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L1Penalty.h
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3  * Written (w) 2015 Wu Lin
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31 
32 #ifndef L1PENALTY_H
33 #define L1PENALTY_H
35 #include <shogun/lib/config.h>
37 namespace shogun
38 {
52 class L1Penalty: public SparsePenalty
53 {
54 public:
56  :SparsePenalty() {init();}
57 
58  virtual ~L1Penalty() {}
59 
66  virtual float64_t get_penalty(float64_t variable) {return CMath::abs(variable);}
67 
68 
80  float64_t gradient_of_variable) {return 0.0;}
81 
88  {
89  REQUIRE(epsilon>=0,"Rounding epsilon (%f) should be non-negative\n", epsilon);
91  }
92 
98  float64_t proximal_weight)
99  {
100  for(index_t idx=0; idx<variable.vlen; idx++)
101  variable[idx]=get_sparse_variable(variable[idx], proximal_weight);
102  }
103 
109  virtual void update_context(CMinimizerContext* context)
110  {
111  REQUIRE(context, "Context must set\n");
112  }
113 
118  virtual void load_from_context(CMinimizerContext* context)
119  {
120  REQUIRE(context, "Context must set\n");
121  }
122 
128  virtual float64_t get_sparse_variable(float64_t variable, float64_t penalty_weight)
129  {
130  if (variable>0.0)
131  {
132  variable-=penalty_weight;
133  if (variable<0.0)
134  variable=0.0;
135  }
136  else
137  {
138  variable+=penalty_weight;
139  if (variable>0.0)
140  variable=0.0;
141  }
142  if (CMath::abs(variable)<m_rounding_epsilon)
143  variable=0.0;
144  return variable;
145  }
146 protected:
149 
150 private:
152  void init()
153  {
154  m_rounding_epsilon=1e-8;
155  }
156 };
157 
158 }
159 
160 #endif
virtual void load_from_context(CMinimizerContext *context)
Definition: L1Penalty.h:118
The is the base class for L1 penalty/regularization within the FirstOrderMinimizer framework...
Definition: L1Penalty.h:52
int32_t index_t
Definition: common.h:62
The class is used to serialize and deserialize variables for the optimization framework.
#define REQUIRE(x,...)
Definition: SGIO.h:206
The base class for sparse penalty/regularization used in minimization.
Definition: SparsePenalty.h:46
virtual float64_t get_penalty_gradient(float64_t variable, float64_t gradient_of_variable)
Definition: L1Penalty.h:79
virtual void update_context(CMinimizerContext *context)
Definition: L1Penalty.h:109
static const float64_t epsilon
Definition: libbmrm.cpp:25
index_t vlen
Definition: SGVector.h:494
virtual void set_rounding_epsilon(float64_t epsilon)
Definition: L1Penalty.h:87
virtual ~L1Penalty()
Definition: L1Penalty.h:58
double float64_t
Definition: common.h:50
float64_t m_rounding_epsilon
Definition: L1Penalty.h:148
virtual void update_variable_for_proximity(SGVector< float64_t > variable, float64_t proximal_weight)
Definition: L1Penalty.h:97
all of classes and functions are contained in the shogun namespace
Definition: class_list.h:18
virtual float64_t get_sparse_variable(float64_t variable, float64_t penalty_weight)
Definition: L1Penalty.h:128
virtual float64_t get_penalty(float64_t variable)
Definition: L1Penalty.h:66
static T abs(T a)
Definition: Math.h:179

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