MMDKernelSelectionOpt.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) 2012-2013 Heiko Strathmann
 */

#include <shogun/statistics/MMDKernelSelectionOpt.h>
#include <shogun/statistics/LinearTimeMMD.h>
#include <shogun/kernel/CombinedKernel.h>

using namespace shogun;

CMMDKernelSelectionOpt::CMMDKernelSelectionOpt() :
        CMMDKernelSelection()
{
    init();
}

CMMDKernelSelectionOpt::CMMDKernelSelectionOpt(
        CKernelTwoSampleTest* mmd, float64_t lambda) :
        CMMDKernelSelection(mmd)
{
    init();

    /* currently, this method is only developed for the linear time MMD */
    REQUIRE(dynamic_cast<CLinearTimeMMD*>(mmd), "%s::%s(): Only "
            "CLinearTimeMMD is currently supported! Provided instance is "
            "\"%s\"\n", get_name(), get_name(), mmd->get_name());

    m_lambda=lambda;
}

CMMDKernelSelectionOpt::~CMMDKernelSelectionOpt()
{
}

SGVector<float64_t> CMMDKernelSelectionOpt::compute_measures()
{
    /* comnpute mmd on all subkernels using the same data. Note that underlying
     * kernel was asserted to be a combined one */
    SGVector<float64_t> mmds;
    SGVector<float64_t> vars;
    ((CLinearTimeMMD*)m_estimator)->compute_statistic_and_variance(mmds, vars, true);

    /* we know that the underlying MMD is linear time version, cast is safe */
    SGVector<float64_t> measures(mmds.vlen);

    for (index_t i=0; i<measures.vlen; ++i)
        measures[i]=mmds[i]/(CMath::sqrt(vars[i])+m_lambda);

    return measures;
}

void CMMDKernelSelectionOpt::init()
{
    /* set to a sensible standard value that proved to be useful in
     * experiments, see NIPS paper */
    m_lambda=1E-5;
}