QPBSVMLib.h

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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.
 *
 * Library for solving QP task required for learning SVM without bias term.
 *
 * Written (W) 1999-2008 Vojtech Franc, xfrancv@cmp.felk.cvut.cz
 * Copyright (C) 1999-2008 Center for Machine Perception, CTU FEL Prague
 *
 -------------------------------------------------------------------- */

#ifndef QPBSVMLIB_H__
#define QPBSVMLIB_H__

#include <math.h>
#include <limits.h>

#include <shogun/base/SGObject.h>
#include <shogun/io/SGIO.h>
#include <shogun/lib/config.h>
#include <shogun/lib/common.h>
#include <shogun/kernel/Kernel.h>

namespace shogun
{

#ifndef DOXYGEN_SHOULD_SKIP_THIS
enum E_QPB_SOLVER
{
    QPB_SOLVER_SCA, // sequential coordinate wise (gaussian seidel based)
    QPB_SOLVER_SCAS,    // sequential coordinate wise selecting the variable
    // gaining 'best' improved
    QPB_SOLVER_SCAMV, // sequential coordinate wise selecting variable most violating kkt's
    QPB_SOLVER_PRLOQO,// via pr_loqo
    QPB_SOLVER_CPLEX,  // via cplex
    QPB_SOLVER_GS,  // gaussian seidel
    QPB_SOLVER_GRADDESC  // gaussian seidel
};
#endif

class CQPBSVMLib: public CSGObject
{
    public:
        CQPBSVMLib();

        CQPBSVMLib(
            float64_t* H, int32_t n, float64_t* f, int32_t m, float64_t UB=1.0);

        int32_t solve_qp(float64_t* result, int32_t len);

        inline void set_solver(E_QPB_SOLVER solver)
        {
            m_solver=solver;
        }

        virtual ~CQPBSVMLib();

    protected:
        inline float64_t* get_col(int32_t col)
        {
            return &m_H[m_dim*col];
        }

        int32_t qpbsvm_sca(
            float64_t *x, float64_t *Nabla, int32_t *ptr_t,
            float64_t **ptr_History, int32_t verb);
        int32_t qpbsvm_scas(
            float64_t *x, float64_t *Nabla, int32_t *ptr_t,
            float64_t **ptr_History, int32_t verb);
        int32_t qpbsvm_scamv(
            float64_t *x, float64_t *Nabla, int32_t *ptr_t,
            float64_t **ptr_History, int32_t verb);
        int32_t qpbsvm_prloqo(
            float64_t *x, float64_t *Nabla, int32_t *ptr_t,
            float64_t **ptr_History, int32_t verb);
        int32_t qpbsvm_gauss_seidel(
            float64_t *x, float64_t *Nabla, int32_t *ptr_t,
            float64_t **ptr_History, int32_t verb);
        int32_t qpbsvm_gradient_descent(
            float64_t *x, float64_t *Nabla, int32_t *ptr_t,
            float64_t **ptr_History, int32_t verb);
#ifdef USE_CPLEX

        int32_t qpbsvm_cplex(
            float64_t *x, float64_t *Nabla, int32_t *ptr_t,
            float64_t **ptr_History, int32_t verb);
#endif

        inline const char* get_name() const { return "QPBSVMLib"; }

    protected:
        float64_t* m_H;
        float64_t* m_diag_H;
        int32_t m_dim;

        float64_t* m_f;

        float64_t m_UB;

        int32_t m_tmax;
        float64_t m_tolabs;
        float64_t m_tolrel;
        float64_t m_tolKKT;
        E_QPB_SOLVER m_solver;
};
}
#endif //QPBSVMLIB_H__