FirstOrderStochasticMinimizer.cpp

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/*
 * Copyright (c) The Shogun Machine Learning Toolbox
 * Written (w) 2015 Wu Lin
 * All rights reserved.
 *
 * Redistribution and use in source and binary forms, with or without
 * modification, are permitted provided that the following conditions are met:
 *
 * 1. Redistributions of source code must retain the above copyright notice, this
 *    list of conditions and the following disclaimer.
 * 2. Redistributions in binary form must reproduce the above copyright notice,
 *    this list of conditions and the following disclaimer in the documentation
 *    and/or other materials provided with the distribution.
 *
 * THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS" AND
 * ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED
 * WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE
 * DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER OR CONTRIBUTORS BE LIABLE FOR
 * ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES
 * (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES;
 * LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND
 * ON ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
 * (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS
 * SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
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 * either expressed or implied, of the Shogun Development Team.
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 */

#include <shogun/optimization/FirstOrderStochasticMinimizer.h>
#include <shogun/optimization/SparsePenalty.h>
#include <shogun/optimization/ProximalPenalty.h>
#include <shogun/base/Parameter.h>
using namespace shogun;

void FirstOrderStochasticMinimizer::set_gradient_updater(DescendUpdater* gradient_updater)
{
    REQUIRE(gradient_updater, "Gradient updater must set\n");
    if(m_gradient_updater != gradient_updater)
    {
        SG_REF(gradient_updater);
        SG_UNREF(m_gradient_updater);
        m_gradient_updater=gradient_updater;
    }
}

FirstOrderStochasticMinimizer:: ~FirstOrderStochasticMinimizer()
{
    SG_UNREF(m_gradient_updater);
    SG_UNREF(m_learning_rate);
}

void FirstOrderStochasticMinimizer::set_number_passes(int32_t num_passes)
{
    REQUIRE(num_passes>0, "The number (%d) to go through data must be positive\n", num_passes);
    m_num_passes=num_passes;
}

void FirstOrderStochasticMinimizer::set_learning_rate(LearningRate *learning_rate)
{
    if(m_learning_rate != learning_rate)
    {
        SG_REF(learning_rate);
        SG_UNREF(m_learning_rate);
        m_learning_rate=learning_rate;
    }
}

void FirstOrderStochasticMinimizer::do_proximal_operation(SGVector<float64_t>variable_reference)
{
    ProximalPenalty* proximal_penalty=dynamic_cast<ProximalPenalty*>(m_penalty_type);
    if(proximal_penalty)
    {
        float64_t proximal_weight=m_penalty_weight;
        SparsePenalty* sparse_penalty=dynamic_cast<SparsePenalty*>(m_penalty_type);
        if(sparse_penalty)
        {
            REQUIRE(m_learning_rate, "Learning rate must set when Sparse Penalty (eg, L1) is used\n");
            proximal_weight*=m_learning_rate->get_learning_rate(m_iter_counter);
        }
        proximal_penalty->update_variable_for_proximity(variable_reference,proximal_weight);
    }
}

void FirstOrderStochasticMinimizer::init_minimization()
{
    REQUIRE(m_fun,"Cost function must set\n");
    REQUIRE(m_gradient_updater,"Descend updater must set\n");
    REQUIRE(m_num_passes>0, "The number to go through data must set\n");
    m_cur_passes=0;
}

void FirstOrderStochasticMinimizer::init()
{
    m_gradient_updater=NULL;
    m_learning_rate=NULL;
    m_num_passes=0;
    m_cur_passes=0;
    m_iter_counter=0;

    SG_ADD((CSGObject **)&m_learning_rate, "FirstOrderMinimizer__m_learning_rate",
        "learning_rate in FirstOrderStochasticMinimizer", MS_NOT_AVAILABLE);
    SG_ADD((CSGObject **)&m_gradient_updater, "FirstOrderMinimizer__m_gradient_updater",
        "gradient_updater in FirstOrderStochasticMinimizer", MS_NOT_AVAILABLE);
    SG_ADD(&m_num_passes, "FirstOrderMinimizer__m_num_passes",
        "num_passes in FirstOrderStochasticMinimizer", MS_NOT_AVAILABLE);
    SG_ADD(&m_cur_passes, "FirstOrderMinimizer__m_cur_passes",
        "cur_passes in FirstOrderStochasticMinimizer", MS_NOT_AVAILABLE);
    SG_ADD(&m_iter_counter, "FirstOrderMinimizer__m_iter_counter",
        "m_iter_counter in FirstOrderStochasticMinimizer", MS_NOT_AVAILABLE);
}