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SHOGUN
4.1.0
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Implementation of optimal kernel selection for combined kernel. This class selects a combination of baseline kernels that maximises the ratio of the MMD and its standard deviation for a combined kernel. This boils down to solve the convex program
\[ \min_\beta \{\beta^T (Q+\lambda_m) \beta \quad \text{s.t.}\quad \beta^T \eta=1, \beta\succeq 0\}, \]
where \(\eta\) is a vector whose elements are the MMDs of the baseline kernels and \(Q\) is a linear time estimate of the covariance of \(\eta\).
This only works for the CLinearTimeMMD statistic. * IMPORTANT: The kernel has to be selected on different data than the two-sample test is performed on.
The method is described in Gretton, A., Sriperumbudur, B., Sejdinovic, D., Strathmann, H., Balakrishnan, S., Pontil, M., & Fukumizu, K. (2012). Optimal kernel choice for large-scale two-sample tests. Advances in Neural Information Processing Systems.
在文件 MMDKernelSelectionCombOpt.h 第 42 行定义.
Public 成员函数 | |
| CMMDKernelSelectionCombOpt () | |
| CMMDKernelSelectionCombOpt (CKernelTwoSampleTest *mmd, float64_t lambda=10E-5) | |
| virtual | ~CMMDKernelSelectionCombOpt () |
| virtual SGVector< float64_t > | compute_measures () |
| virtual const char * | get_name () const |
| virtual CKernel * | select_kernel () |
| void | set_estimator (CKernelTwoSampleTest *estimator) |
| CKernelTwoSampleTest * | get_estimator () const |
| virtual CSGObject * | shallow_copy () const |
| virtual CSGObject * | deep_copy () const |
| virtual bool | is_generic (EPrimitiveType *generic) const |
| template<class T > | |
| void | set_generic () |
| template<> | |
| void | set_generic () |
| template<> | |
| void | set_generic () |
| template<> | |
| void | set_generic () |
| template<> | |
| void | set_generic () |
| template<> | |
| void | set_generic () |
| template<> | |
| void | set_generic () |
| template<> | |
| void | set_generic () |
| template<> | |
| void | set_generic () |
| template<> | |
| void | set_generic () |
| template<> | |
| void | set_generic () |
| template<> | |
| void | set_generic () |
| template<> | |
| void | set_generic () |
| template<> | |
| void | set_generic () |
| template<> | |
| void | set_generic () |
| template<> | |
| void | set_generic () |
| void | unset_generic () |
| virtual void | print_serializable (const char *prefix="") |
| virtual bool | save_serializable (CSerializableFile *file, const char *prefix="") |
| virtual bool | load_serializable (CSerializableFile *file, const char *prefix="") |
| void | set_global_io (SGIO *io) |
| SGIO * | get_global_io () |
| void | set_global_parallel (Parallel *parallel) |
| Parallel * | get_global_parallel () |
| void | set_global_version (Version *version) |
| Version * | get_global_version () |
| SGStringList< char > | get_modelsel_names () |
| void | print_modsel_params () |
| char * | get_modsel_param_descr (const char *param_name) |
| index_t | get_modsel_param_index (const char *param_name) |
| void | build_gradient_parameter_dictionary (CMap< TParameter *, CSGObject * > *dict) |
| virtual void | update_parameter_hash () |
| virtual bool | parameter_hash_changed () |
| virtual bool | equals (CSGObject *other, float64_t accuracy=0.0, bool tolerant=false) |
| virtual CSGObject * | clone () |
Public 属性 | |
| SGIO * | io |
| Parallel * | parallel |
| Version * | version |
| Parameter * | m_parameters |
| Parameter * | m_model_selection_parameters |
| Parameter * | m_gradient_parameters |
| uint32_t | m_hash |
Protected 成员函数 | |
| virtual SGVector< float64_t > | solve_optimization (SGVector< float64_t > mmds) |
| virtual void | load_serializable_pre () throw (ShogunException) |
| virtual void | load_serializable_post () throw (ShogunException) |
| virtual void | save_serializable_pre () throw (ShogunException) |
| virtual void | save_serializable_post () throw (ShogunException) |
静态 Protected 成员函数 | |
| static const float64_t * | get_Q_col (uint32_t i) |
| static void | print_state (libqp_state_T state) |
Protected 属性 | |
| float64_t | m_lambda |
| index_t | m_opt_max_iterations |
| float64_t | m_opt_epsilon |
| float64_t | m_opt_low_cut |
| CKernelTwoSampleTest * | m_estimator |
静态 Protected 属性 | |
| static SGMatrix< float64_t > | m_Q =SGMatrix<float64_t>(false) |
Default constructor
在文件 MMDKernelSelectionCombOpt.cpp 第 17 行定义.
| CMMDKernelSelectionCombOpt | ( | CKernelTwoSampleTest * | mmd, |
| float64_t | lambda = 10E-5 |
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Constructor that initialises the underlying MMD instance
| mmd | linear time mmd MMD instance to use. |
| lambda | ridge that is added to standard deviation, a sensible value is 10E-5 which is the default |
在文件 MMDKernelSelectionCombOpt.cpp 第 23 行定义.
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virtual |
Destructor
在文件 MMDKernelSelectionCombOpt.cpp 第 37 行定义.
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inherited |
Builds a dictionary of all parameters in SGObject as well of those of SGObjects that are parameters of this object. Dictionary maps parameters to the objects that own them.
| dict | dictionary of parameters to be built. |
在文件 SGObject.cpp 第 597 行定义.
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virtualinherited |
Creates a clone of the current object. This is done via recursively traversing all parameters, which corresponds to a deep copy. Calling equals on the cloned object always returns true although none of the memory of both objects overlaps.
在文件 SGObject.cpp 第 714 行定义.
Computes optimal kernel weights using the ratio of the squared MMD by its standard deviation as a criterion, where both expressions are estimated in linear time.
This boils down to solving a convex program which is quadratic in the number of kernels. See class description.
SHOGUN has to be compiled with LAPACK to make this available. See set_opt* methods for optimization parameters.
IMPORTANT: Kernel weights have to be learned on different data than is used for testing/evaluation!
实现了 CMMDKernelSelection.
在文件 MMDKernelSelectionCombOpt.cpp 第 51 行定义.
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virtualinherited |
A deep copy. All the instance variables will also be copied.
在文件 SGObject.cpp 第 198 行定义.
Recursively compares the current SGObject to another one. Compares all registered numerical parameters, recursion upon complex (SGObject) parameters. Does not compare pointers!
May be overwritten but please do with care! Should not be necessary in most cases.
| other | object to compare with |
| accuracy | accuracy to use for comparison (optional) |
| tolerant | allows linient check on float equality (within accuracy) |
在文件 SGObject.cpp 第 618 行定义.
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inherited |
在文件 KernelSelection.cpp 第 82 行定义.
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inherited |
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inherited |
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inherited |
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inherited |
在文件 SGObject.cpp 第 498 行定义.
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inherited |
Returns description of a given parameter string, if it exists. SG_ERROR otherwise
| param_name | name of the parameter |
在文件 SGObject.cpp 第 522 行定义.
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inherited |
Returns index of model selection parameter with provided index
| param_name | name of model selection parameter |
在文件 SGObject.cpp 第 535 行定义.
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virtual |
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staticprotectedinherited |
return pointer to i-th column of m_Q. Helper for libqp
在文件 MMDKernelSelectionComb.cpp 第 63 行定义.
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virtualinherited |
If the SGSerializable is a class template then TRUE will be returned and GENERIC is set to the type of the generic.
| generic | set to the type of the generic if returning TRUE |
在文件 SGObject.cpp 第 296 行定义.
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virtualinherited |
Load this object from file. If it will fail (returning FALSE) then this object will contain inconsistent data and should not be used!
| file | where to load from |
| prefix | prefix for members |
在文件 SGObject.cpp 第 369 行定义.
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Can (optionally) be overridden to post-initialize some member variables which are not PARAMETER::ADD'ed. Make sure that at first the overridden method BASE_CLASS::LOAD_SERIALIZABLE_POST is called.
| ShogunException | will be thrown if an error occurs. |
被 CKernel, CWeightedDegreePositionStringKernel, CList, CAlphabet, CLinearHMM, CGaussianKernel, CInverseMultiQuadricKernel, CCircularKernel , 以及 CExponentialKernel 重载.
在文件 SGObject.cpp 第 426 行定义.
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Can (optionally) be overridden to pre-initialize some member variables which are not PARAMETER::ADD'ed. Make sure that at first the overridden method BASE_CLASS::LOAD_SERIALIZABLE_PRE is called.
| ShogunException | will be thrown if an error occurs. |
被 CDynamicArray< T >, CDynamicArray< float64_t >, CDynamicArray< float32_t >, CDynamicArray< int32_t >, CDynamicArray< char >, CDynamicArray< bool > , 以及 CDynamicObjectArray 重载.
在文件 SGObject.cpp 第 421 行定义.
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virtualinherited |
在文件 SGObject.cpp 第 262 行定义.
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inherited |
prints all parameter registered for model selection and their type
在文件 SGObject.cpp 第 474 行定义.
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virtualinherited |
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staticprotectedinherited |
helper function that prints current state
在文件 MMDKernelSelectionComb.cpp 第 69 行定义.
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virtualinherited |
Save this object to file.
| file | where to save the object; will be closed during returning if PREFIX is an empty string. |
| prefix | prefix for members |
在文件 SGObject.cpp 第 314 行定义.
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protectedvirtualinherited | |||||||||||||
Can (optionally) be overridden to post-initialize some member variables which are not PARAMETER::ADD'ed. Make sure that at first the overridden method BASE_CLASS::SAVE_SERIALIZABLE_POST is called.
| ShogunException | will be thrown if an error occurs. |
被 CKernel 重载.
在文件 SGObject.cpp 第 436 行定义.
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protectedvirtualinherited | |||||||||||||
Can (optionally) be overridden to pre-initialize some member variables which are not PARAMETER::ADD'ed. Make sure that at first the overridden method BASE_CLASS::SAVE_SERIALIZABLE_PRE is called.
| ShogunException | will be thrown if an error occurs. |
被 CKernel, CDynamicArray< T >, CDynamicArray< float64_t >, CDynamicArray< float32_t >, CDynamicArray< int32_t >, CDynamicArray< char >, CDynamicArray< bool > , 以及 CDynamicObjectArray 重载.
在文件 SGObject.cpp 第 431 行定义.
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virtualinherited |
重载 CMMDKernelSelection .
在文件 MMDKernelSelectionComb.cpp 第 47 行定义.
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inherited |
| estimator | the underlying CKernelTwoSampleTest instance |
在文件 KernelSelection.cpp 第 64 行定义.
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inherited |
在文件 SGObject.cpp 第 41 行定义.
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inherited |
在文件 SGObject.cpp 第 46 行定义.
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inherited |
在文件 SGObject.cpp 第 51 行定义.
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inherited |
在文件 SGObject.cpp 第 56 行定义.
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inherited |
在文件 SGObject.cpp 第 61 行定义.
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inherited |
在文件 SGObject.cpp 第 66 行定义.
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inherited |
在文件 SGObject.cpp 第 71 行定义.
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inherited |
在文件 SGObject.cpp 第 76 行定义.
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inherited |
在文件 SGObject.cpp 第 81 行定义.
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inherited |
在文件 SGObject.cpp 第 86 行定义.
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inherited |
在文件 SGObject.cpp 第 91 行定义.
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inherited |
在文件 SGObject.cpp 第 96 行定义.
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inherited |
在文件 SGObject.cpp 第 101 行定义.
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inherited |
在文件 SGObject.cpp 第 106 行定义.
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inherited |
在文件 SGObject.cpp 第 111 行定义.
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inherited |
set generic type to T
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inherited |
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inherited |
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inherited |
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virtualinherited |
A shallow copy. All the SGObject instance variables will be simply assigned and SG_REF-ed.
被 CGaussianKernel 重载.
在文件 SGObject.cpp 第 192 行定义.
Solves the quadratic program
\[ \min_\beta \{\beta^T Q \beta \quad \text{s.t.}\quad \beta^T \eta=1, \beta\succeq 0\}, \]
where \(\eta\) is a given parameter and \(Q\) is the m_Q member.
Note that at least one element is assumed \(\eta\) has to be positive.
| mmds | values that will be put into \(\eta\). At least one element is assumed to be positive |
在文件 MMDKernelSelectionComb.cpp 第 74 行定义.
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inherited |
unset generic type
this has to be called in classes specializing a template class
在文件 SGObject.cpp 第 303 行定义.
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virtualinherited |
Updates the hash of current parameter combination
在文件 SGObject.cpp 第 248 行定义.
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inherited |
io
在文件 SGObject.h 第 369 行定义.
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protectedinherited |
Underlying kernel two-sample test instance
在文件 KernelSelection.h 第 99 行定义.
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inherited |
parameters wrt which we can compute gradients
在文件 SGObject.h 第 384 行定义.
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inherited |
Hash of parameter values
在文件 SGObject.h 第 387 行定义.
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protected |
Ridge that is added to the diagonal of the Q matrix in the optimization problem
在文件 MMDKernelSelectionCombOpt.h 第 89 行定义.
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inherited |
model selection parameters
在文件 SGObject.h 第 381 行定义.
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protectedinherited |
stopping accuracy of qp solver
在文件 MMDKernelSelectionComb.h 第 80 行定义.
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protectedinherited |
low cut for weights, if weights are under this value, are set to zero
在文件 MMDKernelSelectionComb.h 第 83 行定义.
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protectedinherited |
maximum number of iterations of qp solver
在文件 MMDKernelSelectionComb.h 第 77 行定义.
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inherited |
parameters
在文件 SGObject.h 第 378 行定义.
matrix for selection of kernel weights (static because of libqp)
在文件 MMDKernelSelectionComb.h 第 86 行定义.
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inherited |
parallel
在文件 SGObject.h 第 372 行定义.
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inherited |
version
在文件 SGObject.h 第 375 行定义.
