RationalApproximationCGMJob.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 Soumyajit De
 */

#include <shogun/lib/config.h>

#ifdef HAVE_EIGEN3
#include <shogun/lib/SGVector.h>
#include <shogun/lib/computation/jobresult/ScalarResult.h>
#include <shogun/mathematics/eigen3.h>
#include <shogun/mathematics/linalg/linop/LinearOperator.h>
#include <shogun/mathematics/linalg/linsolver/CGMShiftedFamilySolver.h>
#include <shogun/mathematics/linalg/ratapprox/logdet/computation/job/RationalApproximationCGMJob.h>
#include <shogun/base/Parameter.h>

using namespace Eigen;

namespace shogun
{

CRationalApproximationCGMJob::CRationalApproximationCGMJob()
    : CIndependentJob()
{
    init();
}

CRationalApproximationCGMJob::CRationalApproximationCGMJob(
    CStoreScalarAggregator<float64_t>* aggregator,
    CCGMShiftedFamilySolver* linear_solver,
    CLinearOperator<float64_t>* linear_operator,
    SGVector<float64_t> vector,
    SGVector<complex128_t> shifts,
    SGVector<complex128_t> weights,
    float64_t const_multiplier)
    : CIndependentJob((CJobResultAggregator*)aggregator)
{
    init();

    m_linear_solver=linear_solver;
    SG_REF(m_linear_solver);

    m_operator=linear_operator;
    SG_REF(m_operator);

    m_vector=vector;

    m_shifts=shifts;
    m_weights=weights;
    m_const_multiplier=const_multiplier;
}

void CRationalApproximationCGMJob::init()
{
    m_linear_solver=NULL;
    m_operator=NULL;
    m_const_multiplier=0.0;

    SG_ADD((CSGObject**)&m_linear_solver, "linear_solver",
        "Linear solver for complex-shifted system", MS_NOT_AVAILABLE);

    SG_ADD((CSGObject**)&m_operator, "linear_operator",
        "Linear operator", MS_NOT_AVAILABLE);

    SG_ADD(&m_vector, "trace_sample",
        "Sample vector to apply linear operator on", MS_NOT_AVAILABLE);

    SG_ADD(&m_weights, "complex_shifts",
        "Shifts in the linear systems to be solved", MS_NOT_AVAILABLE);

    SG_ADD(&m_weights, "complex_weights",
        "Weights to be multiplied to the solution vector", MS_NOT_AVAILABLE);

    SG_ADD(&m_const_multiplier, "constant_multiplier",
        "Constant multiplier to be multiplied with the final solution", MS_NOT_AVAILABLE);
}

CRationalApproximationCGMJob::~CRationalApproximationCGMJob()
{
    SG_UNREF(m_linear_solver);
    SG_UNREF(m_operator);
}

void CRationalApproximationCGMJob::compute()
{
    SG_DEBUG("Entering\n");

    REQUIRE(m_aggregator, "Job result aggregator is not set!\n");
    REQUIRE(m_operator, "Operator is not set!\n");
    REQUIRE(m_vector.vector, "Vector is not set!\n");
    REQUIRE(m_shifts.vector, "Shifts are not set!\n");
    REQUIRE(m_weights.vector, "Weights are not set!\n");
    REQUIRE(m_operator->get_dimension()==m_vector.vlen,
        "Dimension mismatch! %d vs %d\n", m_operator->get_dimension(), m_vector.vlen);
    REQUIRE(m_shifts.vlen==m_weights.vlen,
        "Number of shifts and weights are not equal!\n");

    // solve the linear system with the sample vector
    SGVector<complex128_t> vec=m_linear_solver->solve_shifted_weighted(
        m_operator, m_vector, m_shifts, m_weights);

    // Take negative (see CRationalApproximation for the formula)
    Map<VectorXcd> v(vec.vector, vec.vlen);
    v=-v;

    // take out the imaginary part of the result before
    // applying linear operator
    SGVector<float64_t> agg=m_operator->apply(vec.get_imag());

    // perform dot product
    Map<VectorXd> map_agg(agg.vector, agg.vlen);
    Map<VectorXd> map_vector(m_vector.vector, m_vector.vlen);
    float64_t result=map_vector.dot(map_agg);

    result*=m_const_multiplier;

    // form the final result into a scalar result and submit to the aggregator
    CScalarResult<float64_t>* final_result=new CScalarResult<float64_t>(result);
    SG_REF(final_result);

    m_aggregator->submit_result(final_result);

    SG_UNREF(final_result);

    SG_DEBUG("Leaving\n");
}

}
#endif // HAVE_EIGEN3