/**
* @file gensvm_gridsearch.c
* @author G.J.J. van den Burg
* @date 2014-01-07
* @brief Functions for finding the optimal parameters for the dataset
*
* @details
* The GenSVM algorithm takes a number of parameters. The functions in
* this file are used to find the optimal parameters.
*
* @copyright
Copyright 2016, G.J.J. van den Burg.
This file is part of GenSVM.
GenSVM is free software: you can redistribute it and/or modify
it under the terms of the GNU General Public License as published by
the Free Software Foundation, either version 3 of the License, or
(at your option) any later version.
GenSVM is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
GNU General Public License for more details.
You should have received a copy of the GNU General Public License
along with GenSVM. If not, see .
*/
#include "gensvm_gridsearch.h"
extern FILE *GENSVM_OUTPUT_FILE;
/**
* @brief Initialize a GenQueue from a Training instance
*
* @details
* A Training instance describes the grid to search over. This funtion
* creates all tasks that need to be performed and adds these to
* a GenQueue. Each task contains a pointer to the train and test datasets
* which are supplied. Note that the tasks are created in a specific order of
* the parameters, to ensure that the GenModel::V of a previous parameter
* set provides the best possible initial estimate of GenModel::V for the next
* parameter set.
*
* @param[in] grid Training struct describing the grid search
* @param[in] queue pointer to a GenQueue that will be used to
* add the tasks to
* @param[in] train_data GenData of the training set
* @param[in] test_data GenData of the test set
*
*/
void gensvm_fill_queue(struct GenGrid *grid, struct GenQueue *queue,
struct GenData *train_data, struct GenData *test_data)
{
long i, j, k;
long N, cnt = 0;
struct GenTask *task = NULL;
queue->i = 0;
N = grid->Np;
N *= grid->Nl;
N *= grid->Nk;
N *= grid->Ne;
N *= grid->Nw;
// these parameters are not necessarily non-zero
N *= grid->Ng > 0 ? grid->Ng : 1;
N *= grid->Nc > 0 ? grid->Nc : 1;
N *= grid->Nd > 0 ? grid->Nd : 1;
queue->tasks = Calloc(struct GenTask *, N);
queue->N = N;
// initialize all tasks
for (i=0; iID = i;
task->train_data = train_data;
task->test_data = test_data;
task->folds = grid->folds;
task->kerneltype = grid->kerneltype;
queue->tasks[i] = task;
}
// These loops mimick a large nested for loop. The advantage is that
// Nd, Nc and Ng which are on the outside of the nested for loop can
// now be zero, without large modification (see below). Whether this
// is indeed better than the nested for loop has not been tested.
cnt = 1;
i = 0;
while (i < N) {
for (j=0; jNp; j++) {
for (k=0; ktasks[i]->p = grid->ps[j];
i++;
}
}
}
cnt *= grid->Np;
i = 0;
while (i < N) {
for (j=0; jNl; j++) {
for (k=0; ktasks[i]->lambda =
grid->lambdas[j];
i++;
}
}
}
cnt *= grid->Nl;
i = 0;
while (i < N) {
for (j=0; jNk; j++) {
for (k=0; ktasks[i]->kappa = grid->kappas[j];
i++;
}
}
}
cnt *= grid->Nk;
i = 0;
while (i < N) {
for (j=0; jNw; j++) {
for (k=0; ktasks[i]->weight_idx =
grid->weight_idxs[j];
i++;
}
}
}
cnt *= grid->Nw;
i = 0;
while (i < N) {
for (j=0; jNe; j++) {
for (k=0; ktasks[i]->epsilon = grid->epsilons[j];
i++;
}
}
}
cnt *= grid->Ne;
i = 0;
while (i < N && grid->Ng > 0) {
for (j=0; jNg; j++) {
for (k=0; ktasks[i]->gamma = grid->gammas[j];
i++;
}
}
}
cnt *= grid->Ng > 0 ? grid->Ng : 1;
i = 0;
while (i < N && grid->Nc > 0) {
for (j=0; jNc; j++) {
for (k=0; ktasks[i]->coef = grid->coefs[j];
i++;
}
}
}
cnt *= grid->Nc > 0 ? grid->Nc : 1;
i = 0;
while (i < N && grid->Nd > 0) {
for (j=0; jNd; j++) {
for (k=0; ktasks[i]->degree = grid->degrees[j];
i++;
}
}
}
}
/**
* @brief Check if the kernel parameters change between tasks
*
* @details
* In the current strategy for training the kernel matrix is decomposed once,
* and tasks with the same kernel settings are performed sequentially. When a
* task needs to be done with different kernel parameters, the kernel matrix
* needs to be recalculated. This function is used to check whether this is
* the case.
*
* @param[in] newtask the next task
* @param[in] oldtask the old task
* @return whether the kernel needs to be reevaluated
*/
bool gensvm_kernel_changed(struct GenTask *newtask, struct GenTask *oldtask)
{
if (oldtask == NULL)
return true;
if (newtask->kerneltype != oldtask->kerneltype) {
return true;
} else if (newtask->kerneltype == K_POLY) {
if (newtask->gamma != oldtask->gamma)
return true;
if (newtask->coef != oldtask->coef)
return true;
if (newtask->degree != oldtask->degree)
return true;
return false;
} else if (newtask->kerneltype == K_RBF) {
if (newtask->gamma != oldtask->gamma)
return true;
return false;
} else if (newtask->kerneltype == K_SIGMOID) {
if (newtask->gamma != oldtask->gamma)
return true;
if (newtask->coef != oldtask->coef)
return true;
return false;
}
return false;
}
/**
* @brief Compute the kernels for the folds of the train and test datasets
*
* @details
* When the kernel parameters change in a kernel grid search, the kernel
* pre- and post-processing has to be done for the new kernel parameters. This
* is done here for each of the folds. Each of the training folds is
* preprocessed, and each of the test folds is postprocessed.
*
* @param[in] folds number of cross validation folds
* @param[in] model GenModel with new kernel parameters
* @param[in,out] train_folds array of train datasets
* @param[in,out] test_folds array of test datasets
*
*/
void gensvm_kernel_folds(long folds, struct GenModel *model,
struct GenData **train_folds, struct GenData **test_folds)
{
long f;
if (model->kerneltype != K_LINEAR)
note("Computing kernel ... ");
for (f=0; fZ != train_folds[f]->RAW)
free(train_folds[f]->Z);
if (test_folds[f]->Z != test_folds[f]->RAW)
free(test_folds[f]->Z);
gensvm_kernel_preprocess(model, train_folds[f]);
gensvm_kernel_postprocess(model, train_folds[f],
test_folds[f]);
}
if (model->kerneltype != K_LINEAR)
note("done.\n");
}
/**
* @brief Run the grid search for a GenQueue
*
* @details
* Given a GenQueue of GenTask struct to be trained, a grid search is launched to
* find the optimal parameter configuration. As is also done within
* cross_validation(), the optimal weights of one parameter set are used as
* initial estimates for GenModel::V in the next parameter set. Note that to
* optimally exploit this feature of the optimization algorithm, the order in
* which tasks are considered is important. This is considered in
* make_queue().
*
* The performance found by cross validation is stored in the GenTask struct.
*
* @param[in,out] q GenQueue with GenTask instances to run
*/
void gensvm_train_queue(struct GenQueue *q)
{
long f, folds;
double perf, duration, current_max = 0;
struct GenTask *task = get_next_task(q);
struct GenTask *prevtask = NULL;
struct GenModel *model = gensvm_init_model();
struct timespec main_s, main_e, loop_s, loop_e;
folds = task->folds;
model->n = 0;
model->m = task->train_data->m;
model->K = task->train_data->K;
gensvm_allocate_model(model);
gensvm_init_V(NULL, model, task->train_data);
long *cv_idx = Calloc(long, task->train_data->n);
gensvm_make_cv_split(task->train_data->n, task->folds, cv_idx);
struct GenData **train_folds = Malloc(struct GenData *, task->folds);
struct GenData **test_folds = Malloc(struct GenData *, task->folds);
for (f=0; ftrain_data, train_folds[f],
test_folds[f], cv_idx, f);
}
Timer(main_s);
while (task) {
gensvm_task_to_model(task, model);
if (gensvm_kernel_changed(task, prevtask)) {
gensvm_kernel_folds(task->folds, model, train_folds,
test_folds);
}
Timer(loop_s);
perf = gensvm_cross_validation(model, train_folds, test_folds,
folds, task->train_data->n);
Timer(loop_e);
current_max = maximum(current_max, perf);
duration = gensvm_elapsed_time(&loop_s, &loop_e);
gensvm_gridsearch_progress(task, q->N, perf, duration,
current_max);
q->tasks[task->ID]->performance = perf;
prevtask = task;
task = get_next_task(q);
}
Timer(main_e);
note("\nTotal elapsed training time: %8.8f seconds\n",
gensvm_elapsed_time(&main_s, &main_e));
gensvm_free_model(model);
for (f=0; fID+1, N);
if (task->kerneltype == K_POLY)
sprintf(buffer + strlen(buffer), "d = %2.2f\t", task->degree);
if (task->kerneltype == K_POLY || task->kerneltype == K_SIGMOID)
sprintf(buffer + strlen(buffer), "c = %2.2f\t", task->coef);
if (task->kerneltype == K_POLY || task->kerneltype == K_SIGMOID ||
task->kerneltype == K_RBF)
sprintf(buffer + strlen(buffer), "g = %3.3f\t", task->gamma);
sprintf(buffer + strlen(buffer), "eps = %g\tw = %i\tk = %2.2f\t"
"l = %f\tp = %2.2f\t", task->epsilon,
task->weight_idx, task->kappa, task->lambda, task->p);
note(buffer);
note("\t%3.3f%% (%3.3fs)\t(best = %3.3f%%)\n", perf, duration,
current_max);
}