MulticlassOCAS.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) 2009-2012 Vojtech Franc and Soeren Sonnenburg
 * Written (W) 2012 Sergey Lisitsyn
 * Copyright (C) 2009-2012 Vojtech Franc and Soeren Sonnenburg
 */

#include <shogun/multiclass/MulticlassOCAS.h>
#include <shogun/multiclass/MulticlassOneVsRestStrategy.h>
#include <shogun/mathematics/Math.h>
#include <shogun/labels/MulticlassLabels.h>

using namespace shogun;

struct mocas_data
{
    CDotFeatures* features;
    float64_t* W;
    float64_t* oldW;
    float64_t* full_A;
    float64_t* data_y;
    float64_t* output_values;
    uint32_t nY;
    uint32_t nData;
    uint32_t nDim;
    float64_t* new_a;
};

CMulticlassOCAS::CMulticlassOCAS() :
    CLinearMulticlassMachine()
{
    register_parameters();
    set_C(1.0);
    set_epsilon(1e-2);
    set_max_iter(1000000);
    set_method(1);
    set_buf_size(5000);
}

CMulticlassOCAS::CMulticlassOCAS(float64_t C, CDotFeatures* train_features, CLabels* train_labels) :
    CLinearMulticlassMachine(new CMulticlassOneVsRestStrategy(), train_features, NULL, train_labels), m_C(C)
{
    register_parameters();
    set_epsilon(1e-2);
    set_max_iter(1000000);
    set_method(1);
    set_buf_size(5000);
}

void CMulticlassOCAS::register_parameters()
{
    SG_ADD(&m_C, "m_C", "regularization constant", MS_AVAILABLE);
    SG_ADD(&m_epsilon, "m_epsilon", "solver relative tolerance", MS_NOT_AVAILABLE);
    SG_ADD(&m_max_iter, "m_max_iter", "max number of iterations", MS_NOT_AVAILABLE);
    SG_ADD(&m_method, "m_method", "used solver method", MS_NOT_AVAILABLE);
    SG_ADD(&m_buf_size, "m_buf_size", "buffer size", MS_NOT_AVAILABLE);
}

CMulticlassOCAS::~CMulticlassOCAS()
{
}

bool CMulticlassOCAS::train_machine(CFeatures* data)
{
    if (data)
        set_features((CDotFeatures*)data);

    ASSERT(m_features)
    ASSERT(m_labels)
    ASSERT(m_multiclass_strategy)

    int32_t num_vectors = m_features->get_num_vectors();
    int32_t num_classes = m_multiclass_strategy->get_num_classes();
    int32_t num_features = m_features->get_dim_feature_space();

    float64_t C = m_C;
    SGVector<float64_t> labels = ((CMulticlassLabels*) m_labels)->get_labels();
    uint32_t nY = num_classes;
    uint32_t nData = num_vectors;
    float64_t TolRel = m_epsilon;
    float64_t TolAbs = 0.0;
    float64_t QPBound = 0.0;
    float64_t MaxTime = m_max_train_time;
    uint32_t BufSize = m_buf_size;
    uint8_t Method = m_method;

    mocas_data user_data;
    user_data.features = m_features;
    user_data.W = SG_CALLOC(float64_t, (int64_t)num_features*num_classes);
    user_data.oldW = SG_CALLOC(float64_t, (int64_t)num_features*num_classes);
    user_data.new_a = SG_CALLOC(float64_t, (int64_t)num_features*num_classes);
    user_data.full_A = SG_CALLOC(float64_t, (int64_t)num_features*num_classes*m_buf_size);
    user_data.output_values = SG_CALLOC(float64_t, num_vectors);
    user_data.data_y = labels.vector;
    user_data.nY = num_classes;
    user_data.nDim = num_features;
    user_data.nData = num_vectors;

    ocas_return_value_T value =
    msvm_ocas_solver(C, labels.vector, nY, nData, TolRel, TolAbs,
                     QPBound, MaxTime, BufSize, Method,
                     &CMulticlassOCAS::msvm_full_compute_W,
                     &CMulticlassOCAS::msvm_update_W,
                     &CMulticlassOCAS::msvm_full_add_new_cut,
                     &CMulticlassOCAS::msvm_full_compute_output,
                     &CMulticlassOCAS::msvm_sort_data,
                     &CMulticlassOCAS::msvm_print,
                     &user_data);

    SG_DEBUG("Number of iterations [nIter] = %d \n",value.nIter)
    SG_DEBUG("Number of cutting planes [nCutPlanes] = %d \n",value.nCutPlanes)
    SG_DEBUG("Number of non-zero alphas [nNZAlpha] = %d \n",value.nNZAlpha)
    SG_DEBUG("Number of training errors [trn_err] = %d \n",value.trn_err)
    SG_DEBUG("Primal objective value [Q_P] = %f \n",value.Q_P)
    SG_DEBUG("Dual objective value [Q_D] = %f \n",value.Q_D)
    SG_DEBUG("Output time [output_time] = %f \n",value.output_time)
    SG_DEBUG("Sort time [sort_time] = %f \n",value.sort_time)
    SG_DEBUG("Add time [add_time] = %f \n",value.add_time)
    SG_DEBUG("W time [w_time] = %f \n",value.w_time)
    SG_DEBUG("QP solver time [qp_solver_time] = %f \n",value.qp_solver_time)
    SG_DEBUG("OCAS time [ocas_time] = %f \n",value.ocas_time)
    SG_DEBUG("Print time [print_time] = %f \n",value.print_time)
    SG_DEBUG("QP exit flag [qp_exitflag] = %d \n",value.qp_exitflag)
    SG_DEBUG("Exit flag [exitflag] = %d \n",value.exitflag)

    m_machines->reset_array();
    for (int32_t i=0; i<num_classes; i++)
    {
        CLinearMachine* machine = new CLinearMachine();
        machine->set_w(SGVector<float64_t>(&user_data.W[i*num_features],num_features,false).clone());

        m_machines->push_back(machine);
    }

    SG_FREE(user_data.W);
    SG_FREE(user_data.oldW);
    SG_FREE(user_data.new_a);
    SG_FREE(user_data.full_A);
    SG_FREE(user_data.output_values);

    return true;
}

float64_t CMulticlassOCAS::msvm_update_W(float64_t t, void* user_data)
{
    float64_t* W = ((mocas_data*)user_data)->W;
    float64_t* oldW = ((mocas_data*)user_data)->oldW;
    uint32_t nY = ((mocas_data*)user_data)->nY;
    uint32_t nDim = ((mocas_data*)user_data)->nDim;

    for(uint32_t j=0; j < nY*nDim; j++)
        W[j] = oldW[j]*(1-t) + t*W[j];

    float64_t sq_norm_W = CMath::dot(W,W,nDim*nY);

    return sq_norm_W;
}

void CMulticlassOCAS::msvm_full_compute_W(float64_t *sq_norm_W, float64_t *dp_WoldW,
                                          float64_t *alpha, uint32_t nSel, void* user_data)
{
    float64_t* W = ((mocas_data*)user_data)->W;
    float64_t* oldW = ((mocas_data*)user_data)->oldW;
    float64_t* full_A = ((mocas_data*)user_data)->full_A;
    uint32_t nY = ((mocas_data*)user_data)->nY;
    uint32_t nDim = ((mocas_data*)user_data)->nDim;

    uint32_t i,j;

    memcpy(oldW, W, sizeof(float64_t)*nDim*nY);
    memset(W, 0, sizeof(float64_t)*nDim*nY);

    for(i=0; i<nSel; i++)
    {
        if(alpha[i] > 0)
        {
            for(j=0; j<nDim*nY; j++)
                W[j] += alpha[i]*full_A[LIBOCAS_INDEX(j,i,nDim*nY)];
        }
    }

    *sq_norm_W = CMath::dot(W,W,nDim*nY);
    *dp_WoldW = CMath::dot(W,oldW,nDim*nY);

    return;
}

int CMulticlassOCAS::msvm_full_add_new_cut(float64_t *new_col_H, uint32_t *new_cut,
                                           uint32_t nSel, void* user_data)
{
    float64_t* full_A = ((mocas_data*)user_data)->full_A;
    float64_t* new_a = ((mocas_data*)user_data)->new_a;
    float64_t* data_y = ((mocas_data*)user_data)->data_y;
    uint32_t nY = ((mocas_data*)user_data)->nY;
    uint32_t nDim = ((mocas_data*)user_data)->nDim;
    uint32_t nData = ((mocas_data*)user_data)->nData;
    CDotFeatures* features = ((mocas_data*)user_data)->features;

    float64_t sq_norm_a;
    uint32_t i, j, y, y2;

    memset(new_a, 0, sizeof(float64_t)*nDim*nY);

    for(i=0; i < nData; i++)
    {
        y = (uint32_t)(data_y[i]);
        y2 = (uint32_t)new_cut[i];
        if(y2 != y)
        {
            features->add_to_dense_vec(1.0,i,&new_a[nDim*y],nDim);
            features->add_to_dense_vec(-1.0,i,&new_a[nDim*y2],nDim);
        }
    }

    // compute new_a'*new_a and insert new_a to the last column of full_A
    sq_norm_a = CMath::dot(new_a,new_a,nDim*nY);
    for(j=0; j < nDim*nY; j++ )
        full_A[LIBOCAS_INDEX(j,nSel,nDim*nY)] = new_a[j];

    new_col_H[nSel] = sq_norm_a;
    for(i=0; i < nSel; i++)
    {
        float64_t tmp = 0;

        for(j=0; j < nDim*nY; j++ )
            tmp += new_a[j]*full_A[LIBOCAS_INDEX(j,i,nDim*nY)];

        new_col_H[i] = tmp;
    }

    return 0;
}

int CMulticlassOCAS::msvm_full_compute_output(float64_t *output, void* user_data)
{
    float64_t* W = ((mocas_data*)user_data)->W;
    uint32_t nY = ((mocas_data*)user_data)->nY;
    uint32_t nDim = ((mocas_data*)user_data)->nDim;
    uint32_t nData = ((mocas_data*)user_data)->nData;
    float64_t* output_values = ((mocas_data*)user_data)->output_values;
    CDotFeatures* features = ((mocas_data*)user_data)->features;

    uint32_t i, y;

    for(y=0; y<nY; y++)
    {
        features->dense_dot_range(output_values,0,nData,NULL,&W[nDim*y],nDim,0.0);
        for (i=0; i<nData; i++)
            output[LIBOCAS_INDEX(y,i,nY)] = output_values[i];
    }

    return 0;
}

int CMulticlassOCAS::msvm_sort_data(float64_t* vals, float64_t* data, uint32_t size)
{
    CMath::qsort_index(vals, data, size);
    return 0;
}

void CMulticlassOCAS::msvm_print(ocas_return_value_T value)
{
}