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src
shogun
mathematics
SparseInverseCovariance.cpp
Go to the documentation of this file.
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/*
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* This program is free software; you can redistribute it and/or modify
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* it under the terms of the GNU General Public License as published by
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* the Free Software Foundation; either version 3 of the License, or
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* (at your option) any later version.
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*
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* Copyright (C) 2009-2011 Jun Liu, Jieping Ye
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* Copyright (C) 2012 Sergey Lisitsyn
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*/
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#include <
shogun/mathematics/SparseInverseCovariance.h
>
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#include <
shogun/base/Parameter.h
>
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#include <
shogun/lib/slep/SpInvCoVa/invCov.h
>
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using namespace
shogun;
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CSparseInverseCovariance::CSparseInverseCovariance
() :
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CSGObject
(), m_lasso_max_iter(1000),
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m_max_iter(1000), m_f_gap(1e-6), m_x_gap(1e-4),
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m_xtol(1e-4)
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{
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register_parameters();
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}
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CSparseInverseCovariance::~CSparseInverseCovariance
()
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{
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}
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void
CSparseInverseCovariance::register_parameters()
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{
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SG_ADD
(&
m_lasso_max_iter
,
"lasso_max_iter"
,
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"maximum iteration of LASSO step"
,
MS_NOT_AVAILABLE
);
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SG_ADD
(&
m_max_iter
,
"max_iter"
,
"maximum total iteration"
,
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MS_NOT_AVAILABLE
);
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SG_ADD
(&
m_f_gap
,
"f_gap"
,
"f gap"
,
MS_NOT_AVAILABLE
);
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SG_ADD
(&
m_x_gap
,
"x_gap"
,
"x gap"
,
MS_NOT_AVAILABLE
);
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SG_ADD
(&
m_xtol
,
"xtol"
,
"xtol"
,
MS_NOT_AVAILABLE
);
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}
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SGMatrix<float64_t>
CSparseInverseCovariance::estimate
(
SGMatrix<float64_t>
S,
float64_t
lambda_c)
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{
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ASSERT
(S.
num_cols
==S.
num_rows
);
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int32_t n = S.
num_cols
;
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float64_t
sum_S = 0.0;
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for
(int32_t i=0; i<n; i++)
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sum_S += S(i,i);
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float64_t
* Theta =
SG_CALLOC
(
float64_t
, n*n);
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float64_t
* W =
SG_CALLOC
(
float64_t
, n*n);
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invCov
(Theta, W, S.
matrix
, lambda_c, sum_S, n,
m_lasso_max_iter
,
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m_f_gap
,
m_x_gap
,
m_max_iter
,
m_xtol
);
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SG_FREE
(W);
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return
SGMatrix<float64_t>
(Theta,n,n);
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}
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