cleanup, activate asp tests

Author: Christoph Ortner

src/asp.jl

@@ -69,24 +69,24 @@ function solve(solver::ASP, A, y, Aval=A, yval=y)
 
     tracer = asp_homotopy(AP, y; solver.params...)
 
-    q = length(tracer)
-    every = max(1, q ÷ solver.nstore)  
-    new_tracer = Vector{NamedTuple{(:solution, :λ), Tuple{Any, Any}}}(undef, q)
-    new_tracer = [(solution = solver.P \ tracer[i][1], λ = tracer[i][2]) for i in [1:every:q; q]]
+    q = length(tracer) 
+    every = max(1, q ÷ solver.nstore)
+    istore = unique([1:every:q; q])
+    new_tracer = [ (solution = solver.P \ tracer[i][1], λ = tracer[i][2], σ = 0.0 ) 
+                   for i in istore ]
 
     if solver.tsvd  # Post-processing if tsvd is true
         post = post_asp_tsvd(new_tracer, A, y, Aval, yval)
-        new_post = [(solution = p.θ, λ = p.λ) for p in post]
+        new_post = [ (solution = p.θ, λ = p.λ, σ = p.σ) for p in post ]
     else
         new_post = new_tracer 
     end
 
     xs, in = select_solution(new_post, solver, Aval, yval)
 
-   #  println("done.")
     return Dict( "C" => xs, 
                 "path" => new_post, 
-                "nnzs" => length((new_tracer[in][:solution]).nzind) )
+                "nnzs" => length( (new_tracer[in][:solution]).nzind) )
 end
 
 
@@ -156,13 +156,24 @@ function post_asp_tsvd(path, At, yt, Av, yv)
    Qt, Rt = qr(At); zt = Matrix(Qt)' * yt
    Qv, Rv = qr(Av); zv = Matrix(Qv)' * yv
 
-   post = [] 
-   for (θ, λ) in path
-      if isempty(θ.nzind); push!(post, (θ = θ, λ = λ, σ = Inf)); continue; end  
+   function _post(θλ)
+      (θ, λ) = θλ
+      if isempty(θ.nzind); return (θ = θ, λ = λ, σ = Inf); end  
       inz = θ.nzind 
       θ1, σ = solve_tsvd(Rt[:, inz], zt, Rv[:, inz], zv)
       θ2 = copy(θ); θ2[inz] .= θ1
-      push!(post, (θ = θ2, λ = λ, σ = σ))
-   end 
-   return identity.(post)
+      return (θ = θ2, λ = λ, σ = σ)
+   end
+
+   return _post.(path)
+
+#    post = [] 
+#    for (θ, λ) in path
+#       if isempty(θ.nzind); push!(post, (θ = θ, λ = λ, σ = Inf)); continue; end  
+#       inz = θ.nzind 
+#       θ1, σ = solve_tsvd(Rt[:, inz], zt, Rv[:, inz], zv)
+#       θ2 = copy(θ); θ2[inz] .= θ1
+#       push!(post, (θ = θ2, λ = λ, σ = σ))
+#    end 
+#    return identity.(post)
 end

test/runtests.jl

@@ -8,5 +8,7 @@ using Test
 
     @testset "Linear Solvers" begin include("test_linearsolvers.jl") end
 
+    @testset "ASP" begin include("test_asp.jl") end
+
     @testset "MLJ Solvers" begin include("test_mlj.jl") end
 end

test/test_asp.jl

@@ -8,7 +8,7 @@ using Random
 
 Random.seed!(1234)
 Nobs = 10_000
-Nfeat = 300
+Nfeat = 100
 A1 = randn(Nobs, Nfeat) / sqrt(Nobs)
 U, S1, V = svd(A1)
 S = 1e-4 .+ ((S1 .- S1[end]) / (S1[1] - S1[end])).^2
@@ -109,55 +109,3 @@ for (select, tolr, tolc) in [ (:final, 20*epsn, 1.5),
    end
 end
 
-
-##
-
-# Experimental Implementation of tsvd postprocessing 
-
-
-# using SparseArrays
-
-# function solve_tsvd(At, yt, Av, yv) 
-#    Ut, Σt, Vt = svd(At); zt = Ut' * yt
-#    Qv, Rv = qr(Av); zv = Matrix(Qv)' * yv
-#    @assert issorted(Σt, rev=true)
-
-#    Rv_Vt = Rv * Vt
-
-#    θv = zeros(size(Av, 2))
-#    θv[1] = zt[1] / Σt[1] 
-#    rv = Rv_Vt[:, 1] * θv[1] - zv 
-
-#    tsvd_errs = Float64[] 
-#    push!(tsvd_errs, norm(rv))
-
-#    for k = 2:length(Σt)
-#       θv[k] = zt[k] / Σt[k]
-#       rv += Rv_Vt[:, k] * θv[k]
-#       push!(tsvd_errs, norm(rv))
-#    end
-
-#    imin = argmin(tsvd_errs)
-#    θv[imin+1:end] .= 0
-#    return Vt * θv, Σt[imin]
-# end
-
-# function post_asp_tsvd(path, At, yt, Av, yv) 
-#    Qt, Rt = qr(At); zt = Matrix(Qt)' * yt
-#    Qv, Rv = qr(Av); zv = Matrix(Qv)' * yv
-
-#    post = [] 
-#    for (θ, λ) in path
-#       if isempty(θ.nzind); push!(post, (θ = θ, λ = λ, σ = Inf)); continue; end  
-#       inz = θ.nzind 
-#       θ1, σ = solve_tsvd(Rt[:, inz], zt, Rv[:, inz], zv)
-#       θ2 = copy(θ); θ2[inz] .= θ1
-#       push!(post, (θ = θ2, λ = λ, σ = σ))
-#    end 
-#    return identity.(post)
-# end   
-
-# solver = ACEfit.ASP(P=I, select = :final, loglevel=0, traceFlag=true)
-# result = ACEfit.solve(solver, At, yt); 
-# post = post_asp_tsvd(result["path"], At, yt, Av, yv);
-