Merge pull request #1 from decarsg/feature/add-tikhonov-comparison

Feature/add tikhonov comparison

.mypy.ini

@@ -1,38 +1,3 @@
 [mypy]
-
 # https://mypy.readthedocs.io/en/stable/running_mypy.html#missing-imports
-[mypy-hydra]
-ignore_missing_imports = True
-
-[mypy-numpy]
-ignore_missing_imports = True
-
-[mypy-omegaconf]
-ignore_missing_imports = True
-
-[mypy-pykoop]
-ignore_missing_imports = True
-
-[mypy-pykoop.*]
-ignore_missing_imports = True
-
-[mypy-sklearn.*]
-ignore_missing_imports = True
-
-[mypy-matplotlib]
-ignore_missing_imports = True
-
-[mypy-scipy]
-ignore_missing_imports = True
-
-[mypy-scipy.*]
-ignore_missing_imports = True
-
-[mypy-doit]
-ignore_missing_imports = True
-
-[mypy-pandas]
-ignore_missing_imports = True
-
-[mypy-cmcrameri]
 ignore_missing_imports = True

config/regressor/hinf.yaml

@@ -7,7 +7,7 @@
 # is roughly equivalent to the following code::
 #
 #     pykoop.lmi_regressors.LmiEdmdHinfReg(
-#         alpha=1,
+#         alpha=7.5e-3,
 #         ratio=1,
 #         inv_method='svd',
 #         # ... plus other settings from ``iter_regressor_base``...
@@ -20,6 +20,6 @@ defaults:
 
 regressor:
   _target_: pykoop.lmi_regressors.LmiEdmdHinfReg
-  alpha: 1
+  alpha: 7.5e-3
   ratio: 1
   inv_method: 'svd'

config/regressor/hinf_dmdc.yaml

@@ -7,7 +7,7 @@
 # is roughly equivalent to the following code::
 #
 #     pykoop.lmi_regressors.LmiDmdcHinfReg(
-#         alpha=1,
+#         alpha=7.5e-3,
 #         ratio=1,
 #         tsvd_unshifted=pykoop.Tsvd(truncation='economy'),
 #         tsvd_shifted=pykoop.Tsvd(truncation='unknown_noise'),
@@ -21,7 +21,7 @@ defaults:
 
 regressor:
   _target_: pykoop.lmi_regressors.LmiDmdcHinfReg
-  alpha: 1
+  alpha: 7.5e-3
   ratio: 1
   tsvd_unshifted:
     _target_: pykoop.Tsvd

config/regressor/hinfw.yaml

@@ -8,7 +8,7 @@
 #
 #     pykoop.lmi_regressors.LmiHinfZpkMeta(
 #         hinf_regressor=pykoop.lmi_regressors.LmiDmdcHinfReg(
-#             alpha=1,
+#             alpha=7.5e-3,
 #             ratio=1,
 #             inv_method='svd',
 #             # ... plus other settings from ``iter_regressor_base``...
@@ -31,7 +31,7 @@ regressor:
   _target_: pykoop.lmi_regressors.LmiHinfZpkMeta
   hinf_regressor:
     _target_: pykoop.lmi_regressors.LmiEdmdHinfReg
-    alpha: 1
+    alpha: 7.5e-3
     ratio: 1
     inv_method: 'svd'
   type: post

config/regressor/iter_regressor_base.yaml

@@ -2,14 +2,14 @@
 # bilinear matrix inequalities).
 
 # Maximum number of iterations
-max_iter: 100
+max_iter: 10
 
 # Tolerance for strict of LMI constraints
 picos_eps: 1e-5
 
 # Absolute tolerance for objective cost change. Iteration stops when the change
-# in objectiv function is less than this value.
-iter_atol: 1e-6
+# in objective function is less than this value.
+iter_atol: 0
 
 # Parameters for the SDP solver. Sets solver (MOSEK), dualization, verbosity,
 # number of threads, and solver tolerances for feasibility and optimality.

config/regressor/tikhonov.yaml

@@ -0,0 +1,12 @@
+# Standard EDMD regressor with Tikhonov regularization.
+#
+# This config specifies a regressor that is directly instantiated by Hydra. It
+# is roughly equivalent to the following code::
+#
+#     pykoop.Edmd(alpha=7.5e-3)
+#
+# Details: https://hydra.cc/docs/advanced/instantiate_objects/overview/
+
+regressor:
+  _target_: pykoop.Edmd
+  alpha: 7.5e-3