LPBoost.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) 2007-2009 Soeren Sonnenburg
 * Copyright (C) 2007-2009 Fraunhofer Institute FIRST and Max-Planck-Society
 */

#include <shogun/lib/config.h>

#ifdef USE_CPLEX

#include <shogun/classifier/LPBoost.h>
#include <shogun/labels/Labels.h>
#include <shogun/mathematics/Math.h>
#include <shogun/mathematics/Cplex.h>
#include <shogun/lib/DynamicArray.h>
#include <shogun/lib/Signal.h>
#include <shogun/lib/Time.h>

using namespace shogun;

CLPBoost::CLPBoost()
: CLinearMachine(), C1(1), C2(1), use_bias(true), epsilon(1e-3)
{
    u=NULL;
    dim=NULL;
    num_sfeat=0;
    num_svec=0;
    sfeat=NULL;
}


CLPBoost::~CLPBoost()
{
    cleanup();
}

bool CLPBoost::init(int32_t num_vec)
{
    u=SG_MALLOC(float64_t, num_vec);
    for (int32_t i=0; i<num_vec; i++)
        u[i]=1.0/num_vec;

    dim=new CDynamicArray<int32_t>(100000);

    sfeat= ((CSparseFeatures<float64_t>*) features)->get_transposed(num_sfeat, num_svec);

    if (sfeat)
        return true;
    else
        return false;
}

void CLPBoost::cleanup()
{
    SG_FREE(u);
    u=NULL;

    ((CSparseFeatures<float64_t>*) features)->clean_tsparse(sfeat, num_svec);
    sfeat=NULL;

    delete dim;
    dim=NULL;
}

float64_t CLPBoost::find_max_violator(int32_t& max_dim)
{
    float64_t max_val=0;
    max_dim=-1;

    for (int32_t i=0; i<num_svec; i++)
    {
        float64_t valplus=0;
        float64_t valminus=0;

        for (int32_t j=0; j<sfeat[i].num_feat_entries; j++)
        {
            int32_t idx=sfeat[i].features[j].feat_index;
            float64_t v=u[idx]*((CBinaryLabels*)m_labels)->get_confidence(idx)*sfeat[i].features[j].entry;
            valplus+=v;
            valminus-=v;
        }

        if (valplus>max_val || max_dim==-1)
        {
            max_dim=i;
            max_val=valplus;
        }

        if (valminus>max_val)
        {
            max_dim=num_svec+i;
            max_val=valminus;
        }
    }

    dim->append_element(max_dim);
    return max_val;
}

bool CLPBoost::train_machine(CFeatures* data)
{
    ASSERT(m_labels);
    ASSERT(features);
    int32_t num_train_labels=m_labels->get_num_labels();
    int32_t num_feat=features->get_dim_feature_space();
    int32_t num_vec=features->get_num_vectors();

    ASSERT(num_vec==num_train_labels);
    w = SGVector<float64_t>(num_feat);
    memset(w.vector,0,sizeof(float64_t)*num_feat);

    CCplex solver;
    solver.init(E_LINEAR);
    SG_PRINT("setting up lpboost\n");
    solver.setup_lpboost(C1, num_vec);
    SG_PRINT("finished setting up lpboost\n");

    float64_t result=init(num_vec);
    ASSERT(result);

    int32_t num_hypothesis=0;
    CTime time;
    CSignal::clear_cancel();

    while (!(CSignal::cancel_computations()))
    {
        int32_t max_dim=0;
        float64_t violator=find_max_violator(max_dim);
        SG_PRINT("iteration:%06d violator: %10.17f (>1.0) chosen: %d\n", num_hypothesis, violator, max_dim);
        if (violator <= 1.0+epsilon && num_hypothesis>1) //no constraint violated
        {
            SG_PRINT("converged after %d iterations!\n", num_hypothesis);
            break;
        }

        float64_t factor=+1.0;
        if (max_dim>=num_svec)
        {
            factor=-1.0;
            max_dim-=num_svec;
        }

        SGSparseVectorEntry<float64_t>* h=sfeat[max_dim].features;
        int32_t len=sfeat[max_dim].num_feat_entries;
        solver.add_lpboost_constraint(factor, h, len, num_vec, m_labels);
        solver.optimize(u);
        //CMath::display_vector(u, num_vec, "u");
        num_hypothesis++;

        if (get_max_train_time()>0 && time.cur_time_diff()>get_max_train_time())
            break;
    }
    float64_t* lambda=SG_MALLOC(float64_t, num_hypothesis);
    solver.optimize(u, lambda);

    //CMath::display_vector(lambda, num_hypothesis, "lambda");
    for (int32_t i=0; i<num_hypothesis; i++)
    {
        int32_t d=dim->get_element(i);
        if (d>=num_svec)
            w[d-num_svec]+=lambda[i];
        else
            w[d]-=lambda[i];

    }
    //solver.write_problem("problem.lp");
    solver.cleanup();

    cleanup();

    return true;
}
#endif