2022-03-09 Higher dimensions

Last time

  • Accuracy of piecewise constant (nearest neighbor) interpolation

  • Piecewise polynomial methods

  • Splines

  • Libraries

Today

  • Discussion

  • Compare accuracy and conditioning of splines

  • Generalization: boundary value problems

  • Cost for interpolation in higher dimensions

using LinearAlgebra
using Plots
default(linewidth=4, legendfontsize=12)

function vander(x, k=nothing)
    if isnothing(k)
        k = length(x)
    end
    m = length(x)
    V = ones(m, k)
    for j in 2:k
        V[:, j] = V[:, j-1] .* x
    end
    V
end

function vander_chebyshev(x, n=nothing)
    if isnothing(n)
        n = length(x) # Square by default
    end
    m = length(x)
    T = ones(m, n)
    if n > 1
        T[:, 2] = x
    end
    for k in 3:n
        #T[:, k] = x .* T[:, k-1]
        T[:, k] = 2 * x .* T[:,k-1] - T[:, k-2]
    end
    T
end

function interp_nearest(x, s)
    A = zeros(length(s), length(x))
    for (i, t) in enumerate(s)
        loc = nothing
        dist = Inf
        for (j, u) in enumerate(x)
            if abs(t - u) < dist
                loc = j
                dist = abs(t - u)
            end
        end
        A[i, loc] = 1
    end
    A
end

runge(x) = 1 / (1 + 10*x^2)

CosRange(a, b, n) = (a + b)/2 .+ (b - a)/2 * cos.(LinRange(-pi, 0, n))

vcond(mat, points, nmax) = [cond(mat(points(-1, 1, n))) for n in 2:nmax]
vcond (generic function with 1 method)

Spline bases

using Interpolations

x = LinRange(-1, 1, 9)
y = runge.(x)
flin = LinearInterpolation(x, y)
fspline = CubicSplineInterpolation(x, y)
plot([runge, t -> fspline(t)], xlims=(-1, 1))
scatter!(x, y)
../_images/2022-03-09-higher-dimensions_3_0.svg
function interp_spline(x, s)
    m, n = length(s), length(x)
    A = diagm(m, n, ones(n))
    for j in 1:n
        fspline = CubicSplineInterpolation(x, A[1:n,j])
        A[:,j] = fspline.(s)
    end
    A
end

s = LinRange(-1, 1, 100)
A = interp_spline(x, s)
plot(s, A, legend=:none)
../_images/2022-03-09-higher-dimensions_4_0.svg

Spline conditioning

function my_spy(A)
    cmax = norm(vec(A), Inf)
    s = max(1, ceil(120 / size(A, 1)))
    spy(A, marker=(:square, s), c=:diverging_rainbow_bgymr_45_85_c67_n256, clims=(-cmax, cmax))
end

A = interp_spline(LinRange(-1, 1, 40), s)
cond(A)
1.5075717485062632
my_spy(A)
../_images/2022-03-09-higher-dimensions_7_0.svg
function interp_chebyshev(x, xx)
    vander_chebyshev(xx, length(x)) * inv(vander_chebyshev(x))
end

function interp_monomial(x, xx)
    vander(xx, length(x)) * inv(vander(x))
end

function interp_error(ieval, x, xx, test)
    """Compute norm of interpolation error for function test
    using method interp_and_eval from points x to points xx.
    """
    A = ieval(x, xx)
    y = test.(x)
    yy = test.(xx)
    norm(A * y - yy, Inf)
end

function plot_convergence(ievals, ptspaces; xscale=:log10, yscale=:log10, maxpts=40)
    """Plot convergence rates for an interpolation scheme applied
    to a set of tests.
    """
    xx = LinRange(-1, 1, 100)
    ns = 2:maxpts
    fig = plot(title="Convergence",
        xlabel="Number of points",
        ylabel="Interpolation error",
        xscale=xscale,
        yscale=yscale,
        legend=:bottomleft,
        size=(1200, 800))
    for ieval in ievals
        for ptspace in ptspaces
            for test in [runge]
                try
                    errors = [interp_error(ieval, ptspace(-1, 1, n), xx, test)
                             for n in ns]
                    plot!(ns, errors, marker=:circle, label="$ieval/$ptspace")
                catch
                    continue
                end
            end
        end
    end
    for k in [1, 2, 3]
        plot!(ns, ns .^ (-1.0*k), color=:black, label="\$n^{-$k}\$")
    end
    fig
end
plot_convergence (generic function with 1 method)

Accuracy

plot_convergence([interp_monomial, interp_chebyshev, interp_nearest, interp_spline], [LinRange, CosRange], maxpts=60)
../_images/2022-03-09-higher-dimensions_10_0.svg

Generalizations of interpolation

To create a Vandermonde matrix, we choose a family of functions \(\phi_j(x)\) and a set of points \(x_i\), then create the matrix

\[ V_{ij} = \phi_j(x_i) .\]

Integrals?

\[ B_{ij} = \int_{(x_{i-1} + x_i)/2}^{(x_i + x_{i+1})/2} \phi_j(s) ds\]

This leads to conservative reconstruction, which is an important part of finite volume methods, which are industry standard for shock dynamics.

Derivatives?

What if we instead computed derivatives?

\[ A_{ij} = \phi_j'(x_i) \]
function diff_monomial(x)
    n = length(x)
    A = zeros(n, n)
    A[:,2] = one.(x)
    for j in 3:n
        A[:,j] = A[:,j-1] .* x * (j - 1) / (j - 2)
    end
    A
end

diff_monomial(LinRange(-1, 1, 4))
4×4 Matrix{Float64}:
 0.0  1.0  -2.0       3.0
 0.0  1.0  -0.666667  0.333333
 0.0  1.0   0.666667  0.333333
 0.0  1.0   2.0       3.0

We need boundary conditions!

First, a stable basis!

Derivatives of Chebyshev polynomials also satisfy a recurrence.

function chebdiff(x, n=nothing)
    T = vander_chebyshev(x, n)
    m, n = size(T)
    dT = zero(T)
    dT[:,2:3] = [one.(x) 4*x]
    for j in 3:n-1
        dT[:,j+1] = j * (2 * T[:,j] + dT[:,j-1] / (j-2))
    end
    ddT = zero(T)
    ddT[:,3] .= 4
    for j in 3:n-1
        ddT[:,j+1] = j * (2 * dT[:,j] + ddT[:,j-1] / (j-2))
    end
    T, dT, ddT
end
chebdiff (generic function with 2 methods)
x = CosRange(-1, 1, 10)
T, dT, ddT = chebdiff(x)
c = T \ cos.(3x)
scatter(x, dT * c)
plot!(x -> -3sin(3x))
../_images/2022-03-09-higher-dimensions_18_0.svg

Solving a BVP with Chebyshev collocation

A boundary value problem (BVP) asks to find a function \(u(x)\) satisfying an equation like

\[ -u_{xx}(x) = f(x) \]
subject to boundary conditions \(u(-1) = a\) and \(u'(1) = b\).

We’ll use the “method of manufactured solutions”: choose \(u(x) = \tanh(2x)\) and solve with the corresponding \(f(x)\). In practice, \(f(x)\) comes from the physics and you need to solve for \(u(x)\).

function poisson_cheb(n, rhsfunc, leftbc=(0, zero), rightbc=(0, zero))
    x = CosRange(-1, 1, n)
    T, dT, ddT = chebdiff(x)
    L = -ddT
    rhs = rhsfunc.(x)
    for (index, deriv, func) in
            [(1, leftbc...), (n, rightbc...)]
        L[index,:] = (T, dT)[deriv+1][index,:]
        rhs[index] = func(x[index])
    end
    x, L / T, rhs
end
poisson_cheb (generic function with 3 methods)
manufactured(x) = tanh(2x)
d_manufactured(x) = 2*cosh(2x)^-2
mdd_manufactured(x) = 8 * tanh(2x) / cosh(2x)^2
x, A, rhs = poisson_cheb(12, mdd_manufactured,
    (0, manufactured), (1, d_manufactured))
plot(x, A \ rhs, marker=:auto)
plot!(manufactured, legend=:bottomright)
../_images/2022-03-09-higher-dimensions_21_0.svg

“spectral” (exponential) convergence¶

function poisson_error(n)
    x, A, rhs = poisson_cheb(n, mdd_manufactured, (0, manufactured), (1, d_manufactured))
    u = A \ rhs
    norm(u - manufactured.(x), Inf)
end

ns = 3:20
ps = [1 2 3]
plot(ns, abs.(poisson_error.(ns)), marker=:auto, yscale=:log10, xlabel="# points", ylabel="error")
plot!([n -> n^-p for p in ps], label=map(p -> "\$n^{-$p}\$", ps), size=(1000, 600))
../_images/2022-03-09-higher-dimensions_23_0.svg

Curse of Dimensionality

Suppose we use a naive Vandermonde matrix to interpolate \(n\) data points in an \(n\)-dimensional space of functions, e.g., predicting \(z(x, y)\) from data \((x_i, y_i, z_i)\)

\[ \underbrace{\Bigg[ 1 \Bigg| x \Bigg| y \Bigg| xy \Bigg| x^2 \Big| y^2 \Big| x^2 y \Big| xy^2 \Big| x^2y^2 \Big| \dotsb \Bigg]}_{V} \Bigg[ \mathbf c \Bigg] = \Bigg[ \mathbf z \Bigg] \]
# A grid with 10 data points in each of d dimensions.
points(d) = 10. ^ d
flops(n) = n ^ 3
joules(flops) = flops / 20e9 # 20 GF/joule for best hardware today
scatter(1:10, d -> joules(flops(points(d))), xlims=(0, 10), yscale=:log10, legend=:none)
../_images/2022-03-09-higher-dimensions_25_0.svg
barrels_of_oil(flops) = joules(flops) / 6e9
scatter(1:10, d -> barrels_of_oil(flops(points(d))), xlims=(0, 10), yscale=:log10)
../_images/2022-03-09-higher-dimensions_26_0.svg

Fourier series and tensor product structure

For periodic data on the interval \([-\pi, \pi)\), we can use a basis \(\{ 1, \sin x, \cos x, \sin 2x, \cos 2x, \dotsc\}\), which is equivalent to \(\{ 1, e^{ix}, e^{i2x}, \dotsc \}\) with suitable complex coefficients. If we’re given equally spaced points on the interval, the Vandermonde matrix \(V\) (with suitable scaling) is unitary (like orthogonal for complex matrices) and can be applied in \(O(n \log n)\) (with small constants) using the Fast Fourier Transform. This also works for Chebyshev polynomials sampled on CosRange points.

points(d) = 10. ^ d
flops(n) = 5n * log2(n)
joules(flops) = flops / 20e9 # 20 GF/joule for best hardware today
scatter(1:10, d -> joules(flops(points(d))), xlims=(0, 10), yscale=:log10)
../_images/2022-03-09-higher-dimensions_28_0.svg

Partial differential equations

Boundary value problems in multiple dimensions.

Lower-degree polynomials to fit noise-free data

We can fit \(m\) data points using an \(n < m\) dimensional space of functions. This involves solving a least squares problem for the coefficients \( \min_c \lVert V c - y \rVert \)

function chebyshev_regress_eval(x, xx, n)
    V = vander_chebyshev(x, n)
    @show cond(V)
    vander_chebyshev(xx, n) / V
end
ndata, nbasis = 30, 20
x = LinRange(-1, 1, ndata)
xx = LinRange(-1, 1, 500)
C = chebyshev_regress_eval(x, xx, nbasis)
plot(xx, [runge.(xx), C * runge.(x)])
scatter!(x, runge)
cond(V) = 30.08350663794034
../_images/2022-03-09-higher-dimensions_33_1.svg
S = svdvals(C)
scatter(S, yscale=:log10)
../_images/2022-03-09-higher-dimensions_34_0.svg