RandomSearchModelSelection.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.
 *
 * Copyright (C) 2011 Heiko Strathmann
 * Copyright (C) 2012 Sergey Lisitsyn
 */

#include <shogun/modelselection/RandomSearchModelSelection.h>
#include <shogun/modelselection/ParameterCombination.h>
#include <shogun/modelselection/ModelSelectionParameters.h>
#include <shogun/evaluation/CrossValidation.h>
#include <shogun/mathematics/Statistics.h>
#include <shogun/machine/Machine.h>

using namespace shogun;

CRandomSearchModelSelection::CRandomSearchModelSelection() :
    CModelSelection(NULL, NULL)
{
    set_ratio(0.5);
}

CRandomSearchModelSelection::CRandomSearchModelSelection(
        CModelSelectionParameters* model_parameters,
        CMachineEvaluation* machine_eval, float64_t ratio) :
    CModelSelection(model_parameters, machine_eval)
{
    set_ratio(ratio);
}

CRandomSearchModelSelection::~CRandomSearchModelSelection()
{
}

CParameterCombination* CRandomSearchModelSelection::select_model(bool print_state)
{
    if (print_state)
        SG_PRINT("Generating parameter combinations\n");

    /* Retrieve all possible parameter combinations */
    CDynamicObjectArray* all_combinations=
            (CDynamicObjectArray*)m_model_parameters->get_combinations();

    int32_t n_all_combinations = all_combinations->get_num_elements();
    SGVector<index_t> combinations_indices = CStatistics::sample_indices(n_all_combinations*m_ratio, n_all_combinations);

    CDynamicObjectArray* combinations = new CDynamicObjectArray();

    for (int32_t i=0; i<combinations_indices.vlen; i++)
        combinations->append_element(all_combinations->get_element(i));

    CCrossValidationResult* best_result = new CCrossValidationResult();

    CParameterCombination* best_combination=NULL;
    if (m_machine_eval->get_evaluation_direction()==ED_MAXIMIZE)
    {
        if (print_state) SG_PRINT("Direction is maximize\n");
        best_result->mean=CMath::ALMOST_NEG_INFTY;
    }
    else
    {
        if (print_state) SG_PRINT("Direction is maximize\n");
        best_result->mean=CMath::ALMOST_INFTY;
    }

    /* underlying learning machine */
    CMachine* machine=m_machine_eval->get_machine();

    /* apply all combinations and search for best one */
    for (index_t i=0; i<combinations->get_num_elements(); ++i)
    {
        CParameterCombination* current_combination=(CParameterCombination*)
                combinations->get_element(i);

        /* eventually print */
        if (print_state)
        {
            SG_PRINT("trying combination:\n");
            current_combination->print_tree();
        }

        current_combination->apply_to_modsel_parameter(
                machine->m_model_selection_parameters);

        /* note that this may implicitly lock and unlockthe machine */
        CCrossValidationResult* result =
                (CCrossValidationResult*)(m_machine_eval->evaluate());

        if (result->get_result_type() != CROSSVALIDATION_RESULT)
            SG_ERROR("Evaluation result is not of type CCrossValidationResult!");

        if (print_state)
            result->print_result();

        /* check if current result is better, delete old combinations */
        if (m_machine_eval->get_evaluation_direction()==ED_MAXIMIZE)
        {
            if (result->mean>best_result->mean)
            {
                if (best_combination)
                    SG_UNREF(best_combination);

                best_combination=(CParameterCombination*)
                        combinations->get_element(i);

                SG_UNREF(best_result);
                SG_REF(result);
                best_result = result;
            }
            else
            {
                CParameterCombination* combination=(CParameterCombination*)
                        combinations->get_element(i);
                SG_UNREF(combination);
            }
        }
        else
        {
            if (result->mean<best_result->mean)
            {
                if (best_combination)
                    SG_UNREF(best_combination);

                best_combination=(CParameterCombination*)
                        combinations->get_element(i);

                SG_UNREF(best_result);
                SG_REF(result);
                best_result = result;
            }
            else
            {
                CParameterCombination* combination=(CParameterCombination*)
                        combinations->get_element(i);
                SG_UNREF(combination);
            }
        }

        SG_UNREF(result);
        SG_UNREF(current_combination);
    }

    SG_UNREF(best_result);
    SG_UNREF(machine);
    SG_UNREF(combinations);

    return best_combination;
}