numopt-js 0.1.0

package/dist/core/adjointGradientDescent.js.map

@@ -0,0 +1 @@
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package/dist/core/constrainedGaussNewton.d.ts

@@ -0,0 +1,44 @@
+/**
+ * This file implements the constrained Gauss-Newton method for solving
+ * nonlinear least squares problems with constraints.
+ *
+ * The constrained Gauss-Newton method uses the effective Jacobian concept:
+ * J_eff = r_p - r_x C_x^+ C_p, which captures all constraint effects.
+ * This allows the algorithm to use the same structure as unconstrained
+ * Gauss-Newton: (J_eff^T J_eff) δ = -J_eff^T r
+ *
+ * Role in system:
+ * - Constrained version of Gauss-Newton method
+ * - Uses effective Jacobian computed via adjoint method
+ * - Updates both parameters and states to maintain constraint satisfaction
+ * - Foundation for constrained Levenberg-Marquardt method
+ *
+ * For first-time readers:
+ * - Start with constrainedGaussNewton function
+ * - Understand how effective Jacobian replaces regular Jacobian
+ * - Check how states are updated using linear approximation
+ */
+import type { ConstrainedResidualFn, ConstraintFn, ConstrainedGaussNewtonOptions, ConstrainedGaussNewtonResult } from './types.js';
+/**
+ * Performs constrained Gauss-Newton optimization for nonlinear least squares problems.
+ *
+ * Algorithm:
+ * 1. Start with initial parameters p0 and states x0 (satisfying c(p0, x0) = 0)
+ * 2. Compute effective Jacobian J_eff = r_p - r_x C_x^+ C_p
+ * 3. Solve normal equations: (J_eff^T J_eff) δ = -J_eff^T r
+ * 4. Update parameters: p_new = p_old + δ
+ * 5. Update states: x_new = x_old + dx where (∂c/∂x) dx = -∂c/∂p · δ (linear approximation)
+ * 6. Repeat until convergence
+ *
+ * The effective Jacobian captures all constraint effects, allowing the algorithm
+ * to use the same structure as unconstrained Gauss-Newton.
+ *
+ * @param initialParameters - Initial parameter vector p0
+ * @param initialStates - Initial state vector x0 (should satisfy c(p0, x0) = 0)
+ * @param residualFunction - Residual function r(p, x)
+ * @param constraintFunction - Constraint function c(p, x) = 0
+ * @param options - Optimization options
+ * @returns Optimization result with final parameters, states, and constraint norm
+ */
+export declare function constrainedGaussNewton(initialParameters: Float64Array, initialStates: Float64Array, residualFunction: ConstrainedResidualFn, constraintFunction: ConstraintFn, options?: ConstrainedGaussNewtonOptions): ConstrainedGaussNewtonResult;
+//# sourceMappingURL=constrainedGaussNewton.d.ts.map

package/dist/core/constrainedGaussNewton.d.ts.map

@@ -0,0 +1 @@
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package/dist/core/constrainedGaussNewton.js

@@ -0,0 +1,314 @@
+/**
+ * This file implements the constrained Gauss-Newton method for solving
+ * nonlinear least squares problems with constraints.
+ *
+ * The constrained Gauss-Newton method uses the effective Jacobian concept:
+ * J_eff = r_p - r_x C_x^+ C_p, which captures all constraint effects.
+ * This allows the algorithm to use the same structure as unconstrained
+ * Gauss-Newton: (J_eff^T J_eff) δ = -J_eff^T r
+ *
+ * Role in system:
+ * - Constrained version of Gauss-Newton method
+ * - Uses effective Jacobian computed via adjoint method
+ * - Updates both parameters and states to maintain constraint satisfaction
+ * - Foundation for constrained Levenberg-Marquardt method
+ *
+ * For first-time readers:
+ * - Start with constrainedGaussNewton function
+ * - Understand how effective Jacobian replaces regular Jacobian
+ * - Check how states are updated using linear approximation
+ */
+import { Matrix, solve, CholeskyDecomposition } from 'ml-matrix';
+import { float64ArrayToMatrix, matrixToFloat64Array, vectorNorm, computeSumOfSquaredResiduals } from '../utils/matrix.js';
+import { checkStepSizeConvergence, checkResidualConvergence, createConvergenceResult } from './convergence.js';
+import { computeEffectiveJacobian } from './effectiveJacobian.js';
+import { updateStates, validateInitialConditions, projectStatesToConstraints } from './constrainedUtils.js';
+import { Logger } from './logger.js';
+import { finiteDiffConstraintPartialP, finiteDiffConstraintPartialX } from './finiteDiff.js';
+const DEFAULT_MAX_ITERATIONS = 1000;
+const DEFAULT_TOLERANCE = 1e-6;
+const DEFAULT_CONSTRAINT_TOLERANCE = 1e-6;
+const DEFAULT_STEP_SIZE_P = 1e-6;
+const DEFAULT_STEP_SIZE_X = 1e-6;
+const NEGATIVE_COEFFICIENT = -1.0; // Coefficient for negative right-hand side in normal equations: (J_eff^T J_eff) δ = -J_eff^T r
+const DEFAULT_RIDGE_REGULARIZATION = 1e-8; // Small ridge regularization to recover positive definiteness when Cholesky fails
+/**
+ * Checks constraint violation and logs warning if needed.
+ */
+function checkConstraintViolation(currentParameters, currentStates, constraintFunction, constraintTolerance, iteration, logger) {
+    const constraint = constraintFunction(currentParameters, currentStates);
+    const constraintNorm = vectorNorm(constraint);
+    if (constraintNorm > constraintTolerance) {
+        logger.warn('constrainedGaussNewton', iteration, 'Constraint violation detected', [
+            { key: '||c(p,x)||:', value: constraintNorm },
+            { key: 'Tolerance:', value: constraintTolerance }
+        ]);
+    }
+    return { constraint, constraintNorm };
+}
+/**
+ * Solves normal equations for constrained Gauss-Newton: (J_eff^T J_eff) δ = -J_eff^T r
+ * Returns the step vector δ, or throws if matrix is singular.
+ */
+function solveNormalEquationsForConstrainedGN(effectiveJacobian, residual) {
+    const effectiveJacobianTranspose = effectiveJacobian.transpose();
+    const jacobianTransposeJacobian = effectiveJacobianTranspose.mmul(effectiveJacobian);
+    const residualMatrix = float64ArrayToMatrix(residual);
+    const jacobianTransposeResidual = effectiveJacobianTranspose.mmul(residualMatrix);
+    const negativeJacobianTransposeResidual = jacobianTransposeResidual.mul(NEGATIVE_COEFFICIENT);
+    const jittered = jacobianTransposeJacobian.add(Matrix.eye(jacobianTransposeJacobian.rows, jacobianTransposeJacobian.columns).mul(DEFAULT_RIDGE_REGULARIZATION));
+    // Try Cholesky on original matrix first
+    try {
+        const cholesky = new CholeskyDecomposition(jacobianTransposeJacobian);
+        if (cholesky.isPositiveDefinite()) {
+            return matrixToFloat64Array(cholesky.solve(negativeJacobianTransposeResidual));
+        }
+    }
+    catch (choleskyError) {
+        // Fall through to ridge regularization
+    }
+    // Ridge regularization helps recover positive definiteness when matrix is near-singular
+    // This improves numerical stability by adding small diagonal terms
+    try {
+        const choleskyRidge = new CholeskyDecomposition(jittered);
+        if (choleskyRidge.isPositiveDefinite()) {
+            return matrixToFloat64Array(choleskyRidge.solve(negativeJacobianTransposeResidual));
+        }
+    }
+    catch (ridgeError) {
+        // Fall through to general solver
+    }
+    // Final fallback: general solver (may fail if matrix is truly singular)
+    return matrixToFloat64Array(solve(jacobianTransposeJacobian, negativeJacobianTransposeResidual));
+}
+/**
+ * Updates parameters and states for constrained Gauss-Newton iteration.
+ * Parameters are updated directly: p_new = p_old + δ
+ * States are updated using linear approximation to maintain constraint satisfaction.
+ */
+function updateParametersAndStatesForConstrainedGN(currentParameters, currentStates, step, constraintFunction, stepSizeP, stepSizeX, constraintTolerance, logger, dcdp, dcdx) {
+    const newParameters = new Float64Array(currentParameters.length);
+    for (let i = 0; i < currentParameters.length; i++) {
+        newParameters[i] = currentParameters[i] + step[i];
+    }
+    const constraintJacobianX = dcdx
+        ? dcdx(currentParameters, currentStates)
+        : finiteDiffConstraintPartialX(currentParameters, currentStates, constraintFunction, { stepSize: stepSizeX });
+    const constraintJacobianP = dcdp
+        ? dcdp(currentParameters, currentStates)
+        : finiteDiffConstraintPartialP(currentParameters, currentStates, constraintFunction, { stepSize: stepSizeP });
+    const newStates = updateStates(currentStates, constraintJacobianX, constraintJacobianP, step, logger, 'constrainedGaussNewton');
+    const projectedStates = projectStatesToConstraints(newParameters, newStates, constraintFunction, stepSizeX, constraintTolerance, logger, 'constrainedGaussNewton');
+    return { newParameters, newStates: projectedStates };
+}
+/**
+ * Computes step vector for constrained Gauss-Newton iteration.
+ * Handles singular matrix errors by returning convergence result.
+ */
+function computeStepForGN(currentParameters, currentStates, residualFunction, constraintFunction, effectiveJacobianOptions, iteration, logger, cost, residualNorm, constraintNorm) {
+    const effectiveJacobian = computeEffectiveJacobian(currentParameters, currentStates, residualFunction, constraintFunction, effectiveJacobianOptions, logger, 'constrainedGaussNewton');
+    const residual = residualFunction(currentParameters, currentStates);
+    let step;
+    try {
+        step = solveNormalEquationsForConstrainedGN(effectiveJacobian, residual);
+    }
+    catch (error) {
+        logger.warn('constrainedGaussNewton', iteration, 'Singular matrix encountered. Consider using constrained Levenberg-Marquardt method for better robustness.', [
+            { key: 'Cost:', value: cost },
+            { key: 'Residual norm:', value: residualNorm },
+            { key: 'Constraint norm:', value: constraintNorm }
+        ]);
+        const result = createConvergenceResult(currentParameters, iteration, false, cost, undefined);
+        return {
+            converged: false,
+            result: {
+                ...result,
+                finalResidualNorm: residualNorm,
+                finalStates: currentStates,
+                finalConstraintNorm: constraintNorm
+            }
+        };
+    }
+    return { step };
+}
+/**
+ * Checks step size convergence for constrained Gauss-Newton.
+ * Returns convergence result if converged, null otherwise.
+ */
+function checkStepSizeConvergenceForGN(stepNorm, constraintSatisfied, tolerance, iteration, currentParameters, currentStates, cost, residualNorm, constraintNorm, logger) {
+    if (constraintSatisfied && checkStepSizeConvergence(stepNorm, tolerance, iteration)) {
+        logger.info('constrainedGaussNewton', iteration, 'Converged', [
+            { key: 'Cost:', value: cost },
+            { key: 'Residual norm:', value: residualNorm },
+            { key: 'Step size:', value: stepNorm },
+            { key: 'Constraint norm:', value: constraintNorm }
+        ]);
+        const result = createConvergenceResult(currentParameters, iteration, true, cost, undefined);
+        return {
+            ...result,
+            finalResidualNorm: residualNorm,
+            finalStates: currentStates,
+            finalConstraintNorm: constraintNorm
+        };
+    }
+    return null;
+}
+/**
+ * Checks residual convergence after parameter/state update.
+ * Returns convergence result if converged, null otherwise.
+ */
+function checkResidualConvergenceForGN(newParameters, newStates, newResidualNorm, newCost, constraintFunction, constraintTolerance, tolerance, iteration, constraintNorm, logger) {
+    if (checkResidualConvergence(newResidualNorm, tolerance, iteration)) {
+        logger.info('constrainedGaussNewton', iteration, 'Converged', [
+            { key: 'Cost:', value: newCost },
+            { key: 'Residual norm:', value: newResidualNorm },
+            { key: 'Constraint norm:', value: constraintNorm }
+        ]);
+        const finalConstraint = constraintFunction(newParameters, newStates);
+        const finalConstraintNorm = vectorNorm(finalConstraint);
+        if (finalConstraintNorm <= constraintTolerance) {
+            const result = createConvergenceResult(newParameters, iteration, true, newCost, undefined);
+            return {
+                ...result,
+                finalResidualNorm: newResidualNorm,
+                finalStates: newStates,
+                finalConstraintNorm: finalConstraintNorm
+            };
+        }
+    }
+    return null;
+}
+/**
+ * Performs one iteration of constrained Gauss-Newton optimization.
+ * Returns updated parameters/states or null if converged/error occurred.
+ */
+function performConstrainedGaussNewtonIteration(currentParameters, currentStates, residualFunction, constraintFunction, effectiveJacobianOptions, tolerance, constraintTolerance, stepSizeP, stepSizeX, iteration, logger, onIteration, dcdp, dcdx) {
+    const { constraintNorm } = checkConstraintViolation(currentParameters, currentStates, constraintFunction, constraintTolerance, iteration, logger);
+    const residual = residualFunction(currentParameters, currentStates);
+    const residualNorm = vectorNorm(residual);
+    const cost = computeSumOfSquaredResiduals(residualNorm);
+    const constraintSatisfied = constraintNorm <= constraintTolerance;
+    if (onIteration) {
+        onIteration(iteration, cost, currentParameters);
+    }
+    const stepResult = computeStepForGN(currentParameters, currentStates, residualFunction, constraintFunction, effectiveJacobianOptions, iteration, logger, cost, residualNorm, constraintNorm);
+    if ('converged' in stepResult) {
+        return stepResult;
+    }
+    const step = stepResult.step;
+    const stepNorm = vectorNorm(step);
+    const stepSizeConvergenceResult = checkStepSizeConvergenceForGN(stepNorm, constraintSatisfied, tolerance, iteration, currentParameters, currentStates, cost, residualNorm, constraintNorm, logger);
+    if (stepSizeConvergenceResult) {
+        return {
+            converged: true,
+            result: stepSizeConvergenceResult
+        };
+    }
+    const { newParameters, newStates } = updateParametersAndStatesForConstrainedGN(currentParameters, currentStates, step, constraintFunction, stepSizeP, stepSizeX, constraintTolerance, logger, dcdp, dcdx);
+    const newResidual = residualFunction(newParameters, newStates);
+    const newResidualNorm = vectorNorm(newResidual);
+    const newCost = computeSumOfSquaredResiduals(newResidualNorm);
+    const residualConvergenceResult = checkResidualConvergenceForGN(newParameters, newStates, newResidualNorm, newCost, constraintFunction, constraintTolerance, tolerance, iteration, constraintNorm, logger);
+    if (residualConvergenceResult) {
+        return {
+            converged: true,
+            result: residualConvergenceResult
+        };
+    }
+    logger.debug('constrainedGaussNewton', iteration, 'Progress', [
+        { key: 'Cost:', value: cost },
+        { key: 'Residual norm:', value: residualNorm },
+        { key: 'Step norm:', value: stepNorm },
+        { key: 'Constraint norm:', value: constraintNorm }
+    ]);
+    return { converged: false, newParameters, newStates };
+}
+/**
+ * Runs the main iteration loop for constrained Gauss-Newton optimization.
+ * Returns the result if converged, or final state if max iterations reached.
+ */
+function runGaussNewtonIterations(initialParameters, initialStates, residualFunction, constraintFunction, effectiveJacobianOptions, tolerance, constraintTolerance, stepSizeP, stepSizeX, maxIterations, logger, onIteration, dcdp, dcdx) {
+    let currentParameters = new Float64Array(initialParameters);
+    let currentStates = new Float64Array(initialStates);
+    for (let iteration = 0; iteration < maxIterations; iteration++) {
+        const iterationResult = performConstrainedGaussNewtonIteration(currentParameters, currentStates, residualFunction, constraintFunction, effectiveJacobianOptions, tolerance, constraintTolerance, stepSizeP, stepSizeX, iteration, logger, onIteration, dcdp, dcdx);
+        if (iterationResult.converged && iterationResult.result) {
+            return { result: iterationResult.result };
+        }
+        if (iterationResult.newParameters && iterationResult.newStates) {
+            currentParameters = iterationResult.newParameters;
+            currentStates = iterationResult.newStates;
+        }
+        else {
+            break;
+        }
+    }
+    return { finalParameters: currentParameters, finalStates: currentStates };
+}
+/**
+ * Performs constrained Gauss-Newton optimization for nonlinear least squares problems.
+ *
+ * Algorithm:
+ * 1. Start with initial parameters p0 and states x0 (satisfying c(p0, x0) = 0)
+ * 2. Compute effective Jacobian J_eff = r_p - r_x C_x^+ C_p
+ * 3. Solve normal equations: (J_eff^T J_eff) δ = -J_eff^T r
+ * 4. Update parameters: p_new = p_old + δ
+ * 5. Update states: x_new = x_old + dx where (∂c/∂x) dx = -∂c/∂p · δ (linear approximation)
+ * 6. Repeat until convergence
+ *
+ * The effective Jacobian captures all constraint effects, allowing the algorithm
+ * to use the same structure as unconstrained Gauss-Newton.
+ *
+ * @param initialParameters - Initial parameter vector p0
+ * @param initialStates - Initial state vector x0 (should satisfy c(p0, x0) = 0)
+ * @param residualFunction - Residual function r(p, x)
+ * @param constraintFunction - Constraint function c(p, x) = 0
+ * @param options - Optimization options
+ * @returns Optimization result with final parameters, states, and constraint norm
+ */
+export function constrainedGaussNewton(initialParameters, initialStates, residualFunction, constraintFunction, options = {}) {
+    const maxIterations = options.maxIterations ?? DEFAULT_MAX_ITERATIONS;
+    const tolerance = options.tolerance ?? DEFAULT_TOLERANCE;
+    const constraintTolerance = options.constraintTolerance ?? DEFAULT_CONSTRAINT_TOLERANCE;
+    const stepSizeP = options.stepSizeP ?? DEFAULT_STEP_SIZE_P;
+    const stepSizeX = options.stepSizeX ?? DEFAULT_STEP_SIZE_X;
+    const onIteration = options.onIteration;
+    const logger = new Logger(options.logLevel, options.verbose);
+    validateInitialConditions(initialParameters, initialStates, constraintFunction, constraintTolerance, logger, 'constrainedGaussNewton');
+    const effectiveJacobianOptions = {
+        drdp: options.drdp,
+        drdx: options.drdx,
+        dcdp: options.dcdp,
+        dcdx: options.dcdx,
+        stepSizeP,
+        stepSizeX
+    };
+    const iterationResult = runGaussNewtonIterations(initialParameters, initialStates, residualFunction, constraintFunction, effectiveJacobianOptions, tolerance, constraintTolerance, stepSizeP, stepSizeX, maxIterations, logger, onIteration, options.dcdp, options.dcdx);
+    if ('result' in iterationResult) {
+        return iterationResult.result;
+    }
+    const currentParameters = iterationResult.finalParameters;
+    const currentStates = iterationResult.finalStates;
+    const finalResidual = residualFunction(currentParameters, currentStates);
+    const finalResidualNorm = vectorNorm(finalResidual);
+    const finalCost = computeSumOfSquaredResiduals(finalResidualNorm);
+    const finalConstraint = constraintFunction(currentParameters, currentStates);
+    const finalConstraintNorm = vectorNorm(finalConstraint);
+    logger.warn('constrainedGaussNewton', undefined, 'Maximum iterations reached', [
+        { key: 'Iterations:', value: maxIterations },
+        { key: 'Final cost:', value: finalCost },
+        { key: 'Final residual norm:', value: finalResidualNorm },
+        { key: 'Final constraint norm:', value: finalConstraintNorm }
+    ]);
+    return {
+        parameters: currentParameters,
+        iterations: maxIterations,
+        converged: false,
+        finalCost: finalCost,
+        finalGradientNorm: undefined,
+        finalResidualNorm: finalResidualNorm,
+        finalStates: currentStates,
+        finalConstraintNorm: finalConstraintNorm
+    };
+}
+//# sourceMappingURL=constrainedGaussNewton.js.map

package/dist/core/constrainedGaussNewton.js.map

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package/dist/core/constrainedLevenbergMarquardt.d.ts

@@ -0,0 +1,46 @@
+/**
+ * This file implements the constrained Levenberg-Marquardt algorithm for solving
+ * nonlinear least squares problems with constraints.
+ *
+ * The constrained Levenberg-Marquardt method uses the effective Jacobian concept:
+ * J_eff = r_p - r_x C_x^+ C_p, which captures all constraint effects.
+ * This allows the algorithm to use the same structure as unconstrained
+ * Levenberg-Marquardt: (J_eff^T J_eff + λI) δ = -J_eff^T r
+ *
+ * Role in system:
+ * - Constrained version of Levenberg-Marquardt method
+ * - Uses effective Jacobian computed via adjoint method
+ * - Updates both parameters and states to maintain constraint satisfaction
+ * - More robust than constrained Gauss-Newton (handles singular matrices)
+ *
+ * For first-time readers:
+ * - Start with constrainedLevenbergMarquardt function
+ * - Understand how effective Jacobian replaces regular Jacobian
+ * - Check lambda update strategy and damping mechanism
+ */
+import type { ConstrainedResidualFn, ConstraintFn, ConstrainedLevenbergMarquardtOptions, ConstrainedLevenbergMarquardtResult } from './types.js';
+/**
+ * Performs constrained Levenberg-Marquardt optimization for nonlinear least squares problems.
+ *
+ * Algorithm:
+ * 1. Start with initial parameters p0, states x0, and lambda (damping parameter)
+ * 2. Compute effective Jacobian J_eff = r_p - r_x C_x^+ C_p
+ * 3. Solve damped normal equations: (J_eff^T J_eff + λI) δ = -J_eff^T r
+ * 4. Try step: p_new = p_old + δ, x_new updated using linear approximation
+ * 5. If cost decreases: accept step, decrease lambda
+ * 6. If cost increases: reject step, increase lambda
+ * 7. Repeat until convergence
+ *
+ * The damping parameter lambda interpolates between:
+ * - Constrained Gauss-Newton (λ → 0): fast convergence near solution
+ * - Constrained gradient descent (λ → ∞): robust but slow
+ *
+ * @param initialParameters - Initial parameter vector p0
+ * @param initialStates - Initial state vector x0 (should satisfy c(p0, x0) = 0)
+ * @param residualFunction - Residual function r(p, x)
+ * @param constraintFunction - Constraint function c(p, x) = 0
+ * @param options - Optimization options
+ * @returns Optimization result with final parameters, states, constraint norm, and lambda
+ */
+export declare function constrainedLevenbergMarquardt(initialParameters: Float64Array, initialStates: Float64Array, residualFunction: ConstrainedResidualFn, constraintFunction: ConstraintFn, options?: ConstrainedLevenbergMarquardtOptions): ConstrainedLevenbergMarquardtResult;
+//# sourceMappingURL=constrainedLevenbergMarquardt.d.ts.map

package/dist/core/constrainedLevenbergMarquardt.d.ts.map

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