15 #include <shogun/lib/external/libqp.h>
49 libqp_state_T qp_exitflag={0, 0, 0, 0}, qp_exitflag_good={0, 0, 0, 0};
50 float64_t *b, *b2, *beta, *beta_good, *beta_start, *diag_H, *diag_H2;
51 float64_t R, *Rt, **subgrad_t, *A, QPSolverTolRel, *C=NULL;
52 float64_t *prevW, *wt, alpha, alpha_start, alpha_good=0.0, Fd_alpha0=0.0;
54 floatmax_t rsum, sq_norm_W, sq_norm_Wdiff, sq_norm_prevW, eps;
55 uint32_t *I, *I2, *I_start, *I_good;
58 bmrm_ll *CPList_head, *CPList_tail, *cp_ptr, *cp_ptr2, *cp_list=NULL;
60 bool *map=NULL, tuneAlpha=
true, flag=
true;
61 bool alphaChanged=
false, isThereGoodSolution=
false;
64 uint32_t to=0, N=0, cp_i=0;
133 if (
H==NULL || A==NULL || b==NULL || beta==NULL || subgrad_t==NULL ||
134 diag_H==NULL || I==NULL || icp_stats.
ICPcounter==NULL ||
135 icp_stats.
ICPs==NULL || icp_stats.
ACPs==NULL ||
136 cp_list==NULL || prevW==NULL || wt==NULL || Rt==NULL || C==NULL ||
137 S==NULL || info==NULL || icp_stats.
H_buff==NULL)
148 for (uint32_t p=0; p<cp_models; ++p)
155 if (subgrad_t[p]==NULL || info[p]==NULL)
162 to=((p+1)*N > (uint32_t)num_feats) ? (uint32_t)num_feats : (p+1)*N;
174 memset( (
bool*) map,
true, BufSize);
193 if (beta_start==NULL || beta_good==NULL || b2==NULL || diag_H2==NULL ||
194 I_start==NULL || I_good==NULL || I2==NULL ||
H2==NULL)
205 Rt[0] = machine->
risk(subgrad_t[0], W, info[0]);
223 for (uint32_t p=1; p<cp_models; ++p)
225 Rt[p] = machine->
risk(subgrad_t[p], W, info[p]);
233 for (uint32_t p=0; p<cp_models; ++p)
239 for (uint32_t j=0; j<nDim; ++j)
241 sq_norm_Wdiff+=(W[j]-prevW[j])*(W[j]-prevW[j]);
246 p3bmrm.
Fp=R+0.5*_lambda*sq_norm_W + alpha*sq_norm_Wdiff;
251 K = (sq_norm_W == 0.0) ? 0.4 : 0.01*
CMath::sqrt(sq_norm_W);
264 SG_SPRINT(
"%4d: tim=%.3lf, Fp=%lf, Fd=%lf, R=%lf, K=%lf, CPmodels=%d\n",
265 p3bmrm.
nIter, tstop-tstart, p3bmrm.
Fp, p3bmrm.
Fd, R, K, cp_models);
278 for (cp_i=0; cp_i<cp_models; ++cp_i)
282 for (uint32_t p=0; p<cp_models; ++p)
296 for (cp_i=0; cp_i<p3bmrm.
nCP+cp_models; ++cp_i)
300 for (uint32_t p=0; p<cp_models; ++p)
310 for (uint32_t i=0; i<p3bmrm.
nCP; ++i)
311 for (uint32_t j=0; j<cp_models; ++j)
316 for (uint32_t p=0; p<cp_models; ++p)
319 p3bmrm.
nCP+=cp_models;
324 isThereGoodSolution=
false;
326 for (uint32_t p=0; p<cp_models; ++p)
328 I[p3bmrm.
nCP-cp_models+p]=p+1;
329 beta[p3bmrm.
nCP-cp_models+p]=0.0;
338 alpha_start=alpha; alpha=0.0;
344 for (uint32_t i=0; i<p3bmrm.
nCP; ++i)
351 b2[i]=b[i]-((2*alpha)/(_lambda+2*alpha))*rsum;
352 diag_H2[i]=diag_H[i]/(_lambda+2*alpha);
354 for (uint32_t j=0; j<p3bmrm.
nCP; ++j)
361 qp_exitflag=libqp_splx_solver(&
get_col, diag_H2, b2, C, I2, S, beta,
365 Fd_alpha0=-qp_exitflag.QP;
371 for (uint32_t j=0; j<p3bmrm.
nCP; ++j)
380 for (uint32_t i=0; i<nDim; ++i)
381 sq_norm_Wdiff+=(wt[i]-prevW[i])*(wt[i]-prevW[i]);
387 if (alpha!=alpha_start)
403 for (uint32_t i=0; i<p3bmrm.
nCP; ++i)
410 b2[i]=b[i]-((2*alpha)/(_lambda+2*alpha))*rsum;
411 diag_H2[i]=diag_H[i]/(_lambda+2*alpha);
413 for (uint32_t j=0; j<p3bmrm.
nCP; ++j)
418 qp_exitflag=libqp_splx_solver(&
get_col, diag_H2, b2, C, I2, S, beta,
427 for (uint32_t j=0; j<p3bmrm.
nCP; ++j)
436 for (uint32_t i=0; i<nDim; ++i)
437 sq_norm_Wdiff+=(wt[i]-prevW[i])*(wt[i]-prevW[i]);
443 if (isThereGoodSolution)
448 qp_exitflag=qp_exitflag_good;
473 qp_exitflag_good=qp_exitflag;
474 isThereGoodSolution=
true;
503 for (uint32_t i=0; i<p3bmrm.
nCP; ++i)
510 b2[i]=b[i]-((2*alpha)/(_lambda+2*alpha))*rsum;
511 diag_H2[i]=diag_H[i]/(_lambda+2*alpha);
513 for (uint32_t j=0; j<p3bmrm.
nCP; ++j)
518 qp_exitflag=libqp_splx_solver(&
get_col, diag_H2, b2, C, I2, S, beta,
528 for (uint32_t aaa=0; aaa<p3bmrm.
nCP; ++aaa)
545 for (uint32_t j=0; j<p3bmrm.
nCP; ++j)
555 for (uint32_t p=0; p<cp_models; ++p)
557 Rt[p] = machine->
risk(subgrad_t[p], W, info[p]);
567 for (uint32_t j=0; j<nDim; ++j)
569 sq_norm_Wdiff+=(W[j]-prevW[j])*(W[j]-prevW[j]);
573 p3bmrm.
Fp=R+0.5*_lambda*sq_norm_W + alpha*sq_norm_Wdiff;
574 p3bmrm.
Fd=-qp_exitflag.QP + ((alpha*_lambda)/(_lambda + 2*alpha))*sq_norm_prevW;
579 eps=1.0-(p3bmrm.
Fd/p3bmrm.
Fp);
580 gamma=(lastFp*(1-eps)-Fd_alpha0)/(Tmax*(1-eps));
583 if ((lastFp-p3bmrm.
Fp) <= gamma)
598 if (p3bmrm.
Fp-p3bmrm.
Fd<=TolAbs)
602 if (p3bmrm.
nCP>=BufSize)
610 for (uint32_t i=0; i<nDim; ++i)
612 sq_norm_Wdiff+=(W[i]-prevW[i])*(W[i]-prevW[i]);
624 SG_SPRINT(
"%4d: tim=%.3lf, Fp=%lf, Fd=%lf, (Fp-Fd)=%lf, (Fp-Fd)/Fp=%lf, R=%lf, nCP=%d, nzA=%d, wdist=%lf, alpha=%lf, qp_cnt=%d, gamma=%lf, tuneAlpha=%d\n",
625 p3bmrm.
nIter, tstop-tstart, p3bmrm.
Fp, p3bmrm.
Fd, p3bmrm.
Fp-p3bmrm.
Fd,
626 (p3bmrm.
Fp-p3bmrm.
Fd)/p3bmrm.
Fp, R, p3bmrm.
nCP, p3bmrm.
nzA, wdist, alpha,
627 qp_cnt, gamma, tuneAlpha);
630 if (p3bmrm.
nCP>=BufSize)
643 clean_icp(&icp_stats, p3bmrm, &CPList_head,
644 &CPList_tail,
H, diag_H, beta, map,
645 cleanAfter, b, I, cp_models);
695 for (uint32_t p=0; p<cp_models; ++p)