solvebqp.c

留一模型选择法leave-one-out model selection

#include "bsvm.h"

extern void *xmalloc(size_t);
/* LEVEL 1 BLAS */
extern double ddot_(int *, double *, int *, double *, int *);
/* LEVEL 2 BLAS */
extern int dsymv_(char *, int *, double *, double *, int *, double *, int *, double *, double *, int *);
/* MINPACK 2 */
extern void dtron(int, double *, double *, double *, double *, double *, double, double, double, double, int, double);

int nfev, inc = 1;
double one = 1, zero = 0;

int ugrad(int n, double *x, double *A, double *g0, double *g)
{
	/* evaluate the gradient g = A*x + g0 */
	memcpy(g, g0, sizeof(double)*n);
	dsymv_("U", &n, &one, A, &n, x, &inc, &one, g, &inc);
	return 0;
}
int ufv(int n, double *x, double *A, double *g0, double *f)
{
	/* evaluate the function value f(x) = 0.5*x'*A*x + g0'*x */  
	double *t = (double *) xmalloc(sizeof(double)*n);
	dsymv_("U", &n, &one, A, &n, x, &inc, &zero, t, &inc);
	*f = ddot_(&n, x, &inc, g0, &inc) + 0.5*ddot_(&n, x, &inc, t, &inc);
	free(t);
	return ++nfev;
}

void solvebqp(BQP qp)
{
	/* driver for positive semidefinite quadratic programing version
	of tron */
	int i, maxfev;
	double *xl, *xu;
	double frtol, fatol, fmin, gtol, cgtol;

	maxfev = 1000; /* ? */
	fatol = 0;
	frtol = 1e-12;
	fmin = -1e+32;
	cgtol = 0.1;	
	gtol = 1e-5;
	nfev = 0;
	
	xl = (double *) xmalloc(sizeof(double)*qp.n);	
	xu = (double *) xmalloc(sizeof(double)*qp.n);
	for (i=0;i<qp.n;i++)
	{
		xl[i] = 0;
		xu[i] = qp.C;
	}
	
	dtron(qp.n, qp.x, xl, xu, qp.Q, qp.p, gtol, frtol, fatol, fmin, maxfev, cgtol); 

	free(xl);
	free(xu);
}