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src
shogun
optimization
FirstOrderMinimizer.h
Go to the documentation of this file.
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/*
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* Copyright (c) The Shogun Machine Learning Toolbox
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* Written (w) 2015 Wu Lin
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* All rights reserved.
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*
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* Redistribution and use in source and binary forms, with or without
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* modification, are permitted provided that the following conditions are met:
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*
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* 1. Redistributions of source code must retain the above copyright notice, this
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* list of conditions and the following disclaimer.
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* 2. Redistributions in binary form must reproduce the above copyright notice,
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* this list of conditions and the following disclaimer in the documentation
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* and/or other materials provided with the distribution.
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*
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* THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS" AND
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* ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED
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* WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE
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* DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER OR CONTRIBUTORS BE LIABLE FOR
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* ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES
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* (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES;
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* LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND
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* ON ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
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* (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS
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* SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
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*
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* The views and conclusions contained in the software and documentation are those
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* of the authors and should not be interpreted as representing official policies,
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* either expressed or implied, of the Shogun Development Team.
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*
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*/
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#ifndef FIRSTORDERMINIMIZER_H
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#define FIRSTORDERMINIMIZER_H
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#include <
shogun/lib/config.h
>
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#include <
shogun/optimization/FirstOrderCostFunction.h
>
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#include <
shogun/optimization/MinimizerContext.h
>
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#include <
shogun/optimization/Penalty.h
>
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namespace
shogun
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{
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class
FirstOrderMinimizer
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{
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public
:
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FirstOrderMinimizer
()
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{
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init();
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}
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FirstOrderMinimizer
(
FirstOrderCostFunction
*fun)
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{
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init();
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set_cost_function
(fun);
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}
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virtual
~FirstOrderMinimizer
()
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{}
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virtual
float64_t
minimize
()=0;
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virtual
bool
supports_batch_update
()
const
=0;
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virtual
void
set_cost_function
(
FirstOrderCostFunction
*fun)
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{
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REQUIRE
(fun,
"The cost function must be not NULL\n"
);
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m_fun
=fun;
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}
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virtual
CMinimizerContext
*
save_to_context
()
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{
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CMinimizerContext
* result=
new
CMinimizerContext
();
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update_context
(result);
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return
result;
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}
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virtual
void
load_from_context
(
CMinimizerContext
* context)
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{
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REQUIRE
(context,
"Context must set\n"
);
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if
(
m_penalty_type
)
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m_penalty_type
->
load_from_context
(context);
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}
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virtual
void
set_penalty_weight
(
float64_t
penalty_weight)
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{
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REQUIRE
(penalty_weight>0,
"The weight of penalty must be positive\n"
);
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m_penalty_weight
=penalty_weight;
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}
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virtual
void
set_penalty_type
(
Penalty
* penalty_type)
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{
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m_penalty_type
=penalty_type;
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}
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protected
:
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virtual
void
update_context
(
CMinimizerContext
* context)
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{
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REQUIRE
(context,
"Context must set\n"
);
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if
(
m_penalty_type
)
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m_penalty_type
->
update_context
(context);
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}
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virtual
float64_t
get_penalty
(
SGVector<float64_t>
var)
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{
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float64_t
penalty=0.0;
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if
(
m_penalty_type
)
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{
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REQUIRE
(
m_penalty_weight
>0,
"The weight of penalty must be set first\n"
);
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for
(
index_t
idx=0; idx<var.
vlen
; idx++)
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penalty+=
m_penalty_weight
*
m_penalty_type
->
get_penalty
(var[idx]);
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}
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return
penalty;
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}
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virtual
void
update_gradient
(
SGVector<float64_t>
gradient,
SGVector<float64_t>
var)
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{
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if
(
m_penalty_type
)
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{
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REQUIRE
(
m_penalty_weight
>0,
"The weight of penalty must be set first\n"
);
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for
(
index_t
idx=0; idx<var.
vlen
; idx++)
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{
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float64_t
grad=gradient[idx];
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float64_t
variable=var[idx];
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gradient[idx]+=
m_penalty_weight
*
m_penalty_type
->
get_penalty_gradient
(variable,grad);
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}
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}
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}
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FirstOrderCostFunction
*
m_fun
;
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Penalty
*
m_penalty_type
;
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float64_t
m_penalty_weight
;
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private
:
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void
init()
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{
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m_fun=NULL;
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m_penalty_type=NULL;
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m_penalty_weight=0;
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}
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};
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}
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#endif
Penalty.h
shogun::Penalty::get_penalty_gradient
virtual float64_t get_penalty_gradient(float64_t variable, float64_t gradient)=0
shogun::FirstOrderMinimizer::update_gradient
virtual void update_gradient(SGVector< float64_t > gradient, SGVector< float64_t > var)
Definition:
FirstOrderMinimizer.h:190
shogun::FirstOrderMinimizer::m_penalty_weight
float64_t m_penalty_weight
Definition:
FirstOrderMinimizer.h:211
index_t
int32_t index_t
Definition:
common.h:62
shogun::CMinimizerContext
The class is used to serialize and deserialize variables for the optimization framework.
Definition:
MinimizerContext.h:45
shogun::FirstOrderMinimizer::set_penalty_weight
virtual void set_penalty_weight(float64_t penalty_weight)
Definition:
FirstOrderMinimizer.h:126
shogun::FirstOrderMinimizer::m_fun
FirstOrderCostFunction * m_fun
Definition:
FirstOrderMinimizer.h:205
config.h
REQUIRE
#define REQUIRE(x,...)
Definition:
SGIO.h:206
shogun::Penalty
The base class for penalty/regularization used in minimization.
Definition:
Penalty.h:46
shogun::FirstOrderMinimizer::FirstOrderMinimizer
FirstOrderMinimizer()
Definition:
FirstOrderMinimizer.h:58
shogun::SGVector::vlen
index_t vlen
Definition:
SGVector.h:494
shogun::FirstOrderMinimizer::set_cost_function
virtual void set_cost_function(FirstOrderCostFunction *fun)
Definition:
FirstOrderMinimizer.h:92
shogun::Penalty::get_penalty
virtual float64_t get_penalty(float64_t variable)=0
shogun::SGVector< float64_t >
float64_t
double float64_t
Definition:
common.h:50
shogun::FirstOrderMinimizer::save_to_context
virtual CMinimizerContext * save_to_context()
Definition:
FirstOrderMinimizer.h:103
shogun::Penalty::update_context
virtual void update_context(CMinimizerContext *context)=0
shogun::FirstOrderMinimizer::m_penalty_type
Penalty * m_penalty_type
Definition:
FirstOrderMinimizer.h:208
shogun::FirstOrderMinimizer::FirstOrderMinimizer
FirstOrderMinimizer(FirstOrderCostFunction *fun)
Definition:
FirstOrderMinimizer.h:66
shogun::FirstOrderMinimizer::get_penalty
virtual float64_t get_penalty(SGVector< float64_t > var)
Definition:
FirstOrderMinimizer.h:164
shogun::FirstOrderCostFunction
The first order cost function base class.
Definition:
FirstOrderCostFunction.h:50
MinimizerContext.h
shogun::Penalty::load_from_context
virtual void load_from_context(CMinimizerContext *context)=0
shogun::FirstOrderMinimizer::supports_batch_update
virtual bool supports_batch_update() const =0
FirstOrderCostFunction.h
shogun::FirstOrderMinimizer::~FirstOrderMinimizer
virtual ~FirstOrderMinimizer()
Definition:
FirstOrderMinimizer.h:73
shogun
all of classes and functions are contained in the shogun namespace
Definition:
class_list.h:18
shogun::FirstOrderMinimizer::load_from_context
virtual void load_from_context(CMinimizerContext *context)
Definition:
FirstOrderMinimizer.h:115
shogun::FirstOrderMinimizer::minimize
virtual float64_t minimize()=0
shogun::FirstOrderMinimizer::set_penalty_type
virtual void set_penalty_type(Penalty *penalty_type)
Definition:
FirstOrderMinimizer.h:137
shogun::FirstOrderMinimizer::update_context
virtual void update_context(CMinimizerContext *context)
Definition:
FirstOrderMinimizer.h:147
shogun::FirstOrderMinimizer
The first order minimizer base class.
Definition:
FirstOrderMinimizer.h:54
SHOGUN
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