ElasticNetPenalty Class Reference

Detailed Description

The is the base class for ElasticNet penalty/regularization within the FirstOrderMinimizer framework.

For ElasticNet penalty, \(ElasticNet(w)\)

\[ ElasticNet(w)= \lambda \| w \|_1 + (1.0-\lambda) \| w \|_2 \]

where \(\lambda\) is the l1_ratio.

Reference: Zou, Hui, and Trevor Hastie. "Regularization and variable selection via the elastic net." Journal of the Royal Statistical Society: Series B (Statistical Methodology) 67.2 (2005): 301-320.

Definition at line 54 of file ElasticNetPenalty.h.

Inheritance diagram for ElasticNetPenalty:

Public Member Functions
	ElasticNetPenalty ()
virtual	~ElasticNetPenalty ()
virtual void	set_l1_ratio (float64_t ratio)
virtual float64_t	get_penalty (float64_t variable)
virtual float64_t	get_penalty_gradient (float64_t variable, float64_t gradient_of_variable)
virtual void	set_rounding_epsilon (float64_t epsilon)
virtual void	update_variable_for_proximity (SGVector< float64_t > variable, float64_t proximal_weight)
virtual void	update_context (CMinimizerContext *context)
virtual void	load_from_context (CMinimizerContext *context)
virtual float64_t	get_sparse_variable (float64_t variable, float64_t penalty_weight)

Protected Member Functions
virtual void	check_ratio ()

Protected Attributes
float64_t	m_l1_ratio
L1Penalty *	m_l1_penalty
L2Penalty *	m_l2_penalty

Constructor & Destructor Documentation

ElasticNetPenalty

(

)

Definition at line 57 of file ElasticNetPenalty.h.

virtual ~ElasticNetPenalty ( )

virtual

Definition at line 60 of file ElasticNetPenalty.h.

Member Function Documentation

virtual void check_ratio ( )

protectedvirtual

check l1_ratio

Definition at line 163 of file ElasticNetPenalty.h.

virtual float64_t get_penalty ( float64_t  variable )

virtual

Given the value of a target variable, this method returns the penalty of the variable

Parameters

variable

value of the variable

Returns

penalty of the variable

Implements Penalty.

Definition at line 82 of file ElasticNetPenalty.h.

virtual float64_t get_penalty_gradient ( float64_t  variable, float64_t  gradient_of_variable  )

virtual

Return the gradient of the penalty wrt a target variable

Parameters

variable	value of a target variable
gradient_of_variable	unregularized/unpenalized gradient of the variable

Returns

the gradient of the penalty wrt the variable

Implements Penalty.

Definition at line 96 of file ElasticNetPenalty.h.

virtual float64_t get_sparse_variable ( float64_t  variable, float64_t  penalty_weight  )

virtual

Get the sparse variable

Parameters

variable	the raw variable
penalty_weight	weight of the penalty

Returns

sparse value of the variable

Implements SparsePenalty.

Definition at line 154 of file ElasticNetPenalty.h.

virtual void load_from_context ( CMinimizerContext *  context )

virtual

Load the given context object to restore mutable variables

Parameters

context

a context object

Implements Penalty.

Definition at line 142 of file ElasticNetPenalty.h.

virtual void set_l1_ratio ( float64_t  ratio )

virtual

set l1_ratio

Parameters

ratio

ratio must be in (0.0,1.0)

Definition at line 70 of file ElasticNetPenalty.h.

virtual void set_rounding_epsilon ( float64_t  epsilon )

virtual

Set the rounding epsilon for L1 penalty

Parameters

epsilon

rounding epsilon

Definition at line 110 of file ElasticNetPenalty.h.

virtual void update_context ( CMinimizerContext *  context )

virtual

Update a context object to store mutable variables used in learning rate

Parameters

context

a context object

Implements Penalty.

Definition at line 131 of file ElasticNetPenalty.h.

virtual void update_variable_for_proximity ( SGVector< float64_t >  variable, float64_t  proximal_weight  )

virtual

Do proximal projection/operation in place

Parameters

variable	the raw variable
proximal_weight	weight of the penalty

Implements ProximalPenalty.

Definition at line 119 of file ElasticNetPenalty.h.

Member Data Documentation

L1Penalty* m_l1_penalty

protected

L1Penalty

Definition at line 172 of file ElasticNetPenalty.h.

float64_t m_l1_ratio

protected

l1_ratio for L1 penalty and (1.0-l1_ratio) for L2 penalty

Definition at line 169 of file ElasticNetPenalty.h.

L2Penalty* m_l2_penalty

protected

L2Penalty

Definition at line 175 of file ElasticNetPenalty.h.

---

The documentation for this class was generated from the following file:

• ElasticNetPenalty.h