svm.cpp

orange源码 数据挖掘技术

	}

	// optimization step

	int iter = 0;
	int counter = min(l,1000)+1;

	while(1)
	{
		// show progress and do shrinking

		if(--counter == 0)
		{
			counter = min(l,1000);
			if(shrinking) do_shrinking();
			info("."); info_flush();
		}

		int i,j;
		if(select_working_set(i,j)!=0)
		{
			// reconstruct the whole gradient
			reconstruct_gradient();
			// reset active set size and check
			active_size = l;
			info("*"); info_flush();
			if(select_working_set(i,j)!=0)
				break;
			else
				counter = 1;	// do shrinking next iteration
		}
		
		++iter;

		// update alpha[i] and alpha[j], handle bounds carefully
		
		const Qfloat *Q_i = Q.get_Q(i,active_size);
		const Qfloat *Q_j = Q.get_Q(j,active_size);

		double C_i = get_C(i);
		double C_j = get_C(j);

		double old_alpha_i = alpha[i];
		double old_alpha_j = alpha[j];

		if(y[i]!=y[j])
		{
			double quad_coef = Q_i[i]+Q_j[j]+2*Q_i[j];
			if (quad_coef <= 0)
				quad_coef = TAU;
			double delta = (-G[i]-G[j])/quad_coef;
			double diff = alpha[i] - alpha[j];
			alpha[i] += delta;
			alpha[j] += delta;
			
			if(diff > 0)
			{
				if(alpha[j] < 0)
				{
					alpha[j] = 0;
					alpha[i] = diff;
				}
			}
			else
			{
				if(alpha[i] < 0)
				{
					alpha[i] = 0;
					alpha[j] = -diff;
				}
			}
			if(diff > C_i - C_j)
			{
				if(alpha[i] > C_i)
				{
					alpha[i] = C_i;
					alpha[j] = C_i - diff;
				}
			}
			else
			{
				if(alpha[j] > C_j)
				{
					alpha[j] = C_j;
					alpha[i] = C_j + diff;
				}
			}
		}
		else
		{
			double quad_coef = Q_i[i]+Q_j[j]-2*Q_i[j];
			if (quad_coef <= 0)
				quad_coef = TAU;
			double delta = (G[i]-G[j])/quad_coef;
			double sum = alpha[i] + alpha[j];
			alpha[i] -= delta;
			alpha[j] += delta;

			if(sum > C_i)
			{
				if(alpha[i] > C_i)
				{
					alpha[i] = C_i;
					alpha[j] = sum - C_i;
				}
			}
			else
			{
				if(alpha[j] < 0)
				{
					alpha[j] = 0;
					alpha[i] = sum;
				}
			}
			if(sum > C_j)
			{
				if(alpha[j] > C_j)
				{
					alpha[j] = C_j;
					alpha[i] = sum - C_j;
				}
			}
			else
			{
				if(alpha[i] < 0)
				{
					alpha[i] = 0;
					alpha[j] = sum;
				}
			}
		}

		// update G

		double delta_alpha_i = alpha[i] - old_alpha_i;
		double delta_alpha_j = alpha[j] - old_alpha_j;
		
		for(int k=0;k<active_size;k++)
		{
			G[k] += Q_i[k]*delta_alpha_i + Q_j[k]*delta_alpha_j;
		}

		// update alpha_status and G_bar

		{
			bool ui = is_upper_bound(i);
			bool uj = is_upper_bound(j);
			update_alpha_status(i);
			update_alpha_status(j);
			int k;
			if(ui != is_upper_bound(i))
			{
				Q_i = Q.get_Q(i,l);
				if(ui)
					for(k=0;k<l;k++)
						G_bar[k] -= C_i * Q_i[k];
				else
					for(k=0;k<l;k++)
						G_bar[k] += C_i * Q_i[k];
			}

			if(uj != is_upper_bound(j))
			{
				Q_j = Q.get_Q(j,l);
				if(uj)
					for(k=0;k<l;k++)
						G_bar[k] -= C_j * Q_j[k];
				else
					for(k=0;k<l;k++)
						G_bar[k] += C_j * Q_j[k];
			}
		}
	}

	// calculate rho

	si->rho = calculate_rho();

	// calculate objective value
	{
		double v = 0;
		int i;
		for(i=0;i<l;i++)
			v += alpha[i] * (G[i] + b[i]);

		si->obj = v/2;
	}

	// 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 such that
	// i: maximizes -y_i * grad(f)_i, i in I_up(\alpha)
	// j: minimizes the decrease of obj value
	//    (if quadratic coefficeint <= 0, replace it with tau)
	//    -y_j*grad(f)_j < -y_i*grad(f)_i, j in I_low(\alpha)
	
	double Gmax = -INF;
	double Gmax2 = -INF;
	int Gmax_idx = -1;
	int Gmin_idx = -1;
	double obj_diff_min = INF;

	for(int t=0;t<active_size;t++)
		if(y[t]==+1)	
		{
			if(!is_upper_bound(t))
				if(-G[t] >= Gmax)
				{
					Gmax = -G[t];
					Gmax_idx = t;
				}
		}
		else
		{
			if(!is_lower_bound(t))
				if(G[t] >= Gmax)
				{
					Gmax = G[t];
					Gmax_idx = t;
				}
		}

	int i = Gmax_idx;
	const Qfloat *Q_i = NULL;
	if(i != -1) // NULL Q_i not accessed: Gmax=-INF if i=-1
		Q_i = Q->get_Q(i,active_size);

	for(int j=0;j<active_size;j++)
	{
		if(y[j]==+1)
		{
			if (!is_lower_bound(j))
			{
				double grad_diff=Gmax+G[j];
				if (G[j] >= Gmax2)
					Gmax2 = G[j];
				if (grad_diff > 0)
				{
					double obj_diff; 
					double quad_coef=Q_i[i]+QD[j]-2*y[i]*Q_i[j];
					if (quad_coef > 0)
						obj_diff = -(grad_diff*grad_diff)/quad_coef;
					else
						obj_diff = -(grad_diff*grad_diff)/TAU;

					if (obj_diff <= obj_diff_min)
					{
						Gmin_idx=j;
						obj_diff_min = obj_diff;
					}
				}
			}
		}
		else
		{
			if (!is_upper_bound(j))
			{
				double grad_diff= Gmax-G[j];
				if (-G[j] >= Gmax2)
					Gmax2 = -G[j];
				if (grad_diff > 0)
				{
					double obj_diff; 
					double quad_coef=Q_i[i]+QD[j]+2*y[i]*Q_i[j];
					if (quad_coef > 0)
						obj_diff = -(grad_diff*grad_diff)/quad_coef;
					else
						obj_diff = -(grad_diff*grad_diff)/TAU;

					if (obj_diff <= obj_diff_min)
					{
						Gmin_idx=j;
						obj_diff_min = obj_diff;
					}
				}
			}
		}
	}

	if(Gmax+Gmax2 < eps)
		return 1;

	out_i = Gmax_idx;
	out_j = Gmin_idx;
	return 0;
}

// return 1 if already optimal, return 0 otherwise
int Solver::max_violating_pair(int &out_i, int &out_j)
{
	// return i,j: maximal violating pair

	double Gmax1 = -INF;		// max { -y_i * grad(f)_i | i in I_up(\alpha) }
	int Gmax1_idx = -1;

	double Gmax2 = -INF;		// max { y_i * grad(f)_i | i in I_low(\alpha) }
	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(max_violating_pair(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 QMatrix& 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();
};

// return 1 if already optimal, return 0 otherwise
int Solver_NU::select_working_set(int &out_i, int &out_j)
{
	// return i,j such that y_i = y_j and
	// i: maximizes -y_i * grad(f)_i, i in I_up(\alpha)
	// j: minimizes the decrease of obj value
	//    (if quadratic coefficeint <= 0, replace it with tau)
	//    -y_j*grad(f)_j < -y_i*grad(f)_i, j in I_low(\alpha)

	double Gmaxp = -INF;
	double Gmaxp2 = -INF;
	int Gmaxp_idx = -1;

	double Gmaxn = -INF;
	double Gmaxn2 = -INF;
	int Gmaxn_idx = -1;

	int Gmin_idx = -1;
	double obj_diff_min = INF;

	for(int t=0;t<active_size;t++)
		if(y[t]==+1)
		{
			if(!is_upper_bound(t))
				if(-G[t] >= Gmaxp)
				{
					Gmaxp = -G[t];
					Gmaxp_idx = t;
				}
		}
		else
		{
			if(!is_lower_bound(t))
				if(G[t] >= Gmaxn)
				{
					Gmaxn = G[t];
					Gmaxn_idx = t;
				}
		}

	int ip = Gmaxp_idx;
	int in = Gmaxn_idx;
	const Qfloat *Q_ip = NULL;
	const Qfloat *Q_in = NULL;
	if(ip != -1) // NULL Q_ip not accessed: Gmaxp=-INF if ip=-1
		Q_ip = Q->get_Q(ip,active_size);
	if(in != -1)
		Q_in = Q->get_Q(in,active_size);

	for(int j=0;j<active_size;j++)
	{
		if(y[j]==+1)
		{
			if (!is_lower_bound(j))	
			{
				double grad_diff=Gmaxp+G[j];
				if (G[j] >= Gmaxp2)
					Gmaxp2 = G[j];
				if (grad_diff > 0)
				{
					double obj_diff; 
					double quad_coef = Q_ip[ip]+QD[j]-2*Q_ip[j];
					if (quad_coef > 0)
						obj_diff = -(grad_diff*grad_diff)/quad_coef;
					else
						obj_diff = -(grad_diff*grad_diff)/TAU;

					if (obj_diff <= obj_diff_min)
					{
						Gmin_idx=j;
						obj_diff_min = obj_diff;
					}
				}
			}
		}
		else
		{
			if (!is_upper_bound(j))
			{
				double grad_diff=Gmaxn-G[j];
				if (-G[j] >= Gmaxn2)
					Gmaxn2 = -G[j];
				if (grad_diff > 0)
				{
					double obj_diff; 
					double quad_coef = Q_in[in]+QD[j]-2*Q_in[j];
					if (quad_coef > 0)
						obj_diff = -(grad_diff*grad_diff)/quad_coef;
					else
						obj_diff = -(grad_diff*grad_diff)/TAU;

					if (obj_diff <= obj_diff_min)
					{
						Gmin_idx=j;
						obj_diff_min = obj_diff;
					}
				}
			}