since Excel Solver is quite slow to run on thousands of optimizations (the reason being that it uses the spreadsheet as interface), I'm trying to implement a similar (problem-specific) solver in C++ (with Visual Studio 2010, on a Win 7 64-bit platform). I would include the DLL via a Declare statement in VBA and already have experience in doing this, so this is not the problem.
My problem would be minimizing the sum of squared errors between empirical data and a target function which is non-linear but smooth, and the problem would include non-negativity (X>=0) or even positivity constraints (e.g. X>=0.00000001), with X denoting the decision variable.
I'm looking for a robust, proven implementation. It may be part of an established library.
For example, I've already looked into what ALGLIB has in store (see http://www.alglib.net/optimization/) and it seems only one of their algorithms accepts bounded constraints. But I don't know what it's worth, though, that's why I'm trying to gather some opinions.
Or, on another note, would it be advisable to augment ALGLIB's Levenberg-Marquardt algorithm with such basic constraints, for example by rejecting every intermediate solution that does not satisfy my constraints? (guess that won't do it, but it's still worth asking)
There are modifications of the Levenberg-Marquardt method that add support for inequality constraints. I know about one library that implements such an algorithm:
levmar (GPL).
If you would like to modify an existing algorithm, rejecting bad solutions won't do, the optimization will likely get stuck. But you can make a variable substitution, e.g. to ensure that X > 0.1 you can use t^2+0.1 instead of X.
I use this method as a workaround for the lack of built-in box constraints in my program. Here is a quote from Data fitting in the chemical sciences by Peter Gans that describes it better:
https://github.com/wojdyr/fityk/wiki/InequalityConstraints
We find OPTIF9 and UNCMIN to be the standard methods of choice.
You should be able to link them in a library, and call them from C++,
if you don't want to bother compiling Fortran.
A way to put limits on the search space is to transform the parameters, such as by a logit function.
Have you looked into the Microsoft Solver Foundation? The express edition is free, and comes with a .NET 4.0 dll. I found it fairly easy to use. On the other hand, I don't know how large of a problem you are talking: there are some limitations in the number of variables in the express edition.
Related
I'm building a web-based programming language partially inspired by Prolog and Haskell (don't laugh).
It already has quite a bit of functionality, you can check out the prototype at http://www.lastcalc.com/. You can see the source here and read about the architecture here. Remember it's a prototype.
Currently LastCalc cannot simplify expressions or solve equations. Rather than hard-coding this in Java, I would like to enhance the fundamental language such that it can be extended to do these things using nothing but the language itself (as with Prolog). Unlike Prolog, LastCalc has a more powerful search algorithm, Prolog is "depth-first search with backtracking", LastCalc currently uses a heuristic best-first search.
Before delving into this I want to understand more about how other systems solve this problem, particularly Mathematica / Wolfram Alpha.
I assume the idea, at least in the general case, is that you give the system a bunch of rules for manipulation of equations (like a*(b+c) = a*b + a+c) specify the goal (eg. isolate variable x) and then let it loose.
So, my questions are:
Is my assumption correct?
What is the search strategy for applying rules? eg. depth first, breadth first, depth first with iterative deepening, some kind of best first?
If it is "best first", what heuristics are used to determine whether it is likely that a particular rule application has got us closer to our goal?
I'd also appreciate any other advice (except for "give up" - I regularly ignore that piece of advice and doing so has served me well ;).
I dealt with such questions myself some time ago. I then found this document about simplification of expressions. It is titled Rule-based Simplification of Expressions and shows some details about simplification in Mupad, which later became a part of Matlab.
According to this document, your assumption is correct. There is a set of rules for manipulation of expressions. A heuristic quality metric is is used as a target function for simplification.
Wolfram alpha is developed by Mathematica
mathematica is stephen wolphram's brainchild. Mathematica 1.0 was released in 1988. mathematica is much like maple and they both rely heavily on older software libraries like LaPack.
The libraries that these programs are, based on, and often simply, legacy software. They've been around, and modified, for a very long time.
If you would like to know about the background programs running, sagemath is a free open source alternative; you could possible reverse engineer the solutions to your questions:
SageMath.org
Here is a good linear solver named GotoBLAS. It is available for download and runs on most computing platforms. My question is, is there an easy way to link this solver with the Mathematica kernel, so that we can call it like LinearSolve? One thing most of you may agree on for sure is that if we have a very large Linear system then we better get it solved by some industry standard Linear solver. The inbuilt solver is not meant for really large problems.
Now that Mathematica 8 has come up with better compilation and library link capabilities we can expect to use some of those solvers from within Mathematica. The question is does that require little tuning of the source code, or you need to be an advanced wizard to do it. Here in this forum we may start linking some excellent open source programs like GotoBLAS with Mathematica and exchange our views. Less experienced people can get some insight from the pro users and at the end we get a much stronger Mathematica. It will be an open project for the ever increasing Mathematica community and a platform where these newly introduced capabilities of Mathematica 8 could be transparently documented for future users.
I hope some of you here will give solid ideas on how we can get GotoBLAS running from within Mathematica. As the newer compilation and library link capabilities are usually not very well documented, they are not used by the common users very often. This question can act as a toy example to document these new capabilities of Mathematica. Help in this direction by the experienced forum members will really lift the motivation of new users like me as well as it will teach us a very useful thing to extend Mathematica's number crunching arsenal.
The short answer, I think, is that this is not something you really want to do.
GotoBLAS, as I understand it, is a specific implementation of BLAS, which stands for Basic Linear Algebra Subroutines. "Basic" really means quite basic here - multiply a matrix times a vector, for example. Thus, BLAS is not a solver that a function like LinearSolve would call. LinearSolve would (depending on the exact form of the arguments) call a LAPACK command, which is a higher level package built on top of BLAS. Thus, to really link GotoBLAS (or any BLAS) into Mathematica, one would really need to recompile the whole kernel.
Of course, one could write a C/Fortran program that was compiled against GotoBLAS and then link that into Mathematica. The resulting program would only use GotoBLAS when running whatever specific commands you've linked into Mathematica, however, which rather misses the whole point of BLAS.
The Wolfram Kernel (Mathematica) is already linked to the highly-optimized Intel Math Kernel Library, and is distributed with Mathematica. The MKL is multithreaded and vectorized, so I'm not sure what GotoBLAS would improve upon.
I remember solving a lot of indefinite integration problems. There are certain standard methods of solving them, but nevertheless there are problems which take a combination of approaches to arrive at a solution.
But how can we achieve the solution programatically.
For instance look at the online integrator app of Mathematica. So how do we approach to write such a program which accepts a function as an argument and returns the indefinite integral of the function.
PS. The input function can be assumed to be continuous(i.e. is not for instance sin(x)/x).
You have Risch's algorithm which is subtly undecidable (since you must decide whether two expressions are equal, akin to the ubiquitous halting problem), and really long to implement.
If you're into complicated stuff, solving an ordinary differential equation is actually not harder (and computing an indefinite integral is equivalent to solving y' = f(x)). There exists a Galois differential theory which mimics Galois theory for polynomial equations (but with Lie groups of symmetries of solutions instead of finite groups of permutations of roots). Risch's algorithm is based on it.
The algorithm you are looking for is Risch' Algorithm:
http://en.wikipedia.org/wiki/Risch_algorithm
I believe it is a bit tricky to use. This book:
http://www.amazon.com/Algorithms-Computer-Algebra-Keith-Geddes/dp/0792392590
has description of it. A 100 page description.
You keep a set of basic forms you know the integrals of (polynomials, elementary trigonometric functions, etc.) and you use them on the form of the input. This is doable if you don't need much generality: it's very easy to write a program that integrates polynomials, for example.
If you want to do it in the most general case possible, you'll have to do much of the work that computer algebra systems do. It is a lifetime's work for some people, e.g. if you look at Risch's "algorithm" posted in other answers, or symbolic integration, you can see that there are entire multi-volume books ("Manuel Bronstein, Symbolic Integration Volume I: Springer") that have been written on the topic, and very few existing computer algebra systems implement it in maximum generality.
If you really want to code it yourself, you can look at the source code of Sage or the several projects listed among its components. Of course, it's easier to use one of these programs, or, if you're writing something bigger, use one of these as libraries.
These expert systems usually have a huge collection of techniques and simply try one after another.
I'm not sure about WolframMath, but in Maple there's a command that enables displaying all intermediate steps. If you do so, you get as output all the tried techniques.
Edit:
Transforming the input should not be the really tricky part - you need to write a parser and a lexer, that transforms the textual input into an internal representation.
Good luck. Mathematica is very complex piece of software, and symbolic manipulation is something that it does the best. If you are interested in the topic take a look at these books:
http://www.amazon.com/Computer-Algebra-Symbolic-Computation-Elementary/dp/1568811586/ref=sr_1_3?ie=UTF8&s=books&qid=1279039619&sr=8-3-spell
Also, going to the source wouldn't hurt either. These book actually explains the inner workings of mathematica
http://www.amazon.com/Mathematica-Book-Fourth-Stephen-Wolfram/dp/0521643147/ref=sr_1_7?ie=UTF8&s=books&qid=1279039687&sr=1-7
I am brainstorming an idea of developing a high level software to manipulate matrix algebra equations, tensor manipulations to be exact, to produce optimized C++ code using several criteria such as sizes of dimensions, available memory on the system, etc.
Something which is similar in spirit to tensor contraction engine, TCE, but specifically oriented towards producing optimized rather than general code.
The end result desired is software which is expert in producing parallel program in my domain.
Does this sort of development fall on the category of expert systems?
What other projects out there work in the same area of producing code given the constraints?
What you are describing is more like a Domain-Specific Language.
http://en.wikipedia.org/wiki/Domain-specific_language
It wouldn't be called an expert system, at least not in the traditional sense of this concept.
Expert systems are rule-based inference engines, whereby the expertise in question is clearly encapsulated in the rules. The system you suggest, while possibly encapsulating insight about the nature of the problem domain inside a linear algebra model of sorts, would act more as a black box than an expert system. One of the characteristics of expert systems is that they can produce an "explanation" of their reasoning, and such a feature is possible in part because the knowledge representation, while formalized, remains close to simple statements in a natural language; matrices and operations on them, while possibly being derived upon similar observation of reality, are a lot less transparent...
It is unclear from the description in the question if the system you propose would optimize existing code (possibly in a limited domain), or if it would produced optimized code, in that case driven bay some external goal/function...
Well production systems (rule systems) are one of four general approaches to computation (Turing machines, Church recursive functions, Post production systems and Markov algorithms [and several more have been added to that list]) which more or less have these respective realizations: imperative programming, functional programming, rule based programming - as far as I know Markov algorithms don't have an independent implementation. These are all Turing equivalent.
So rule based programming can be used to write anything at all. Also early mathematical/symbolic manipulation programs did generally use rule based programming until the problem was sufficiently well understood (whereupon the approach was changed to imperative or constraint programming - see MACSYMA - hmmm MACSYMA was written in Lisp so perhaps I have a different program in mind or perhaps they originally implemented a rule system in Lisp for this).
You could easily write a rule system to perform the matrix manipulations. You could keep a trace depending on logical support to record the actual rules fired that contributed to a solution (some rules that fire might not contribute directly to a solution afterall). Then for every rule you have a mapping to a set of C++ instructions (these don't have to be "complete" - they sort of act more like a semi-executable requirement) which are output as an intermediate language. Then that is read by a parser to link it to the required input data and any kind of fix up needed. You might find it easier to generate functional code - for one thing after the fix up you could more easily optimize the output code in functional source.
Having said that, other contributors have outlined a domain specific language approach and that is what the TED people did too (my suggestion is that too just using rules).
I am working in a company that develops computing kernels. Their design is simple : it's a library in c++ which only has one function available to compute results out of available data.
There are essentially four steps in every one of these kernels :
retrieve xml content (format has been defined in an XSD file) and store into objects
define a mathematical problem using the above objects
use a solver to find a solution (or the optimal solution)
export results into a new xml file
Currently, our resources are very much model-oriented in terms of capabilities and interests (and not so much into programming). Obviously we want to make the environment as friendly and efficient as possible. We are evaluating the use of c# using LinQ and Microsoft Solver Foundation as a replacement for c++ and home-made tools.
My questions are :
Can LinQ and Solver Foundation do all that ? How easy would it be to use ?
What would be the gains/losses of changing the environment for our resources (time to learn and rewrite, efficiency, etc.) ?
Are there other interesting options that i should consider ?
You would get huge benefits by switching to C#/LINQ in terms of working with the XML and even with a lot of the math. There would be a slight learning curve (so that's a con), but in just a couple of weeks, I'm sure you'll be laughing at how much easier coding C#3/LINQ is.
I say this from experience... and I specifically mentioned "C#3" (as opposed to just C#), because when I convinced my fellow C#2 colleagues to move to 3/LINQ, they experienced the above :)
I say that any C++ application developer should take a good look at C#. In my opinion, many of the problems that you solve in C++ can be solved much quicker in C#. It is not a hard language to learn coming from C++ at all. I would say, before you decide, check out C# for a week or so and see how much you like it.
Good luck :)