MKLMulticlassGLPK.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) 2009 Alexander Binder
 * Copyright (C) 2009 Fraunhofer Institute FIRST and Max-Planck-Society
 */

#include <shogun/classifier/mkl/MKLMulticlassGLPK.h>
#ifdef USE_GLPK
#include <glpk.h>
#endif


using namespace shogun;

MKLMulticlassGLPK::MKLMulticlassGLPK()
{
    numkernels = 0;
#ifdef USE_GLPK
    //makes glpk quiet
    glp_term_out(GLP_OFF);
    linearproblem=NULL;
#endif
}
MKLMulticlassGLPK::~MKLMulticlassGLPK()
{
#if defined(USE_GLPK)
    if (linearproblem)
    {
        glp_delete_prob((glp_prob*) linearproblem);
        linearproblem=NULL;
    }

#endif
}

MKLMulticlassGLPK MKLMulticlassGLPK::operator=(MKLMulticlassGLPK & gl)
{
    SG_ERROR(
            " MKLMulticlassGLPK MKLMulticlassGLPK::operator=(...): must "
            "not be called, glpk structure is currently not copyable");
    return (*this);

}
MKLMulticlassGLPK::MKLMulticlassGLPK(MKLMulticlassGLPK & gl)
{
    SG_ERROR(
            " MKLMulticlassGLPK::MKLMulticlassGLPK(MKLMulticlassGLPK & gl):"
            " must not be called, glpk structure is currently not copyable");

}

void MKLMulticlassGLPK::setup(const int32_t numkernels2)
{
#if defined(USE_GLPK)
    numkernels=numkernels2;
    if (numkernels<=1)
    {
        SG_ERROR("void glpkwrapper::setup(const int32_tnumkernels): input "
                "numkernels out of bounds: %d\n",numkernels);
    }

    if (!linearproblem)
    {
        linearproblem=glp_create_prob();
    }

    glp_set_obj_dir((glp_prob*) linearproblem, GLP_MAX);

    glp_add_cols((glp_prob*) linearproblem,1+numkernels);

    //set up theta
    glp_set_col_bnds((glp_prob*) linearproblem,1,GLP_FR,0.0,0.0);
    glp_set_obj_coef((glp_prob*) linearproblem,1,1.0);

    //set up betas
    int32_t offset=2;
    for (int32_t i=0; i<numkernels;++i)
    {
        glp_set_col_bnds((glp_prob*) linearproblem,offset+i,GLP_DB,0.0,1.0);
        glp_set_obj_coef((glp_prob*) linearproblem,offset+i,0.0);
    }

    //set sumupconstraint32_t/sum_l \beta_l=1
    glp_add_rows((glp_prob*) linearproblem,1);

    int32_t*betainds(NULL);
    betainds=SG_MALLOC(int, 1+numkernels);
    for (int32_t i=0; i<numkernels;++i)
    {
        betainds[1+i]=2+i; // coefficient for theta stays zero, therefore
                            //start at 2 not at 1 !
    }

    float64_t *betacoeffs(NULL);
    betacoeffs=SG_MALLOC(float64_t, 1+numkernels);

    for (int32_t i=0; i<numkernels;++i)
    {
        betacoeffs[1+i]=1;
    }

    glp_set_mat_row((glp_prob*) linearproblem,1,numkernels, betainds,betacoeffs);
    glp_set_row_bnds((glp_prob*) linearproblem,1,GLP_FX,1.0,1.0);

    SG_FREE(betainds);
    betainds=NULL;

    SG_FREE(betacoeffs);
    betacoeffs=NULL;
#else
    SG_ERROR(
            "glpk.h from GNU glpk not included at compile time necessary "
            "here\n");
#endif

}

void MKLMulticlassGLPK::addconstraint(const ::std::vector<float64_t> & normw2,
        const float64_t sumofpositivealphas)
{
#if defined(USE_GLPK)

    ASSERT ((int)normw2.size()==numkernels);
    ASSERT (sumofpositivealphas>=0);

    glp_add_rows((glp_prob*) linearproblem,1);

    int32_t curconstraint=glp_get_num_rows((glp_prob*) linearproblem);

    int32_t *betainds(NULL);
    betainds=SG_MALLOC(int, 1+1+numkernels);

    betainds[1]=1;
    for (int32_t i=0; i<numkernels;++i)
    {
        betainds[2+i]=2+i; // coefficient for theta stays zero, therefore start
            //at 2 not at 1 !
    }

    float64_t *betacoeffs(NULL);
    betacoeffs=SG_MALLOC(float64_t, 1+1+numkernels);

    betacoeffs[1]=-1;

    for (int32_t i=0; i<numkernels;++i)
    {
        betacoeffs[2+i]=0.5*normw2[i];
    }
    glp_set_mat_row((glp_prob*) linearproblem,curconstraint,1+numkernels, betainds,
            betacoeffs);
    glp_set_row_bnds((glp_prob*) linearproblem,curconstraint,GLP_LO,sumofpositivealphas,
            sumofpositivealphas);

    SG_FREE(betainds);
    betainds=NULL;

    SG_FREE(betacoeffs);
    betacoeffs=NULL;

#else
    SG_ERROR(
            "glpk.h from GNU glpk not included at compile time necessary "
            "here\n");
#endif
}

void MKLMulticlassGLPK::computeweights(std::vector<float64_t> & weights2)
{
#if defined(USE_GLPK)
    weights2.resize(numkernels);

    glp_simplex((glp_prob*) linearproblem,NULL);

    float64_t sum=0;
    for (int32_t i=0; i< numkernels;++i)
    {
        weights2[i]=glp_get_col_prim((glp_prob*) linearproblem, i+2);
        weights2[i]= ::std::max(0.0, ::std::min(1.0,weights2[i]));
        sum+= weights2[i];
    }

    if (sum>0)
    {
        for (int32_t i=0; i< numkernels;++i)
        {
            weights2[i]/=sum;
        }
    }
    else
    SG_ERROR("void glpkwrapper::computeweights(std::vector<float64_t> & "
            "weights2): sum of weights nonpositive %f\n",sum);
#else
    SG_ERROR(
            "glpk.h from GNU glpk not included at compile time necessary "
            "here\n");
#endif
}