multidim optim of manellic and test

src/services/ManifoldKernelDensity.jl

@@ -107,7 +107,7 @@ manikde!(
 function manikde!_manellic(
   M::AbstractManifold,
   pts::AbstractVector;
-  bw=ones(manifold_dimension(M),1),
+  bw=diagm(ones(manifold_dimension(M))),
 )
   #
 
@@ -119,21 +119,29 @@ function manikde!_manellic(
   )
 
   # Cost function to optimize
-  _cost(_pts, σ) = begin
-    # avoid rebuilding tree at each optim iteration!!!
-      # mtr = buildTree_Manellic!(M, _pts; kernel_bw=reshape(σ,manifold_dimension(M),1), kernel=MvNormalKernel)
-    entropy(mtree,reshape(σ,manifold_dimension(M),1))
-  end
+  # avoid rebuilding tree at each optim iteration!!!
+  _cost(σ::Real) = entropy(mtree,[σ^2;;]) # reshape(σ,manifold_dimension(M),1))
+  _cost(σ::AbstractVector) = entropy(mtree,diagm(σ.^2)) # reshape(σ,manifold_dimension(M),1))
+  _cost(σ::AbstractMatrix) = entropy(mtree,σ.^2) # reshape(σ,manifold_dimension(M),1))
 
   # optimize for best LOOCV bandwidth
   # FIXME switch to RLM (or other Manopt) techinque instead 
   # set lower and upper bounds for Golden section optimization
-  lcov, ucov = getBandwidthSearchBounds(mtree)
-  res = Optim.optimize(
-    (s)->_cost(pts,[s^2;]), 
-    lcov[1], ucov[1], Optim.GoldenSection()
-  )
-  best_cov = [Optim.minimizer(res);;]
+  best_cov = if 1 === manifold_dimension(M)
+    lcov, ucov = getBandwidthSearchBounds(mtree)
+    res = Optim.optimize(
+      (s)->_cost([s;]), 
+      lcov[1], ucov[1], Optim.GoldenSection()
+    )
+    [Optim.minimizer(res);;]
+  else
+    res = Optim.optimize(
+      _cost, 
+      diag(bw), # FIXME Optim API issue, if using bw::matrix then steps not PDMat (NelderMead) 
+      Optim.NelderMead()
+    )
+    diagm(Optim.minimizer(res))
+  end
 
   # reuse (heavy lift parts of) earlier tree build
   # return tree with correct bandwidth

test/manellic/testManellicTree.jl

@@ -732,6 +732,7 @@ res = Optim.optimize(
   (s)->cost(pts,s^2), 
   0.05, 3.0, Optim.GoldenSection()
 )
+
 best_cov = Optim.minimizer(res)
 
 @test isapprox(0.5, best_cov; atol=0.3)
@@ -749,6 +750,7 @@ res = Optim.optimize(
   (s)->cost2(s^2), 
   0.05, 3.0, Optim.GoldenSection()
 )
+
 @show best_cov = Optim.minimizer(res)
 
 @test isapprox(bcov_, best_cov; atol=1e-3)
@@ -764,7 +766,8 @@ res = Optim.optimize(
   (s)->cost3(s^2), 
   0.05, 3.0, Optim.GoldenSection()
 )
-@show best_cov = Optim.minimizer(res)
+
+best_cov = Optim.minimizer(res)
 
 @test isapprox(bcov_, best_cov; atol=1e-3)
 
@@ -804,6 +807,41 @@ end
 end
 
 
+@testset "Multidimensional LOOCV bandwidth optimization" begin
+##
+
+M = TranslationGroup(2)
+pts = [1*randn(2) for _ in 1:64]
+
+bw = [1.0; 1.0]
+mtree = ApproxManifoldProducts.buildTree_Manellic!(M, pts; kernel_bw=bw,kernel=AMP.MvNormalKernel)
+
+cost4(σ) = begin
+  AMP.entropy(mtree, diagm(σ.^2))
+end
+
+# and optimize with "update" kernel bandwith cost
+@time res = Optim.optimize(
+  cost4, 
+  bw, 
+  Optim.NelderMead()
+);
+
+@test res.ls_success
+
+@show best_cov = Optim.minimizer(res)
+
+@test isapprox([0.5; 0.5], best_cov; atol=0.3)
+
+
+mkd = ApproxManifoldProducts.manikde!_manellic(M,pts)
+
+@test isapprox([0.5 0; 0 0.5], getBW(mkd)[1]; atol=0.3)
+
+
+##
+end
+
 
 ##
 # # using GLMakie