotting<N>,
      DiscreteMeasure<Loc<F, N>, F> : SpikeMerging<F>,
      Reg : SlidingRegTerm<F, N> {

    assert!(sfbconfig.τ0 > 0.0 &&
            sfbconfig.inverse_transport_scaling > 0.0 &&
            sfbconfig.ℓ0 > 0.0);

    // Set up parameters
    let config = &sfbconfig.insertion;
    let op𝒟norm = op𝒟.opnorm_bound();
    let θ = sfbconfig.inverse_transport_scaling;
    let τ = sfbconfig.τ0/opA.lipschitz_factor(&op𝒟).unwrap()
                            .max(opA.transport_lipschitz_factor(L2Squared) * θ);
    let ℓ = sfbconfig.ℓ0; // TODO: v scaling?
    // We multiply tolerance by τ for FB since our subproblems depending on tolerances are scaled
    // by τ compared to the conditional gradient approach.
    let tolerance = config.tolerance * τ * reg.tolerance_scaling();
    let mut ε = tolerance.initial();

    // Initialise iterates
    let mut μ : DiscreteMeasure<Loc<F, N>, F> = DiscreteMeasure::new();
    let mut μ_transported_base = DiscreteMeasure::new();
    let mut γ_hat : Vec<RaySet<Loc<F, N>, F>> = Vec::new();   // γ̂_k and extra info
    let mut residual = -b;
    let mut stats = IterInfo::new();

    // Run the algorithm
    iterator.iterate(|state| {
        // Calculate smooth part of surrogate model.
        // Using `std::mem::replace` here is not ideal, and expects that `empty_observable`
        // has no significant overhead. For some reosn Rust doesn't allow us simply moving
        // the residual and replacing it below before the end of this closure.
        residual *= -τ;
        let r = std::mem::replace(&mut residual, opA.empty_observable());
        let minus_τv = opA.preadjoint().apply(r);

        // Save current base point and shift μ to new positions.
        let μ_base = μ.clone();
        for δ in μ.iter_spikes_mut() {
            δ.x += minus_τv.differential(&δ.x) * θ;
        }
        let mut μ_transported = μ.clone();

        assert_eq!(μ.len(), γ_hat.len());

        // Calculate the goodness λ formed from γ_hat (≈ γ̂_k) and γ^{k+1}, where the latter
        // transports points x from μ_base to points y in μ as shifted above, or “returns”
        // them “home” to z given by the rays in γ_hat. Returning is necessary if the rays
        // are not “good” for the smoothness assumptions, or if γ_hat has more mass than
        // μ_base.
        let mut total_goodness = 0.0;     // data term goodness
        let mut total_reg_goodness = 0.0; // regulariser goodness
        let minimum_goodness = - ε * sfbconfig.minimum_goodness_factor;

        for (δ, r) in izip!(μ.iter_spikes(), γ_hat.iter_mut()) {
            // Calculate data term goodness for all rays.
            let &DeltaMeasure{ x : ref y, α : δ_mass } = δ;
            let x = &r.source;
            let mvy = minus_τv.apply(y);
            let mdvx = minus_τv.differential(x);
            let mut r_total_mass = 0.0; // Total mass of all rays with source r.source.
            let mut bad_mass = 0.0;
            let mut calc_goodness = |goodness : &mut F, reg_goodness : &mut F, α, z : &Loc<F, N>| {
                *reg_goodness = 0.0; // Initial guess
                *goodness = mvy - minus_τv.apply(z) + mdvx.dot(&(z-y))
                            + ℓ * z.dist2_squared(&y);
                total_goodness += *goodness * α;
                r_total_mass += α; // TODO: should this include to_return from staging? (Probably not)
                if *goodness < 0.0 {
                    bad_mass += α;
                }
            };
            for ray in r.rays.iter_mut() {
                calc_goodness(&mut ray.goodness, &mut ray.reg_goodness, ray.δ.α, &ray.δ.x);
            }
            calc_goodness(&mut r.diagonal_goodness, &mut r.diagonal_reg_goodness, r.diagonal, x);

            // If the total mass of the ray set is less than that of μ at the same source,
            // a diagonal component needs to be added to be able to (attempt to) transport
            // all mass of μ. In the opposite case, we need to construct γ_{k+1} to ‘return’
            // the the extra mass of γ̂_k to the target z. We return mass from the oldest “bad”
            // rays in the set.
            if δ_mass >= r_total_mass {
                r.diagonal += δ_mass - r_total_mass;
            } else {
                let mut reduce_transport = r_total_mass - δ_mass;
                let mut good_needed = (bad_mass - reduce_transport).max(0.0);
                // NOTE: reg_goodness is zero at this point, so it is not used in this code.
                let mut reduce_ray = |goodness, to_return : Option<&mut F>, α : &mut F| {
                    if reduce_transport > 0.0 {
                        let return_amount = if goodness < 0.0 {
                            α.min(reduce_transport)
                        } else {
                            let amount = α.min(good_needed);
                            good_needed -= amount;
                            amount
                        };

                        if return_amount > 0.0 {
                            reduce_transport -= return_amount;
                            // Adjust total goodness by returned amount
                            total_goodness -= goodness * return_amount;
                            to_return.map(|tr| *tr += return_amount);
                            *α -= return_amount;
                            *α > 0.0
                        } else {
                            true
                        }
                    } else {
                        true
                    }
                };
                r.rays.retain_mut(|ray| {
                    reduce_ray(ray.goodness, Some(&mut ray.to_return), &mut ray.δ.α)
                });
                // A bad diagonal is simply reduced without any 'return'.
                // It was, after all, just added to match μ, but there is no need to match it.
                // It's just a heuristic.
                // TODO: Maybe a bad diagonal should be the first to go.
                reduce_ray(r.diagonal_goodness, None, &mut r.diagonal);
            }
        }

        // Solve finite-dimensional subproblem several times until the dual variable for the
        // regularisation term conforms to the assumptions made for the transport above.
        let (d, within_tolerances) = 'adapt_transport: loop {
            // If transport violates goodness requirements, shift it to ‘return’ mass to z,
            // forcing y = z. Based on the badness of each ray set (sum of bad rays' goodness),
            // we proportionally distribute the reductions to each ray set, and within each ray
            // set, prioritise reducing the oldest bad rays' weight.
            let tg = total_goodness + total_reg_goodness;
            let adaptation_needed = minimum_goodness - tg;
            if adaptation_needed > 0.0 {
                let total_badness = γ_hat.iter().map(|r| r.total_badness()).sum();

                let mut return_ray = |goodness : F,
                                      reg_goodness : F,
                                      to_return : Option<&mut F>,
                                      α : &mut F,
                                      left_to_return : &mut F| {
                    let g = goodness + reg_goodness;
                    assert!(*α >= 0.0 && *left_to_return >= 0.0);
                    if *left_to_return > 0.0 && g < 0.0 {
                        let return_amount = (*left_to_return / (-g)).min(*α);
                        *left_to_return -= (-g) * return_amount;
                        total_goodness -= goodness * return_amount;
                        total_reg_goodness -= reg_goodness * return_amount;
                        to_return.map(|tr| *tr += return_amount);
                        *α -= return_amount;
                        *α > 0.0
                    } else {
                        true
                    }
                };
                
                for r in γ_hat.iter_mut() {
                    let mut left_to_return = adaptation_needed * r.total_badness() / total_badness;
                    if left_to_return > 0.0 {
                        for ray in r.rays.iter_mut() {
                            return_ray(ray.goodness, ray.reg_goodness,
                                       Some(&mut ray.to_return), &mut ray.δ.α, &mut left_to_return);
                        }
                        return_ray(r.diagonal_goodness, r.diagonal_reg_goodness,
                                   None, &mut r.diagonal, &mut left_to_return);
                    }
                }
            }

            // Construct μ_k + (π_#^1-π_#^0)γ_{k+1}.
            // This can be broken down into
            //
            // μ_transported_base = [μ - π_#^0 (γ_shift + γ_return)] + π_#^1 γ_return, and
            // μ_transported = π_#^1 γ_shift
            //
            // where γ_shift is our “true” γ_{k+1}, and γ_return is the return compoennt.
            // The former can be constructed from δ.x and δ_new.x for δ in μ_base and δ_new in μ
            // (which has already been shifted), and the mass stored in a γ_hat ray's δ measure
            // The latter can be constructed from γ_hat rays' source and destination with the
            // to_return mass.
            //
            // Note that μ_transported is constructed to have the same spike locations as μ, but
            // to have same length as μ_base. This loop does not iterate over the spikes of μ
            // (and corresponding transports of γ_hat) that have been newly     added in the current
            // 'adapt_transport loop.
            for (δ, δ_transported, r) in izip!(μ_base.iter_spikes(),
                                               μ_transported.iter_spikes_mut(),
                                               γ_hat.iter()) {
                let &DeltaMeasure{ref x, α} = δ;
                debug_assert_eq!(*x, r.source);
                let shifted_mass = r.total_mass();
                let ret_mass = r.total_return();
                // μ - π_#^0 (γ_shift + γ_return)
                μ_transported_base += DeltaMeasure { x : *x, α : α - shifted_mass - ret_mass };
                // π_#^1 γ_return
                μ_transported_base.extend(r.return_targets());
                // π_#^1 γ_shift
                δ_transported.set_mass(shifted_mass);
            }
            // Calculate transported_minus_τv = -τA_*(A[μ_transported + μ_transported_base]-b)
            let transported_residual = calculate_residual2(&μ_transported,
                                                           &μ_transported_base,
                                                           opA, b);
            let transported_minus_τv = opA.preadjoint()
                                          .apply(transported_residual);

            // Construct μ^{k+1} by solving finite-dimensional subproblems and insert new spikes.
            let (mut d, within_tolerances) = insert_and_reweigh(
                &mut μ, &transported_minus_τv, &μ_transported, Some(&μ_transported_base),
                op𝒟, op𝒟norm,
                τ, ε,
                config, &reg, state, &mut stats
            );

            // We have  d = ω0 - τv - 𝒟μ = -𝒟(μ - μ^k) - τv; more precisely
            //          d = minus_τv + op𝒟.preapply(μ_diff(μ, μ_transported, config));
            // We “essentially” assume that the subdifferential w of the regularisation term
            // satisfies w'(y)=0, so for a “goodness” estimate τ[w(y)-w(z)-w'(y)(z-y)]
            // that incorporates the assumption, we need to calculate τ[w(z) - w(y)] for
            // some w in the subdifferential of the regularisation term, such that
            // -ε ≤ τw - d ≤ ε. This is done by [`RegTerm::goodness`].
            for r in γ_hat.iter_mut() {
                for ray in r.rays.iter_mut() {
                    ray.reg_goodness = reg.goodness(&mut d, &μ, &r.source, &ray.δ.x, τ, ε, config);
                    total_reg_goodness += ray.reg_goodness * ray.δ.α;
                }
            }

            // If update of regularisation term goodness didn't invalidate minimum goodness
            // requirements, we have found our step. Otherwise we need to keep reducing
            // transport by repeating the loop.
            if total_goodness + total_reg_goodness >= minimum_goodness {
                break 'adapt_transport (d, within_tolerances)
            }
        };

        // Update γ_hat to new location
        for (δ_new, r) in izip!(μ.iter_spikes(), γ_hat.iter_mut()) {
            // Prune rays that only had a return component, as the return component becomes
            // a diagonal in γ̂^{k+1}.
            r.rays.retain(|ray| ray.δ.α != 0.0);
            // Otherwise zero out the return component, or stage rays for pruning
            // to keep memory and computational demands reasonable.
            let n_rays = r.rays.len();
            for (ray, ir) in izip!(r.rays.iter_mut(), (0..n_rays).rev()) {
                if ir >= sfbconfig.maximum_rays {
                    // Only keep sfbconfig.maximum_rays - 1 previous rays, staging others for
                    // pruning in next step.
                    ray.to_return = ray.δ.α;
                    ray.δ.α = 0.0;
                } else {
                    ray.to_return = 0.0;
                }
                ray.goodness = 0.0; // TODO: probably not needed
                ray.reg_goodness = 0.0;
            }
            // Add a new ray for the currently diagonal component
            if r.diagonal > 0.0 {
                r.rays.push(Ray{
                    δ : DeltaMeasure{x : r.source, α : r.diagonal},
                    goodness : 0.0,
                    reg_goodness : 0.0,
                    to_return : 0.0,
                });
                // TODO: Maybe this does not need to be done here, and is sufficent to to do where
                // the goodness is calculated.
                r.diagonal = 0.0;
            }
            r.diagonal_goodness = 0.0;

            // Shift source
            r.source = δ_new.x;
        }
        // Extend to new spikes
        γ_hat.extend(μ[γ_hat.len()..].iter().map(|δ_new| {
            RaySet{
                source : δ_new.x,
                rays : [].into(),
                diagonal : 0.0,
                diagonal_goodness : 0.0,
                diagonal_reg_goodness : 0.0
            }
        }));

        // Prune spikes with zero weight. This also moves the marginal differences of corresponding
        // transports from γ_hat to γ_pruned_marginal_diff.
        // TODO: optimise standard prune with swap_remove.
        μ_transported_base.clear();
        let mut i = 0;
        assert_eq!(μ.len(), γ_hat.len());
        while i < μ.len() {
            if μ[i].α == F::ZERO {
                μ.swap_remove(i);
                let r = γ_hat.swap_remove(i);
                μ_transported_base.extend(r.targets().cloned());
                μ_transported_base -= DeltaMeasure{ α : r.non_diagonal_mass(), x : r.source };
            } else {
                i += 1;
            }
        }

        // TODO: how to merge?

        // Update residual
        residual = calculate_residual(&μ, opA, b);

        // Update main tolerance for next iteration
        let ε_prev = ε;
        ε = tolerance.update(ε, state.iteration());
        stats.this_iters += 1;

        // Give function value if needed
        state.if_verbose(|| {
            // Plot if so requested
            plotter.plot_spikes(
                format!("iter {} end; {}", state.iteration(), within_tolerances), &d,
                "start".to_string(), Some(&minus_τv),
                reg.target_bounds(τ, ε_prev), &μ,
            );
            // Calculate mean inner iterations and reset relevant counters.
            // Return the statistics
            let res = IterInfo {
                value : residual.norm2_squared_div2() + reg.apply(&μ),
                n_spikes : μ.len(),
                ε : ε_prev,
                postprocessing: config.postprocessing.then(|| μ.clone()),
                .. stats
            };
            stats = IterInfo::new();
            res
        })
    });

    postprocess(μ, config, L2Squared, opA, b)
}