Made kerneldiff to address #162

README.md

@@ -26,10 +26,10 @@ Python methods for numerical differentiation of noisy data, including multi-obje
 
 PyNumDiff is a Python package that implements various methods for computing numerical derivatives of noisy data, which can be a critical step in developing dynamic models or designing control. There are seven different families of methods implemented in this repository:
 
-1. convolutional smoothing followed by finite difference calculation
-2. polynomial fit methods
-3. basis function fit methods
-4. iterated finite differencing
+1. prefiltering followed by finite difference calculation
+2. iterated finite differencing
+3. polynomial fit methods
+4. basis function fit methods
 5. total variation regularization of a finite difference derivative
 6. generalized Kalman smoothing
 7. local approximation with linear model

docs/source/smooth_finite_difference.rst

@@ -2,4 +2,11 @@ smooth_finite_difference
 ========================
 
 .. automodule:: pynumdiff.smooth_finite_difference
-    :members:
+    :no-members:
+
+.. autofunction:: pynumdiff.smooth_finite_difference.kerneldiff
+.. autofunction:: pynumdiff.smooth_finite_difference.butterdiff
+.. autofunction:: pynumdiff.smooth_finite_difference.meandiff
+.. autofunction:: pynumdiff.smooth_finite_difference.mediandiff
+.. autofunction:: pynumdiff.smooth_finite_difference.gaussiandiff
+.. autofunction:: pynumdiff.smooth_finite_difference.friedrichsdiff

examples/4_performance_analysis.ipynb

@@ -87,13 +87,13 @@
     "\t\t\t(splinediff, 'SplineDiff'),\n",
     "\t\t\t(polydiff, 'PolyDiff'),\n",
     "\t\t\t(savgoldiff, 'SavGolDiff'),\n",
-    "\t\t    (spectraldiff, 'SpectralDiff'),\n",
+    "\t\t\t(spectraldiff, 'SpectralDiff'),\n",
     "\t\t\t(rbfdiff, 'RBF'),\n",
     "\t\t\t(finitediff, 'IteratedFD'), # skip first_order, because it's not going to be the best\n",
     "\t\t\t(tvrdiff, 'TVR'),\n",
     "\t\t\t(smooth_acceleration, 'SmoothAccelTVR'), # skip in plotting?\n",
     "\t\t\t(rtsdiff, 'RTS'),\n",
-    "\t\t    (robustdiff, 'RobustDiff')]\n",
+    "\t\t\t(robustdiff, 'RobustDiff')]\n",
     "sims = [(pi_cruise_control, 'Cruise Control'),\n",
     "\t\t(sine, 'Sum of Sines'),\n",
     "\t\t(triangle, 'Triangles'),\n",

pynumdiff/__init__.py

@@ -13,7 +13,7 @@
     from .linear_model import lineardiff
 
 from .finite_difference import finitediff, first_order, second_order, fourth_order
-from .smooth_finite_difference import meandiff, mediandiff, gaussiandiff, friedrichsdiff, butterdiff
+from .smooth_finite_difference import kerneldiff, meandiff, mediandiff, gaussiandiff, friedrichsdiff, butterdiff
 from .polynomial_fit import splinediff, polydiff, savgoldiff
 from .basis_fit import spectraldiff, rbfdiff
 from .total_variation_regularization import iterative_velocity

pynumdiff/finite_difference/_finite_difference.py

@@ -65,7 +65,8 @@ def finitediff(x, dt, num_iterations, order):
 
 
 def first_order(x, dt, params=None, options={}, num_iterations=1):
-    """First-order difference method
+    """First-order difference method\n
+    **Deprecated**, prefer :code:`finitediff` with order 1 instead.
 
     :param np.array[float] x: data to differentiate
     :param float dt: step size
@@ -85,11 +86,13 @@ def first_order(x, dt, params=None, options={}, num_iterations=1):
         warn("`params` and `options` parameters will be removed in a future version. Use `num_iterations` instead.", DeprecationWarning)
         num_iterations = params[0] if isinstance(params, list) else params
 
+    warn("`first_order` is deprecated. Call `finitediff` with order 1 instead.", DeprecationWarning)
     return finitediff(x, dt, num_iterations, 1)
 
 
 def second_order(x, dt, num_iterations=1):
-    """Second-order centered difference method, with special endpoint formulas.
+    """Second-order centered difference method, with special endpoint formulas.\n
+    **Deprecated**, prefer :code:`finitediff` with order 2 instead.
 
     :param np.array[float] x: data to differentiate
     :param float dt: step size
@@ -100,11 +103,13 @@ def second_order(x, dt, num_iterations=1):
              - **x_hat** -- original x if :code:`num_iterations=1`, else smoothed x that yielded dxdt_hat
              - **dxdt_hat** -- estimated derivative of x
     """
+    warn("`second_order` is deprecated. Call `finitediff` with order 2 instead.", DeprecationWarning)
     return finitediff(x, dt, num_iterations, 2)
 
 
 def fourth_order(x, dt, num_iterations=1):
-    """Fourth-order centered difference method, with special endpoint formulas.
+    """Fourth-order centered difference method, with special endpoint formulas.\n
+    **Deprecated**, prefer :code:`finitediff` with order 4 instead.
 
     :param np.array[float] x: data to differentiate
     :param float dt: step size
@@ -115,4 +120,5 @@ def fourth_order(x, dt, num_iterations=1):
              - **x_hat** -- original x if :code:`num_iterations=1`, else smoothed x that yielded dxdt_hat
              - **dxdt_hat** -- estimated derivative of x
     """
+    warn("`fourth_order` is deprecated. Call `finitediff` with order 4 instead.", DeprecationWarning)
     return finitediff(x, dt, num_iterations, 4)

pynumdiff/kalman_smooth/_kalman_smooth.py

@@ -170,7 +170,8 @@ def rtsdiff(x, _t, order, qr_ratio, forwardbackward):
 
 
 def constant_velocity(x, dt, params=None, options=None, r=None, q=None, forwardbackward=True):
-    """Run a forward-backward constant velocity RTS Kalman smoother to estimate the derivative.
+    """Run a forward-backward constant velocity RTS Kalman smoother to estimate the derivative.\n
+    **Deprecated**, prefer :code:`rtsdiff` with order 1 instead.
 
     :param np.array[float] x: data series to differentiate
     :param float dt: step size
@@ -195,11 +196,13 @@ def constant_velocity(x, dt, params=None, options=None, r=None, q=None, forwardb
     elif r == None or q == None:
         raise ValueError("`q` and `r` must be given.")
 
+    warn("`constant_velocity` is deprecated. Call `rtsdiff` with order 1 instead.", DeprecationWarning)
     return rtsdiff(x, dt, 1, q/r, forwardbackward)
 
 
 def constant_acceleration(x, dt, params=None, options=None, r=None, q=None, forwardbackward=True):
-    """Run a forward-backward constant acceleration RTS Kalman smoother to estimate the derivative.
+    """Run a forward-backward constant acceleration RTS Kalman smoother to estimate the derivative.\n
+    **Deprecated**, prefer :code:`rtsdiff` with order 2 instead.
 
     :param np.array[float] x: data series to differentiate
     :param float dt: step size
@@ -224,11 +227,13 @@ def constant_acceleration(x, dt, params=None, options=None, r=None, q=None, forw
     elif r == None or q == None:
         raise ValueError("`q` and `r` must be given.")
 
+    warn("`constant_acceleration` is deprecated. Call `rtsdiff` with order 2 instead.", DeprecationWarning)
     return rtsdiff(x, dt, 2, q/r, forwardbackward)
 
 
 def constant_jerk(x, dt, params=None, options=None, r=None, q=None, forwardbackward=True):
-    """Run a forward-backward constant jerk RTS Kalman smoother to estimate the derivative.
+    """Run a forward-backward constant jerk RTS Kalman smoother to estimate the derivative.\n
+    **Deprecated**, prefer :code:`rtsdiff` with order 3 instead.
 
     :param np.array[float] x: data series to differentiate
     :param float dt: step size
@@ -253,6 +258,7 @@ def constant_jerk(x, dt, params=None, options=None, r=None, q=None, forwardbackw
     elif r == None or q == None:
         raise ValueError("`q` and `r` must be given.")
 
+    warn("`constant_jerk` is deprecated. Call `rtsdiff` with order 3 instead.", DeprecationWarning)
     return rtsdiff(x, dt, 3, q/r, forwardbackward)
 
 

pynumdiff/optimize/_optimize.py

@@ -10,7 +10,7 @@
 
 from ..utils import evaluate
 from ..finite_difference import finitediff, first_order, second_order, fourth_order
-from ..smooth_finite_difference import mediandiff, meandiff, gaussiandiff, friedrichsdiff, butterdiff
+from ..smooth_finite_difference import kerneldiff, mediandiff, meandiff, gaussiandiff, friedrichsdiff, butterdiff
 from ..polynomial_fit import polydiff, savgoldiff, splinediff
 from ..basis_fit import spectraldiff, rbfdiff
 from ..total_variation_regularization import tvrdiff, velocity, acceleration, jerk, iterative_velocity, smooth_acceleration, jerk_sliding
@@ -19,10 +19,25 @@
 
 # Map from method -> (search_space, bounds_low_hi)
 method_params_and_bounds = {
-    meandiff: ({'window_size': [5, 15, 30, 50],
+    kerneldiff: ({'kernel': {'mean', 'median', 'gaussian', 'friedrichs'},
+             'window_size': [5, 15, 30, 50],
+          'num_iterations': [1, 5, 10]},
+            {'window_size': (1, 1e6),
+          'num_iterations': (1, 100)}),
+    meandiff: ({'window_size': [5, 15, 30, 50], # Deprecated method
              'num_iterations': [1, 5, 10]},
                {'window_size': (1, 1e6),
              'num_iterations': (1, 100)}),
+    butterdiff: ({'filter_order': set(i for i in range(1,11)), # categorical to save us from doing double work by guessing between orders
+                   'cutoff_freq': [0.0001, 0.001, 0.005, 0.01, 0.1, 0.5],
+                'num_iterations': [1, 5, 10]},
+                  {'cutoff_freq': (1e-4, 1-1e-2),
+                'num_iterations': (1, 1000)}),
+    finitediff: ({'num_iterations': [5, 10, 30, 50],
+                           'order': {2, 4}}, # order is categorical here, because it can't be 3
+                 {'num_iterations': (1, 1000)}),
+    first_order: ({'num_iterations': [5, 10, 30, 50]}, # Separated because optimizing over this one is rare due to shifted answer
+                  {'num_iterations': (1, 1000)}),
     polydiff: ({'step_size': [1, 2, 5],
                    'kernel': {'friedrichs', 'gaussian'}, # categorical
                    'degree': [2, 3, 5, 7],
@@ -49,26 +64,16 @@
                 'lmbd': [1e-3, 1e-2, 1e-1]},
               {'sigma': (1e-3, 1e3),
                 'lmbd': (1e-4, 0.5)}),
-    finitediff: ({'num_iterations': [5, 10, 30, 50],
-                           'order': {2, 4}}, # order is categorical here, because it can't be 3
-                 {'num_iterations': (1, 1000)}),
-    first_order: ({'num_iterations': [5, 10, 30, 50]},
-                  {'num_iterations': (1, 1000)}),
-    butterdiff: ({'filter_order': set(i for i in range(1,11)), # categorical to save us from doing double work by guessing between orders
-                   'cutoff_freq': [0.0001, 0.001, 0.005, 0.01, 0.1, 0.5],
-                'num_iterations': [1, 5, 10]},
-                  {'cutoff_freq': (1e-4, 1-1e-2),
-                'num_iterations': (1, 1000)}),
     tvrdiff: ({'gamma': [1e-2, 1e-1, 1, 10, 100, 1000],
                'order': {1, 2, 3}}, # warning: order 1 hacks the loss function when tvgamma is used, tends to win but is usually suboptimal choice in terms of true RMSE
               {'gamma': (1e-4, 1e7)}),
-    velocity: ({'gamma': [1e-2, 1e-1, 1, 10, 100, 1000]},
+    velocity: ({'gamma': [1e-2, 1e-1, 1, 10, 100, 1000]}, # Deprecated method
                {'gamma': (1e-4, 1e7)}),
-    iterative_velocity: ({'num_iterations': [1, 5, 10],
-                                   'gamma': [1e-2, 1e-1, 1, 10, 100, 1000],
-                                   'scale': 'small'},
-                         {'num_iterations': (1, 100), # gets expensive with more iterations
-                                   'gamma': (1e-4, 1e7)}),
+    iterative_velocity: ({'scale': 'small', # Rare to optimize this one, because it's longer-running than convex version
+                 'num_iterations': [1, 5, 10],
+                          'gamma': [1e-2, 1e-1, 1, 10, 100, 1000]},
+                {'num_iterations': (1, 100), # gets expensive with more iterations
+                          'gamma': (1e-4, 1e7)}),
     smooth_acceleration: ({'gamma': [1e-2, 1e-1, 1, 10, 100, 1000],
                      'window_size': [3, 10, 30, 50, 90, 130]},
                           {'gamma': (1e-4, 1e7),
@@ -77,7 +82,7 @@
                          'order': {1, 2, 3}, # for this few options, the optimization works better if this is categorical
                       'qr_ratio': [10**k for k in range(-9, 10, 2)] + [1e12, 1e16]},
                      {'qr_ratio': [1e-10, 1e20]}), # qr_ratio is usually >>1
-    constant_velocity: ({'q': [1e-8, 1e-4, 1e-1, 1e1, 1e4, 1e8],
+    constant_velocity: ({'q': [1e-8, 1e-4, 1e-1, 1e1, 1e4, 1e8], # Deprecated method
                          'r': [1e-8, 1e-4, 1e-1, 1e1, 1e4, 1e8],
            'forwardbackward': {True, False}},
                         {'q': (1e-10, 1e10),
@@ -95,14 +100,14 @@
                    'gamma': (1e-3, 1000),
              'window_size': (15, 1000)})
 } # Methods with nonunique parameter sets are aliased in the dictionary below
-for method in [second_order, fourth_order]:
+for method in [second_order, fourth_order]: # Deprecated, redundant methods
     method_params_and_bounds[method] = method_params_and_bounds[first_order]
-for method in [mediandiff, gaussiandiff, friedrichsdiff]:
+for method in [mediandiff, gaussiandiff, friedrichsdiff]: # Deprecated methods
     method_params_and_bounds[method] = method_params_and_bounds[meandiff]
-for method in [acceleration, jerk]:
+for method in [acceleration, jerk]: # Deprecated, redundant methods
     method_params_and_bounds[method] = method_params_and_bounds[velocity]
 method_params_and_bounds[jerk_sliding] = method_params_and_bounds[smooth_acceleration]
-for method in [constant_acceleration, constant_jerk]:
+for method in [constant_acceleration, constant_jerk]: # Deprecated, redundant methods
     method_params_and_bounds[method] = method_params_and_bounds[constant_velocity]
 
 

pynumdiff/smooth_finite_difference/__init__.py

@@ -1,7 +1,4 @@
 """Apply smoothing method before finite difference.
 """
-from ._smooth_finite_difference import mediandiff, meandiff, gaussiandiff, friedrichsdiff, butterdiff, splinediff
-
-__all__ = ['mediandiff', 'meandiff', 'gaussiandiff', 'friedrichsdiff', 'butterdiff'] # So automodule from the .rst finds them
- # splinediff is still included in the imports list so backwards compatibility isn't broken, but excluded
- # from the __all__ list so sphinx doesn't try to document it from this module.
+from ._smooth_finite_difference import kerneldiff, mediandiff, meandiff, gaussiandiff, friedrichsdiff, butterdiff, splinediff
+# splinediff is still included in the imports list so backwards compatibility isn't broken