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cleaner numerical errors management for EDO adaptive algos

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- Change the ill-condition continuator to use eigen decomposition of the
covariance matrix, just like in the adaptive estimator.
- Add a warning message in adaptive sampler.
This commit is contained in:
Johann Dreo 2020-03-17 12:05:56 +01:00
commit 38e3f40bad
6 changed files with 174 additions and 104 deletions
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51
edo/src/edoContAdaptiveFinite.h
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@ -47,24 +47,43 @@ public:
bool operator()(const D& d)
{
// Try to finite_check in most probably ill-conditioned order.
return finite_check(d.covar())
and finite_check(d.path_covar())
and finite_check(d.coord_sys())
and finite_check(d.scaling())
and finite_check(d.path_sigma())
and finite_check(d.sigma())
;
bool fin_sigma = is_finite(d.sigma() );
bool fin_path_sigma = is_finite(d.path_sigma());
bool fin_scaling = is_finite(d.scaling() );
bool fin_coord_sys = is_finite(d.coord_sys() );
bool fin_path_covar = is_finite(d.path_covar());
bool fin_covar = is_finite(d.covar() );
bool all_finite = fin_covar
and fin_path_covar
and fin_coord_sys
and fin_scaling
and fin_path_sigma
and fin_sigma;
if( not all_finite ) {
eo::log << eo::progress << "STOP because parameters are not finite: ";
if( not fin_covar ) { eo::log << eo::errors << "covar, "; }
if( not fin_path_covar ) { eo::log << eo::errors << "path_covar, "; }
if( not fin_coord_sys ) { eo::log << eo::errors << "coord_sys, "; }
if( not fin_scaling ) { eo::log << eo::errors << "scaling, "; }
if( not fin_path_sigma ) { eo::log << eo::errors << "path_sigma, "; }
if( not fin_sigma ) { eo::log << eo::errors << "sigma"; }
eo::log << eo::errors << std::endl;
}
return all_finite;
}
virtual std::string className() const { return "edoContAdaptiveFinite"; }
protected:
bool finite_check(const Matrix& mat) const
bool is_finite(const Matrix& mat) const
{
for(long i=0; i<mat.rows(); ++i) {
for(long j=0; j<mat.cols(); ++j) {
if(not finite_check(mat(i,j))) {
// Double negation because one want to escape
// as soon as one element is not finite.
if(not is_finite(mat(i,j))) {
return false;
}
}
@ -72,22 +91,22 @@ protected:
return true;
}
bool finite_check(const Vector& vec) const
bool is_finite(const Vector& vec) const
{
for(long i=0; i<vec.size(); ++i) {
if(not finite_check(vec[i])) {
if(not is_finite(vec[i])) {
return false;
}
}
return true;
}
bool finite_check(const typename EOType::AtomType& x) const
bool is_finite(const typename EOType::AtomType& x) const
{
if(not std::isfinite(x)) {
return false;
} else {
if(std::isfinite(x)) {
return true;
} else {
return false;
}
}
};