00001 #include <math.h>
00002 #include <stdio.h>
00003 #include <string.h>
00004 #include <stdarg.h>
00005
00006 #include "lib/config.h"
00007 #include "lib/Signal.h"
00008
00009 #ifdef HAVE_LAPACK
00010 #include "lib/Mathematics.h"
00011 #include "classifier/svm/Tron.h"
00012
00013 using namespace shogun;
00014
00015 CTron::CTron(const function *f, float64_t e, int32_t it)
00016 : CSGObject()
00017 {
00018 this->fun_obj=const_cast<function *>(f);
00019 this->eps=e;
00020 this->max_iter=it;
00021 }
00022
00023 CTron::~CTron()
00024 {
00025 }
00026
00027 void CTron::tron(float64_t *w)
00028 {
00029
00030 float64_t eta0 = 1e-4, eta1 = 0.25, eta2 = 0.75;
00031
00032
00033 float64_t sigma1 = 0.25, sigma2 = 0.5, sigma3 = 4.;
00034
00035 int32_t i, cg_iter;
00036 float64_t delta, snorm, one=1.0;
00037 float64_t alpha, f, fnew, prered, actred, gs;
00038
00039
00040 int n = (int) fun_obj->get_nr_variable();
00041 int search = 1, iter = 1, inc = 1;
00042 double *s = new double[n];
00043 double *r = new double[n];
00044 double *w_new = new double[n];
00045 double *g = new double[n];
00046
00047 for (i=0; i<n; i++)
00048 w[i] = 0;
00049
00050 f = fun_obj->fun(w);
00051 fun_obj->grad(w, g);
00052 delta = cblas_dnrm2(n, g, inc);
00053 float64_t gnorm1 = delta;
00054 float64_t gnorm = gnorm1;
00055
00056 if (gnorm <= eps*gnorm1)
00057 search = 0;
00058
00059 iter = 1;
00060
00061 CSignal::clear_cancel();
00062
00063 while (iter <= max_iter && search && (!CSignal::cancel_computations()))
00064 {
00065 cg_iter = trcg(delta, g, s, r);
00066
00067 memcpy(w_new, w, sizeof(float64_t)*n);
00068 cblas_daxpy(n, one, s, inc, w_new, inc);
00069
00070 gs = cblas_ddot(n, g, inc, s, inc);
00071 prered = -0.5*(gs-cblas_ddot(n, s, inc, r, inc));
00072 fnew = fun_obj->fun(w_new);
00073
00074
00075 actred = f - fnew;
00076
00077
00078 snorm = cblas_dnrm2(n, s, inc);
00079 if (iter == 1)
00080 delta = CMath::min(delta, snorm);
00081
00082
00083 if (fnew - f - gs <= 0)
00084 alpha = sigma3;
00085 else
00086 alpha = CMath::max(sigma1, -0.5*(gs/(fnew - f - gs)));
00087
00088
00089 if (actred < eta0*prered)
00090 delta = CMath::min(CMath::max(alpha, sigma1)*snorm, sigma2*delta);
00091 else if (actred < eta1*prered)
00092 delta = CMath::max(sigma1*delta, CMath::min(alpha*snorm, sigma2*delta));
00093 else if (actred < eta2*prered)
00094 delta = CMath::max(sigma1*delta, CMath::min(alpha*snorm, sigma3*delta));
00095 else
00096 delta = CMath::max(delta, CMath::min(alpha*snorm, sigma3*delta));
00097
00098 SG_INFO("iter %2d act %5.3e pre %5.3e delta %5.3e f %5.3e |g| %5.3e CG %3d\n", iter, actred, prered, delta, f, gnorm, cg_iter);
00099
00100 if (actred > eta0*prered)
00101 {
00102 iter++;
00103 memcpy(w, w_new, sizeof(float64_t)*n);
00104 f = fnew;
00105 fun_obj->grad(w, g);
00106
00107 gnorm = cblas_dnrm2(n, g, inc);
00108 if (gnorm < eps*gnorm1)
00109 break;
00110 }
00111 if (f < -1.0e+32)
00112 {
00113 SG_WARNING("f < -1.0e+32\n");
00114 break;
00115 }
00116 if (CMath::abs(actred) <= 0 && CMath::abs(prered) <= 0)
00117 {
00118 SG_WARNING("actred and prered <= 0\n");
00119 break;
00120 }
00121 if (CMath::abs(actred) <= 1.0e-12*CMath::abs(f) &&
00122 CMath::abs(prered) <= 1.0e-12*CMath::abs(f))
00123 {
00124 SG_WARNING("actred and prered too small\n");
00125 break;
00126 }
00127 }
00128
00129 delete[] g;
00130 delete[] r;
00131 delete[] w_new;
00132 delete[] s;
00133 }
00134
00135 int32_t CTron::trcg(float64_t delta, double* g, double* s, double* r)
00136 {
00137
00138 int i, cg_iter;
00139 int n = (int) fun_obj->get_nr_variable();
00140 int inc = 1;
00141 double one = 1;
00142 double *Hd = new double[n];
00143 double *d = new double[n];
00144 double rTr, rnewTrnew, alpha, beta, cgtol;
00145
00146 for (i=0; i<n; i++)
00147 {
00148 s[i] = 0;
00149 r[i] = -g[i];
00150 d[i] = r[i];
00151 }
00152 cgtol = 0.1* cblas_dnrm2(n, g, inc);
00153
00154 cg_iter = 0;
00155 rTr = cblas_ddot(n, r, inc, r, inc);
00156 while (1)
00157 {
00158 if (cblas_dnrm2(n, r, inc) <= cgtol)
00159 break;
00160 cg_iter++;
00161 fun_obj->Hv(d, Hd);
00162
00163 alpha = rTr/cblas_ddot(n, d, inc, Hd, inc);
00164 cblas_daxpy(n, alpha, d, inc, s, inc);
00165 if (cblas_dnrm2(n, s, inc) > delta)
00166 {
00167 SG_INFO("cg reaches trust region boundary\n");
00168 alpha = -alpha;
00169 cblas_daxpy(n, alpha, d, inc, s, inc);
00170
00171 double std = cblas_ddot(n, s, inc, d, inc);
00172 double sts = cblas_ddot(n, s, inc, s, inc);
00173 double dtd = cblas_ddot(n, d, inc, d, inc);
00174 double dsq = delta*delta;
00175 double rad = sqrt(std*std + dtd*(dsq-sts));
00176 if (std >= 0)
00177 alpha = (dsq - sts)/(std + rad);
00178 else
00179 alpha = (rad - std)/dtd;
00180 cblas_daxpy(n, alpha, d, inc, s, inc);
00181 alpha = -alpha;
00182 cblas_daxpy(n, alpha, Hd, inc, r, inc);
00183 break;
00184 }
00185 alpha = -alpha;
00186 cblas_daxpy(n, alpha, Hd, inc, r, inc);
00187 rnewTrnew = cblas_ddot(n, r, inc, r, inc);
00188 beta = rnewTrnew/rTr;
00189 cblas_dscal(n, beta, d, inc);
00190 cblas_daxpy(n, one, r, inc, d, inc);
00191 rTr = rnewTrnew;
00192 }
00193
00194 delete[] d;
00195 delete[] Hd;
00196
00197 return(cg_iter);
00198 }
00199
00200 float64_t CTron::norm_inf(int32_t n, float64_t *x)
00201 {
00202 float64_t dmax = CMath::abs(x[0]);
00203 for (int32_t i=1; i<n; i++)
00204 if (CMath::abs(x[i]) >= dmax)
00205 dmax = CMath::abs(x[i]);
00206 return(dmax);
00207 }
00208 #endif //HAVE_LAPACK