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src
shogun
optimization
L1Penalty.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 L1PENALTY_H
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#define L1PENALTY_H
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#include <
shogun/optimization/SparsePenalty.h
>
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#include <
shogun/lib/config.h
>
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#include <
shogun/mathematics/Math.h
>
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namespace
shogun
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{
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class
L1Penalty
:
public
SparsePenalty
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{
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public
:
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L1Penalty
()
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:
SparsePenalty
() {init();}
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virtual
~L1Penalty
() {}
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virtual
float64_t
get_penalty
(
float64_t
variable) {
return
CMath::abs
(variable);}
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virtual
float64_t
get_penalty_gradient
(
float64_t
variable,
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float64_t
gradient_of_variable) {
return
0.0;}
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virtual
void
set_rounding_epsilon
(
float64_t
epsilon
)
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{
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REQUIRE
(epsilon>=0,
"Rounding epsilon (%f) should be non-negative\n"
, epsilon);
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m_rounding_epsilon
=
epsilon
;
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}
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virtual
void
update_variable_for_proximity
(
SGVector<float64_t>
variable,
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float64_t
proximal_weight)
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{
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for
(
index_t
idx=0; idx<variable.
vlen
; idx++)
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variable[idx]=
get_sparse_variable
(variable[idx], proximal_weight);
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}
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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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}
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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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}
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virtual
float64_t
get_sparse_variable
(
float64_t
variable,
float64_t
penalty_weight)
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{
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if
(variable>0.0)
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{
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variable-=penalty_weight;
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if
(variable<0.0)
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variable=0.0;
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}
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else
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{
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variable+=penalty_weight;
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if
(variable>0.0)
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variable=0.0;
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}
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if
(
CMath::abs
(variable)<
m_rounding_epsilon
)
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variable=0.0;
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return
variable;
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}
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protected
:
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float64_t
m_rounding_epsilon
;
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private
:
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void
init()
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{
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m_rounding_epsilon=1e-8;
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}
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};
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}
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#endif
shogun::L1Penalty::load_from_context
virtual void load_from_context(CMinimizerContext *context)
Definition:
L1Penalty.h:118
shogun::L1Penalty
The is the base class for L1 penalty/regularization within the FirstOrderMinimizer framework...
Definition:
L1Penalty.h:52
Math.h
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
config.h
REQUIRE
#define REQUIRE(x,...)
Definition:
SGIO.h:206
shogun::SparsePenalty
The base class for sparse penalty/regularization used in minimization.
Definition:
SparsePenalty.h:46
shogun::L1Penalty::get_penalty_gradient
virtual float64_t get_penalty_gradient(float64_t variable, float64_t gradient_of_variable)
Definition:
L1Penalty.h:79
shogun::L1Penalty::update_context
virtual void update_context(CMinimizerContext *context)
Definition:
L1Penalty.h:109
shogun::epsilon
static const float64_t epsilon
Definition:
libbmrm.cpp:25
shogun::SGVector::vlen
index_t vlen
Definition:
SGVector.h:494
shogun::L1Penalty::set_rounding_epsilon
virtual void set_rounding_epsilon(float64_t epsilon)
Definition:
L1Penalty.h:87
shogun::L1Penalty::~L1Penalty
virtual ~L1Penalty()
Definition:
L1Penalty.h:58
SparsePenalty.h
shogun::SGVector< float64_t >
float64_t
double float64_t
Definition:
common.h:50
shogun::L1Penalty::m_rounding_epsilon
float64_t m_rounding_epsilon
Definition:
L1Penalty.h:148
shogun::L1Penalty::update_variable_for_proximity
virtual void update_variable_for_proximity(SGVector< float64_t > variable, float64_t proximal_weight)
Definition:
L1Penalty.h:97
shogun::L1Penalty::L1Penalty
L1Penalty()
Definition:
L1Penalty.h:55
shogun
all of classes and functions are contained in the shogun namespace
Definition:
class_list.h:18
shogun::L1Penalty::get_sparse_variable
virtual float64_t get_sparse_variable(float64_t variable, float64_t penalty_weight)
Definition:
L1Penalty.h:128
shogun::L1Penalty::get_penalty
virtual float64_t get_penalty(float64_t variable)
Definition:
L1Penalty.h:66
shogun::CMath::abs
static T abs(T a)
Definition:
Math.h:179
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