svm.cpp

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	// put back the solution
	{
		for(int i=0;i<l;i++)
			alpha_[active_set[i]] = alpha[i];
	}

	// juggle everything back
	/*{
		for(int i=0;i<l;i++)
			while(active_set[i] != i)
				swap_index(i,active_set[i]);
				// or Q.swap_index(i,active_set[i]);
	}*/

	si->upper_bound_p = Cp;
	si->upper_bound_n = Cn;

	//info("\noptimization finished, #iter = %d\n",iter);

	delete[] b;
	delete[] y;
	delete[] alpha;
	delete[] alpha_status;
	delete[] active_set;
	delete[] G;
	delete[] G_bar;
}

// return 1 if already optimal, return 0 otherwise
int Solver::select_working_set(int &out_i, int &out_j)
{
	// return i,j which maximize -grad(f)^T d , under constraint
	// if alpha_i == C, d != +1
	// if alpha_i == 0, d != -1

	double Gmax1 = -INF;		// max { -grad(f)_i * d | y_i*d = +1 }
	int Gmax1_idx = -1;

	double Gmax2 = -INF;		// max { -grad(f)_i * d | y_i*d = -1 }
	int Gmax2_idx = -1;

	for(int i=0;i<active_size;i++)
	{
		if(y[i]==+1)	// y = +1
		{
			if(!is_upper_bound(i))	// d = +1
			{
				if(-G[i] > Gmax1)
				{
					Gmax1 = -G[i];
					Gmax1_idx = i;
				}
			}
			if(!is_lower_bound(i))	// d = -1
			{
				if(G[i] > Gmax2)
				{
					Gmax2 = G[i];
					Gmax2_idx = i;
				}
			}
		}
		else		// y = -1
		{
			if(!is_upper_bound(i))	// d = +1
			{
				if(-G[i] > Gmax2)
				{
					Gmax2 = -G[i];
					Gmax2_idx = i;
				}
			}
			if(!is_lower_bound(i))	// d = -1
			{
				if(G[i] > Gmax1)
				{
					Gmax1 = G[i];
					Gmax1_idx = i;
				}
			}
		}
	}

	if(Gmax1+Gmax2 < eps)
 		return 1;

	out_i = Gmax1_idx;
	out_j = Gmax2_idx;
	return 0;
}

void Solver::do_shrinking()
{
	int i,j,k;
	if(select_working_set(i,j)!=0) return;
	double Gm1 = -y[j]*G[j];
	double Gm2 = y[i]*G[i];

	// shrink
	
	for(k=0;k<active_size;k++)
	{
		if(is_lower_bound(k))
		{
			if(y[k]==+1)
			{
				if(-G[k] >= Gm1) continue;
			}
			else	if(-G[k] >= Gm2) continue;
		}
		else if(is_upper_bound(k))
		{
			if(y[k]==+1)
			{
				if(G[k] >= Gm2) continue;
			}
			else	if(G[k] >= Gm1) continue;
		}
		else continue;

		--active_size;
		swap_index(k,active_size);
		--k;	// look at the newcomer
	}

	// unshrink, check all variables again before final iterations

	if(unshrinked || -(Gm1 + Gm2) > eps*10) return;
	
	unshrinked = true;
	reconstruct_gradient();

	for(k=l-1;k>=active_size;k--)
	{
		if(is_lower_bound(k))
		{
			if(y[k]==+1)
			{
				if(-G[k] < Gm1) continue;
			}
			else	if(-G[k] < Gm2) continue;
		}
		else if(is_upper_bound(k))
		{
			if(y[k]==+1)
			{
				if(G[k] < Gm2) continue;
			}
			else	if(G[k] < Gm1) continue;
		}
		else continue;

		swap_index(k,active_size);
		active_size++;
		++k;	// look at the newcomer
	}
}

double Solver::calculate_rho()
{
	double r;
	int nr_free = 0;
	double ub = INF, lb = -INF, sum_free = 0;
	for(int i=0;i<active_size;i++)
	{
		double yG = y[i]*G[i];

		if(is_lower_bound(i))
		{
			if(y[i] > 0)
				ub = min(ub,yG);
			else
				lb = max(lb,yG);
		}
		else if(is_upper_bound(i))
		{
			if(y[i] < 0)
				ub = min(ub,yG);
			else
				lb = max(lb,yG);
		}
		else
		{
			++nr_free;
			sum_free += yG;
		}
	}

	if(nr_free>0)
		r = sum_free/nr_free;
	else
		r = (ub+lb)/2;

	return r;
}

//
// Solver for nu-svm classification and regression
//
// additional constraint: e^T \alpha = constant
//
class Solver_NU : public Solver
{
public:
	Solver_NU() {}
	void Solve(int l, const kernel& Q, const double *b, const schar *y,
		   double *alpha, double Cp, double Cn, double eps,
		   SolutionInfo* si, int shrinking)
	{
		this->si = si;
		Solver::Solve(l,Q,b,y,alpha,Cp,Cn,eps,si,shrinking);
	}
private:
	SolutionInfo *si;
	int select_working_set(int &i, int &j);
	double calculate_rho();
	void do_shrinking();
};

int Solver_NU::select_working_set(int &out_i, int &out_j)
{
	// return i,j which maximize -grad(f)^T d , under constraint
	// if alpha_i == C, d != +1
	// if alpha_i == 0, d != -1

	double Gmax1 = -INF;	// max { -grad(f)_i * d | y_i = +1, d = +1 }
	int Gmax1_idx = -1;

	double Gmax2 = -INF;	// max { -grad(f)_i * d | y_i = +1, d = -1 }
	int Gmax2_idx = -1;

	double Gmax3 = -INF;	// max { -grad(f)_i * d | y_i = -1, d = +1 }
	int Gmax3_idx = -1;

	double Gmax4 = -INF;	// max { -grad(f)_i * d | y_i = -1, d = -1 }
	int Gmax4_idx = -1;

	for(int i=0;i<active_size;i++)
	{
		if(y[i]==+1)	// y == +1
		{
			if(!is_upper_bound(i))	// d = +1
			{
				if(-G[i] > Gmax1)
				{
					Gmax1 = -G[i];
					Gmax1_idx = i;
				}
			}
			if(!is_lower_bound(i))	// d = -1
			{
				if(G[i] > Gmax2)
				{
					Gmax2 = G[i];
					Gmax2_idx = i;
				}
			}
		}
		else		// y == -1
		{
			if(!is_upper_bound(i))	// d = +1
			{
				if(-G[i] > Gmax3)
				{
					Gmax3 = -G[i];
					Gmax3_idx = i;
				}
			}
			if(!is_lower_bound(i))	// d = -1
			{
				if(G[i] > Gmax4)
				{
					Gmax4 = G[i];
					Gmax4_idx = i;
				}
			}
		}
	}

	if(max(Gmax1+Gmax2,Gmax3+Gmax4) < eps)
 		return 1;

	if(Gmax1+Gmax2 > Gmax3+Gmax4)
	{
		out_i = Gmax1_idx;
		out_j = Gmax2_idx;
	}
	else
	{
		out_i = Gmax3_idx;
		out_j = Gmax4_idx;
	}
	return 0;
}

void Solver_NU::do_shrinking()
{
	double Gmax1 = -INF;	// max { -grad(f)_i * d | y_i = +1, d = +1 }
	double Gmax2 = -INF;	// max { -grad(f)_i * d | y_i = +1, d = -1 }
	double Gmax3 = -INF;	// max { -grad(f)_i * d | y_i = -1, d = +1 }
	double Gmax4 = -INF;	// max { -grad(f)_i * d | y_i = -1, d = -1 }

	int k;
	for(k=0;k<active_size;k++)
	{
		if(!is_upper_bound(k))
		{
			if(y[k]==+1)
			{
				if(-G[k] > Gmax1) Gmax1 = -G[k];
			}
			else	if(-G[k] > Gmax3) Gmax3 = -G[k];
		}
		if(!is_lower_bound(k))
		{
			if(y[k]==+1)
			{	
				if(G[k] > Gmax2) Gmax2 = G[k];
			}
			else	if(G[k] > Gmax4) Gmax4 = G[k];
		}
	}

	double Gm1 = -Gmax2;
	double Gm2 = -Gmax1;
	double Gm3 = -Gmax4;
	double Gm4 = -Gmax3;

	for(k=0;k<active_size;k++)
	{
		if(is_lower_bound(k))
		{
			if(y[k]==+1)
			{
				if(-G[k] >= Gm1) continue;
			}
			else	if(-G[k] >= Gm3) continue;
		}
		else if(is_upper_bound(k))
		{
			if(y[k]==+1)
			{
				if(G[k] >= Gm2) continue;
			}
			else	if(G[k] >= Gm4) continue;
		}
		else continue;

		--active_size;
		swap_index(k,active_size);
		--k;	// look at the newcomer
	}

	// unshrink, check all variables again before final iterations

	if(unshrinked || max(-(Gm1+Gm2),-(Gm3+Gm4)) > eps*10) return;
	
	unshrinked = true;
	reconstruct_gradient();

	for(k=l-1;k>=active_size;k--)
	{
		if(is_lower_bound(k))
		{
			if(y[k]==+1)
			{
				if(-G[k] < Gm1) continue;
			}
			else	if(-G[k] < Gm3) continue;
		}
		else if(is_upper_bound(k))
		{
			if(y[k]==+1)
			{
				if(G[k] < Gm2) continue;
			}
			else	if(G[k] < Gm4) continue;
		}
		else continue;

		swap_index(k,active_size);
		active_size++;
		++k;	// look at the newcomer
	}
}

double Solver_NU::calculate_rho()
{
	int nr_free1 = 0,nr_free2 = 0;
	double ub1 = INF, ub2 = INF;
	double lb1 = -INF, lb2 = -INF;
	double sum_free1 = 0, sum_free2 = 0;

	for(int i=0;i<active_size;i++)
	{
		if(y[i]==+1)
		{
			if(is_lower_bound(i))
				ub1 = min(ub1,G[i]);
			else if(is_upper_bound(i))
				lb1 = max(lb1,G[i]);
			else
			{
				++nr_free1;
				sum_free1 += G[i];
			}
		}
		else
		{
			if(is_lower_bound(i))
				ub2 = min(ub2,G[i]);
			else if(is_upper_bound(i))
				lb2 = max(lb2,G[i]);
			else
			{
				++nr_free2;
				sum_free2 += G[i];
			}
		}
	}

	double r1,r2;
	if(nr_free1 > 0)
		r1 = sum_free1/nr_free1;
	else
		r1 = (ub1+lb1)/2;
	
	if(nr_free2 > 0)
		r2 = sum_free2/nr_free2;
	else
		r2 = (ub2+lb2)/2;
	
	si->r = (r1+r2)/2;
	return (r1-r2)/2;
}

//
// Q matrices for various formulations
//
class SVC_Q: public kernel
{ 
public:
	SVC_Q(const svm_problem& prob, const svm_parameter& param, const schar *y_)
	:kernel(prob.l, prob.x, param)
	{
		clone(y,y_,prob.l);
		cache = new Kcache(prob.l,(int)(param.cache_size*(1<<20)));
		ktype = param.kernel_type;
		expr = param.expr;
		rho = param.rho;
	}
	
	Qfloat *get_Q(int i, int len) const
	{
		Qfloat *data;
		int start; 
	
		if((start = cache->get_data(i,&data,len) < len)  && ktype != 4)
		{
			for(int j=start;j<len;j++)
			  data[j] = (Qfloat)(y[i]*y[j]*(this->*kernel_function)(i,j));
	 	}
		else if(ktype == 4)
		 {
		   SEXP R_fcall, dummy, ans;
		   PROTECT(R_fcall = lang2(expr, R_NilValue));
		   PROTECT(ans= allocSExp(REALSXP));
		   PROTECT(dummy = allocVector(INTSXP, 1));
		   INTEGER(dummy)[0] = i+1;
		   SETCADR(R_fcall,dummy);
		    //	   SET_VECTOR_ELT(ans,0,eval(R_fcall,rho));
		    //	   ans=eval(R_fcall,rho);
		   ans = eval(R_fcall,rho);
		   for(int j=start;j<len;j++)
		     data[j] = (Qfloat)(y[i]*y[j]*REAL(ans)[j]);
		   UNPROTECT(3);
		}
		return data;
	}

	void swap_index(int i, int j) const
	{
		cache->swap_index(i,j);
		kernel::swap_index(i,j);
		swap(y[i],y[j]);
	}

	~SVC_Q()
	{
		delete[] y;
		delete cache;
	}
private:
        SEXP expr;
        SEXP rho;
        int ktype;
        schar *y;
	Kcache *cache;
};

class ONE_CLASS_Q: public kernel
{
public:
	ONE_CLASS_Q(const svm_problem& prob, const svm_parameter& param)
	:kernel(prob.l, prob.x, param)
	{
		cache = new Kcache(prob.l,(int)(param.cache_size*(1<<20)));
	}
	
	Qfloat *get_Q(int i, int len) const
	{
		Qfloat *data;
		int start;
		if((start = cache->get_data(i,&data,len)) < len)
		{
			for(int j=start;j<len;j++)
				data[j] = (Qfloat)(this->*kernel_function)(i,j);
		}
		return data;
	}

	void swap_index(int i, int j) const
	{
		cache->swap_index(i,j);
		kernel::swap_index(i,j);
	}

	~ONE_CLASS_Q()
	{
		delete cache;
	}
private:
	Kcache *cache;
};

class SVR_Q: public kernel
{ 
public:
	SVR_Q(const svm_problem& prob, const svm_parameter& param)
	:kernel(prob.l, prob.x, param)
	{
		l = prob.l;
		cache = new Kcache(l,(int)(param.cache_size*(1<<20)));
		sign = new schar[2*l];
		index = new int[2*l];
		for(int k=0;k<l;k++)
		{
			sign[k] = 1;
			sign[k+l] = -1;
			index[k] = k;
			index[k+l] = k;
		}
		buffer[0] = new Qfloat[2*l];
		buffer[1] = new Qfloat[2*l];
		next_buffer = 0;
	}

	void swap_index(int i, int j) const
	{
		swap(sign[i],sign[j]);
		swap(index[i],index[j]);
	}
	
	Qfloat *get_Q(int i, int len) const
	{
		Qfloat *data;
		int real_i = index[i];
		if(cache->get_data(real_i,&data,l) < l)
		{
			for(int j=0;j<l;j++)
				data[j] = (Qfloat)(this->*kernel_function)(real_i,j);
		}

		// reorder and copy
		Qfloat *buf = buffer[next_buffer];
		next_buffer = 1 - next_buffer;
		schar si = sign[i];
		for(int j=0;j<len;j++)
			buf[j] = si * sign[j] * data[index[j]];
		return buf;
	}

	~SVR_Q()
	{
		delete cache;
		delete[] sign;
		delete[] index;
		delete[] buffer[0];
		delete[] buffer[1];
	}
private:
	int l;
	Kcache *cache;
	schar *sign;
	int *index;
	mutable int next_buffer;
	Qfloat* buffer[2];
};

//
// construct and solve various formulations
//
static void solve_c_svc(
	const svm_problem *prob, const svm_parameter* param,
	double *alpha, Solver::SolutionInfo* si, double Cp, double Cn)
{
	int l = prob->l;
	double *minus_ones = new double[l];
	schar *y = new schar[l];

	int i;

	for(i=0;i<l;i++)
	{
		alpha[i] = 0;
		minus_ones[i] = -1;
		if(prob->y[i] > 0) y[i] = +1; else y[i]=-1;
	}

	Solver s;
	s.Solve(l, SVC_Q(*prob,*param,y), minus_ones, y,
		alpha, Cp, Cn, param->eps, si, param->shrinking);

	double sum_alpha=0;
	for(i=0;i<l;i++)
		sum_alpha += alpha[i];

	//info("nu = %f\n", sum_alpha/(param->C*prob->l));

	for(i=0;i<l;i++)
		alpha[i] *= y[i];

	delete[] minus_ones;
	delete[] y;
}

static void solve_nu_svc(
	const svm_problem *prob, const svm_parameter *param,
	double *alpha, Solver::SolutionInfo* si)
{
	int i;
	int l = prob->l;
	double nu = param->nu;

	schar *y = new schar[l];

	for(i=0;i<l;i++)
		if(prob->y[i]>0)
			y[i] = +1;
		else
			y[i] = -1;

	double sum_pos = nu*l/2;
	double sum_neg = nu*l/2;

	for(i=0;i<l;i++)
		if(y[i] == +1)
		{
			alpha[i] = min(1.0,sum_pos);
			sum_pos -= alpha[i];
		}