libppbm.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.
 *
 * libp3bm.h: Implementation of the Proximal Point P-BMRM solver for SO training
 *
 * Copyright (C) 2012 Michal Uricar, uricamic@cmp.felk.cvut.cz
 *
 * Implementation of the Proximal Point P-BMRM
 *--------------------------------------------------------------------- */

#include <shogun/structure/libppbm.h>
#include <shogun/lib/external/libqp.h>
 #include <shogun/mathematics/Math.h>
#include <shogun/lib/Time.h>

namespace shogun
{
static const uint32_t QPSolverMaxIter=0xFFFFFFFF;
static const float64_t epsilon=0.0;

static float64_t *H, *H2;

/*----------------------------------------------------------------------
  Returns pointer at i-th column of Hessian matrix.
  ----------------------------------------------------------------------*/
static const float64_t *get_col( uint32_t i)
{
    return( &H2[ BufSize*i ] );
}

BmrmStatistics svm_ppbm_solver(
        CDualLibQPBMSOSVM *machine,
        float64_t*      W,
        float64_t       TolRel,
        float64_t       TolAbs,
        float64_t       _lambda,
        uint32_t        _BufSize,
        bool            cleanICP,
        uint32_t        cleanAfter,
        float64_t       K,
        uint32_t        Tmax,
        bool            verbose)
{
    BmrmStatistics ppbmrm;
    libqp_state_T qp_exitflag={0, 0, 0, 0}, qp_exitflag_good={0, 0, 0, 0};
    float64_t *b, *b2, *beta, *beta_good, *beta_start, *diag_H, *diag_H2;
    float64_t R, *subgrad, *A, QPSolverTolRel, C=1.0;
    float64_t *prevW, *wt, alpha, alpha_start, alpha_good=0.0, Fd_alpha0=0.0;
    float64_t lastFp, wdist, gamma=0.0;
    floatmax_t rsum, sq_norm_W, sq_norm_Wdiff, sq_norm_prevW, eps;
    uint32_t *I, *I2, *I_start, *I_good;
    uint8_t S=1;
    CStructuredModel* model=machine->get_model();
    uint32_t nDim=model->get_dim();
    CSOSVMHelper* helper = NULL;
    uint32_t qp_cnt=0;
    bmrm_ll *CPList_head, *CPList_tail, *cp_ptr, *cp_ptr2, *cp_list=NULL;
    float64_t *A_1=NULL, *A_2=NULL;
    bool *map=NULL, tuneAlpha=true, flag=true, alphaChanged=false, isThereGoodSolution=false;

    CTime ttime;
    float64_t tstart, tstop;


    tstart=ttime.cur_time_diff(false);

    BufSize=_BufSize;
    QPSolverTolRel=1e-9;

    H=NULL;
    b=NULL;
    beta=NULL;
    A=NULL;
    subgrad=NULL;
    diag_H=NULL;
    I=NULL;
    prevW=NULL;
    wt=NULL;
    diag_H2=NULL;
    b2=NULL;
    I2=NULL;
    H2=NULL;
    I_good=NULL;
    I_start=NULL;
    beta_start=NULL;
    beta_good=NULL;

    alpha=0.0;

    H= (float64_t*) LIBBMRM_CALLOC(BufSize*BufSize, float64_t);

    ASSERT(nDim > 0);
    ASSERT(BufSize > 0);
    REQUIRE(BufSize < (std::numeric_limits<size_t>::max() / nDim),
        "overflow: %u * %u > %u -- biggest possible BufSize=%u or nDim=%u\n",
        BufSize, nDim, std::numeric_limits<size_t>::max(),
        (std::numeric_limits<size_t>::max() / nDim),
        (std::numeric_limits<size_t>::max() / BufSize));

    A= (float64_t*) LIBBMRM_CALLOC(nDim*BufSize, float64_t);

    b= (float64_t*) LIBBMRM_CALLOC(BufSize, float64_t);

    beta= (float64_t*) LIBBMRM_CALLOC(BufSize, float64_t);

    subgrad= (float64_t*) LIBBMRM_CALLOC(nDim, float64_t);

    diag_H= (float64_t*) LIBBMRM_CALLOC(BufSize, float64_t);

    I= (uint32_t*) LIBBMRM_CALLOC(BufSize, uint32_t);

    /* structure for maintaining inactive CPs info */
    ICP_stats icp_stats;
    icp_stats.maxCPs = BufSize;
    icp_stats.ICPcounter= (uint32_t*) LIBBMRM_CALLOC(BufSize, uint32_t);
    icp_stats.ICPs= (float64_t**) LIBBMRM_CALLOC(BufSize, float64_t*);
    icp_stats.ACPs= (uint32_t*) LIBBMRM_CALLOC(BufSize, uint32_t);

    cp_list= (bmrm_ll*) LIBBMRM_CALLOC(1, bmrm_ll);

    prevW= (float64_t*) LIBBMRM_CALLOC(nDim, float64_t);

    wt= (float64_t*) LIBBMRM_CALLOC(nDim, float64_t);

    if (H==NULL || A==NULL || b==NULL || beta==NULL || subgrad==NULL ||
            diag_H==NULL || I==NULL || icp_stats.ICPcounter==NULL ||
            icp_stats.ICPs==NULL || icp_stats.ACPs==NULL ||
            cp_list==NULL || prevW==NULL || wt==NULL)
    {
        ppbmrm.exitflag=-2;
        goto cleanup;
    }

    map= (bool*) LIBBMRM_CALLOC(BufSize, bool);

    if (map==NULL)
    {
        ppbmrm.exitflag=-2;
        goto cleanup;
    }

    memset( (bool*) map, true, BufSize);

    /* Temporary buffers for ICP removal */
    icp_stats.H_buff= (float64_t*) LIBBMRM_CALLOC(BufSize*BufSize, float64_t);

    if (icp_stats.H_buff==NULL)
    {
        ppbmrm.exitflag=-2;
        goto cleanup;
    }

    /* Temporary buffers */
    beta_start= (float64_t*) LIBBMRM_CALLOC(BufSize, float64_t);

    beta_good= (float64_t*) LIBBMRM_CALLOC(BufSize, float64_t);

    b2= (float64_t*) LIBBMRM_CALLOC(BufSize, float64_t);

    diag_H2= (float64_t*) LIBBMRM_CALLOC(BufSize, float64_t);

    H2= (float64_t*) LIBBMRM_CALLOC(BufSize*BufSize, float64_t);

    I_start= (uint32_t*) LIBBMRM_CALLOC(BufSize, uint32_t);

    I_good= (uint32_t*) LIBBMRM_CALLOC(BufSize, uint32_t);

    I2= (uint32_t*) LIBBMRM_CALLOC(BufSize, uint32_t);

    if (beta_start==NULL || beta_good==NULL || b2==NULL || diag_H2==NULL ||
            I_start==NULL || I_good==NULL || I2==NULL || H2==NULL)
    {
        ppbmrm.exitflag=-2;
        goto cleanup;
    }

    ppbmrm.hist_Fp.resize_vector(BufSize);
    ppbmrm.hist_Fd.resize_vector(BufSize);
    ppbmrm.hist_wdist.resize_vector(BufSize);

    /* Iinitial solution */
    R = machine->risk(subgrad, W);

    ppbmrm.nCP=0;
    ppbmrm.nIter=0;
    ppbmrm.exitflag=0;

    b[0]=-R;

    /* Cutting plane auxiliary double linked list */
    LIBBMRM_MEMCPY(A, subgrad, nDim*sizeof(float64_t));
    map[0]=false;
    cp_list->address=&A[0];
    cp_list->idx=0;
    cp_list->prev=NULL;
    cp_list->next=NULL;
    CPList_head=cp_list;
    CPList_tail=cp_list;

    /* Compute initial value of Fp, Fd, assuming that W is zero vector */
    sq_norm_Wdiff=0.0;

    b[0] = CMath::dot(subgrad, W, nDim);
    sq_norm_W = CMath::dot(W, W, nDim);
    for (uint32_t j=0; j<nDim; ++j)
    {
        sq_norm_Wdiff+=(W[j]-prevW[j])*(W[j]-prevW[j]);
    }

    ppbmrm.Fp=R+0.5*_lambda*sq_norm_W + alpha*sq_norm_Wdiff;
    ppbmrm.Fd=-LIBBMRM_PLUS_INF;
    lastFp=ppbmrm.Fp;
    wdist=CMath::sqrt(sq_norm_Wdiff);

    K = (sq_norm_W == 0.0) ? 0.4 : 0.01*CMath::sqrt(sq_norm_W);

    LIBBMRM_MEMCPY(prevW, W, nDim*sizeof(float64_t));

    tstop=ttime.cur_time_diff(false);

    /* Keep history of Fp, Fd, wdist */
    ppbmrm.hist_Fp[0]=ppbmrm.Fp;
    ppbmrm.hist_Fd[0]=ppbmrm.Fd;
    ppbmrm.hist_wdist[0]=wdist;

    /* Verbose output */

    if (verbose)
        SG_SDEBUG("%4d: tim=%.3lf, Fp=%lf, Fd=%lf, R=%lf, K=%lf\n",
                ppbmrm.nIter, tstop-tstart, ppbmrm.Fp, ppbmrm.Fd, R, K);

    if (verbose)
        helper = machine->get_helper();

    /* main loop */

    while (ppbmrm.exitflag==0)
    {
        tstart=ttime.cur_time_diff(false);
        ppbmrm.nIter++;

        /* Update H */

        if (ppbmrm.nCP>0)
        {
            A_2=get_cutting_plane(CPList_tail);
            cp_ptr=CPList_head;

            for (uint32_t i=0; i<ppbmrm.nCP; ++i)
            {
                A_1=get_cutting_plane(cp_ptr);
                cp_ptr=cp_ptr->next;
                rsum=CMath::dot(A_1, A_2, nDim);

                H[LIBBMRM_INDEX(ppbmrm.nCP, i, BufSize)]
                    = H[LIBBMRM_INDEX(i, ppbmrm.nCP, BufSize)]
                    = rsum;
            }
        }

        A_2=get_cutting_plane(CPList_tail);
        rsum = CMath::dot(A_2, A_2, nDim);

        H[LIBBMRM_INDEX(ppbmrm.nCP, ppbmrm.nCP, BufSize)]=rsum;

        diag_H[ppbmrm.nCP]=H[LIBBMRM_INDEX(ppbmrm.nCP, ppbmrm.nCP, BufSize)];
        I[ppbmrm.nCP]=1;

        beta[ppbmrm.nCP]=0.0; // [beta; 0]
        ppbmrm.nCP++;

        /* tune alpha cycle */
        /* ---------------------------------------------------------------------- */

        flag=true;
        isThereGoodSolution=false;
        LIBBMRM_MEMCPY(beta_start, beta, ppbmrm.nCP*sizeof(float64_t));
        LIBBMRM_MEMCPY(I_start, I, ppbmrm.nCP*sizeof(uint32_t));
        qp_cnt=0;
        alpha_good=alpha;

        if (tuneAlpha)
        {
            alpha_start=alpha; alpha=0.0;
            beta[ppbmrm.nCP]=0.0;
            LIBBMRM_MEMCPY(I2, I_start, ppbmrm.nCP*sizeof(uint32_t));
            I2[ppbmrm.nCP]=1;

            /* add alpha-dependent terms to H, diag_h and b */
            cp_ptr=CPList_head;

            for (uint32_t i=0; i<ppbmrm.nCP; ++i)
            {
                A_1=get_cutting_plane(cp_ptr);
                cp_ptr=cp_ptr->next;

                rsum = CMath::dot(A_1, prevW, nDim);

                b2[i]=b[i]-((2*alpha)/(_lambda+2*alpha))*rsum;
                diag_H2[i]=diag_H[i]/(_lambda+2*alpha);

                for (uint32_t j=0; j<ppbmrm.nCP; ++j)
                    H2[LIBBMRM_INDEX(i, j, BufSize)]=
                        H[LIBBMRM_INDEX(i, j, BufSize)]/(_lambda+2*alpha);
            }

            /* solve QP with current alpha */
            qp_exitflag=libqp_splx_solver(&get_col, diag_H2, b2, &C, I2, &S, beta,
                    ppbmrm.nCP, QPSolverMaxIter, 0.0, QPSolverTolRel, -LIBBMRM_PLUS_INF, 0);
            ppbmrm.qp_exitflag=qp_exitflag.exitflag;
            qp_cnt++;
            Fd_alpha0=-qp_exitflag.QP;

            /* obtain w_t and check if norm(w_{t+1} -w_t) <= K */
            for (uint32_t i=0; i<nDim; ++i)
            {
                rsum=0.0;
                cp_ptr=CPList_head;

                for (uint32_t j=0; j<ppbmrm.nCP; ++j)
                {
                    A_1=get_cutting_plane(cp_ptr);
                    cp_ptr=cp_ptr->next;
                    rsum+=A_1[i]*beta[j];
                }

                wt[i]=(2*alpha*prevW[i] - rsum)/(_lambda+2*alpha);
            }

            sq_norm_Wdiff=0.0;

            for (uint32_t i=0; i<nDim; ++i)
                sq_norm_Wdiff+=(wt[i]-prevW[i])*(wt[i]-prevW[i]);

            if (CMath::sqrt(sq_norm_Wdiff) <= K)
            {
                flag=false;

                if (alpha!=alpha_start)
                    alphaChanged=true;
            }
            else
            {
                alpha=alpha_start;
            }

            while(flag)
            {
                LIBBMRM_MEMCPY(I2, I_start, ppbmrm.nCP*sizeof(uint32_t));
                LIBBMRM_MEMCPY(beta, beta_start, ppbmrm.nCP*sizeof(float64_t));
                I2[ppbmrm.nCP]=1;
                beta[ppbmrm.nCP]=0.0;

                /* add alpha-dependent terms to H, diag_h and b */
                cp_ptr=CPList_head;

                for (uint32_t i=0; i<ppbmrm.nCP; ++i)
                {
                    A_1=get_cutting_plane(cp_ptr);
                    cp_ptr=cp_ptr->next;

                    rsum = CMath::dot(A_1, prevW, nDim);

                    b2[i]=b[i]-((2*alpha)/(_lambda+2*alpha))*rsum;
                    diag_H2[i]=diag_H[i]/(_lambda+2*alpha);

                    for (uint32_t j=0; j<ppbmrm.nCP; ++j)
                        H2[LIBBMRM_INDEX(i, j, BufSize)]=H[LIBBMRM_INDEX(i, j, BufSize)]/(_lambda+2*alpha);
                }

                /* solve QP with current alpha */
                qp_exitflag=libqp_splx_solver(&get_col, diag_H2, b2, &C, I2, &S, beta,
                        ppbmrm.nCP, QPSolverMaxIter, 0.0, QPSolverTolRel, -LIBBMRM_PLUS_INF, 0);
                ppbmrm.qp_exitflag=qp_exitflag.exitflag;
                qp_cnt++;

                /* obtain w_t and check if norm(w_{t+1}-w_t) <= K */
                for (uint32_t i=0; i<nDim; ++i)
                {
                    rsum=0.0;
                    cp_ptr=CPList_head;

                    for (uint32_t j=0; j<ppbmrm.nCP; ++j)
                    {
                        A_1=get_cutting_plane(cp_ptr);
                        cp_ptr=cp_ptr->next;
                        rsum+=A_1[i]*beta[j];
                    }

                    wt[i]=(2*alpha*prevW[i] - rsum)/(_lambda+2*alpha);
                }

                sq_norm_Wdiff=0.0;
                for (uint32_t i=0; i<nDim; ++i)
                    sq_norm_Wdiff+=(wt[i]-prevW[i])*(wt[i]-prevW[i]);

                if (CMath::sqrt(sq_norm_Wdiff) > K)
                {
                    /* if there is a record of some good solution
                     * (i.e. adjust alpha by division by 2) */

                    if (isThereGoodSolution)
                    {
                        LIBBMRM_MEMCPY(beta, beta_good, ppbmrm.nCP*sizeof(float64_t));
                        LIBBMRM_MEMCPY(I2, I_good, ppbmrm.nCP*sizeof(uint32_t));
                        alpha=alpha_good;
                        qp_exitflag=qp_exitflag_good;
                        flag=false;
                    }
                    else
                    {
                        if (alpha == 0)
                        {
                            alpha=1.0;
                            alphaChanged=true;
                        }
                        else
                        {
                            alpha*=2;
                            alphaChanged=true;
                        }
                    }
                }
                else
                {
                    if (alpha > 0)
                    {
                        /* keep good solution and try for alpha /= 2 if previous alpha was 1 */
                        LIBBMRM_MEMCPY(beta_good, beta, ppbmrm.nCP*sizeof(float64_t));
                        LIBBMRM_MEMCPY(I_good, I2, ppbmrm.nCP*sizeof(uint32_t));
                        alpha_good=alpha;
                        qp_exitflag_good=qp_exitflag;
                        isThereGoodSolution=true;

                        if (alpha!=1.0)
                        {
                            alpha/=2.0;
                            alphaChanged=true;
                        }
                        else
                        {
                            alpha=0.0;
                            alphaChanged=true;
                        }
                    }
                    else
                    {
                        flag=false;
                    }
                }
            }
        }
        else
        {
            alphaChanged=false;
            LIBBMRM_MEMCPY(I2, I_start, ppbmrm.nCP*sizeof(uint32_t));
            LIBBMRM_MEMCPY(beta, beta_start, ppbmrm.nCP*sizeof(float64_t));

            /* add alpha-dependent terms to H, diag_h and b */
            cp_ptr=CPList_head;

            for (uint32_t i=0; i<ppbmrm.nCP; ++i)
            {
                A_1=get_cutting_plane(cp_ptr);
                cp_ptr=cp_ptr->next;

                rsum = CMath::dot(A_1, prevW, nDim);

                b2[i]=b[i]-((2*alpha)/(_lambda+2*alpha))*rsum;
                diag_H2[i]=diag_H[i]/(_lambda+2*alpha);

                for (uint32_t j=0; j<ppbmrm.nCP; ++j)
                    H2[LIBBMRM_INDEX(i, j, BufSize)]=
                        H[LIBBMRM_INDEX(i, j, BufSize)]/(_lambda+2*alpha);
            }
            /* solve QP with current alpha */
            qp_exitflag=libqp_splx_solver(&get_col, diag_H2, b2, &C, I2, &S, beta,
                    ppbmrm.nCP, QPSolverMaxIter, 0.0, QPSolverTolRel, -LIBBMRM_PLUS_INF, 0);
            ppbmrm.qp_exitflag=qp_exitflag.exitflag;
            qp_cnt++;
        }

        /* ----------------------------------------------------------------------------------------------- */

        /* Update ICPcounter (add one to unused and reset used) + compute number of active CPs */
        ppbmrm.nzA=0;

        for (uint32_t aaa=0; aaa<ppbmrm.nCP; ++aaa)
        {
            if (beta[aaa]>epsilon)
            {
                ++ppbmrm.nzA;
                icp_stats.ICPcounter[aaa]=0;
            }
            else
            {
                icp_stats.ICPcounter[aaa]+=1;
            }
        }

        /* W update */
        for (uint32_t i=0; i<nDim; ++i)
        {
            rsum=0.0;
            cp_ptr=CPList_head;

            for (uint32_t j=0; j<ppbmrm.nCP; ++j)
            {
                A_1=get_cutting_plane(cp_ptr);
                cp_ptr=cp_ptr->next;
                rsum+=A_1[i]*beta[j];
            }

            W[i]=(2*alpha*prevW[i]-rsum)/(_lambda+2*alpha);
        }

        /* risk and subgradient computation */
        R = machine->risk(subgrad, W);
        add_cutting_plane(&CPList_tail, map, A,
                find_free_idx(map, BufSize), subgrad, nDim);

        sq_norm_W=CMath::dot(W, W, nDim);
        sq_norm_prevW=CMath::dot(prevW, prevW, nDim);
        b[ppbmrm.nCP]=CMath::dot(subgrad, W, nDim) - R;

        sq_norm_Wdiff=0.0;
        for (uint32_t j=0; j<nDim; ++j)
        {
            sq_norm_Wdiff+=(W[j]-prevW[j])*(W[j]-prevW[j]);
        }

        /* compute Fp and Fd */
        ppbmrm.Fp=R+0.5*_lambda*sq_norm_W + alpha*sq_norm_Wdiff;
        ppbmrm.Fd=-qp_exitflag.QP+((alpha*_lambda)/(_lambda + 2*alpha))*sq_norm_prevW;

        /* gamma + tuneAlpha flag */
        if (alphaChanged)
        {
            eps=1.0-(ppbmrm.Fd/ppbmrm.Fp);
            gamma=(lastFp*(1-eps)-Fd_alpha0)/(Tmax*(1-eps));
        }

        if ((lastFp-ppbmrm.Fp) <= gamma)
        {
            tuneAlpha=true;
        }
        else
        {
            tuneAlpha=false;
        }

        /* Stopping conditions - set only with nonzero alpha */
        if (alpha==0.0)
        {
            if (ppbmrm.Fp-ppbmrm.Fd<=TolRel*LIBBMRM_ABS(ppbmrm.Fp))
                ppbmrm.exitflag=1;

            if (ppbmrm.Fp-ppbmrm.Fd<=TolAbs)
                ppbmrm.exitflag=2;
        }

        if (ppbmrm.nCP>=BufSize)
            ppbmrm.exitflag=-1;

        tstop=ttime.cur_time_diff(false);

        /* compute wdist (= || W_{t+1} - W_{t} || ) */
        sq_norm_Wdiff=0.0;

        for (uint32_t i=0; i<nDim; ++i)
        {
            sq_norm_Wdiff+=(W[i]-prevW[i])*(W[i]-prevW[i]);
        }

        wdist=CMath::sqrt(sq_norm_Wdiff);

        /* Keep history of Fp, Fd, wdist */
        ppbmrm.hist_Fp[ppbmrm.nIter]=ppbmrm.Fp;
        ppbmrm.hist_Fd[ppbmrm.nIter]=ppbmrm.Fd;
        ppbmrm.hist_wdist[ppbmrm.nIter]=wdist;

        /* Verbose output */
        if (verbose)
            SG_SDEBUG("%4d: tim=%.3lf, Fp=%lf, Fd=%lf, (Fp-Fd)=%lf, (Fp-Fd)/Fp=%lf, R=%lf, nCP=%d, nzA=%d, wdist=%lf, alpha=%lf, qp_cnt=%d, gamma=%lf, tuneAlpha=%d\n",
                    ppbmrm.nIter, tstop-tstart, ppbmrm.Fp, ppbmrm.Fd, ppbmrm.Fp-ppbmrm.Fd,
                    (ppbmrm.Fp-ppbmrm.Fd)/ppbmrm.Fp, R, ppbmrm.nCP, ppbmrm.nzA, wdist, alpha,
                    qp_cnt, gamma, tuneAlpha);

        /* Check size of Buffer */
        if (ppbmrm.nCP>=BufSize)
        {
            ppbmrm.exitflag=-2;
            SG_SERROR("Buffer exceeded.\n")
        }

        /* keep w_t + Fp */
        LIBBMRM_MEMCPY(prevW, W, nDim*sizeof(float64_t));
        lastFp=ppbmrm.Fp;

        /* Inactive Cutting Planes (ICP) removal */
        if (cleanICP)
        {
            clean_icp(&icp_stats, ppbmrm, &CPList_head, &CPList_tail, H, diag_H, beta, map, cleanAfter, b, I);
        }

        // next CP would exceed BufSize
        if (ppbmrm.nCP+1 >= BufSize)
            ppbmrm.exitflag=-1;

        /* Debug: compute objective and training error */
        if (verbose)
        {
            SGVector<float64_t> w_debug(W, nDim, false);
            float64_t primal = CSOSVMHelper::primal_objective(w_debug, model, _lambda);
            float64_t train_error = CSOSVMHelper::average_loss(w_debug, model);
            helper->add_debug_info(primal, ppbmrm.nIter, train_error);
        }
    } /* end of main loop */

    if (verbose)
    {
        helper->terminate();
        SG_UNREF(helper);
    }

    ppbmrm.hist_Fp.resize_vector(ppbmrm.nIter);
    ppbmrm.hist_Fd.resize_vector(ppbmrm.nIter);
    ppbmrm.hist_wdist.resize_vector(ppbmrm.nIter);

    cp_ptr=CPList_head;

    while(cp_ptr!=NULL)
    {
        cp_ptr2=cp_ptr;
        cp_ptr=cp_ptr->next;
        LIBBMRM_FREE(cp_ptr2);
        cp_ptr2=NULL;
    }

    cp_list=NULL;

cleanup:

    LIBBMRM_FREE(H);
    LIBBMRM_FREE(b);
    LIBBMRM_FREE(beta);
    LIBBMRM_FREE(A);
    LIBBMRM_FREE(subgrad);
    LIBBMRM_FREE(diag_H);
    LIBBMRM_FREE(I);
    LIBBMRM_FREE(icp_stats.ICPcounter);
    LIBBMRM_FREE(icp_stats.ICPs);
    LIBBMRM_FREE(icp_stats.ACPs);
    LIBBMRM_FREE(icp_stats.H_buff);
    LIBBMRM_FREE(map);
    LIBBMRM_FREE(prevW);
    LIBBMRM_FREE(wt);
    LIBBMRM_FREE(beta_start);
    LIBBMRM_FREE(beta_good);
    LIBBMRM_FREE(I_start);
    LIBBMRM_FREE(I_good);
    LIBBMRM_FREE(I2);
    LIBBMRM_FREE(b2);
    LIBBMRM_FREE(diag_H2);
    LIBBMRM_FREE(H2);

    if (cp_list)
        LIBBMRM_FREE(cp_list);

    SG_UNREF(model);

    return(ppbmrm);
}
}