Merge pull request #11 from ZIB-IOL/test

Fixed inverse hessian boosting, added tests and adjusted README

Project.toml

@@ -1,7 +1,7 @@
 name = "ApproximateVanishingIdeals"
 uuid = "5c3d299b-aa2f-43dc-84cc-e9c547fd880b"
 authors = ["ZIB-IOL"]
-version = "0.1.0"
+version = "0.1.1"
 
 [deps]
 FrankWolfe      = "f55ce6ea-fdc5-4628-88c5-0087fe54bd30"

README.md

@@ -21,7 +21,12 @@ f(x) = \frac{1}{m}\|Ax + b\|_2^2.
 ## Installation
 The most recent release is available via:
 ```julia
-Pkg.add(url="https://github.com/ZIB-IOL/ApproximateVanishingIdeals.jl.git")
+using Pkg
+Pkg.add("ApproximateVanishingIdeals")
+```
+Or get the latest main branch with:
+```julia
+Pkg.add(url="https://github.com/ZIB-IOL/ApproximateVanishingIdeals.jl", rev="main")
 ```
 
 ## Getting started

docs/src/index.md

@@ -20,7 +20,12 @@ f(x) = \frac{1}{m}\|Ax + b\|_2^2.
 ## Installation
 The most recent release is available via:
 ```julia
-Pkg.add(url="https://github.com/ZIB-IOL/ApproximateVanishingIdeals.jl.git")
+using Pkg
+Pkg.add("ApproximateVanishingIdeals")
+```
+Or get the latest main branch with:
+```julia
+Pkg.add(url="https://github.com/ZIB-IOL/ApproximateVanishingIdeals.jl", rev="main")
 ```
 
 ## Getting started

src/auxiliary_functions_avi.jl

@@ -17,17 +17,17 @@ function streaming_matrix_updates(A, A_squared, A_a, a, a_squared; A_squared_inv
         b = A_a
 
         B_squared = hcat(A_squared, b)
-        B_squared = vcat(B_squared, vcat(b, a_squared)')
+        B_squared = vcat(B_squared, transpose(vcat(b, a_squared)))
 
         if A_squared_inv !== nothing 
             # write B_squared_inv as S = | S_1, s_2|
             #                            | s_2.T s_3|
 
             A_squared_inv_b = A_squared_inv * b
-            b_A_squared_inv_b = (b' * A_squared_inv_b)
+            b_A_squared_inv_b = (transpose(b) * A_squared_inv_b)
 
-            s_2 = A_squared_inv + (A_squared_inv_b * A_squared_inv_b') ./ (a_squared .- b_A_squared_inv_b)
-            s_2 = (s_2 * b) ./ a_squared
+            s_2 = (A_squared_inv + (A_squared_inv_b * transpose(A_squared_inv_b)) ./ (a_squared .- b_A_squared_inv_b))
+            s_2 = - (s_2 * b) ./ a_squared
 
             s_3 = (1 .- (b' * s_2)) ./ a_squared
 

test/test_auxiliary_functions_avi.jl

@@ -45,5 +45,29 @@ end
     @test vec2 ≈ l1_projection(vec2)
     @test norm(l1_projection(vec2), 1) ≈ 1
     @test norm(vec2) ≈ norm(l1_projection(vec2))
+end;
 
-  end
+
+@testset "Test suite for streaming_matrix_updates" begin
+  dim = 30000
+  A = rand(dim, 500)
+
+  A_sq = transpose(A) * A
+  A_sq_inv = inv(A_sq)
+
+  a = rand(dim, 1)
+  a_sq = (transpose(a) * a)[1]
+
+  A_a = transpose(A) * a 
+
+  B, B_2, B_2_1 = streaming_matrix_updates(A, A_sq, A_a, a, a_sq; A_squared_inv=A_sq_inv)
+
+  C = hcat(A, a)
+
+  C_2 = transpose(C) * C
+
+  C_2_1 = inv(C_2)
+
+  @test norm(C_2 - B_2) < 1.0e-8
+  @test norm(C_2_1 - B_2_1) < 1.0e-8
+end;