add_log_barriers

Utils.jl

@@ -73,9 +73,7 @@ function lowpass_filter(i; σ=1)
   i_padded = view(i, [fill(firstindex(i), half_w); eachindex(i); fill(lastindex(i), half_w)])
   k = exp.(-0.5 * ((x / σ) .^ 2)) / (2 * σ * sqrt(2π))
   k ./= sum(k)
-  @show sum(k)
   r = DSP.conv(i_padded, k)[2half_w+1:end-2half_w]
-  @show size(r)
   return r
 end
 
@@ -83,4 +81,79 @@ function chi2(I_data, I_model, err)
   return sum((I_data .- I_model ./ err) .^ 2)
 end
 
+function add_log_barriers(f::Function, constraints::Vector{Tuple{T,T}}; padding_factor=0.1) where {T<:Real}
+  n = length(constraints)
+
+  lower_shifts = Float64[]
+  upper_shifts = Float64[]
+
+  padding_factors = if padding_factor isa Vector
+    padding_factor
+  else
+    fill(padding_factor, n)
+  end
+
+  k = 0
+  barrier_widths = map(constraints) do (lower, upper)
+    k += 1
+    if upper <= lower
+      throw("admissible set is empty, check constraints")
+    end
+    if isfinite(lower)
+      push!(lower_shifts, lower)
+      if isfinite(upper)
+        push!(upper_shifts, upper)
+        return padding_factors[k] * (upper - lower)
+      else
+        push!(upper_shifts, Inf)
+        return 1.0
+      end
+    else
+      push!(lower_shifts, -Inf)
+      if isfinite(upper)
+        push!(upper_shifts, upper)
+        return 1.0
+      else
+        push!(upper_shifts, Inf)
+        return 1.0
+      end
+    end
+  end
+
+  function std_lower_barrier(s::Float64)
+    return max(-log(s + 1.0), 0.0)^2
+  end
+
+  function barrier(x::Vector{Float64})
+    lb = (x .- lower_shifts) ./ barrier_widths
+    ub = (upper_shifts .- x) ./ barrier_widths
+
+    lb_violations = findall(<=(-1.0), lb)
+    ub_violations = findall(<=(-1.0), ub)
+
+    if !isempty(lb_violations)
+      err_msg = ""
+      for i in lb_violations
+        err_msg *= " · x[$i] = $(x[i]) < $(constraints[i][1]), width = $(barrier_widths[i])"
+      end
+      @error err_msg
+      throw("lower bound violation for indice(s) $(lb_violations)")
+    end
+
+    if !isempty(ub_violations)
+      err_msg = ""
+      for i in ub_violations
+        err_msg *= " · x[$i] = $(x[i]) > $(constraints[i][2]), width = $(barrier_widths[i])"
+      end
+      @error err_msg
+      throw("upper bound violation for indice(s) $(ub_violations)")
+    end
+
+    v = sum(std_lower_barrier.(lb) + std_lower_barrier.(ub))
+    return v
+  end
+
+  return x::Vector{Float64} -> f(x) .+ barrier(x)
+end
+
 end # module Utils