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Gauss Newton & LM Robustness Fixes #258

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merged 13 commits into from
Oct 25, 2023

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@avik-pal avik-pal commented Oct 23, 2023

Merge after #257

For GaussNewton defaults to QRFactorization(ColumnNorm()), to ensure we can directly solve for
$$J \delta x = -f(x)$$

For LM we solve

$$ \begin{bmatrix} J\\ \lambda D^TD \end{bmatrix} v = \begin{bmatrix} -f(x)\\ 0 \end{bmatrix} $$

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codecov bot commented Oct 23, 2023

Codecov Report

Merging #258 (28ea63a) into master (b300050) will decrease coverage by 2.02%.
The diff coverage is 98.43%.

@@            Coverage Diff             @@
##           master     #258      +/-   ##
==========================================
- Coverage   94.48%   92.47%   -2.02%     
==========================================
  Files          18       18              
  Lines        1614     1687      +73     
==========================================
+ Hits         1525     1560      +35     
- Misses         89      127      +38     
Files Coverage Δ
src/broyden.jl 87.17% <100.00%> (-12.83%) ⬇️
src/default.jl 78.48% <ø> (+1.26%) ⬆️
src/gaussnewton.jl 79.45% <100.00%> (+3.26%) ⬆️
src/klement.jl 85.29% <100.00%> (-7.78%) ⬇️
src/lbroyden.jl 90.40% <100.00%> (-7.98%) ⬇️
src/levenberg.jl 98.81% <100.00%> (+0.35%) ⬆️
src/raphson.jl 100.00% <100.00%> (ø)
src/jacobian.jl 85.71% <90.00%> (-1.25%) ⬇️
src/utils.jl 84.50% <88.88%> (+0.17%) ⬆️

... and 2 files with indirect coverage changes

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@avik-pal avik-pal force-pushed the ap/fix_gauss_newton branch from b25c8bc to 80e6459 Compare October 23, 2023 17:27
@avik-pal avik-pal changed the title Gauss Newton Fixes [WIP] Gauss Newton Fixes Oct 23, 2023
@avik-pal avik-pal force-pushed the ap/fix_gauss_newton branch from 6e5b422 to fabd33c Compare October 23, 2023 18:48
@avik-pal avik-pal changed the title [WIP] Gauss Newton Fixes Gauss Newton & LM Robustness Fixes Oct 23, 2023
@avik-pal avik-pal force-pushed the ap/fix_gauss_newton branch 2 times, most recently from 9d81e46 to b4ea93f Compare October 23, 2023 20:41
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@avik-pal avik-pal force-pushed the ap/fix_gauss_newton branch from 93e2815 to 2fdc122 Compare October 23, 2023 20:58
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src/utils.jl Outdated
NormalBunchKaufmanFactorization)
@eval needs_square_A(::$(alg)) = false
end
for kralg in (LinearSolve.Krylov.lsmr!, LinearSolve.Krylov.craigmr!)
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GMRES

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GMRES requires square matrix

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That's interesting 😅 . Algorithmically that's not required. It is an algorithm that provably gives the L2 solution on non-square matrices, just like QR.

@avik-pal avik-pal force-pushed the ap/fix_gauss_newton branch from 22b7f25 to 0c1e739 Compare October 23, 2023 23:01
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@avik-pal avik-pal force-pushed the ap/fix_gauss_newton branch from 0c1e739 to 4f632dd Compare October 23, 2023 23:04
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@avik-pal avik-pal force-pushed the ap/fix_gauss_newton branch 2 times, most recently from be854ec to 6e0911c Compare October 23, 2023 23:18
@avik-pal avik-pal force-pushed the ap/fix_gauss_newton branch 3 times, most recently from 4e78736 to 5e7610a Compare October 24, 2023 02:57
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@avik-pal avik-pal force-pushed the ap/fix_gauss_newton branch from 02cf007 to 0f261a4 Compare October 24, 2023 16:58
@avik-pal avik-pal force-pushed the ap/fix_gauss_newton branch 4 times, most recently from 72fd691 to 4f3c047 Compare October 25, 2023 13:46
@ChrisRackauckas
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This needs a rebase?

@avik-pal avik-pal force-pushed the ap/fix_gauss_newton branch from 4f3c047 to 2700fce Compare October 25, 2023 14:44
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I am really unsure what to do with the Broyden/Klement failures. They fail on 1.9 but magically pass on 1.10

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@ChrisRackauckas I am disabling the Broyden and Klement 23 test problem tests. I will open and issue and we can deal with it later. No reason to hold off this PR which solves a completely tangential issue

@ChrisRackauckas ChrisRackauckas merged commit 786e8d3 into SciML:master Oct 25, 2023
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@avik-pal avik-pal deleted the ap/fix_gauss_newton branch October 25, 2023 22:21
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3 participants