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AutoDiff Attempt #360

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AutoDiff Attempt #360

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72a63c2
Add autodiff
akleeman Nov 10, 2021
8f3b3fa
WIP take derivatives
akleeman Oct 8, 2022
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3 changes: 3 additions & 0 deletions .gitmodules
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Original file line number Diff line number Diff line change
Expand Up @@ -25,3 +25,6 @@
[submodule "third_party/nlopt"]
path = third_party/nlopt
url = https://github.com/swift-nav/nlopt.git
[submodule "third_party/autodiff"]
path = third_party/autodiff
url = [email protected]:autodiff/autodiff.git
5 changes: 5 additions & 0 deletions CMakeLists.txt
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Expand Up @@ -11,6 +11,8 @@ swift_create_project_options(
TEST_PACKAGES "Googletest" "GFlags"
)

include(LanguageStandards)

include(ClangFormat)
swift_setup_clang_format()

Expand All @@ -27,6 +29,7 @@ find_package(FastCSV REQUIRED)
find_package(Gzip-Hpp REQUIRED)
find_package(Variant REQUIRED)
find_package(Nlopt REQUIRED)
find_package(Autodiff REQUIRED)

add_library(albatross INTERFACE)
target_include_directories(albatross INTERFACE
Expand All @@ -40,9 +43,11 @@ target_link_libraries(albatross
fast-csv
gzip-hpp
variant
autodiff
)

set(albatross_COMPILE_OPTIONS
-std=c++17
-Werror
-Wall
-Wno-unused-value
Expand Down
1 change: 1 addition & 0 deletions include/albatross/Common
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Expand Up @@ -20,6 +20,7 @@
#include <Eigen/Dense>

#include <mapbox/variant.hpp>
#include <autodiff/reverse/var.hpp>

#include <math.h>
#include <iomanip>
Expand Down
3 changes: 2 additions & 1 deletion include/albatross/src/core/declarations.hpp
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Expand Up @@ -85,9 +85,10 @@ using ParameterKey = std::string;
// a corresponding cereal type included or you'll get some
// really impressive compilation errors.
using ParameterPrior = PriorContainer;
using ParameterValue = double;
using ParameterValue = autodiff::var;

using ParameterStore = std::map<ParameterKey, Parameter>;
using ParameterConstReferences = std::map<ParameterKey, const Parameter &>;

/*
* Distributions
Expand Down
78 changes: 38 additions & 40 deletions include/albatross/src/covariance_functions/callers.hpp
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Expand Up @@ -120,15 +120,15 @@ struct DirectCaller {
template <typename CovFunc, typename X, typename Y,
typename std::enable_if<has_valid_call_impl<CovFunc, X, Y>::value,
int>::type = 0>
static double call(const CovFunc &cov_func, const X &x, const Y &y) {
static auto call(const CovFunc &cov_func, const X &x, const Y &y) {
return cov_func._call_impl(x, y);
}

// Mean Functions
template <typename MeanFunc, typename X,
typename std::enable_if<has_valid_call_impl<MeanFunc, X>::value,
int>::type = 0>
static double call(const MeanFunc &mean_func, const X &x) {
static auto call(const MeanFunc &mean_func, const X &x) {
return mean_func._call_impl(x);
}
};
Expand All @@ -146,7 +146,7 @@ template <typename SubCaller> struct SymmetricCaller {
typename CovFunc, typename X, typename Y,
typename std::enable_if<
has_valid_cov_caller<CovFunc, SubCaller, X, Y>::value, int>::type = 0>
static double call(const CovFunc &cov_func, const X &x, const Y &y) {
static auto call(const CovFunc &cov_func, const X &x, const Y &y) {
return SubCaller::call(cov_func, x, y);
}

Expand All @@ -156,7 +156,7 @@ template <typename SubCaller> struct SymmetricCaller {
(has_valid_cov_caller<CovFunc, SubCaller, Y, X>::value &&
!has_valid_cov_caller<CovFunc, SubCaller, X, Y>::value),
int>::type = 0>
static double call(const CovFunc &cov_func, const X &x, const Y &y) {
static auto call(const CovFunc &cov_func, const X &x, const Y &y) {
return SubCaller::call(cov_func, y, x);
}

Expand All @@ -165,7 +165,7 @@ template <typename SubCaller> struct SymmetricCaller {
typename MeanFunc, typename X,
typename std::enable_if<
has_valid_mean_caller<MeanFunc, SubCaller, X>::value, int>::type = 0>
static double call(const MeanFunc &mean_func, const X &x) {
static auto call(const MeanFunc &mean_func, const X &x) {
return SubCaller::call(mean_func, x);
}
};
Expand All @@ -185,7 +185,7 @@ template <typename SubCaller> struct MeasurementForwarder {
typename CovFunc, typename X, typename Y,
typename std::enable_if<
has_valid_cov_caller<CovFunc, SubCaller, X, Y>::value, int>::type = 0>
static double call(const CovFunc &cov_func, const X &x, const Y &y) {
static auto call(const CovFunc &cov_func, const X &x, const Y &y) {
return SubCaller::call(cov_func, x, y);
}

Expand All @@ -195,8 +195,8 @@ template <typename SubCaller> struct MeasurementForwarder {
!has_valid_cov_caller<CovFunc, SubCaller, Measurement<X>,
Measurement<Y>>::value),
int>::type = 0>
static double call(const CovFunc &cov_func, const Measurement<X> &x,
const Measurement<Y> &y) {
static auto call(const CovFunc &cov_func, const Measurement<X> &x,
const Measurement<Y> &y) {
return SubCaller::call(cov_func, x.value, y.value);
}

Expand All @@ -206,8 +206,8 @@ template <typename SubCaller> struct MeasurementForwarder {
(has_valid_cov_caller<CovFunc, SubCaller, X, Y>::value &&
!has_valid_cov_caller<CovFunc, SubCaller, Measurement<X>, Y>::value),
int>::type = 0>
static double call(const CovFunc &cov_func, const Measurement<X> &x,
const Y &y) {
static auto call(const CovFunc &cov_func, const Measurement<X> &x,
const Y &y) {
return SubCaller::call(cov_func, x.value, y);
}

Expand All @@ -217,8 +217,8 @@ template <typename SubCaller> struct MeasurementForwarder {
(has_valid_cov_caller<CovFunc, SubCaller, X, Y>::value &&
!has_valid_cov_caller<CovFunc, SubCaller, X, Measurement<Y>>::value),
int>::type = 0>
static double call(const CovFunc &cov_func, const X &x,
const Measurement<Y> &y) {
static auto call(const CovFunc &cov_func, const X &x,
const Measurement<Y> &y) {
return SubCaller::call(cov_func, x, y.value);
}

Expand All @@ -227,7 +227,7 @@ template <typename SubCaller> struct MeasurementForwarder {
typename MeanFunc, typename X,
typename std::enable_if<
has_valid_mean_caller<MeanFunc, SubCaller, X>::value, int>::type = 0>
static double call(const MeanFunc &mean_func, const X &x) {
static auto call(const MeanFunc &mean_func, const X &x) {
return SubCaller::call(mean_func, x);
}

Expand All @@ -237,7 +237,7 @@ template <typename SubCaller> struct MeasurementForwarder {
!has_valid_mean_caller<MeanFunc, SubCaller,
Measurement<X>>::value,
int>::type = 0>
static double call(const MeanFunc &mean_func, const Measurement<X> &x) {
static auto call(const MeanFunc &mean_func, const Measurement<X> &x) {
return SubCaller::call(mean_func, x.value);
}
};
Expand All @@ -249,16 +249,16 @@ template <typename SubCaller> struct LinearCombinationCaller {
typename CovFunc, typename X, typename Y,
typename std::enable_if<
has_valid_cov_caller<CovFunc, SubCaller, X, Y>::value, int>::type = 0>
static double call(const CovFunc &cov_func, const X &x, const Y &y) {
static auto call(const CovFunc &cov_func, const X &x, const Y &y) {
return SubCaller::call(cov_func, x, y);
}

template <
typename CovFunc, typename X, typename Y,
typename std::enable_if<
has_valid_cov_caller<CovFunc, SubCaller, X, Y>::value, int>::type = 0>
static double call(const CovFunc &cov_func, const LinearCombination<X> &xs,
const LinearCombination<Y> &ys) {
static auto call(const CovFunc &cov_func, const LinearCombination<X> &xs,
const LinearCombination<Y> &ys) {

auto sub_caller = [&](const auto &x, const auto &y) {
return SubCaller::call(cov_func, x, y);
Expand All @@ -273,8 +273,8 @@ template <typename SubCaller> struct LinearCombinationCaller {
typename CovFunc, typename X, typename Y,
typename std::enable_if<
has_valid_cov_caller<CovFunc, SubCaller, X, Y>::value, int>::type = 0>
static double call(const CovFunc &cov_func, const X &x,
const LinearCombination<Y> &ys) {
static auto call(const CovFunc &cov_func, const X &x,
const LinearCombination<Y> &ys) {
double sum = 0.;
for (std::size_t i = 0; i < ys.values.size(); ++i) {
sum += ys.coefficients[i] * SubCaller::call(cov_func, x, ys.values[i]);
Expand All @@ -286,8 +286,8 @@ template <typename SubCaller> struct LinearCombinationCaller {
typename CovFunc, typename X, typename Y,
typename std::enable_if<
has_valid_cov_caller<CovFunc, SubCaller, X, Y>::value, int>::type = 0>
static double call(const CovFunc &cov_func, const LinearCombination<X> &xs,
const Y &y) {
static auto call(const CovFunc &cov_func, const LinearCombination<X> &xs,
const Y &y) {
double sum = 0.;
for (std::size_t i = 0; i < xs.values.size(); ++i) {
sum += xs.coefficients[i] * SubCaller::call(cov_func, xs.values[i], y);
Expand All @@ -300,16 +300,15 @@ template <typename SubCaller> struct LinearCombinationCaller {
typename MeanFunc, typename X,
typename std::enable_if<
has_valid_mean_caller<MeanFunc, SubCaller, X>::value, int>::type = 0>
static double call(const MeanFunc &mean_func, const X &x) {
static auto call(const MeanFunc &mean_func, const X &x) {
return SubCaller::call(mean_func, x);
}

template <
typename MeanFunc, typename X,
typename std::enable_if<
has_valid_mean_caller<MeanFunc, SubCaller, X>::value, int>::type = 0>
static double call(const MeanFunc &mean_func,
const LinearCombination<X> &xs) {
static auto call(const MeanFunc &mean_func, const LinearCombination<X> &xs) {
double sum = 0.;
for (std::size_t i = 0; i < xs.values.size(); ++i) {
sum += xs.coefficients[i] * SubCaller::call(mean_func, xs.values[i]);
Expand Down Expand Up @@ -349,7 +348,7 @@ template <typename SubCaller> struct VariantForwarder {
!is_variant<X>::value && !is_variant<Y>::value &&
has_valid_cov_caller<CovFunc, SubCaller, X, Y>::value,
int>::type = 0>
static double call(const CovFunc &cov_func, const X &x, const Y &y) {
static auto call(const CovFunc &cov_func, const X &x, const Y &y) {
return SubCaller::call(cov_func, x, y);
}

Expand All @@ -366,15 +365,15 @@ template <typename SubCaller> struct VariantForwarder {
typename std::enable_if<
has_valid_cov_caller<CovFunc, SubCaller, X, Y>::value,
int>::type = 0>
double operator()(const Y &y) const {
auto operator()(const Y &y) const {
return SubCaller::call(cov_func_, x_, y);
};

template <typename Y,
typename std::enable_if<
!has_valid_cov_caller<CovFunc, SubCaller, X, Y>::value,
int>::type = 0>
double operator()(const Y &y) const {
auto operator()(const Y &y) const {
return 0.;
};

Expand All @@ -389,8 +388,8 @@ template <typename SubCaller> struct VariantForwarder {
has_valid_variant_cov_caller<CovFunc, SubCaller, A,
variant<Ts...>>::value,
int>::type = 0>
static double call(const CovFunc &cov_func, const A &x,
const variant<Ts...> &y) {
static auto call(const CovFunc &cov_func, const A &x,
const variant<Ts...> &y) {
CallVisitor<CovFunc, A> visitor(cov_func, x);
return apply_visitor(visitor, y);
}
Expand All @@ -402,8 +401,8 @@ template <typename SubCaller> struct VariantForwarder {
has_valid_variant_cov_caller<CovFunc, SubCaller, A,
variant<Ts...>>::value,
int>::type = 0>
static double call(const CovFunc &cov_func, const variant<Ts...> &x,
const A &y) {
static auto call(const CovFunc &cov_func, const variant<Ts...> &x,
const A &y) {
CallVisitor<CovFunc, A> visitor(cov_func, y);
return apply_visitor(visitor, x);
}
Expand All @@ -414,8 +413,8 @@ template <typename SubCaller> struct VariantForwarder {
has_valid_cov_caller<CovFunc, SubCaller, variant<Xs...>,
variant<Ys...>>::value,
int>::type = 0>
static double call(const CovFunc &cov_func, const variant<Xs...> &x,
const variant<Ys...> &y) {
static auto call(const CovFunc &cov_func, const variant<Xs...> &x,
const variant<Ys...> &y) {
return x.match(
[&y, &cov_func](const auto &xx) { return call(cov_func, xx, y); });
}
Expand All @@ -434,15 +433,15 @@ template <typename SubCaller> struct VariantForwarder {
typename std::enable_if<
has_valid_mean_caller<MeanFunc, SubCaller, X>::value,
int>::type = 0>
double operator()(const X &x) const {
auto operator()(const X &x) const {
return SubCaller::call(mean_func_, x);
};

template <typename X,
typename std::enable_if<
!has_valid_mean_caller<MeanFunc, SubCaller, X>::value,
int>::type = 0>
double operator()(const X &x) const {
auto operator()(const X &x) const {
return 0.;
};

Expand All @@ -454,7 +453,7 @@ template <typename SubCaller> struct VariantForwarder {
!is_variant<X>::value &&
has_valid_mean_caller<MeanFunc, SubCaller, X>::value,
int>::type = 0>
static double call(const MeanFunc &mean_func, const X &x) {
static auto call(const MeanFunc &mean_func, const X &x) {
return SubCaller::call(mean_func, x);
}

Expand All @@ -463,7 +462,7 @@ template <typename SubCaller> struct VariantForwarder {
has_valid_variant_mean_caller<
MeanFunc, SubCaller, X>::value,
int>::type = 0>
static double call(const MeanFunc &mean_func, const X &x) {
static auto call(const MeanFunc &mean_func, const X &x) {
MeanCallVisitor<MeanFunc> visitor(mean_func);
return apply_visitor(visitor, x);
}
Expand All @@ -480,9 +479,8 @@ using DefaultCaller = internal::VariantForwarder<internal::MeasurementForwarder<

template <typename Caller, typename CovFunc, typename... Args>
class caller_has_valid_call
: public has_call_with_return_type<Caller, double,
typename const_ref<CovFunc>::type,
typename const_ref<Args>::type...> {};
: public has_call<Caller, typename const_ref<CovFunc>::type,
typename const_ref<Args>::type...> {};

template <typename CovFunc, typename... Args>
class has_valid_caller
Expand Down
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