restart using git

1 files changed, 410 insertions, 0 deletions

diff --git a/src/msvmmaj_train.c b/src/msvmmaj_train.c
new file mode 100644
index 0000000..272d86a
--- /dev/null
+++ b/src/msvmmaj_train.c
@@ -0,0 +1,410 @@
+/**
+ * @file msvmmaj_train.c
+ * @author Gertjan van den Burg (burg@ese.eur.nl)
+ * @date August 9, 2013
+ * @brief Main functions for training the MSVMMaj solution.
+ * 
+ * @details
+ * Contains update and loss functions used to actually find
+ * the optimal V.
+ *
+ */
+
+#include <math.h>
+#include <cblas.h>
+
+#include "msvmmaj_train.h"
+#include "MSVMMaj.h"
+#include "libMSVMMaj.h"
+#include "mylapack.h"
+#include "matrix.h"
+#include "util.h"
+
+#define MAX_ITER 1000000
+
+/**
+ * @name msvmmaj_optimize
+ * @brief The main training loop for MSVMMaj
+ *
+ * The msvmmaj_optimize() function is the main training function. This function
+ * handles the optimization of the model with the given model parameters, with
+ * the data given. On return the matrix model->V contains the optimal weight matrix.
+ *
+ * @param [in,out] 	model 	the model to be trained. Contains optimal V on exit.
+ * @param [in] 		data 	the data to train the model with.
+ */
+void msvmmaj_optimize(struct MajModel *model, struct MajData *data)
+{
+	long i, j, it = 0;
+	double L, Lbar;
+
+	long n = model->n;
+	long m = model->m;
+	long K = model->K;
+
+	double *B = Calloc(double, n*(K-1));
+	double *ZV = Calloc(double, n*(K-1));
+	double *ZAZ = Calloc(double, (m+1)*(m+1));	
+	double *ZAZV = Calloc(double, (m+1)*(K-1));
+	double *ZAZVT = Calloc(double, (m+1)*(K-1));
+
+	note("Starting main loop.\n");
+	note("MajDataset:\n");
+	note("\tn = %i\n", n);
+	note("\tm = %i\n", m);
+	note("\tK = %i\n", K);
+	note("Parameters:\n");
+	note("\tkappa = %f\n", model->kappa);
+	note("\tp = %f\n", model->p);
+	note("\tlambda = %15.16f\n", model->lambda);
+	note("\tepsilon = %g\n", model->epsilon);
+	note("\n");
+
+	msvmmaj_simplex_gen(model->K, model->U);
+	msvmmaj_simplex_diff(model, data);
+	msvmmaj_category_matrix(model, data);
+
+	L = msvmmaj_get_loss(model, data, ZV);
+	Lbar = L + 2.0*model->epsilon*L;
+
+	while ((it < MAX_ITER) && (Lbar - L)/L > model->epsilon)
+	{
+		// ensure V contains newest V and Vbar contains V from previous
+		msvmmaj_get_update(model, data, B, ZAZ, ZAZV, ZAZVT);
+		if (it > 50)
+			msvmmaj_step_doubling(model);
+
+		Lbar = L;
+		L = msvmmaj_get_loss(model, data, ZV);
+
+		if (it%50 == 0)
+			note("iter = %li, L = %15.16f, Lbar = %15.16f, reldiff = %15.16f\n",
+					it, L, Lbar, (Lbar - L)/L);
+		it++;
+	}
+
+	note("optimization finished, iter = %li, error = %8.8f\n", it-1,
+			(Lbar - L)/L);
+	model->training_error = (Lbar - L)/L;
+
+	for (i=0; i<K-1; i++)
+		model->t[i] = matrix_get(model->V, K-1, 0, i);
+	for (i=1; i<m+1; i++)
+		for (j=0; j<K-1; j++)
+			matrix_set(model->W, K-1, i-1, j, matrix_get(model->V, K-1, i, j));
+	free(B);
+	free(ZV);
+	free(ZAZ);
+	free(ZAZV);
+	free(ZAZVT);
+}
+
+/**
+ * @name msvmmaj_get_loss
+ * @brief calculate the current value of the loss function 
+ * 
+ * The current loss value is calculated based on the matrix V in the given
+ * model.
+ *
+ * @param [in] 		model 	model structure which holds the current estimate V
+ * @param [in]  	data 	data structure
+ * @param [in,out] 	ZV 	pre-allocated matrix ZV which is updated on output
+ * 
+ * @return 	the current value of the loss function
+ */
+double msvmmaj_get_loss(struct MajModel *model, struct MajData *data, double *ZV)
+{
+	long i, j;
+	long n = data->n;
+	long K = data->K;
+	long m = data->m;
+
+	double value, rowvalue, loss = 0.0;
+
+	msvmmaj_calculate_errors(model, data, ZV);
+	msvmmaj_calculate_huber(model);
+
+	for (i=0; i<n; i++) {
+		rowvalue = 0;
+		value = 0;
+		for (j=0; j<K; j++) {
+			value = matrix_get(model->H, K, i, j);
+			value = pow(value, model->p);
+			value *= matrix_get(model->R, K, i, j);
+			rowvalue += value;
+		}
+		rowvalue = pow(rowvalue, 1.0/(model->p));
+		rowvalue *= model->rho[i];
+		loss += rowvalue;
+	}
+	loss /= ((double) n);
+
+	value = 0;
+	for (i=1; i<m+1; i++) {
+		for (j=0; j<K-1; j++) {
+			value += pow(matrix_get(model->V, K-1, i, j), 2.0);
+		}
+	}
+	loss += model->lambda * value;
+
+	return loss;
+}
+
+/**
+ * @name msvmmaj_get_update
+ * @brief perform a single step of the majorization algorithm to update V
+ *
+ * details
+ *
+ * @param [in,out] 	model 	model to be updated
+ * @param [in] 		data 	data used in model
+ * @param [in] 		B 	pre-allocated matrix used for linear coefficients
+ * @param [in] 		ZAZ 	pre-allocated matrix used in system
+ * @param [in] 		ZAZV 	pre-allocated matrix used in system solving
+ * @param [in] 		ZAZVT 	pre-allocated matrix used in system solving
+ */
+void msvmmaj_get_update(struct MajModel *model, struct MajData *data, double *B,
+		double *ZAZ, double *ZAZV, double *ZAZVT)
+{
+	// Because msvmmaj_update is always called after a call to 
+	// msvmmaj_get_loss() with the latest V, it is unnecessary to recalculate
+	// the matrix ZV, the errors Q, or the Huber errors H. Awesome!
+	int status, class;
+	long i, j, k;
+	double Avalue, Bvalue;
+	double omega, value, a, b, q, h, r;
+
+	long n = model->n;
+	long m = model->m;
+	long K = model->K;
+
+	double kappa = model->kappa;
+	double p = model->p;
+	double *rho = model->rho;
+
+	const double a2g2 = 0.25*p*(2.0*p - 1.0)*pow((kappa+1.0)/2.0,p-2.0);
+	const double in = 1.0/((double) n);
+
+	Memset(B, double, n*(K-1));
+	Memset(ZAZ, double, (m+1)*(m+1));
+	b = 0;
+	for (i=0; i<n; i++) {
+		value = 0;
+		omega = 0;
+		for (j=0; j<K; j++) {
+			h = matrix_get(model->H, K, i, j);
+			r = matrix_get(model->R, K, i, j);
+			value += (h*r > 0) ? 1 : 0;
+			omega += pow(h, p)*r;
+		}
+		class = (value <= 1.0) ? 1 : 0;
+		omega = (1.0/p)*pow(omega, 1.0/p - 1.0);
+
+		Avalue = 0;
+		if (class == 1) {
+			for (j=0; j<K; j++) {
+				q = matrix_get(model->Q, K, i, j);
+				if (q <= -kappa) {
+					a = 0.25/(0.5 - kappa/2.0 - q);
+					b = 0.5;
+				} else if (q <= 1.0) {
+					a = 1.0/(2.0*kappa + 2.0);
+					b = (1.0 - q)*a;
+				} else {
+					a = -0.25/(0.5 - kappa/2.0 - q);
+					b = 0;
+				}
+				for (k=0; k<K-1; k++) {
+					Bvalue = in*rho[i]*b*matrix3_get(model->UU, K-1, K, i, k, j);
+					matrix_add(B, K-1, i, k, Bvalue);
+				}
+				Avalue += a*matrix_get(model->R, K, i, j);
+			}
+		} else {
+			if (2.0 - p < 0.0001) {
+				for (j=0; j<K; j++) {
+					q = matrix_get(model->Q, K, i, j);
+					if (q <= -kappa) {
+						b = 0.5 - kappa/2.0 - q;
+					} else if ( q <= 1.0) {
+						b = pow(1.0 - q, 3.0)/(2.0*pow(kappa + 1.0, 2.0));
+					} else {
+						b = 0;
+					}
+					for (k=0; k<K-1; k++) {
+						Bvalue = in*rho[i]*omega*b*matrix3_get(model->UU, K-1, K, i, k, j);
+						matrix_add(B, K-1, i, k, Bvalue);
+					}
+				}
+				Avalue = 1.5*(K - 1.0);
+			} else {
+				for (j=0; j<K; j++) {
+					q = matrix_get(model->Q, K, i, j);
+					if (q <= (p + kappa - 1.0)/(p - 2.0)) {
+						a = 0.25*pow(p, 2.0)*pow(0.5 - kappa/2.0 - q, p - 2.0);
+					} else if (q <= 1.0) {
+						a = a2g2;
+					} else {
+						a = 0.25*pow(p, 2.0)*pow((p/(p - 2.0))*(0.5 - kappa/2.0 - q), p - 2.0);
+						b = a*(2.0*q + kappa - 1.0)/(p - 2.0) + 0.5*p*pow((p/(p - 2.0))*(0.5 - kappa/2.0 - q), p - 1.0);
+					}
+					if (q <= -kappa) {
+						b = 0.5*p*pow(0.5 - kappa/2.0 - q, p - 1.0);
+					} else if ( q <= 1.0) {
+						b = p*pow(1.0 - q, 2.0*p - 1.0)/pow(2*kappa+2.0, p);
+					}
+					for (k=0; k<K-1; k++) {
+						Bvalue = in*rho[i]*omega*b*matrix3_get(model->UU, K-1, K, i, k, j);
+						matrix_add(B, K-1, i, k, Bvalue);
+					}
+					Avalue += a*matrix_get(model->R, K, i, j);
+				}
+			}
+			Avalue *= omega;
+		}
+		Avalue *= in * rho[i];
+
+		// Now we calculate the matrix ZAZ. Since this is 
+		// guaranteed to be symmetric, we only calculate the 
+		// upper part of the matrix, and then copy this over
+		// to the lower part after all calculations are done.
+		// Note that the use of dsym is faster than dspr, even
+		// though dspr uses less memory.
+		cblas_dsyr(
+				CblasRowMajor,
+				CblasUpper,
+				m+1,
+				Avalue,
+				&data->Z[i*(m+1)],
+				1,
+				ZAZ,
+				m+1);
+	}
+	// Copy upper to lower (necessary because we need to switch
+	// to Col-Major order for LAPACK).
+	/*
+	for (i=0; i<m+1; i++)
+		for (j=0; j<m+1; j++)
+			matrix_set(ZAZ, m+1, j, i, matrix_get(ZAZ, m+1, i, j));
+	*/
+	
+	// Calculate the right hand side of the system we 
+	// want to solve.
+	cblas_dsymm(
+			CblasRowMajor,
+			CblasLeft,
+			CblasUpper,
+			m+1,
+			K-1,
+			1.0,
+			ZAZ,
+			m+1,
+			model->V,
+			K-1,
+			0.0,
+			ZAZV, 
+			K-1);
+	cblas_dgemm(
+			CblasRowMajor,
+			CblasTrans,
+			CblasNoTrans,
+			m+1,
+			K-1,
+			n,
+			1.0,
+			data->Z,
+			m+1,
+			B,
+			K-1,
+			1.0,
+			ZAZV,
+			K-1);
+	/* 
+	 * Add lambda to all diagonal elements except the 
+	 * first one. 
+	 */
+	i = 0;
+	for (j=0; j<m; j++)
+		ZAZ[i+=m+1 + 1] += model->lambda;
+	
+	// For the LAPACK call we need to switch to Column-
+	// Major order. This is unnecessary for the matrix
+	// ZAZ because it is symmetric. The matrix ZAZV 
+	// must be converted however.
+	for (i=0; i<m+1; i++)
+		for (j=0; j<K-1; j++)
+			ZAZVT[j*(m+1)+i] = ZAZV[i*(K-1)+j];
+	
+	// We use the lower ('L') part of the matrix ZAZ, 
+	// because we have used the upper part in the BLAS
+	// calls above in Row-major order, and Lapack uses
+	// column major order. 
+	status = dposv(
+			'L',
+			m+1,
+			K-1,
+			ZAZ,
+			m+1,
+			ZAZVT,
+			m+1);
+
+	if (status != 0) {
+		// This step should not be necessary, as the matrix
+		// ZAZ is positive semi-definite by definition. It 
+		// is included for safety.
+		fprintf(stderr, "Received nonzero status from dposv: %i\n", status);
+		int *IPIV = malloc((m+1)*sizeof(int));
+		double *WORK = malloc(1*sizeof(double));
+		status = dsysv(
+				'L',
+				m+1,
+				K-1,
+				ZAZ,
+				m+1,
+				IPIV,
+				ZAZVT,
+				m+1,
+				WORK,
+				-1);
+		WORK = (double *)realloc(WORK, WORK[0]*sizeof(double));
+		status = dsysv(
+				'L',
+				m+1,
+				K-1,
+				ZAZ,
+				m+1,
+				IPIV,
+				ZAZVT,
+				m+1,
+				WORK,
+				sizeof(WORK)/sizeof(double));
+		if (status != 0)
+			fprintf(stderr, "Received nonzero status from dsysv: %i\n", status);
+	}
+
+	// Return to Row-major order. The matrix ZAZVT contains the 
+	// solution after the dposv/dsysv call.
+	for (i=0; i<m+1; i++)
+		for (j=0; j<K-1; j++)
+			ZAZV[i*(K-1)+j] = ZAZVT[j*(m+1)+i];
+
+	// Store the previous V in Vbar, assign the new V
+	// (which is stored in ZAZVT) to the model, and give ZAZVT the
+	// address of Vbar. This should ensure that we keep
+	// re-using assigned memory instead of reallocating at every
+	// update.
+	/* See this answer: http://stackoverflow.com/q/13246615/
+	 * For now we'll just do it by value until the rest is figured out.
+	ptr = model->Vbar;
+	model->Vbar = model->V;
+	model->V = ZAZVT;
+	ZAZVT = ptr;
+	*/
+	
+	for (i=0; i<m+1; i++) {
+		for (j=0; j<K-1; j++) {
+			matrix_set(model->Vbar, K-1, i, j, matrix_get(model->V, K-1, i, j));
+			matrix_set(model->V, K-1, i, j, matrix_get(ZAZV, K-1, i, j));
+		}
+	}
+}