Numeric and symbolic gradients don't match although Hessians do - algorithm

For context, I have a small project in MATLAB where I try to replicate an algorithm involving some optimisation with the Newton algorithm. Although my issue is mainly with MATLAB, maybe it's my lacking profound background knowledge what's keeping me from finding a solution, so feel free to redirect me to the appropriate StackExchange site if needed.
The function I need to calculate the gradient vector and Hessian matrix for the optimization is :
function [zi] = Zi(lambda,j)
zi = m(j)*exp(-(lambda*v_tilde(j,:).'));
end
function [z] = Z(lambda)
res = arrayfun(#(x) Zi(lambda,x),1:length(omega));
z = sum(res);
end
function [f] = F(lambda)
f = log(Z(lambda));
end
where omega and v_tilde are Matrices of n d-Dimensional vectors and lambda is the d-Dimensional argument to the function. (right now, m(j) are just selectors (1 or 0), but the algorithm allows to refine these, so they shouldn't be removed.
I use the Derivest Suite to calculate the gradient and Hessian numerically, and, although logically slow for high dimensions, the algorithm as a whole works.
I implemented the same solution using the sym package, so that I could compute the gradient and Hessian in advance for some fix n and d, so they can then be evaluated quickly when needed. This would be the symbolic version:
V_TILDE = sym('v_tilde',[d,n])
syms n k
lambda = sym('lambda',[d,1]);
F = log(M*exp(-(transpose(V_TILDE)*lambda)));
matlabFunction( grad_F, 'File', sprintf('Grad_%d_dim_%d_n.m',d,n_max), 'vars',{a,lambda,V_TILDE});
matlabFunction( hesse_F, 'File', sprintf('Hesse_%d_dim_%d_n.m',d,n_max), 'vars',{a,lambda,V_TILDE});
As n is fix, there is no need to iterate over omega. The gradient and Hessian of this can be obtained through the corresponding functions of sym and then stored as matlabFunctions.
However, when I test both implementations against some values, they don't match, surprisingly though, the values of the hessian matrix match while the values of the gradient don't (the numerical calculation being correct), and the Newton algorithm iterates until the values are just NaN. These are some example values for d=2 and n=8:
Omega:
12.6987 91.3376
95.7507 96.4889
15.7613 97.0593
95.7167 48.5376
70.6046 3.1833
27.6923 4.6171
9.7132 82.3458
95.0222 3.4446
v:
61.2324
52.2271
gNum = HNum = 1.0e+03 *
8.3624 1.4066 -0.5653
-1.1496 -0.5653 1.6826
gSym = HSym = 1.0e+03 *
-52.8700 1.4066 -0.5653
-53.3768 -0.5653 1.6826
As you can see, the values of HNum and HSym match, but the gradients don't.
I'm happy to give any more context information, code snippets, or anything that helps. Thank you in advance!
Edit: As requested, here is a minimal test. The problem is basically that the values of gNum and gSym don't match (longer explanation above):
omega = [[12.6987, 91.3376];[95.7507, 96.4889];[15.7613, 97.0593];
[95.7167, 48.5376];[70.6046, 3.1833];[27.6923, 4.6171];[9.7132, 82.3458];
[95.0222, 3.4446]];
v = [61.2324;52.2271];
gradStr = sprintf('Grad_%d_dim_%d_n',length(omega(1,:)),length(omega));
hesseStr = sprintf('Hesse_%d_dim_%d_n',length(omega(1,:)),length(omega));
g = str2func(gradStr);
H = str2func(hesseStr);
selector = ones(1,length(omega)); %this will change, when n_max>n
vtilde = zeros(length(omega),length(omega(1,:)));
for i = 1:length(omega)
vtilde(i,:) = omega(i,:)-v;
end
lambda = zeros(1,length(omega(1,:))); % start of the optimization
[gNum,~,~] = gradest(#F,lambda)
[HNum,~] = hessian(#F,lambda)
gSym = g(selector,lambda.',omega.')
HSym = H(selector,lambda.',omega.')
Note: The DerivestSuite is a small library (~6 source files) that can be obtained under https://de.mathworks.com/matlabcentral/fileexchange/13490-adaptive-robust-numerical-differentiation

Related

Computing a single element of the adjugate or inverse of a symbolic binary matrix

I'm trying to get a single element of an adjugate A_adj of a matrix A, both of which need to be symbolic expressions, where the symbols x_i are binary and the matrix A is symmetric and sparse. Python's sympy works great for small problems:
from sympy import zeros, symbols
size = 4
A = zeros(size,size)
x_i = [x for x in symbols(f'x0:{size}')]
for i in range(size-1):
A[i,i] += 0.5*x_i[i]
A[i+1,i+1] += 0.5*x_i[i]
A[i,i+1] = A[i+1,i] = -0.3*(i+1)*x_i[i]
A_adj_0 = A[1:,1:].det()
A_adj_0
This calculates the first element A_adj_0 of the cofactor matrix (which is the corresponding minor) and correctly gives me 0.125x_0x_1x_2 - 0.28x_2x_2^2 - 0.055x_1^2x_2 - 0.28x_1x_2^2, which is the expression I need, but there are two issues:
This is completely unfeasible for larger matrices (I need this for sizes of ~100).
The x_i are binary variables (i.e. either 0 or 1) and there seems to be no way for sympy to simplify expressions of binary variables, i.e. simplifying polynomials x_i^n = x_i.
The first issue can be partly addressed by instead solving a linear equation system Ay = b, where b is set to the first basis vector [1, 0, 0, 0], such that y is the first column of the inverse of A. The first entry of y is the first element of the inverse of A:
b = zeros(size,1)
b[0] = 1
y = A.LUsolve(b)
s = {x_i[i]: 1 for i in range(size)}
print(y[0].subs(s) * A.subs(s).det())
print(A_adj_0.subs(s))
The problem here is that the expression for the first element of y is extremely complicated, even after using simplify() and so on. It would be a very simple expression with simplification of binary expressions as mentioned in point 2 above. It's a faster method, but still unfeasible for larger matrices.
This boils down to my actual question:
Is there an efficient way to compute a single element of the adjugate of a sparse and symmetric symbolic matrix, where the symbols are binary values?
I'm open to using other software as well.
Addendum 1:
It seems simplifying binary expressions in sympy is possible with a simple custom substitution which I wasn't aware of:
A_subs = A_adj_0
for i in range(size):
A_subs = A_subs.subs(x_i[i]*x_i[i], x_i[i])
A_subs
You should make sure to use Rational rather than floats in sympy so S(1)/2 or Rational(1, 2) rather than 0.5.
There is a new (undocumented and for the moment internal) implementation of matrices in sympy called DomainMatrix. It is likely to be a lot faster for a problem like this and always produces polynomial results in a fully expanded form. I expect that it will be much faster for this kind of problem but it still seems to be fairly slow for this because is is not sparse internally (yet - that will probably change in the next release) and it does not take advantage of the simplification from the symbols being binary-valued. It can be made to work over GF(2) but not with symbols that are assumed to be in GF(2) which is something different.
In case it is helpful though this is how you would use it in sympy 1.7.1:
from sympy import zeros, symbols, Rational
from sympy.polys.domainmatrix import DomainMatrix
size = 10
A = zeros(size,size)
x_i = [x for x in symbols(f'x0:{size}')]
for i in range(size-1):
A[i,i] += Rational(1, 2)*x_i[i]
A[i+1,i+1] += Rational(1, 2)*x_i[i]
A[i,i+1] = A[i+1,i] = -Rational(3, 10)*(i+1)*x_i[i]
# Convert to DomainMatrix:
dM = DomainMatrix.from_list_sympy(size-1, size-1, A[1:, 1:].tolist())
# Compute determinant and convert back to normal sympy expression:
# Could also use dM.det().as_expr() although it might be slower
A_adj_0 = dM.charpoly()[-1].as_expr()
# Reduce powers:
A_adj_0 = A_adj_0.replace(lambda e: e.is_Pow, lambda e: e.args[0])
print(A_adj_0)

Understanding a FastICA implementation

I'm trying to implement FastICA (independent component analysis) for blind signal separation of images, but first I thought I'd take a look at some examples from Github that produce good results. I'm trying to compare the main loop from the algorithm's steps on Wikipedia's FastICA and I'm having quite a bit of difficulty seeing how they're actually the same.
They look very similar, but there's a few differences that I don't understand. It looks like this implementation is similar to (or the same as) the "Multiple component extraction" version from Wiki.
Would someone please help me understand what's going on in the four or so lines having to do with the nonlinearity function with its first and second derivatives, and the first line of updating the weight vector? Any help is greatly appreciated!
Here's the implementation with the variables changed to mirror the Wiki more closely:
% X is sized (NxM, 3x50K) mixed image data matrix (one row for each mixed image)
C=3; % number of components to separate
W=zeros(numofIC,VariableNum); % weights matrix
for p=1:C
% initialize random weight vector of length N
wp = rand(C,1);
wp = wp / norm(wp);
% like do:
i = 1;
maxIterations = 100;
while i <= maxIterations+1
% until mat iterations
if i == maxIterations
fprintf('No convergence: ', p,maxIterations);
break;
end
wp_old = wp;
% this is the main part of the algorithm and where
% I'm confused about the particular implementation
u = 1;
t = X'*b;
g = t.^3;
dg = 3*t.^2;
wp = ((1-u)*t'*g*wp+u*X*g)/M-mean(dg)*wp;
% 2nd and 3rd wp update steps make sense to me
wp = wp-W*W'*wp;
wp = wp / norm(wp);
% or until w_p converges
if abs(abs(b'*bOld)-1)<1e-10
W(:,p)=b;
break;
end
i=i+1;
end
end
And the Wiki algorithms for quick reference:
First, I don't understand why the term that is always zero remains in the code:
wp = ((1-u)*t'*g*wp+u*X*g)/M-mean(dg)*wp;
The above can be simplified into:
wp = X*g/M-mean(dg)*wp;
Also removing u since it is always 1.
Second, I believe the following line is wrong:
t = X'*b;
The correct expression is:
t = X'*wp;
Now let's go through each variable here. Let's refer to
w = E{Xg(wTX)T} - E{g'(wTX)}w
as the iteration equation.
X is your input data, i.e. X in the iteration equation.
wp is the weight vector, i.e. w in the iteration equation. Its initial value is randomised.
g is the first derivative of a nonquadratic nonlinear function, i.e. g(wTX) in the iteration equation
dg is the first derivative of g, i.e. g'(wTX) in the iteration equation
M although its definition is not shown in the code you provide, but I think it should be the size of X.
Having the knowledge of the meaning of all variables, we can now try to understand the codes.
t = X'*b;
The above line computes wTX.
g = t.^3;
The above line computes g(wTX) = (wTX)3. Note that g(u) can be any equation as long as f(u), where g(u) = df(u)/du, is nonlinear and nonquadratic.
dg = 3*t.^2;
The above line computes the derivative of g.
wp = X*g/M-mean(dg)*wp;
Xg obviously calculates Xg(wTX). Xg/M calculates the average of Xg, which is equivalent to E{Xg(wTX)T}.
mean(dg) is E{g'(wTX)} and multiplies by wp or w in the equation.
Now you have what you needed for Newton-Raphson Method.

How to speed up a 3D nested loop to fill a (i,j,k)-matrix with indices from other arrays in Matlab?

I have the following problem: given a 3D irregular geometry A with
(i,j,k)-coordinates, which are the centroids of connected voxels, create a table with the (i_out,j_out,k_out)-coordinates of the cells that represent the complementary set B of the bounding box of A, which we may call C. That is to say, I need the voxel coordinates of the set B = C - A.
To get this done, I am using the Matlab code below, but it is taking too much time to complete when C is fairly large. Then, I would like to speed up the code. To make it clear: cvc is the matrix of voxel coordinates of A; allcvc should produce C and B results from outcvc after setdiff.
Someone has a clue regarding the code performance, or even to improve my strategy?
Problem: the for-loop seems to be the villain.
My attempts: I have tried to follow some hints of Yair Altman's book by doing some tic,toc analyses, using pre-allocation and int8 since I do not need double values. deal yet gave me a slight improvement with min,max. I have also checked this discussion here, but, parallelism, for instance, is a limitation that I have for now.
% A bounding box limits
m = min(cvc,[],1);
M = max(cvc,[],1);
[im,jm,km,iM,jM,kM] = deal(m(1),m(2),m(3),M(1),M(2),M(3));
% (i,j,k) indices of regular grid
I = im:iM;
J = jm:jM;
K = km:kM;
% (i,j,k) table
m = length(I);
n = length(J);
p = length(K);
num = m*n*p;
allcvc = zeros(num,3,'int8');
for N = 1:num
for i = 1:m
for j = 1:n
for k = 1:p
aux = [I(i),J(j),K(k)];
allcvc(N,:) = aux;
end
end
end
end
% operation of exclusion: out = all - in
[outcvc,~] = setdiff(allcvc,cvc,'rows');
To avoid all for-loops in the present code you can use ndgrid or meshgrid functions. For example
[I,J,K] = ndgrid(im:iM, jm:jM, km:kM);
allcvc = [I(:),J(:),K(:)];
instead of your code between % (i,j,k) indices of regular grid and % operation of exclusion: out =.

Parallelising gradient calculation in Julia

I was persuaded some time ago to drop my comfortable matlab programming and start programming in Julia. I have been working for a long with neural networks and I thought that, now with Julia, I could get things done faster by parallelising the calculation of the gradient.
The gradient need not be calculated on the entire dataset in one go; instead one can split the calculation. For instance, by splitting the dataset in parts, we can calculate a partial gradient on each part. The total gradient is then calculated by adding up the partial gradients.
Though, the principle is simple, when I parallelise with Julia I get a performance degradation, i.e. one process is faster then two processes! I am obviously doing something wrong... I have consulted other questions asked in the forum but I could still not piece together an answer. I think my problem lies in that there is a lot of unnecessary data moving going on, but I can't fix it properly.
In order to avoid posting messy neural network code, I am posting below a simpler example that replicates my problem in the setting of linear regression.
The code-block below creates some data for a linear regression problem. The code explains the constants, but X is the matrix containing the data inputs. We randomly create a weight vector w which when multiplied with X creates some targets Y.
######################################
## CREATE LINEAR REGRESSION PROBLEM ##
######################################
# This code implements a simple linear regression problem
MAXITER = 100 # number of iterations for simple gradient descent
N = 10000 # number of data items
D = 50 # dimension of data items
X = randn(N, D) # create random matrix of data, data items appear row-wise
Wtrue = randn(D,1) # create arbitrary weight matrix to generate targets
Y = X*Wtrue # generate targets
The next code-block below defines functions for measuring the fitness of our regression (i.e. the negative log-likelihood) and the gradient of the weight vector w:
####################################
## DEFINE FUNCTIONS ##
####################################
#everywhere begin
#-------------------------------------------------------------------
function negative_loglikelihood(Y,X,W)
#-------------------------------------------------------------------
# number of data items
N = size(X,1)
# accumulate here log-likelihood
ll = 0
for nn=1:N
ll = ll - 0.5*sum((Y[nn,:] - X[nn,:]*W).^2)
end
return ll
end
#-------------------------------------------------------------------
function negative_loglikelihood_grad(Y,X,W, first_index,last_index)
#-------------------------------------------------------------------
# number of data items
N = size(X,1)
# accumulate here gradient contributions by each data item
grad = zeros(similar(W))
for nn=first_index:last_index
grad = grad + X[nn,:]' * (Y[nn,:] - X[nn,:]*W)
end
return grad
end
end
Note that the above functions are on purpose not vectorised! I choose not to vectorise, as the final code (the neural network case) will also not admit any vectorisation (let us not get into more details regarding this).
Finally, the code-block below shows a very simple gradient descent that tries to recover the parameter weight vector w from the given data Y and X:
####################################
## SOLVE LINEAR REGRESSION ##
####################################
# start from random initial solution
W = randn(D,1)
# learning rate, set here to some arbitrary small constant
eta = 0.000001
# the following for-loop implements simple gradient descent
for iter=1:MAXITER
# get gradient
ref_array = Array(RemoteRef, nworkers())
# let each worker process part of matrix X
for index=1:length(workers())
# first index of subset of X that worker should work on
first_index = (index-1)*int(ceil(N/nworkers())) + 1
# last index of subset of X that worker should work on
last_index = min((index)*(int(ceil(N/nworkers()))), N)
ref_array[index] = #spawn negative_loglikelihood_grad(Y,X,W, first_index,last_index)
end
# gather the gradients calculated on parts of matrix X
grad = zeros(similar(W))
for index=1:length(workers())
grad = grad + fetch(ref_array[index])
end
# now that we have the gradient we can update parameters W
W = W + eta*grad;
# report progress, monitor optimisation
#printf("Iter %d neg_loglikel=%.4f\n",iter, negative_loglikelihood(Y,X,W))
end
As is hopefully visible, I tried to parallelise the calculation of the gradient in the easiest possible way here. My strategy is to break the calculation of the gradient in as many parts as available workers. Each worker is required to work only on part of matrix X, which part is specified by first_index and last_index. Hence, each worker should work with X[first_index:last_index,:]. For instance, for 4 workers and N = 10000, the work should be divided as follows:
worker 1 => first_index = 1, last_index = 2500
worker 2 => first_index = 2501, last_index = 5000
worker 3 => first_index = 5001, last_index = 7500
worker 4 => first_index = 7501, last_index = 10000
Unfortunately, this entire code works faster if I have only one worker. If add more workers via addprocs(), the code runs slower. One can aggravate this issue by create more data items, for instance use instead N=20000.
With more data items, the degradation is even more pronounced.
In my particular computing environment with N=20000 and one core, the code runs in ~9 secs. With N=20000 and 4 cores it takes ~18 secs!
I tried many many different things inspired by the questions and answers in this forum but unfortunately to no avail. I realise that the parallelisation is naive and that data movement must be the problem, but I have no idea how to do it properly. It seems that the documentation is also a bit scarce on this issue (as is the nice book by Ivo Balbaert).
I would appreciate your help as I have been stuck for quite some while with this and I really need it for my work. For anyone wanting to run the code, to save you the trouble of copying-pasting you can get the code here.
Thanks for taking the time to read this very lengthy question! Help me turn this into a model answer that anyone new in Julia can then consult!
I would say that GD is not a good candidate for parallelizing it using any of the proposed methods: either SharedArray or DistributedArray, or own implementation of distribution of chunks of data.
The problem does not lay in Julia, but in the GD algorithm.
Consider the code:
Main process:
for iter = 1:iterations #iterations: "the more the better"
δ = _gradient_descent_shared(X, y, θ)
θ = θ - α * (δ/N)
end
The problem is in the above for-loop which is a must. No matter how good _gradient_descent_shared is, the total number of iterations kills the noble concept of the parallelization.
After reading the question and the above suggestion I've started implementing GD using SharedArray. Please note, I'm not an expert in the field of SharedArrays.
The main process parts (simple implementation without regularization):
run_gradient_descent(X::SharedArray, y::SharedArray, θ::SharedArray, α, iterations) = begin
N = length(y)
for iter = 1:iterations
δ = _gradient_descent_shared(X, y, θ)
θ = θ - α * (δ/N)
end
θ
end
_gradient_descent_shared(X::SharedArray, y::SharedArray, θ::SharedArray, op=(+)) = begin
if size(X,1) <= length(procs(X))
return _gradient_descent_serial(X, y, θ)
else
rrefs = map(p -> (#spawnat p _gradient_descent_serial(X, y, θ)), procs(X))
return mapreduce(r -> fetch(r), op, rrefs)
end
end
The code common to all workers:
#= Returns the range of indices of a chunk for every worker on which it can work.
The function splits data examples (N rows into chunks),
not the parts of the particular example (features dimensionality remains intact).=#
#everywhere function _worker_range(S::SharedArray)
idx = indexpids(S)
if idx == 0
return 1:size(S,1), 1:size(S,2)
end
nchunks = length(procs(S))
splits = [round(Int, s) for s in linspace(0,size(S,1),nchunks+1)]
splits[idx]+1:splits[idx+1], 1:size(S,2)
end
#Computations on the chunk of the all data.
#everywhere _gradient_descent_serial(X::SharedArray, y::SharedArray, θ::SharedArray) = begin
prange = _worker_range(X)
pX = sdata(X[prange[1], prange[2]])
py = sdata(y[prange[1],:])
tempδ = pX' * (pX * sdata(θ) .- py)
end
The data loading and training. Let me assume that we have:
features in X::Array of the size (N,D), where N - number of examples, D-dimensionality of the features
labels in y::Array of the size (N,1)
The main code might look like this:
X=[ones(size(X,1)) X] #adding the artificial coordinate
N, D = size(X)
MAXITER = 500
α = 0.01
initialθ = SharedArray(Float64, (D,1))
sX = convert(SharedArray, X)
sy = convert(SharedArray, y)
X = nothing
y = nothing
gc()
finalθ = run_gradient_descent(sX, sy, initialθ, α, MAXITER);
After implementing this and run (on 8-cores of my Intell Clore i7) I got a very slight acceleration over serial GD (1-core) on my training multiclass (19 classes) training data (715 sec for serial GD / 665 sec for shared GD).
If my implementation is correct (please check this out - I'm counting on that) then parallelization of the GD algorithm is not worth of that. Definitely you might get better acceleration using stochastic GD on 1-core.
If you want to reduce the amount of data movement, you should strongly consider using SharedArrays. You could preallocate just one output vector, and pass it as an argument to each worker. Each worker sets a chunk of it, just as you suggested.

finding the best/ scale/shift between two vectors

I have two vectors that represents a function f(x), and another vector f(ax+b) i.e. a scaled and shifted version of f(x). I would like to find the best scale and shift factors.
*best - by means of least squares error , maximum likelihood, etc.
any ideas?
for example:
f1 = [0;0.450541598502498;0.0838213779969326;0.228976968716819;0.91333736150167;0.152378018969223;0.825816977489547;0.538342435260057;0.996134716626885;0.0781755287531837;0.442678269775446;0];
f2 = [-0.029171964726699;-0.0278570165494982;0.0331454732535324;0.187656956432487;0.358856370923984;0.449974662483267;0.391341738643094;0.244800719791534;0.111797007617227;0.0721767235173722;0.0854437239807415;0.143888234591602;0.251750993723227;0.478953530572365;0.748209818420035;0.908044924557262;0.811960826711455;0.512568916956487;0.22669198638799;0.168136111568694;0.365578085161896;0.644996661336714;0.823562159983554;0.792812945867018;0.656803251999341;0.545799498053254;0.587013303815021;0.777464637372241;0.962722388208354;0.980537136457874;0.734416947254272;0.375435649393553;0.106489547770962;0.0892376361668696;0.242467741982851;0.40610516900965;0.427497319032133;0.301874099075184;0.128396341665384;0.00246347624097456;-0.0322120242872125]
*note that f(x) may be irreversible...
Thanks,
Ohad
For each f(x), take the absolute value of f(x) and normalize it such that it can be considered a probability mass function over its support. Calculate the expected value E[x] and variance of Var[x]. Then, we have that
E[a x + b] = a E[x] + b
Var[a x + b] = a^2 Var[x]
Use the above equations and the known values of E[x] and Var[x] to calculate a and b. Taking your values of f1 and f2 from your example, the following Octave script performs this procedure:
% Octave script
% f1, f2 are defined as given in your example
f1 = [zeros(length(f2) - length(f1), 1); f1];
save_f1 = f1; save_f2 = f2;
f1 = abs( f1 ); f2 = abs( f2 );
f1 = f1 ./ sum( f1 ); f2 = f2 ./ sum( f2 );
mean = #(x)sum(((1:length(x))' .* x));
var = #(x)sum((((1:length(x))'-mean(x)).^2) .* x);
m1 = mean(f1); m2 = mean(f2);
v1 = var(f1); v2 = var(f2)
a = sqrt( v2 / v1 ); b = m2 - a * m1;
plot( a .* (1:length( save_f1 )) + b, save_f1, ...
1:length( save_f2 ), save_f2 );
axis([0 length( save_f1 )];
And the output is
Here's a simple, effective, but perhaps somewhat naive approach.
First make sure you make a generic interpolator through both functions. That way you can evaluate both functions in between the given data points. I used a cubic-splines interpolator, since that seems general enough for the type of smooth functions you provided (and does not require additional toolboxes).
Then you evaluate the source function ("original") at a large number of points. Use this number also as a parameter in an inline function, that takes as input X, where
X = [a b]
(as in ax+b). For any input X, this inline function will compute
the function values of the target function at the same x-locations, but then scaled and offset by a and b, respectively.
The sum of the squared-differences between the resulting function values, and the ones of the source function you computed earlier.
Use this inline function in fminsearch with some initial estimate (one that you have obtained visually or by via automatic means). For the example you provided, I used a few random ones, which all converged to near-optimal fits.
All of the above in code:
function s = findScaleOffset
%% initialize
f2 = [0;0.450541598502498;0.0838213779969326;0.228976968716819;0.91333736150167;0.152378018969223;0.825816977489547;0.538342435260057;0.996134716626885;0.0781755287531837;0.442678269775446;0];
f1 = [-0.029171964726699;-0.0278570165494982;0.0331454732535324;0.187656956432487;0.358856370923984;0.449974662483267;0.391341738643094;0.244800719791534;0.111797007617227;0.0721767235173722;0.0854437239807415;0.143888234591602;0.251750993723227;0.478953530572365;0.748209818420035;0.908044924557262;0.811960826711455;0.512568916956487;0.22669198638799;0.168136111568694;0.365578085161896;0.644996661336714;0.823562159983554;0.792812945867018;0.656803251999341;0.545799498053254;0.587013303815021;0.777464637372241;0.962722388208354;0.980537136457874;0.734416947254272;0.375435649393553;0.106489547770962;0.0892376361668696;0.242467741982851;0.40610516900965;0.427497319032133;0.301874099075184;0.128396341665384;0.00246347624097456;-0.0322120242872125];
figure(1), clf, hold on
h(1) = subplot(2,1,1); hold on
plot(f1);
legend('Original')
h(2) = subplot(2,1,2); hold on
plot(f2);
linkaxes(h)
axis([0 max(length(f1),length(f2)), min(min(f1),min(f2)),max(max(f1),max(f2))])
%% make cubic interpolators and test points
pp1 = spline(1:numel(f1), f1);
pp2 = spline(1:numel(f2), f2);
maxX = max(numel(f1), numel(f2));
N = 100 * maxX;
x2 = linspace(1, maxX, N);
y1 = ppval(pp1, x2);
%% search for parameters
s = fminsearch(#(X) sum( (y1 - ppval(pp2,X(1)*x2+X(2))).^2 ), [0 0])
%% plot results
y2 = ppval( pp2, s(1)*x2+s(2));
figure(1), hold on
subplot(2,1,2), hold on
plot(x2,y2, 'r')
legend('before', 'after')
end
Results:
s =
2.886234493867320e-001 3.734482822175923e-001
Note that this computes the opposite transformation from the one you generated the data with. Reversing the numbers:
>> 1/s(1)
ans =
3.464721948700991e+000 % seems pretty decent
>> -s(2)
ans =
-3.734482822175923e-001 % hmmm...rather different from 7/11!
(I'm not sure about the 7/11 value you provided; using the exact values you gave to make a plot results in a less accurate approximation to the source function...Are you sure about the 7/11?)
Accuracy can be improved by either
using a different optimizer (fmincon, fminunc, etc.)
demanding a higher accuracy from fminsearch through optimset
having more sample points in both f1 and f2 to improve the quality of the interpolations
Using a better initial estimate
Anyway, this approach is pretty general and gives nice results. It also requires no toolboxes.
It has one major drawback though -- the solution found may not be the global optimizer, e.g., the quality of the outcomes of this method could be quite sensitive to the initial estimate you provide. So, always make a (difference) plot to make sure the final solution is accurate, or if you have a large number of such things to do, compute some sort of quality factor upon which you decide to re-start the optimization with a different initial estimate.
It is of course very possible to use the results of the Fourier+Mellin transforms (as suggested by chaohuang below) as an initial estimate to this method. That might be overkill for the simple example you provide, but I can easily imagine situations where this could indeed be very useful.
For the scale factor a, you can estimate it by computing the ratio of the amplitude spectra of the two signals since the Fourier transform is invariant to shift.
Similarly, you can estimate the shift factor b by using the Mellin transform, which is scale invariant.
Here's a super simple approach to estimate the scale a that works on your example data:
a = length(f2) / length(f1)
This gives 3.4167 which is close to your stated value of 3.4. If that estimate is good enough, you can use correlation to estimate the shift.
I realize that this is not exactly what you asked, but it may be an acceptable alternative depending on the data.
Both Rody Oldenhuis and jstarr's answers are correct. I'm adding my own answer just to sum things up, and connect between them.
I've messed up Rody's code a little bit and ended up with the following:
function findScaleShift
load f1f2
x0 = [length(f1)/length(f2) 0]; %initial guess, can do better
n=length(f1);
costFunc = #(z) sum((eval_f1(z,f2,n)-f1).^2);
opt.TolFun = eps;
xopt=fminsearch(costFunc,x0,opt);
f1r=eval_f1(xopt,f2,n);
subplot(211);
plot(1:n,f1,1:n,f1r,'--','linewidth',5)
title(xopt);
subplot(212);
plot(1:n,(f1-f1r).^2);
title('squared error')
end
function y = eval_f1(x,f2,n)
t = maketform('affine',[x(1) 0 x(2); 0 1 0 ; 0 0 1]');
y=imtransform(f2',t,'cubic','xdata',[1 n ],'ydata',[1 1])';
end
This gives zero results:
This method is accurate but exhaustive and may take some time. Another disadvantage is that it finds only a local minima, and may give false results if initial guess (x0) is far.
On the other hand, jstarr method gave the following results:
xopt = [ 3.49655562549115 -0.676062367063033]
which is 10% deviation from the correct answer. Pretty fast solution, but not as accurate as I requested, but still should be noted.
I think in order to get the best results jstarr method should be used as an initial guess for the method purposed by Rody, giving an accurate solution.
Ohad

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