MMDKernelSelectionCombMaxL2.cpp

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/*
 * This program is free software; you can redistribute it and/or modify
 * it under the terms of the GNU General Public License as published by
 * the Free Software Foundation; either version 3 of the License, or
 * (at your option) any later version.
 *
 * Written (W) 2013 Heiko Strathmann
 */

#include <shogun/statistics/MMDKernelSelectionCombMaxL2.h>
#include <shogun/statistics/LinearTimeMMD.h>
#include <shogun/kernel/CombinedKernel.h>
#include <shogun/mathematics/Statistics.h>


using namespace shogun;

CMMDKernelSelectionCombMaxL2::CMMDKernelSelectionCombMaxL2() :
        CMMDKernelSelectionComb()
{
}

CMMDKernelSelectionCombMaxL2::CMMDKernelSelectionCombMaxL2(
        CKernelTwoSampleTest* mmd) : CMMDKernelSelectionComb(mmd)
{
    /* currently, this method is only developed for the linear time MMD */
    REQUIRE(mmd->get_statistic_type()==S_QUADRATIC_TIME_MMD ||
            mmd->get_statistic_type()==S_LINEAR_TIME_MMD, "%s::%s(): Only "
            "CLinearTimeMMD is currently supported! Provided instance is "
            "\"%s\"\n", get_name(), get_name(), mmd->get_name());
}

CMMDKernelSelectionCombMaxL2::~CMMDKernelSelectionCombMaxL2()
{
}

SGVector<float64_t> CMMDKernelSelectionCombMaxL2::compute_measures()
{
    /* cast is safe due to assertion in constructor */
    CCombinedKernel* kernel=(CCombinedKernel*)m_estimator->get_kernel();
    index_t num_kernels=kernel->get_num_subkernels();
    SG_UNREF(kernel);

    /* compute mmds for all underlying kernels and create identity matrix Q
     * (see NIPS paper) */
    SGVector<float64_t> mmds=m_estimator->compute_statistic(true);

    /* free matrix by hand since it is static */
    SG_FREE(m_Q.matrix);
    m_Q.matrix=NULL;
    m_Q.num_rows=0;
    m_Q.num_cols=0;
    m_Q=SGMatrix<float64_t>(num_kernels, num_kernels, false);
    for (index_t i=0; i<num_kernels; ++i)
    {
        for (index_t j=0; j<num_kernels; ++j)
            m_Q(i, j)=i==j ? 1 : 0;
    }

    /* solve the generated problem */
    SGVector<float64_t> result=CMMDKernelSelectionComb::solve_optimization(mmds);

    /* free matrix by hand since it is static (again) */
    SG_FREE(m_Q.matrix);
    m_Q.matrix=NULL;
    m_Q.num_rows=0;
    m_Q.num_cols=0;

    return result;
}