SHOGUN
4.1.0
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Implementation of maximum MMD kernel selection for combined kernel. This class selects a combination of baseline kernels that maximises the the MMD for a combined kernel based on a L2-regularization approach. This boils down to solve the convex program
\[ \min_\beta \{\beta^T \beta \quad \text{s.t.}\quad \beta^T \eta=1, \beta\succeq 0\}, \]
where \(\eta\) is a vector whose elements are the MMDs of the baseline kernels.
This is meant to work for the CQuadraticTimeMMD statistic. Optimal weight selecton for CLinearTimeMMD can be found in CMMDKernelSelectionCombOpt.
The method is described in Gretton, A., Sriperumbudur, B., Sejdinovic, D., Strathmann, H., Balakrishnan, S., Pontil, M., & Fukumizu, K. (2012). Optimal kernel choice for large-scale two-sample tests. Advances in Neural Information Processing Systems.
Definition at line 40 of file MMDKernelSelectionCombMaxL2.h.
Public Member Functions | |
CMMDKernelSelectionCombMaxL2 () | |
CMMDKernelSelectionCombMaxL2 (CKernelTwoSampleTest *mmd) | |
virtual | ~CMMDKernelSelectionCombMaxL2 () |
virtual SGVector< float64_t > | compute_measures () |
virtual const char * | get_name () const |
virtual CKernel * | select_kernel () |
void | set_estimator (CKernelTwoSampleTest *estimator) |
CKernelTwoSampleTest * | get_estimator () const |
virtual CSGObject * | shallow_copy () const |
virtual CSGObject * | deep_copy () const |
virtual bool | is_generic (EPrimitiveType *generic) const |
template<class T > | |
void | set_generic () |
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void | set_generic () |
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void | set_generic () |
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void | set_generic () |
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void | set_generic () |
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void | set_generic () |
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void | set_generic () |
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void | set_generic () |
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void | set_generic () |
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void | set_generic () |
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void | set_generic () |
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void | set_generic () |
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void | set_generic () |
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void | set_generic () |
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void | set_generic () |
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void | set_generic () |
void | unset_generic () |
virtual void | print_serializable (const char *prefix="") |
virtual bool | save_serializable (CSerializableFile *file, const char *prefix="") |
virtual bool | load_serializable (CSerializableFile *file, const char *prefix="") |
void | set_global_io (SGIO *io) |
SGIO * | get_global_io () |
void | set_global_parallel (Parallel *parallel) |
Parallel * | get_global_parallel () |
void | set_global_version (Version *version) |
Version * | get_global_version () |
SGStringList< char > | get_modelsel_names () |
void | print_modsel_params () |
char * | get_modsel_param_descr (const char *param_name) |
index_t | get_modsel_param_index (const char *param_name) |
void | build_gradient_parameter_dictionary (CMap< TParameter *, CSGObject * > *dict) |
virtual void | update_parameter_hash () |
virtual bool | parameter_hash_changed () |
virtual bool | equals (CSGObject *other, float64_t accuracy=0.0, bool tolerant=false) |
virtual CSGObject * | clone () |
Public Attributes | |
SGIO * | io |
Parallel * | parallel |
Version * | version |
Parameter * | m_parameters |
Parameter * | m_model_selection_parameters |
Parameter * | m_gradient_parameters |
uint32_t | m_hash |
Protected Member Functions | |
virtual SGVector< float64_t > | solve_optimization (SGVector< float64_t > mmds) |
virtual void | load_serializable_pre () throw (ShogunException) |
virtual void | load_serializable_post () throw (ShogunException) |
virtual void | save_serializable_pre () throw (ShogunException) |
virtual void | save_serializable_post () throw (ShogunException) |
Static Protected Member Functions | |
static const float64_t * | get_Q_col (uint32_t i) |
static void | print_state (libqp_state_T state) |
Protected Attributes | |
index_t | m_opt_max_iterations |
float64_t | m_opt_epsilon |
float64_t | m_opt_low_cut |
CKernelTwoSampleTest * | m_estimator |
Static Protected Attributes | |
static SGMatrix< float64_t > | m_Q =SGMatrix<float64_t>(false) |
Default constructor
Definition at line 18 of file MMDKernelSelectionCombMaxL2.cpp.
Constructor that initialises the underlying MMD instance
mmd | MMD instance to use. Has to be an MMD based kernel two-sample test. Currently: linear or quadratic time MMD. |
Definition at line 23 of file MMDKernelSelectionCombMaxL2.cpp.
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Destructor
Definition at line 33 of file MMDKernelSelectionCombMaxL2.cpp.
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Builds a dictionary of all parameters in SGObject as well of those of SGObjects that are parameters of this object. Dictionary maps parameters to the objects that own them.
dict | dictionary of parameters to be built. |
Definition at line 597 of file SGObject.cpp.
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Creates a clone of the current object. This is done via recursively traversing all parameters, which corresponds to a deep copy. Calling equals on the cloned object always returns true although none of the memory of both objects overlaps.
Definition at line 714 of file SGObject.cpp.
Computes kernel weights which maximise the MMD of the underlying combined kernel using L2-regularization.
This boils down to solving a convex program which is quadratic in the number of kernels. See class description.
SHOGUN has to be compiled with LAPACK to make this available. See set_opt* methods for optimization parameters.
IMPORTANT: Kernel weights have to be learned on different data than is used for testing/evaluation!
Implements CMMDKernelSelection.
Definition at line 37 of file MMDKernelSelectionCombMaxL2.cpp.
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A deep copy. All the instance variables will also be copied.
Definition at line 198 of file SGObject.cpp.
Recursively compares the current SGObject to another one. Compares all registered numerical parameters, recursion upon complex (SGObject) parameters. Does not compare pointers!
May be overwritten but please do with care! Should not be necessary in most cases.
other | object to compare with |
accuracy | accuracy to use for comparison (optional) |
tolerant | allows linient check on float equality (within accuracy) |
Definition at line 618 of file SGObject.cpp.
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Definition at line 82 of file KernelSelection.cpp.
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Definition at line 498 of file SGObject.cpp.
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Returns description of a given parameter string, if it exists. SG_ERROR otherwise
param_name | name of the parameter |
Definition at line 522 of file SGObject.cpp.
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Returns index of model selection parameter with provided index
param_name | name of model selection parameter |
Definition at line 535 of file SGObject.cpp.
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Implements CMMDKernelSelectionComb.
Definition at line 72 of file MMDKernelSelectionCombMaxL2.h.
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return pointer to i-th column of m_Q. Helper for libqp
Definition at line 63 of file MMDKernelSelectionComb.cpp.
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virtualinherited |
If the SGSerializable is a class template then TRUE will be returned and GENERIC is set to the type of the generic.
generic | set to the type of the generic if returning TRUE |
Definition at line 296 of file SGObject.cpp.
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virtualinherited |
Load this object from file. If it will fail (returning FALSE) then this object will contain inconsistent data and should not be used!
file | where to load from |
prefix | prefix for members |
Definition at line 369 of file SGObject.cpp.
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protectedvirtualinherited |
Can (optionally) be overridden to post-initialize some member variables which are not PARAMETER::ADD'ed. Make sure that at first the overridden method BASE_CLASS::LOAD_SERIALIZABLE_POST is called.
ShogunException | will be thrown if an error occurs. |
Reimplemented in CKernel, CWeightedDegreePositionStringKernel, CList, CAlphabet, CLinearHMM, CGaussianKernel, CInverseMultiQuadricKernel, CCircularKernel, and CExponentialKernel.
Definition at line 426 of file SGObject.cpp.
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protectedvirtualinherited |
Can (optionally) be overridden to pre-initialize some member variables which are not PARAMETER::ADD'ed. Make sure that at first the overridden method BASE_CLASS::LOAD_SERIALIZABLE_PRE is called.
ShogunException | will be thrown if an error occurs. |
Reimplemented in CDynamicArray< T >, CDynamicArray< float64_t >, CDynamicArray< float32_t >, CDynamicArray< int32_t >, CDynamicArray< char >, CDynamicArray< bool >, and CDynamicObjectArray.
Definition at line 421 of file SGObject.cpp.
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Definition at line 262 of file SGObject.cpp.
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prints all parameter registered for model selection and their type
Definition at line 474 of file SGObject.cpp.
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prints registered parameters out
prefix | prefix for members |
Definition at line 308 of file SGObject.cpp.
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helper function that prints current state
Definition at line 69 of file MMDKernelSelectionComb.cpp.
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virtualinherited |
Save this object to file.
file | where to save the object; will be closed during returning if PREFIX is an empty string. |
prefix | prefix for members |
Definition at line 314 of file SGObject.cpp.
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protectedvirtualinherited |
Can (optionally) be overridden to post-initialize some member variables which are not PARAMETER::ADD'ed. Make sure that at first the overridden method BASE_CLASS::SAVE_SERIALIZABLE_POST is called.
ShogunException | will be thrown if an error occurs. |
Reimplemented in CKernel.
Definition at line 436 of file SGObject.cpp.
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protectedvirtualinherited |
Can (optionally) be overridden to pre-initialize some member variables which are not PARAMETER::ADD'ed. Make sure that at first the overridden method BASE_CLASS::SAVE_SERIALIZABLE_PRE is called.
ShogunException | will be thrown if an error occurs. |
Reimplemented in CKernel, CDynamicArray< T >, CDynamicArray< float64_t >, CDynamicArray< float32_t >, CDynamicArray< int32_t >, CDynamicArray< char >, CDynamicArray< bool >, and CDynamicObjectArray.
Definition at line 431 of file SGObject.cpp.
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virtualinherited |
Reimplemented from CMMDKernelSelection.
Definition at line 47 of file MMDKernelSelectionComb.cpp.
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estimator | the underlying CKernelTwoSampleTest instance |
Definition at line 64 of file KernelSelection.cpp.
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Definition at line 41 of file SGObject.cpp.
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Definition at line 46 of file SGObject.cpp.
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Definition at line 51 of file SGObject.cpp.
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Definition at line 56 of file SGObject.cpp.
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Definition at line 61 of file SGObject.cpp.
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Definition at line 66 of file SGObject.cpp.
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Definition at line 71 of file SGObject.cpp.
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Definition at line 76 of file SGObject.cpp.
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Definition at line 81 of file SGObject.cpp.
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Definition at line 86 of file SGObject.cpp.
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Definition at line 91 of file SGObject.cpp.
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Definition at line 96 of file SGObject.cpp.
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Definition at line 101 of file SGObject.cpp.
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Definition at line 106 of file SGObject.cpp.
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Definition at line 111 of file SGObject.cpp.
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set generic type to T
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set the parallel object
parallel | parallel object to use |
Definition at line 241 of file SGObject.cpp.
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set the version object
version | version object to use |
Definition at line 283 of file SGObject.cpp.
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A shallow copy. All the SGObject instance variables will be simply assigned and SG_REF-ed.
Reimplemented in CGaussianKernel.
Definition at line 192 of file SGObject.cpp.
Solves the quadratic program
\[ \min_\beta \{\beta^T Q \beta \quad \text{s.t.}\quad \beta^T \eta=1, \beta\succeq 0\}, \]
where \(\eta\) is a given parameter and \(Q\) is the m_Q member.
Note that at least one element is assumed \(\eta\) has to be positive.
mmds | values that will be put into \(\eta\). At least one element is assumed to be positive |
Definition at line 74 of file MMDKernelSelectionComb.cpp.
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unset generic type
this has to be called in classes specializing a template class
Definition at line 303 of file SGObject.cpp.
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Updates the hash of current parameter combination
Definition at line 248 of file SGObject.cpp.
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io
Definition at line 369 of file SGObject.h.
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Underlying kernel two-sample test instance
Definition at line 99 of file KernelSelection.h.
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parameters wrt which we can compute gradients
Definition at line 384 of file SGObject.h.
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Hash of parameter values
Definition at line 387 of file SGObject.h.
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model selection parameters
Definition at line 381 of file SGObject.h.
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stopping accuracy of qp solver
Definition at line 80 of file MMDKernelSelectionComb.h.
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low cut for weights, if weights are under this value, are set to zero
Definition at line 83 of file MMDKernelSelectionComb.h.
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maximum number of iterations of qp solver
Definition at line 77 of file MMDKernelSelectionComb.h.
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parameters
Definition at line 378 of file SGObject.h.
matrix for selection of kernel weights (static because of libqp)
Definition at line 86 of file MMDKernelSelectionComb.h.
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parallel
Definition at line 372 of file SGObject.h.
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version
Definition at line 375 of file SGObject.h.