ElasticNetPenalty.h

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/*
 * Copyright (c) The Shogun Machine Learning Toolbox
 * Written (w) 2015 Wu Lin
 * All rights reserved.
 *
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 * modification, are permitted provided that the following conditions are met:
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 *    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
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#ifndef ELASTICNETPENALTY_H
#define ELASTICNETPENALTY_H
#include <shogun/optimization/SparsePenalty.h>
#include <shogun/optimization/L1Penalty.h>
#include <shogun/optimization/L2Penalty.h>
#include <shogun/lib/config.h>
#include <shogun/mathematics/Math.h>
namespace shogun
{
class ElasticNetPenalty: public SparsePenalty
{
public:
    ElasticNetPenalty()
        :SparsePenalty() {init();}

    virtual ~ElasticNetPenalty()
    {
        delete m_l1_penalty;
        delete m_l2_penalty;
    }

    virtual void set_l1_ratio(float64_t ratio)
    {
        REQUIRE(ratio>0.0 && ratio<1.0, "");
        m_l1_ratio=ratio;
    }

    virtual float64_t get_penalty(float64_t variable)
    {
        check_ratio();
        float64_t penalty=m_l1_ratio*m_l1_penalty->get_penalty(variable);
        penalty+=(1.0-m_l1_ratio)*m_l2_penalty->get_penalty(variable);
        return penalty;
    }

    virtual float64_t get_penalty_gradient(float64_t variable,
        float64_t gradient_of_variable)
    {
        check_ratio();
        float64_t grad=m_l1_ratio*m_l1_penalty->get_penalty_gradient(variable, gradient_of_variable);
        grad+=(1.0-m_l1_ratio)*m_l2_penalty->get_penalty_gradient(variable, gradient_of_variable);
        return grad;
    }

    virtual void set_rounding_epsilon(float64_t epsilon)
    {
        m_l1_penalty->set_rounding_epsilon(epsilon);
    }

    virtual void update_variable_for_proximity(SGVector<float64_t> variable,
        float64_t proximal_weight)
    {
        check_ratio();
        m_l1_penalty->update_variable_for_proximity(variable, proximal_weight*m_l1_ratio);
    }

    virtual void update_context(CMinimizerContext* context)
    {
        REQUIRE(context, "Context must set\n");
        m_l1_penalty->update_context(context);
        m_l2_penalty->update_context(context);
    }

    virtual void load_from_context(CMinimizerContext* context)
    {
        REQUIRE(context, "Context must set\n");
        m_l1_penalty->load_from_context(context);
        m_l2_penalty->load_from_context(context);
    }

    virtual float64_t get_sparse_variable(float64_t variable, float64_t penalty_weight)
    {
        check_ratio();
        return m_l1_penalty->get_sparse_variable(variable, penalty_weight*m_l1_ratio);
    }

protected:

    virtual void check_ratio()
    {
        REQUIRE(m_l1_ratio>0, "l1_ratio must set\n");
    }

    float64_t m_l1_ratio;

    L1Penalty* m_l1_penalty;

    L2Penalty* m_l2_penalty;

private:
    void init()
    {
        m_l1_ratio=0;
        m_l1_penalty=new L1Penalty();
        m_l2_penalty=new L2Penalty();
    }
};

}

#endif