AdaptMomentumCorrection.h

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/*
 * Copyright (c) The Shogun Machine Learning Toolbox
 * Written (w) 2015 Wu Lin
 * All rights reserved.
 *
 * Redistribution and use in source and binary forms, with or without
 * modification, are permitted provided that the following conditions are met:
 *
 * 1. Redistributions of source code must retain the above copyright notice, this
 *    list of conditions and the following disclaimer.
 * 2. Redistributions in binary form must reproduce the above copyright notice,
 *    this list of conditions and the following disclaimer in the documentation
 *    and/or other materials provided with the distribution.
 *
 * THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS" AND
 * ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED
 * WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE
 * DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER OR CONTRIBUTORS BE LIABLE FOR
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#ifndef ADAPTMOMEMTUMCORRECTION_H
#define ADAPTMOMEMTUMCORRECTION_H
#include <shogun/lib/config.h>
#include <shogun/lib/SGVector.h>
#include <shogun/optimization/MomentumCorrection.h>
namespace shogun
{
class AdaptMomentumCorrection: public MomentumCorrection
{
public:

    /*  Constructor */
    AdaptMomentumCorrection()
        :MomentumCorrection()
    {
        init();
    }

    virtual void set_momentum_correction(MomentumCorrection* correction)
    {
        REQUIRE(correction,"MomentumCorrection must not NULL\n");
        REQUIRE(correction != this, "MomentumCorrection can not be itself\n");
        m_momentum_correction=correction;
    }

    /*  Destructor */
    virtual ~AdaptMomentumCorrection() { m_momentum_correction=NULL; };

    virtual bool is_initialized()
    {
        REQUIRE(m_momentum_correction,"MomentumCorrection must set\n");
        return m_momentum_correction->is_initialized();
    }

    virtual void set_correction_weight(float64_t weight)
    {
        REQUIRE(m_momentum_correction,"MomentumCorrection must set\n");
        m_momentum_correction->set_correction_weight(weight);
    }

    virtual void initialize_previous_direction(index_t len)
    {
        REQUIRE(m_momentum_correction,"MomentumCorrection must set\n");
        m_momentum_correction->initialize_previous_direction(len);
    }

    virtual DescendPair get_corrected_descend_direction(float64_t negative_descend_direction,
        index_t idx)
    {
        REQUIRE(m_momentum_correction,"MomentumCorrection must set\n");
        REQUIRE(m_adapt_rate>0 && m_adapt_rate<1.0,"adaptive rate is invalid\n");
        index_t len=m_momentum_correction->get_length_previous_descend_direction();
        REQUIRE(idx>=0 && idx<len,
            "The index (%d) is invalid\n", idx);
        if(m_descend_rate.vlen==0)
        {
            m_descend_rate=SGVector<float64_t>(len);
            m_descend_rate.set_const(m_init_descend_rate);
        }
        float64_t rate=m_descend_rate[idx];
        float64_t pre=m_momentum_correction->get_previous_descend_direction(idx);
        DescendPair pair=m_momentum_correction->get_corrected_descend_direction(rate*negative_descend_direction, idx);
        float64_t cur=m_momentum_correction->get_previous_descend_direction(idx);
        if(pre*cur>0.0)
            rate*=(1.0+m_adapt_rate);
        else
        {
            if(pre*cur==0.0 && (cur>0.0 || pre>0.0))
                rate*=(1.0+m_adapt_rate);
            else
                rate*=(1.0-m_adapt_rate);
        }
        if(rate<m_rate_min)
            rate=m_rate_min;
        if(rate>m_rate_max)
            rate=m_rate_max;
        m_descend_rate[idx]=rate;
        return pair;
    }

    virtual void update_context(CMinimizerContext* context)
    {
        REQUIRE(m_momentum_correction,"MomentumCorrection must set\n");
        m_momentum_correction->update_context(context);
        REQUIRE(context, "context must set\n");
        SGVector<float64_t> value(m_descend_rate.vlen);
        std::copy(m_descend_rate.vector,
            m_descend_rate.vector+m_descend_rate.vlen,
            value.vector);
        std::string key="AdaptMomentumCorrection::m_descend_rate";
        context->save_data(key, value);
    }

    virtual void load_from_context(CMinimizerContext* context)
    {
        REQUIRE(m_momentum_correction,"MomentumCorrection must set\n");
        m_momentum_correction->load_from_context(context);
        REQUIRE(context, "context must set\n");
        std::string key="AdaptMomentumCorrection::m_descend_rate";
        SGVector<float64_t> value=context->get_data_sgvector_float64(key);
        m_descend_rate=SGVector<float64_t>(value.vlen);
        std::copy(value.vector, value.vector+value.vlen,
            m_descend_rate.vector);
    }

    virtual void set_adapt_rate(float64_t adapt_rate, float64_t rate_min=0.0, float64_t rate_max=CMath::INFTY)
    {
        REQUIRE(adapt_rate>0.0 && adapt_rate<1.0, "Adaptive rate (%f) must in (0,1)\n", adapt_rate);
        REQUIRE(rate_min>=0, "Minimum speedup rate (%f) must be non-negative\n", rate_min);
        REQUIRE(rate_max>rate_min, "Maximum speedup rate (%f) must greater than minimum speedup rate (%f)\n",
            rate_max, rate_min);
        m_adapt_rate=adapt_rate;
        m_rate_min=rate_min;
        m_rate_max=rate_max;
    }

    virtual void set_init_descend_rate(float64_t init_descend_rate)
    {
        REQUIRE(init_descend_rate>0,"Init speedup rate (%f) must be positive\n", init_descend_rate);
        m_init_descend_rate=init_descend_rate;
    }
protected:
    SGVector<float64_t> m_descend_rate;
    MomentumCorrection* m_momentum_correction;
    float64_t m_adapt_rate;
    float64_t m_rate_min;
    float64_t m_rate_max;
    float64_t m_init_descend_rate;
private:
    void init()
    {
        m_momentum_correction=NULL;
        m_descend_rate=SGVector<float64_t>();
        m_adapt_rate=0;
        m_rate_min=0;
        m_rate_max=CMath::INFTY;
        m_init_descend_rate=1.0;
    }
};

}
#endif