MMDKernelSelectionCombOpt.cpp

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/*
 * This program 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.
 *
 * Written (W) 2012-2013 Heiko Strathmann
 */

#include <shogun/statistics/MMDKernelSelectionCombOpt.h>
#include <shogun/statistics/LinearTimeMMD.h>
#include <shogun/kernel/CombinedKernel.h>


using namespace shogun;

CMMDKernelSelectionCombOpt::CMMDKernelSelectionCombOpt() :
        CMMDKernelSelectionComb()
{
    init();
}

CMMDKernelSelectionCombOpt::CMMDKernelSelectionCombOpt(
        CKernelTwoSampleTest* mmd, float64_t lambda) :
        CMMDKernelSelectionComb(mmd)
{
    /* currently, this method is only developed for the linear time MMD */
    REQUIRE(dynamic_cast<CLinearTimeMMD*>(mmd), "%s::%s(): Only "
            "CLinearTimeMMD is currently supported! Provided instance is "
            "\"%s\"\n", get_name(), get_name(), mmd->get_name());

    init();

    m_lambda=lambda;
}

CMMDKernelSelectionCombOpt::~CMMDKernelSelectionCombOpt()
{
}

void CMMDKernelSelectionCombOpt::init()
{
    /* set to a sensible standard value that proved to be useful in
     * experiments, see NIPS paper */
    m_lambda=1E-5;

    SG_ADD(&m_lambda, "lambda", "Regularization parameter lambda",
            MS_NOT_AVAILABLE);
}

SGVector<float64_t> CMMDKernelSelectionCombOpt::compute_measures()
{
    /* cast is safe due to assertion in constructor */
    CCombinedKernel* kernel=(CCombinedKernel*)m_estimator->get_kernel();
    index_t num_kernels=kernel->get_num_subkernels();
    SG_UNREF(kernel);

    /* allocate space for MMDs and Q matrix */
    SGVector<float64_t> mmds(num_kernels);

    /* free matrix by hand since it is static */
    SG_FREE(m_Q.matrix);
    m_Q.matrix=NULL;
    m_Q.num_rows=0;
    m_Q.num_cols=0;
    m_Q=SGMatrix<float64_t>(num_kernels, num_kernels, false);

    /* online compute mmds and covariance matrix Q of kernels */
    ((CLinearTimeMMD*)m_estimator)->compute_statistic_and_Q(mmds, m_Q);

    /* evtl regularize to avoid numerical problems (see NIPS paper) */
    if (m_lambda)
    {
        SG_DEBUG("regularizing matrix Q by adding %f to diagonal\n", m_lambda)
        for (index_t i=0; i<num_kernels; ++i)
            m_Q(i,i)+=m_lambda;
    }

    if (sg_io->get_loglevel()==MSG_DEBUG)
    {
        m_Q.display_matrix("(regularized) Q");
        mmds.display_vector("mmds");
    }

    /* solve the generated problem */
    SGVector<float64_t> result=CMMDKernelSelectionComb::solve_optimization(mmds);

    /* free matrix by hand since it is static (again) */
    SG_FREE(m_Q.matrix);
    m_Q.matrix=NULL;
    m_Q.num_rows=0;
    m_Q.num_cols=0;

    return result;
}