Feature/sampling correlation matrices #233

huuphuocle · 2022-07-16T00:45:59Z

Hi all,
Here is a PR for sampling correlation matrices with uniform billiard walk.
Main new files are:

./examples/correlation_matrices/ (user functions for sampling, test functions)
./include/convex_bodies/correlation_matrices/ (new correlation matrix class)
./include/matrix_operations/EigenvaluesCorrelation.h (modified eigenvalue problems)

To test: execute bash script ./examples/correlation_matrices/test.sh then input a value for n from keyboard.
The code will run the new implementation and the one use Spectrahedron class and their timings. There is a commented line
check_output in test.hpp which can be uncommented to check the correctness of output,

The speed up comes from reflection operator (adapt the computation with special LMI) and linear intersection (Eigen Generalized Self Adjoint Solver is faster than Spectra SymGEigSolver (tested up to n = 18)).

…uphuocle/volesti into feature/sampling_correlation_matrices

codecov · 2022-07-16T01:04:29Z

Codecov Report

Merging #233 (8a38e51) into develop (774abdb) will increase coverage by 0.63%.
The diff coverage is 65.40%.

❗ Current head 8a38e51 differs from pull request most recent head 04d53af. Consider uploading reports for the commit 04d53af to get more accurate results

Additional details and impacted files

@@             Coverage Diff             @@
##           develop     #233      +/-   ##
===========================================
+ Coverage    53.58%   54.22%   +0.63%     
===========================================
  Files          101       97       -4     
  Lines         5931     5791     -140     
  Branches      2766     2679      -87     
===========================================
- Hits          3178     3140      -38     
- Misses         967     1028      +61     
+ Partials      1786     1623     -163

Impacted Files	Coverage Δ
include/random_walks/uniform_billiard_walk.hpp	`63.63% <ø> (-1.52%)`	⬇️
include/convex_bodies/spectrahedra/spectrahedron.h	`8.33% <20.00%> (+8.33%)`	⬆️
...relation_matrices/correlation_spectrahedron_MT.hpp	`50.00% <50.00%> (ø)`
...correlation_matrices/correlation_spectrahedron.hpp	`66.23% <66.23%> (ø)`
include/matrix_operations/EigenvaluesProblems.h	`32.43% <66.66%> (+32.43%)`	⬆️
...onvex_bodies/correlation_matrices/corre_matrix.hpp	`69.04% <69.04%> (ø)`
include/sampling/sample_correlation_matrices.hpp	`71.42% <71.42%> (ø)`
include/sampling/sphere.hpp	`84.21% <78.57%> (-15.79%)`	⬇️
include/cartesian_geom/point.h	`62.00% <100.00%> (+1.79%)`	⬆️
include/random_walks/compute_diameter.hpp	`40.98% <100.00%> (+8.25%)`	⬆️
... and 28 more

…l Walk)

vissarion

Thanks for this PR! I have a few comments.

.gitignore

examples/correlation_matrices/CMakeLists.txt

include/convex_bodies/correlation_matrices/corre_spectra.hpp

include/random_walks/uniform_rdhr_walk.hpp

include/sampling/random_point_generators.hpp

include/sampling/sample_correlation_matrices.hpp

test/CMakeLists.txt

…ance) and change order of vector coefficients of CorreSpectra to lower triangular part (to homogenize with CorreSpectra_MT)

… those functions in test file

vissarion · 2022-09-08T08:31:57Z

Thanks for addressing the comments. Please fix some conflicts and merge with current develop to let the tests run. Then this PR could be merged!

* first commit * draft * draft * update some code * finish Point_matrix.cpp * change name: CorreSpectra.cpp * update * TODO * change TODO * update * update * update * update * clean * update * correlation class * billiard walk * eigenvaluescorrelation.h * update * update * update * update * update * update * faster billiard walk * add missing CMake file * start hmc * add old sampler file * Revert "add old sampler file" This reverts commit 1b2f299. * Revert "start hmc" This reverts commit 642d4e1. * revert commits of HMC walk * clean unecessary code and fix minor changes * New class CorreSpectra inherits from Spectrahedron * add first code of ReHMC with leap frog for Gaussian sampling for testing * relocate files: * sample_correlation_matrices.hpp -> sampling/ * test.hpp -> test/sampling_correlation_matrices_test.cpp * ReHMC.cpp -> random_walks/gaussian_ReHMC_correlation.hpp * move test files to test folder and add more test * change ReHMC code to WalkType class to suit volesti * move content of EigenvaluesCorrelation to EigenvaluesProblems remove temporary HCM walk change Walk Length of test to 1 * simplify code of corre_spectra.hpp * new correlation matrix class : CorreSpectra2 (testing: run for n=3, bug for n=10) * fix bugs of CorreSpectra2 for BilliardWalk * add some more tests + optimize reflection of CorreSpectra2 * fix some bugs of Spectrahedra to run BallWalk and AcceleratedBilliardWalk * New changes: * Change name of CorreSpectr2 -> CorreSpectra_MT * Added and tested BallWalk for CorreSpectra_MT * Compute diameter: remove NT(6) * Remove commented code * remove redundant comments * add examples for sampling correlation matrices and remove redundant functions in tests * added RDHR walk + fixed small changes * remove redundant files in examples * update CMakeLists in examples to enable MKL * change MKL linking in examples' CMakeLists.txt * change const specifier in several functions + readded const for Polytope arguments in functions of uniform_ball_walk.hpp * add const specifier to is_in in spectrahedron class (required for Ball Walk) * newline end of gitignore * add copyright to examples * format uniform_billiard_walk.hpp (indent, trailing spaces,...) * change header guards of convex_bodies correlation_matrices files * fix bugs in Spectrahedron line_intersect (wrong sign of negative distance) and change order of vector coefficients of CorreSpectra to lower triangular part (to homogenize with CorreSpectra_MT) * homogenize check_output in tests for CorreSpectra and CorreSpectra_MT * change names of CorreSpectra classes to CorrelationSpectrahedron * change include path of CorrelationSpectrahedron in random walks * format and optimize (minor) sampling/sphere.hpp * add Copyright headers * format style corre_matrix.hpp * format style CorrelationSpectrahedron * format style CorrelationSpectrahedron classes * move direct (old) sampling functions to examples and remove tests for those functions in test file * remove old tests from CMakeLists.txt * add const keywords back to RDHR Walk * fix bugs in corre_matrix * add const keyword back to gaussian random point generator Co-authored-by: phuoc <huu-phuoc.le@lip6.fr> Co-authored-by: Vissarion Fisikopoulos <fisikop@gmail.com>

phuoc and others added 27 commits May 30, 2022 15:17

first commit

37a97e8

draft

6d2248a

draft

9cdee7a

update some code

1b30e72

finish Point_matrix.cpp

3558056

change name: CorreSpectra.cpp

a0e58af

update

41bf912

TODO

89cfa24

change TODO

75fffb8

update

8ae67ab

Merge branch 'feature/sampling_correlation_matrices' of github.com:hu…

6a25cda

…uphuocle/volesti into feature/sampling_correlation_matrices

update

4f25144

update

ddf44b6

update

45d0ba7

clean

dbb3b53

update

d0facff

correlation class

ab3b907

billiard walk

92121d0

eigenvaluescorrelation.h

f6c92d8

update

959897b

update

37fa868

update

c6f9652

update

f39e6ec

update

621c372

update

e137560

faster billiard walk

225f7c1

add missing CMake file

debb4f8

huuphuocle closed this Jul 16, 2022

huuphuocle reopened this Jul 16, 2022

add const specifier to is_in in spectrahedron class (required for Bal…

8584865

…l Walk)

vissarion reviewed Sep 6, 2022

View reviewed changes

huuphuocle added 18 commits September 6, 2022 12:06

newline end of gitignore

4dbca54

add copyright to examples

97fdde9

format uniform_billiard_walk.hpp (indent, trailing spaces,...)

d79ba53

change header guards of convex_bodies correlation_matrices files

8c4d6f6

fix bugs in Spectrahedron line_intersect (wrong sign of negative dist…

145850c

…ance) and change order of vector coefficients of CorreSpectra to lower triangular part (to homogenize with CorreSpectra_MT)

homogenize check_output in tests for CorreSpectra and CorreSpectra_MT

4a6fdd7

change names of CorreSpectra classes to CorrelationSpectrahedron

6923d08

change include path of CorrelationSpectrahedron in random walks

97f5f81

format and optimize (minor) sampling/sphere.hpp

703e4dd

add Copyright headers

e4cee35

format style corre_matrix.hpp

071ecff

format style CorrelationSpectrahedron

ce1ca9c

format style CorrelationSpectrahedron classes

b91effc

move direct (old) sampling functions to examples and remove tests for…

84202de

… those functions in test file

remove old tests from CMakeLists.txt

696de93

add const keywords back to RDHR Walk

8e0b6a0

fix bugs in corre_matrix

9f79715

add const keyword back to gaussian random point generator

fdd5352

vissarion added the GSoC22 label Sep 8, 2022

huuphuocle and others added 2 commits September 8, 2022 13:14

resolve conflict

8a38e51

Merge branch 'develop' into feature/sampling_correlation_matrices

04d53af

vissarion approved these changes Nov 2, 2022

View reviewed changes

vissarion merged commit 130a2df into GeomScale:develop Nov 2, 2022

vissarion mentioned this pull request Nov 7, 2022

ReHMC Walk for sampling correlation matrices #240

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Feature/sampling correlation matrices #233

Feature/sampling correlation matrices #233

huuphuocle commented Jul 16, 2022

codecov bot commented Jul 16, 2022 •

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vissarion commented Sep 8, 2022

Feature/sampling correlation matrices #233

Feature/sampling correlation matrices #233

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huuphuocle commented Jul 16, 2022

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vissarion commented Sep 8, 2022

codecov bot commented Jul 16, 2022 •

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