SHOGUN
4.2.0
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The class wraps the Shogun's C-style LBFGS minimizer.
Definition at line 40 of file LBFGSMinimizer.h.
Public Member Functions | |
CLBFGSMinimizer () | |
CLBFGSMinimizer (FirstOrderCostFunction *fun) | |
virtual | ~CLBFGSMinimizer () |
virtual const char * | get_name () const |
virtual float64_t | minimize () |
virtual bool | supports_batch_update () const |
virtual void | set_lbfgs_parameters (int32_t m=100, int32_t max_linesearch=1000, ELBFGSLineSearch linesearch=BACKTRACKING_STRONG_WOLFE, int32_t max_iterations=1000, float64_t delta=0.0, int32_t past=0, float64_t epsilon=1e-5, float64_t min_step=1e-20, float64_t max_step=1e+20, float64_t ftol=1e-4, float64_t wolfe=0.9, float64_t gtol=0.9, float64_t xtol=1e-16, float64_t orthantwise_c=0.0, int32_t orthantwise_start=0, int32_t orthantwise_end=1) |
virtual void | set_cost_function (FirstOrderCostFunction *fun) |
virtual void | unset_cost_function (bool is_unref=true) |
virtual void | set_penalty_weight (float64_t penalty_weight) |
virtual void | set_penalty_type (Penalty *penalty_type) |
virtual CSGObject * | shallow_copy () const |
virtual CSGObject * | deep_copy () const |
virtual bool | is_generic (EPrimitiveType *generic) const |
template<class T > | |
void | set_generic () |
template<> | |
void | set_generic () |
template<> | |
void | set_generic () |
template<> | |
void | set_generic () |
template<> | |
void | set_generic () |
template<> | |
void | set_generic () |
template<> | |
void | set_generic () |
template<> | |
void | set_generic () |
template<> | |
void | set_generic () |
template<> | |
void | set_generic () |
template<> | |
void | set_generic () |
template<> | |
void | set_generic () |
template<> | |
void | set_generic () |
template<> | |
void | set_generic () |
template<> | |
void | set_generic () |
template<> | |
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) |
bool | has (const std::string &name) const |
template<typename T > | |
bool | has (const Tag< T > &tag) const |
template<typename T , typename U = void> | |
bool | has (const std::string &name) const |
template<typename T > | |
void | set (const Tag< T > &_tag, const T &value) |
template<typename T , typename U = void> | |
void | set (const std::string &name, const T &value) |
template<typename T > | |
T | get (const Tag< T > &_tag) const |
template<typename T , typename U = void> | |
T | get (const std::string &name) const |
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 void | init_minimization () |
virtual float64_t | get_penalty (SGVector< float64_t > var) |
virtual void | update_gradient (SGVector< float64_t > gradient, SGVector< float64_t > var) |
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) |
template<typename T > | |
void | register_param (Tag< T > &_tag, const T &value) |
template<typename T > | |
void | register_param (const std::string &name, const T &value) |
Protected Attributes | |
int32_t | m_m |
int32_t | m_max_linesearch |
int8_t | m_linesearch_id |
int32_t | m_max_iterations |
float64_t | m_delta |
int32_t | m_past |
float64_t | m_epsilon |
float64_t | m_min_step |
float64_t | m_max_step |
float64_t | m_ftol |
float64_t | m_wolfe |
float64_t | m_gtol |
float64_t | m_xtol |
float64_t | m_orthantwise_c |
int32_t | m_orthantwise_start |
int32_t | m_orthantwise_end |
SGVector< float64_t > | m_target_variable |
FirstOrderCostFunction * | m_fun |
Penalty * | m_penalty_type |
float64_t | m_penalty_weight |
CLBFGSMinimizer | ( | ) |
Definition at line 37 of file LBFGSMinimizer.cpp.
CLBFGSMinimizer | ( | FirstOrderCostFunction * | fun | ) |
Constructor
fun | cost function (user have to manully delete the pointer) |
Definition at line 47 of file LBFGSMinimizer.cpp.
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Definition at line 43 of file LBFGSMinimizer.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 630 of file SGObject.cpp.
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virtualinherited |
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 747 of file SGObject.cpp.
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A deep copy. All the instance variables will also be copied.
Definition at line 231 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 651 of file SGObject.cpp.
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Getter for a class parameter, identified by a Tag. Throws an exception if the class does not have such a parameter.
_tag | name and type information of parameter |
Definition at line 367 of file SGObject.h.
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Getter for a class parameter, identified by a name. Throws an exception if the class does not have such a parameter.
name | name of the parameter |
Definition at line 388 of file SGObject.h.
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Definition at line 531 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 555 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 568 of file SGObject.cpp.
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returns the name of the class
Reimplemented from FirstOrderMinimizer.
Reimplemented in CKLDualInferenceMethodMinimizer.
Definition at line 58 of file LBFGSMinimizer.h.
Get the penalty given target variables For L2 penalty, the target variable is \(w\) and the value of penalty is \(\lambda \frac{w^t w}{2}\), where \(\lambda\) is the weight of penalty
var | the variable used in regularization |
Definition at line 69 of file FirstOrderMinimizer.cpp.
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Checks if object has a class parameter identified by a name.
name | name of the parameter |
Definition at line 289 of file SGObject.h.
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Checks if object has a class parameter identified by a Tag.
tag | tag of the parameter containing name and type information |
Definition at line 301 of file SGObject.h.
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Checks if a type exists for a class parameter identified by a name.
name | name of the parameter |
Definition at line 312 of file SGObject.h.
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Init before minimization
Reimplemented in CKLDualInferenceMethodMinimizer.
Definition at line 136 of file LBFGSMinimizer.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 329 of file SGObject.cpp.
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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 402 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 459 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 454 of file SGObject.cpp.
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Do minimization and get the optimal value
Implements Minimizer.
Reimplemented in CKLDualInferenceMethodMinimizer.
Definition at line 143 of file LBFGSMinimizer.cpp.
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Definition at line 295 of file SGObject.cpp.
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prints all parameter registered for model selection and their type
Definition at line 507 of file SGObject.cpp.
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prints registered parameters out
prefix | prefix for members |
Definition at line 341 of file SGObject.cpp.
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protectedinherited |
Registers a class parameter which is identified by a tag. This enables the parameter to be modified by set() and retrieved by get(). Parameters can be registered in the constructor of the class.
_tag | name and type information of parameter |
value | value of the parameter |
Definition at line 439 of file SGObject.h.
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protectedinherited |
Registers a class parameter which is identified by a name. This enables the parameter to be modified by set() and retrieved by get(). Parameters can be registered in the constructor of the class.
name | name of the parameter |
value | value of the parameter along with type information |
Definition at line 452 of file SGObject.h.
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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 347 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 469 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 464 of file SGObject.cpp.
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Setter for a class parameter, identified by a Tag. Throws an exception if the class does not have such a parameter.
_tag | name and type information of parameter |
value | value of the parameter |
Definition at line 328 of file SGObject.h.
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inherited |
Setter for a class parameter, identified by a name. Throws an exception if the class does not have such a parameter.
name | name of the parameter |
value | value of the parameter along with type information |
Definition at line 354 of file SGObject.h.
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Set cost function used in the minimizer
fun | the cost function |
Definition at line 42 of file FirstOrderMinimizer.cpp.
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Definition at line 74 of file SGObject.cpp.
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Definition at line 79 of file SGObject.cpp.
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Definition at line 84 of file SGObject.cpp.
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Definition at line 89 of file SGObject.cpp.
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Definition at line 94 of file SGObject.cpp.
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Definition at line 99 of file SGObject.cpp.
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Definition at line 104 of file SGObject.cpp.
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Definition at line 109 of file SGObject.cpp.
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Definition at line 114 of file SGObject.cpp.
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Definition at line 119 of file SGObject.cpp.
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Definition at line 124 of file SGObject.cpp.
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Definition at line 129 of file SGObject.cpp.
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Definition at line 134 of file SGObject.cpp.
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Definition at line 139 of file SGObject.cpp.
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Definition at line 144 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 274 of file SGObject.cpp.
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set the version object
version | version object to use |
Definition at line 316 of file SGObject.cpp.
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set L-BFGS parameters For details please see shogun/optimization/lbfgs/lbfgs.h
m | The number of corrections to approximate the inverse hessian matrix. Default value is 100. |
max_linesearch | The maximum number of trials to do line search for each L-BFGS update. Default value is 1000. |
linesearch | The line search algorithm. Default value is using the backtracking with the strong Wolfe condition line search |
max_iterations | The maximum number of iterations for L-BFGS update. Default value is 1000. |
delta | Delta for convergence test based on the change of function value. Default value is 0. |
past | Distance for delta-based convergence test. Default value is 0. |
epsilon | Epsilon for convergence test based on the change of gradient. Default value is 1e-5 |
min_step | The minimum step of the line search. The default value is 1e-20 |
max_step | The maximum step of the line search. The default value is 1e+20 |
ftol | A parameter used in Armijo condition. Default value is 1e-4 |
wolfe | A parameter used in curvature condition. Default value is 0.9 |
gtol | A parameter used in Morethuente linesearch to control the accuracy. Default value is 0.9 |
xtol | The machine precision for floating-point values. Default value is 1e-16. |
orthantwise_c | Coeefficient for the L1 norm of variables. This parameter should be set to zero for standard minimization problems. Setting this parameter to a positive value activates Orthant-Wise Limited-memory Quasi-Newton (OWL-QN) method. Default value is 0. |
orthantwise_start | Start index for computing L1 norm of the variables. This parameter is valid only for OWL-QN method. Default value is 0. |
orthantwise_end | End index for computing L1 norm of the variables. Default value is 1. |
Definition at line 100 of file LBFGSMinimizer.cpp.
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Set the type of penalty For example, L2 penalty
penalty_type | the type of penalty. If NULL is given, regularization is not enabled. |
Definition at line 53 of file FirstOrderMinimizer.cpp.
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Set the weight of penalty
penalty_weight | the weight of penalty, which is positive |
Definition at line 63 of file FirstOrderMinimizer.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 225 of file SGObject.cpp.
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Does minimizer support batch update?
Implements FirstOrderMinimizer.
Definition at line 71 of file LBFGSMinimizer.h.
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Unset cost function used in the minimizer
Definition at line 94 of file FirstOrderMinimizer.h.
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unset generic type
this has to be called in classes specializing a template class
Definition at line 336 of file SGObject.cpp.
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Add gradient of the penalty wrt target variables to unpenalized gradient For least sqaure with L2 penalty,
\[ L2f(w)=f(w) + L2(w) \]
where \( f(w)=\sum_i{(y_i-w^T x_i)^2}\) is the least sqaure cost function and \(L2(w)=\lambda \frac{w^t w}{2}\) is the L2 penalty
Target variables is \(w\) Unpenalized gradient is \(\frac{\partial f(w) }{\partial w}\) Gradient of the penalty wrt target variables is \(\frac{\partial L2(w) }{\partial w}\)
gradient | unpenalized gradient wrt its target variable |
var | the target variable |
Definition at line 81 of file FirstOrderMinimizer.cpp.
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Updates the hash of current parameter combination
Definition at line 281 of file SGObject.cpp.
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io
Definition at line 537 of file SGObject.h.
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Delta for convergence test based on the change of function value.
Definition at line 156 of file LBFGSMinimizer.h.
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Epsilon for convergence test based on the change of gradient.
Definition at line 162 of file LBFGSMinimizer.h.
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A parameter used in Armijo condition.
Definition at line 171 of file LBFGSMinimizer.h.
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Cost function
Definition at line 146 of file FirstOrderMinimizer.h.
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parameters wrt which we can compute gradients
Definition at line 552 of file SGObject.h.
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A parameter used in Morethuente linesearch to control the accuracy.
Definition at line 177 of file LBFGSMinimizer.h.
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Hash of parameter values
Definition at line 555 of file SGObject.h.
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Id for the line search algorithm.
Definition at line 150 of file LBFGSMinimizer.h.
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The number of corrections to approximate the inverse hessian matrix.
Definition at line 144 of file LBFGSMinimizer.h.
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The maximum number of iterations for L-BFGS update.
Definition at line 153 of file LBFGSMinimizer.h.
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The maximum number of trials to do line search for each L-BFGS update.
Definition at line 147 of file LBFGSMinimizer.h.
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The maximum step of the line search.
Definition at line 168 of file LBFGSMinimizer.h.
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The minimum step of the line search.
Definition at line 165 of file LBFGSMinimizer.h.
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model selection parameters
Definition at line 549 of file SGObject.h.
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Coeefficient for the L1 norm of variables.
Definition at line 183 of file LBFGSMinimizer.h.
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End index for computing L1 norm of the variables.
Definition at line 189 of file LBFGSMinimizer.h.
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Start index for computing L1 norm of the variables.
Definition at line 186 of file LBFGSMinimizer.h.
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parameters
Definition at line 546 of file SGObject.h.
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Distance for delta-based convergence test.
Definition at line 159 of file LBFGSMinimizer.h.
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the type of penalty
Definition at line 149 of file FirstOrderMinimizer.h.
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the weight of penalty
Definition at line 152 of file FirstOrderMinimizer.h.
Target variable
Definition at line 192 of file LBFGSMinimizer.h.
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A parameter used in curvature condition.
Definition at line 174 of file LBFGSMinimizer.h.
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The machine precision for floating-point values.
Definition at line 180 of file LBFGSMinimizer.h.
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parallel
Definition at line 540 of file SGObject.h.
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version
Definition at line 543 of file SGObject.h.