#include #include #include #include #include #include #include "linear.h" #include "tron.h" typedef signed char schar; template static inline void swap(T& x, T& y) { T t=x; x=y; y=t; } #ifndef min template static inline T min(T x,T y) { return (x static inline T max(T x,T y) { return (x>y)?x:y; } #endif template static inline void clone(T*& dst, S* src, int n) { dst = new T[n]; memcpy((void *)dst,(void *)src,sizeof(T)*n); } #define Malloc(type,n) (type *)malloc((n)*sizeof(type)) #define INF HUGE_VAL static void print_string_stdout(const char *s) { fputs(s,stdout); fflush(stdout); } static void (*liblinear_print_string) (const char *) = &print_string_stdout; #if 1 static void info(const char *fmt,...) { char buf[BUFSIZ]; va_list ap; va_start(ap,fmt); vsprintf(buf,fmt,ap); va_end(ap); (*liblinear_print_string)(buf); } #else static void info(const char *fmt,...) {} #endif class l2r_lr_fun: public function { public: l2r_lr_fun(const problem *prob, double *C); ~l2r_lr_fun(); double fun(double *w); void grad(double *w, double *g); void Hv(double *s, double *Hs); int get_nr_variable(void); private: void Xv(double *v, double *Xv); void XTv(double *v, double *XTv); double *C; double *z; double *D; const problem *prob; }; l2r_lr_fun::l2r_lr_fun(const problem *prob, double *C) { int l=prob->l; this->prob = prob; z = new double[l]; D = new double[l]; this->C = C; } l2r_lr_fun::~l2r_lr_fun() { delete[] z; delete[] D; } double l2r_lr_fun::fun(double *w) { int i; double f=0; double *y=prob->y; int l=prob->l; int w_size=get_nr_variable(); Xv(w, z); for(i=0;i= 0) f += C[i]*log(1 + exp(-yz)); else f += C[i]*(-yz+log(1 + exp(yz))); } return(f); } void l2r_lr_fun::grad(double *w, double *g) { int i; double *y=prob->y; int l=prob->l; int w_size=get_nr_variable(); for(i=0;in; } void l2r_lr_fun::Hv(double *s, double *Hs) { int i; int l=prob->l; int w_size=get_nr_variable(); double *wa = new double[l]; Xv(s, wa); for(i=0;il; feature_node **x=prob->x; for(i=0;iindex!=-1) { Xv[i]+=v[s->index-1]*s->value; s++; } } } void l2r_lr_fun::XTv(double *v, double *XTv) { int i; int l=prob->l; int w_size=get_nr_variable(); feature_node **x=prob->x; for(i=0;iindex!=-1) { XTv[s->index-1]+=v[i]*s->value; s++; } } } class l2r_l2_svc_fun: public function { public: l2r_l2_svc_fun(const problem *prob, double *C); ~l2r_l2_svc_fun(); double fun(double *w); void grad(double *w, double *g); void Hv(double *s, double *Hs); int get_nr_variable(void); protected: void Xv(double *v, double *Xv); void subXv(double *v, double *Xv); void subXTv(double *v, double *XTv); double *C; double *z; double *D; int *I; int sizeI; const problem *prob; }; l2r_l2_svc_fun::l2r_l2_svc_fun(const problem *prob, double *C) { int l=prob->l; this->prob = prob; z = new double[l]; D = new double[l]; I = new int[l]; this->C = C; } l2r_l2_svc_fun::~l2r_l2_svc_fun() { delete[] z; delete[] D; delete[] I; } double l2r_l2_svc_fun::fun(double *w) { int i; double f=0; double *y=prob->y; int l=prob->l; int w_size=get_nr_variable(); Xv(w, z); for(i=0;i 0) f += C[i]*d*d; } return(f); } void l2r_l2_svc_fun::grad(double *w, double *g) { int i; double *y=prob->y; int l=prob->l; int w_size=get_nr_variable(); sizeI = 0; for (i=0;in; } void l2r_l2_svc_fun::Hv(double *s, double *Hs) { int i; int w_size=get_nr_variable(); double *wa = new double[sizeI]; subXv(s, wa); for(i=0;il; feature_node **x=prob->x; for(i=0;iindex!=-1) { Xv[i]+=v[s->index-1]*s->value; s++; } } } void l2r_l2_svc_fun::subXv(double *v, double *Xv) { int i; feature_node **x=prob->x; for(i=0;iindex!=-1) { Xv[i]+=v[s->index-1]*s->value; s++; } } } void l2r_l2_svc_fun::subXTv(double *v, double *XTv) { int i; int w_size=get_nr_variable(); feature_node **x=prob->x; for(i=0;iindex!=-1) { XTv[s->index-1]+=v[i]*s->value; s++; } } } class l2r_l2_svr_fun: public l2r_l2_svc_fun { public: l2r_l2_svr_fun(const problem *prob, double *C, double p); double fun(double *w); void grad(double *w, double *g); private: double p; }; l2r_l2_svr_fun::l2r_l2_svr_fun(const problem *prob, double *C, double p): l2r_l2_svc_fun(prob, C) { this->p = p; } double l2r_l2_svr_fun::fun(double *w) { int i; double f=0; double *y=prob->y; int l=prob->l; int w_size=get_nr_variable(); double d; Xv(w, z); for(i=0;i p) f += C[i]*(d-p)*(d-p); } return(f); } void l2r_l2_svr_fun::grad(double *w, double *g) { int i; double *y=prob->y; int l=prob->l; int w_size=get_nr_variable(); double d; sizeI = 0; for(i=0;i p) { z[sizeI] = C[i]*(d-p); I[sizeI] = i; sizeI++; } } subXTv(z, g); for(i=0;iy[i]) // To support weights for instances, use GETI(i) (i) class Solver_MCSVM_CS { public: Solver_MCSVM_CS(const problem *prob, int nr_class, double *C, double eps=0.1, int max_iter=100000); ~Solver_MCSVM_CS(); void Solve(double *w); private: void solve_sub_problem(double A_i, int yi, double C_yi, int active_i, double *alpha_new); bool be_shrunk(int i, int m, int yi, double alpha_i, double minG); double *B, *C, *G; int w_size, l; int nr_class; int max_iter; double eps; const problem *prob; }; Solver_MCSVM_CS::Solver_MCSVM_CS(const problem *prob, int nr_class, double *weighted_C, double eps, int max_iter) { this->w_size = prob->n; this->l = prob->l; this->nr_class = nr_class; this->eps = eps; this->max_iter = max_iter; this->prob = prob; this->B = new double[nr_class]; this->G = new double[nr_class]; this->C = weighted_C; } Solver_MCSVM_CS::~Solver_MCSVM_CS() { delete[] B; delete[] G; } int compare_double(const void *a, const void *b) { if(*(double *)a > *(double *)b) return -1; if(*(double *)a < *(double *)b) return 1; return 0; } void Solver_MCSVM_CS::solve_sub_problem(double A_i, int yi, double C_yi, int active_i, double *alpha_new) { int r; double *D; clone(D, B, active_i); if(yi < active_i) D[yi] += A_i*C_yi; qsort(D, active_i, sizeof(double), compare_double); double beta = D[0] - A_i*C_yi; for(r=1;ry[i] == m // alpha[i*nr_class+m] <= 0 if prob->y[i] != m // If initial alpha isn't zero, uncomment the for loop below to initialize w for(i=0;ix[i]; QD[i] = 0; while(xi->index != -1) { double val = xi->value; QD[i] += val*val; // Uncomment the for loop if initial alpha isn't zero // for(m=0; mindex-1)*nr_class+m] += alpha[i*nr_class+m]*val; xi++; } active_size_i[i] = nr_class; y_index[i] = (int)prob->y[i]; index[i] = i; } while(iter < max_iter) { double stopping = -INF; for(i=0;i 0) { for(m=0;mx[i]; while(xi->index!= -1) { double *w_i = &w[(xi->index-1)*nr_class]; for(m=0;mvalue); xi++; } double minG = INF; double maxG = -INF; for(m=0;m maxG) maxG = G[m]; } if(y_index[i] < active_size_i[i]) if(alpha_i[(int) prob->y[i]] < C[GETI(i)] && G[y_index[i]] < minG) minG = G[y_index[i]]; for(m=0;mm) { if(!be_shrunk(i, active_size_i[i], y_index[i], alpha_i[alpha_index_i[active_size_i[i]]], minG)) { swap(alpha_index_i[m], alpha_index_i[active_size_i[i]]); swap(G[m], G[active_size_i[i]]); if(y_index[i] == active_size_i[i]) y_index[i] = m; else if(y_index[i] == m) y_index[i] = active_size_i[i]; break; } active_size_i[i]--; } } } if(active_size_i[i] <= 1) { active_size--; swap(index[s], index[active_size]); s--; continue; } if(maxG-minG <= 1e-12) continue; else stopping = max(maxG - minG, stopping); for(m=0;m= 1e-12) { d_ind[nz_d] = alpha_index_i[m]; d_val[nz_d] = d; nz_d++; } } xi = prob->x[i]; while(xi->index != -1) { double *w_i = &w[(xi->index-1)*nr_class]; for(m=0;mvalue; xi++; } } } iter++; if(iter % 10 == 0) { info("."); } if(stopping < eps_shrink) { if(stopping < eps && start_from_all == true) break; else { active_size = l; for(i=0;i= max_iter) info("\nWARNING: reaching max number of iterations\n"); // calculate objective value double v = 0; int nSV = 0; for(i=0;i 0) nSV++; } for(i=0;iy[i]]; info("Objective value = %lf\n",v); info("nSV = %d\n",nSV); delete [] alpha; delete [] alpha_new; delete [] index; delete [] QD; delete [] d_ind; delete [] d_val; delete [] alpha_index; delete [] y_index; delete [] active_size_i; } // A coordinate descent algorithm for // L1-loss and L2-loss SVM dual problems // // min_\alpha 0.5(\alpha^T (Q + D)\alpha) - e^T \alpha, // s.t. 0 <= \alpha_i <= upper_bound_i, // // where Qij = yi yj xi^T xj and // D is a diagonal matrix // // In L1-SVM case: // upper_bound_i = Cp if y_i = 1 // upper_bound_i = Cn if y_i = -1 // D_ii = 0 // In L2-SVM case: // upper_bound_i = INF // D_ii = 1/(2*Cp) if y_i = 1 // D_ii = 1/(2*Cn) if y_i = -1 // // Given: // x, y, Cp, Cn // eps is the stopping tolerance // // solution will be put in w // // See Algorithm 3 of Hsieh et al., ICML 2008 #undef GETI #define GETI(i) (y[i]+1) // To support weights for instances, use GETI(i) (i) static void solve_l2r_l1l2_svc( const problem *prob, double *w, double eps, double Cp, double Cn, int solver_type) { int l = prob->l; int w_size = prob->n; int i, s, iter = 0; double C, d, G; double *QD = new double[l]; int max_iter = 1000; int *index = new int[l]; double *alpha = new double[l]; schar *y = new schar[l]; int active_size = l; // PG: projected gradient, for shrinking and stopping double PG; double PGmax_old = INF; double PGmin_old = -INF; double PGmax_new, PGmin_new; // default solver_type: L2R_L2LOSS_SVC_DUAL double diag[3] = {0.5/Cn, 0, 0.5/Cp}; double upper_bound[3] = {INF, 0, INF}; if(solver_type == L2R_L1LOSS_SVC_DUAL) { diag[0] = 0; diag[2] = 0; upper_bound[0] = Cn; upper_bound[2] = Cp; } for(i=0; iy[i] > 0) { y[i] = +1; } else { y[i] = -1; } } // Initial alpha can be set here. Note that // 0 <= alpha[i] <= upper_bound[GETI(i)] for(i=0; ix[i]; while (xi->index != -1) { double val = xi->value; QD[i] += val*val; w[xi->index-1] += y[i]*alpha[i]*val; xi++; } index[i] = i; } while (iter < max_iter) { PGmax_new = -INF; PGmin_new = INF; for (i=0; ix[i]; while(xi->index!= -1) { G += w[xi->index-1]*(xi->value); xi++; } G = G*yi-1; C = upper_bound[GETI(i)]; G += alpha[i]*diag[GETI(i)]; PG = 0; if (alpha[i] == 0) { if (G > PGmax_old) { active_size--; swap(index[s], index[active_size]); s--; continue; } else if (G < 0) PG = G; } else if (alpha[i] == C) { if (G < PGmin_old) { active_size--; swap(index[s], index[active_size]); s--; continue; } else if (G > 0) PG = G; } else PG = G; PGmax_new = max(PGmax_new, PG); PGmin_new = min(PGmin_new, PG); if(fabs(PG) > 1.0e-12) { double alpha_old = alpha[i]; alpha[i] = min(max(alpha[i] - G/QD[i], 0.0), C); d = (alpha[i] - alpha_old)*yi; xi = prob->x[i]; while (xi->index != -1) { w[xi->index-1] += d*xi->value; xi++; } } } iter++; if(iter % 10 == 0) info("."); if(PGmax_new - PGmin_new <= eps) { if(active_size == l) break; else { active_size = l; info("*"); PGmax_old = INF; PGmin_old = -INF; continue; } } PGmax_old = PGmax_new; PGmin_old = PGmin_new; if (PGmax_old <= 0) PGmax_old = INF; if (PGmin_old >= 0) PGmin_old = -INF; } info("\noptimization finished, #iter = %d\n",iter); if (iter >= max_iter) info("\nWARNING: reaching max number of iterations\nUsing -s 2 may be faster (also see FAQ)\n\n"); // calculate objective value double v = 0; int nSV = 0; for(i=0; i 0) ++nSV; } info("Objective value = %lf\n",v/2); info("nSV = %d\n",nSV); delete [] QD; delete [] alpha; delete [] y; delete [] index; } // A coordinate descent algorithm for // L1-loss and L2-loss epsilon-SVR dual problem // // min_\beta 0.5\beta^T (Q + diag(lambda)) \beta - p \sum_{i=1}^l|\beta_i| + \sum_{i=1}^l yi\beta_i, // s.t. -upper_bound_i <= \beta_i <= upper_bound_i, // // where Qij = xi^T xj and // D is a diagonal matrix // // In L1-SVM case: // upper_bound_i = C // lambda_i = 0 // In L2-SVM case: // upper_bound_i = INF // lambda_i = 1/(2*C) // // Given: // x, y, p, C // eps is the stopping tolerance // // solution will be put in w // // See Algorithm 4 of Ho and Lin, 2012 #undef GETI #define GETI(i) (0) // To support weights for instances, use GETI(i) (i) static void solve_l2r_l1l2_svr( const problem *prob, double *w, const parameter *param, int solver_type) { int l = prob->l; double C = param->C; double p = param->p; int w_size = prob->n; double eps = param->eps; int i, s, iter = 0; int max_iter = 1000; int active_size = l; int *index = new int[l]; double d, G, H; double Gmax_old = INF; double Gmax_new, Gnorm1_new; double Gnorm1_init; double *beta = new double[l]; double *QD = new double[l]; double *y = prob->y; // L2R_L2LOSS_SVR_DUAL double lambda[1], upper_bound[1]; lambda[0] = 0.5/C; upper_bound[0] = INF; if(solver_type == L2R_L1LOSS_SVR_DUAL) { lambda[0] = 0; upper_bound[0] = C; } // Initial beta can be set here. Note that // -upper_bound <= beta[i] <= upper_bound for(i=0; ix[i]; while(xi->index != -1) { double val = xi->value; QD[i] += val*val; w[xi->index-1] += beta[i]*val; xi++; } index[i] = i; } while(iter < max_iter) { Gmax_new = 0; Gnorm1_new = 0; for(i=0; ix[i]; while(xi->index != -1) { int ind = xi->index-1; double val = xi->value; G += val*w[ind]; xi++; } double Gp = G+p; double Gn = G-p; double violation = 0; if(beta[i] == 0) { if(Gp < 0) violation = -Gp; else if(Gn > 0) violation = Gn; else if(Gp>Gmax_old && Gn<-Gmax_old) { active_size--; swap(index[s], index[active_size]); s--; continue; } } else if(beta[i] >= upper_bound[GETI(i)]) { if(Gp > 0) violation = Gp; else if(Gp < -Gmax_old) { active_size--; swap(index[s], index[active_size]); s--; continue; } } else if(beta[i] <= -upper_bound[GETI(i)]) { if(Gn < 0) violation = -Gn; else if(Gn > Gmax_old) { active_size--; swap(index[s], index[active_size]); s--; continue; } } else if(beta[i] > 0) violation = fabs(Gp); else violation = fabs(Gn); Gmax_new = max(Gmax_new, violation); Gnorm1_new += violation; // obtain Newton direction d if(Gp < H*beta[i]) d = -Gp/H; else if(Gn > H*beta[i]) d = -Gn/H; else d = -beta[i]; if(fabs(d) < 1.0e-12) continue; double beta_old = beta[i]; beta[i] = min(max(beta[i]+d, -upper_bound[GETI(i)]), upper_bound[GETI(i)]); d = beta[i]-beta_old; if(d != 0) { xi = prob->x[i]; while(xi->index != -1) { w[xi->index-1] += d*xi->value; xi++; } } } if(iter == 0) Gnorm1_init = Gnorm1_new; iter++; if(iter % 10 == 0) info("."); if(Gnorm1_new <= eps*Gnorm1_init) { if(active_size == l) break; else { active_size = l; info("*"); Gmax_old = INF; continue; } } Gmax_old = Gmax_new; } info("\noptimization finished, #iter = %d\n", iter); if(iter >= max_iter) info("\nWARNING: reaching max number of iterations\nUsing -s 11 may be faster\n\n"); // calculate objective value double v = 0; int nSV = 0; for(i=0; il; int w_size = prob->n; int i, s, iter = 0; double *xTx = new double[l]; int max_iter = 1000; int *index = new int[l]; double *alpha = new double[2*l]; // store alpha and C - alpha schar *y = new schar[l]; int max_inner_iter = 100; // for inner Newton double innereps = 1e-2; double innereps_min = min(1e-8, eps); double upper_bound[3] = {Cn, 0, Cp}; for(i=0; iy[i] > 0) { y[i] = +1; } else { y[i] = -1; } } // Initial alpha can be set here. Note that // 0 < alpha[i] < upper_bound[GETI(i)] // alpha[2*i] + alpha[2*i+1] = upper_bound[GETI(i)] for(i=0; ix[i]; while (xi->index != -1) { double val = xi->value; xTx[i] += val*val; w[xi->index-1] += y[i]*alpha[2*i]*val; xi++; } index[i] = i; } while (iter < max_iter) { for (i=0; ix[i]; while (xi->index != -1) { ywTx += w[xi->index-1]*xi->value; xi++; } ywTx *= y[i]; double a = xisq, b = ywTx; // Decide to minimize g_1(z) or g_2(z) int ind1 = 2*i, ind2 = 2*i+1, sign = 1; if(0.5*a*(alpha[ind2]-alpha[ind1])+b < 0) { ind1 = 2*i+1; ind2 = 2*i; sign = -1; } // g_t(z) = z*log(z) + (C-z)*log(C-z) + 0.5a(z-alpha_old)^2 + sign*b(z-alpha_old) double alpha_old = alpha[ind1]; double z = alpha_old; if(C - z < 0.5 * C) z = 0.1*z; double gp = a*(z-alpha_old)+sign*b+log(z/(C-z)); Gmax = max(Gmax, fabs(gp)); // Newton method on the sub-problem const double eta = 0.1; // xi in the paper int inner_iter = 0; while (inner_iter <= max_inner_iter) { if(fabs(gp) < innereps) break; double gpp = a + C/(C-z)/z; double tmpz = z - gp/gpp; if(tmpz <= 0) z *= eta; else // tmpz in (0, C) z = tmpz; gp = a*(z-alpha_old)+sign*b+log(z/(C-z)); newton_iter++; inner_iter++; } if(inner_iter > 0) // update w { alpha[ind1] = z; alpha[ind2] = C-z; xi = prob->x[i]; while (xi->index != -1) { w[xi->index-1] += sign*(z-alpha_old)*yi*xi->value; xi++; } } } iter++; if(iter % 10 == 0) info("."); if(Gmax < eps) break; if(newton_iter <= l/10) innereps = max(innereps_min, 0.1*innereps); } info("\noptimization finished, #iter = %d\n",iter); if (iter >= max_iter) info("\nWARNING: reaching max number of iterations\nUsing -s 0 may be faster (also see FAQ)\n\n"); // calculate objective value double v = 0; for(i=0; il; int w_size = prob_col->n; int j, s, iter = 0; int max_iter = 1000; int active_size = w_size; int max_num_linesearch = 20; double sigma = 0.01; double d, G_loss, G, H; double Gmax_old = INF; double Gmax_new, Gnorm1_new; double Gnorm1_init; double d_old, d_diff; double loss_old, loss_new; double appxcond, cond; int *index = new int[w_size]; schar *y = new schar[l]; double *b = new double[l]; // b = 1-ywTx double *xj_sq = new double[w_size]; feature_node *x; double C[3] = {Cn,0,Cp}; // Initial w can be set here. for(j=0; jy[j] > 0) y[j] = 1; else y[j] = -1; } for(j=0; jx[j]; while(x->index != -1) { int ind = x->index-1; x->value *= y[ind]; // x->value stores yi*xij double val = x->value; b[ind] -= w[j]*val; xj_sq[j] += C[GETI(ind)]*val*val; x++; } } while(iter < max_iter) { Gmax_new = 0; Gnorm1_new = 0; for(j=0; jx[j]; while(x->index != -1) { int ind = x->index-1; if(b[ind] > 0) { double val = x->value; double tmp = C[GETI(ind)]*val; G_loss -= tmp*b[ind]; H += tmp*val; } x++; } G_loss *= 2; G = G_loss; H *= 2; H = max(H, 1e-12); double Gp = G+1; double Gn = G-1; double violation = 0; if(w[j] == 0) { if(Gp < 0) violation = -Gp; else if(Gn > 0) violation = Gn; else if(Gp>Gmax_old/l && Gn<-Gmax_old/l) { active_size--; swap(index[s], index[active_size]); s--; continue; } } else if(w[j] > 0) violation = fabs(Gp); else violation = fabs(Gn); Gmax_new = max(Gmax_new, violation); Gnorm1_new += violation; // obtain Newton direction d if(Gp < H*w[j]) d = -Gp/H; else if(Gn > H*w[j]) d = -Gn/H; else d = -w[j]; if(fabs(d) < 1.0e-12) continue; double delta = fabs(w[j]+d)-fabs(w[j]) + G*d; d_old = 0; int num_linesearch; for(num_linesearch=0; num_linesearch < max_num_linesearch; num_linesearch++) { d_diff = d_old - d; cond = fabs(w[j]+d)-fabs(w[j]) - sigma*delta; appxcond = xj_sq[j]*d*d + G_loss*d + cond; if(appxcond <= 0) { x = prob_col->x[j]; while(x->index != -1) { b[x->index-1] += d_diff*x->value; x++; } break; } if(num_linesearch == 0) { loss_old = 0; loss_new = 0; x = prob_col->x[j]; while(x->index != -1) { int ind = x->index-1; if(b[ind] > 0) loss_old += C[GETI(ind)]*b[ind]*b[ind]; double b_new = b[ind] + d_diff*x->value; b[ind] = b_new; if(b_new > 0) loss_new += C[GETI(ind)]*b_new*b_new; x++; } } else { loss_new = 0; x = prob_col->x[j]; while(x->index != -1) { int ind = x->index-1; double b_new = b[ind] + d_diff*x->value; b[ind] = b_new; if(b_new > 0) loss_new += C[GETI(ind)]*b_new*b_new; x++; } } cond = cond + loss_new - loss_old; if(cond <= 0) break; else { d_old = d; d *= 0.5; delta *= 0.5; } } w[j] += d; // recompute b[] if line search takes too many steps if(num_linesearch >= max_num_linesearch) { info("#"); for(int i=0; ix[i]; while(x->index != -1) { b[x->index-1] -= w[i]*x->value; x++; } } } } if(iter == 0) Gnorm1_init = Gnorm1_new; iter++; if(iter % 10 == 0) info("."); if(Gnorm1_new <= eps*Gnorm1_init) { if(active_size == w_size) break; else { active_size = w_size; info("*"); Gmax_old = INF; continue; } } Gmax_old = Gmax_new; } info("\noptimization finished, #iter = %d\n", iter); if(iter >= max_iter) info("\nWARNING: reaching max number of iterations\n"); // calculate objective value double v = 0; int nnz = 0; for(j=0; jx[j]; while(x->index != -1) { x->value *= prob_col->y[x->index-1]; // restore x->value x++; } if(w[j] != 0) { v += fabs(w[j]); nnz++; } } for(j=0; j 0) v += C[GETI(j)]*b[j]*b[j]; info("Objective value = %lf\n", v); info("#nonzeros/#features = %d/%d\n", nnz, w_size); delete [] index; delete [] y; delete [] b; delete [] xj_sq; } // A coordinate descent algorithm for // L1-regularized logistic regression problems // // min_w \sum |wj| + C \sum log(1+exp(-yi w^T xi)), // // Given: // x, y, Cp, Cn // eps is the stopping tolerance // // solution will be put in w // // See Yuan et al. (2011) and appendix of LIBLINEAR paper, Fan et al. (2008) #undef GETI #define GETI(i) (y[i]+1) // To support weights for instances, use GETI(i) (i) static void solve_l1r_lr( const problem *prob_col, double *w, double eps, double Cp, double Cn) { int l = prob_col->l; int w_size = prob_col->n; int j, s, newton_iter=0, iter=0; int max_newton_iter = 100; int max_iter = 1000; int max_num_linesearch = 20; int active_size; int QP_active_size; double nu = 1e-12; double inner_eps = 1; double sigma = 0.01; double w_norm, w_norm_new; double z, G, H; double Gnorm1_init; double Gmax_old = INF; double Gmax_new, Gnorm1_new; double QP_Gmax_old = INF; double QP_Gmax_new, QP_Gnorm1_new; double delta, negsum_xTd, cond; int *index = new int[w_size]; schar *y = new schar[l]; double *Hdiag = new double[w_size]; double *Grad = new double[w_size]; double *wpd = new double[w_size]; double *xjneg_sum = new double[w_size]; double *xTd = new double[l]; double *exp_wTx = new double[l]; double *exp_wTx_new = new double[l]; double *tau = new double[l]; double *D = new double[l]; feature_node *x; double C[3] = {Cn,0,Cp}; // Initial w can be set here. for(j=0; jy[j] > 0) y[j] = 1; else y[j] = -1; exp_wTx[j] = 0; } w_norm = 0; for(j=0; jx[j]; while(x->index != -1) { int ind = x->index-1; double val = x->value; exp_wTx[ind] += w[j]*val; if(y[ind] == -1) xjneg_sum[j] += C[GETI(ind)]*val; x++; } } for(j=0; jx[j]; while(x->index != -1) { int ind = x->index-1; Hdiag[j] += x->value*x->value*D[ind]; tmp += x->value*tau[ind]; x++; } Grad[j] = -tmp + xjneg_sum[j]; double Gp = Grad[j]+1; double Gn = Grad[j]-1; double violation = 0; if(w[j] == 0) { if(Gp < 0) violation = -Gp; else if(Gn > 0) violation = Gn; //outer-level shrinking else if(Gp>Gmax_old/l && Gn<-Gmax_old/l) { active_size--; swap(index[s], index[active_size]); s--; continue; } } else if(w[j] > 0) violation = fabs(Gp); else violation = fabs(Gn); Gmax_new = max(Gmax_new, violation); Gnorm1_new += violation; } if(newton_iter == 0) Gnorm1_init = Gnorm1_new; if(Gnorm1_new <= eps*Gnorm1_init) break; iter = 0; QP_Gmax_old = INF; QP_active_size = active_size; for(int i=0; ix[j]; G = Grad[j] + (wpd[j]-w[j])*nu; while(x->index != -1) { int ind = x->index-1; G += x->value*D[ind]*xTd[ind]; x++; } double Gp = G+1; double Gn = G-1; double violation = 0; if(wpd[j] == 0) { if(Gp < 0) violation = -Gp; else if(Gn > 0) violation = Gn; //inner-level shrinking else if(Gp>QP_Gmax_old/l && Gn<-QP_Gmax_old/l) { QP_active_size--; swap(index[s], index[QP_active_size]); s--; continue; } } else if(wpd[j] > 0) violation = fabs(Gp); else violation = fabs(Gn); QP_Gmax_new = max(QP_Gmax_new, violation); QP_Gnorm1_new += violation; // obtain solution of one-variable problem if(Gp < H*wpd[j]) z = -Gp/H; else if(Gn > H*wpd[j]) z = -Gn/H; else z = -wpd[j]; if(fabs(z) < 1.0e-12) continue; z = min(max(z,-10.0),10.0); wpd[j] += z; x = prob_col->x[j]; while(x->index != -1) { int ind = x->index-1; xTd[ind] += x->value*z; x++; } } iter++; if(QP_Gnorm1_new <= inner_eps*Gnorm1_init) { //inner stopping if(QP_active_size == active_size) break; //active set reactivation else { QP_active_size = active_size; QP_Gmax_old = INF; continue; } } QP_Gmax_old = QP_Gmax_new; } if(iter >= max_iter) info("WARNING: reaching max number of inner iterations\n"); delta = 0; w_norm_new = 0; for(j=0; j= max_num_linesearch) { for(int i=0; ix[i]; while(x->index != -1) { exp_wTx[x->index-1] += w[i]*x->value; x++; } } for(int i=0; i= max_newton_iter) info("WARNING: reaching max number of iterations\n"); // calculate objective value double v = 0; int nnz = 0; for(j=0; jl; int n = prob->n; long int nnz = 0; long int *col_ptr = new long int [n+1]; feature_node *x_space; prob_col->l = l; prob_col->n = n; prob_col->y = new double[l]; prob_col->x = new feature_node*[n]; for(i=0; iy[i] = prob->y[i]; for(i=0; ix[i]; while(x->index != -1) { nnz++; col_ptr[x->index]++; x++; } } for(i=1; ix[i] = &x_space[col_ptr[i]]; for(i=0; ix[i]; while(x->index != -1) { int ind = x->index-1; x_space[col_ptr[ind]].index = i+1; // starts from 1 x_space[col_ptr[ind]].value = x->value; col_ptr[ind]++; x++; } } for(i=0; il; int max_nr_class = 16; int nr_class = 0; int *label = Malloc(int,max_nr_class); int *count = Malloc(int,max_nr_class); int *data_label = Malloc(int,l); int i; for(i=0;iy[i]; int j; for(j=0;jeps; int pos = 0; int neg = 0; for(int i=0;il;i++) if(prob->y[i] > 0) pos++; neg = prob->l - pos; double primal_solver_tol = eps*max(min(pos,neg), 1)/prob->l; function *fun_obj=NULL; switch(param->solver_type) { case L2R_LR: { double *C = new double[prob->l]; for(int i = 0; i < prob->l; i++) { if(prob->y[i] > 0) C[i] = Cp; else C[i] = Cn; } fun_obj=new l2r_lr_fun(prob, C); TRON tron_obj(fun_obj, primal_solver_tol); tron_obj.set_print_string(liblinear_print_string); tron_obj.tron(w); delete fun_obj; delete[] C; break; } case L2R_L2LOSS_SVC: { double *C = new double[prob->l]; for(int i = 0; i < prob->l; i++) { if(prob->y[i] > 0) C[i] = Cp; else C[i] = Cn; } fun_obj=new l2r_l2_svc_fun(prob, C); TRON tron_obj(fun_obj, primal_solver_tol); tron_obj.set_print_string(liblinear_print_string); tron_obj.tron(w); delete fun_obj; delete[] C; break; } case L2R_L2LOSS_SVC_DUAL: solve_l2r_l1l2_svc(prob, w, eps, Cp, Cn, L2R_L2LOSS_SVC_DUAL); break; case L2R_L1LOSS_SVC_DUAL: solve_l2r_l1l2_svc(prob, w, eps, Cp, Cn, L2R_L1LOSS_SVC_DUAL); break; case L1R_L2LOSS_SVC: { problem prob_col; feature_node *x_space = NULL; transpose(prob, &x_space ,&prob_col); solve_l1r_l2_svc(&prob_col, w, primal_solver_tol, Cp, Cn); delete [] prob_col.y; delete [] prob_col.x; delete [] x_space; break; } case L1R_LR: { problem prob_col; feature_node *x_space = NULL; transpose(prob, &x_space ,&prob_col); solve_l1r_lr(&prob_col, w, primal_solver_tol, Cp, Cn); delete [] prob_col.y; delete [] prob_col.x; delete [] x_space; break; } case L2R_LR_DUAL: solve_l2r_lr_dual(prob, w, eps, Cp, Cn); break; case L2R_L2LOSS_SVR: { double *C = new double[prob->l]; for(int i = 0; i < prob->l; i++) C[i] = param->C; fun_obj=new l2r_l2_svr_fun(prob, C, param->p); TRON tron_obj(fun_obj, param->eps); tron_obj.set_print_string(liblinear_print_string); tron_obj.tron(w); delete fun_obj; delete[] C; break; } case L2R_L1LOSS_SVR_DUAL: solve_l2r_l1l2_svr(prob, w, param, L2R_L1LOSS_SVR_DUAL); break; case L2R_L2LOSS_SVR_DUAL: solve_l2r_l1l2_svr(prob, w, param, L2R_L2LOSS_SVR_DUAL); break; default: fprintf(stderr, "ERROR: unknown solver_type\n"); break; } } // // Interface functions // model* train(const problem *prob, const parameter *param) { int i,j; int l = prob->l; int n = prob->n; int w_size = prob->n; model *model_ = Malloc(model,1); if(prob->bias>=0) model_->nr_feature=n-1; else model_->nr_feature=n; model_->param = *param; model_->bias = prob->bias; if(param->solver_type == L2R_L2LOSS_SVR || param->solver_type == L2R_L1LOSS_SVR_DUAL || param->solver_type == L2R_L2LOSS_SVR_DUAL) { model_->w = Malloc(double, w_size); model_->nr_class = 2; model_->label = NULL; train_one(prob, param, &model_->w[0], 0, 0); } else { int nr_class; int *label = NULL; int *start = NULL; int *count = NULL; int *perm = Malloc(int,l); // group training data of the same class group_classes(prob,&nr_class,&label,&start,&count,perm); model_->nr_class=nr_class; model_->label = Malloc(int,nr_class); for(i=0;ilabel[i] = label[i]; // calculate weighted C double *weighted_C = Malloc(double, nr_class); for(i=0;iC; for(i=0;inr_weight;i++) { for(j=0;jweight_label[i] == label[j]) break; if(j == nr_class) fprintf(stderr,"WARNING: class label %d specified in weight is not found\n", param->weight_label[i]); else weighted_C[j] *= param->weight[i]; } // constructing the subproblem feature_node **x = Malloc(feature_node *,l); for(i=0;ix[perm[i]]; int k; problem sub_prob; sub_prob.l = l; sub_prob.n = n; sub_prob.x = Malloc(feature_node *,sub_prob.l); sub_prob.y = Malloc(double,sub_prob.l); for(k=0; ksolver_type == MCSVM_CS) { model_->w=Malloc(double, n*nr_class); for(i=0;ieps); Solver.Solve(model_->w); } else { if(nr_class == 2) { model_->w=Malloc(double, w_size); int e0 = start[0]+count[0]; k=0; for(; kw[0], weighted_C[0], weighted_C[1]); } else { model_->w=Malloc(double, w_size*nr_class); double *w=Malloc(double, w_size); for(i=0;iC); for(int j=0;jw[j*nr_class+i] = w[j]; } free(w); } } free(x); free(label); free(start); free(count); free(perm); free(sub_prob.x); free(sub_prob.y); free(weighted_C); } return model_; } void cross_validation(const problem *prob, const parameter *param, int nr_fold, double *target) { int i; int *fold_start; int l = prob->l; int *perm = Malloc(int,l); if (nr_fold > l) { nr_fold = l; fprintf(stderr,"WARNING: # folds > # data. Will use # folds = # data instead (i.e., leave-one-out cross validation)\n"); } fold_start = Malloc(int,nr_fold+1); for(i=0;ibias; subprob.n = prob->n; subprob.l = l-(end-begin); subprob.x = Malloc(struct feature_node*,subprob.l); subprob.y = Malloc(double,subprob.l); k=0; for(j=0;jx[perm[j]]; subprob.y[k] = prob->y[perm[j]]; ++k; } for(j=end;jx[perm[j]]; subprob.y[k] = prob->y[perm[j]]; ++k; } struct model *submodel = train(&subprob,param); for(j=begin;jx[perm[j]]); free_and_destroy_model(&submodel); free(subprob.x); free(subprob.y); } free(fold_start); free(perm); } double predict_values(const struct model *model_, const struct feature_node *x, double *dec_values) { int idx; int n; if(model_->bias>=0) n=model_->nr_feature+1; else n=model_->nr_feature; double *w=model_->w; int nr_class=model_->nr_class; int i; int nr_w; if(nr_class==2 && model_->param.solver_type != MCSVM_CS) nr_w = 1; else nr_w = nr_class; const feature_node *lx=x; for(i=0;iindex)!=-1; lx++) { // the dimension of testing data may exceed that of training if(idx<=n) for(i=0;ivalue; } if(nr_class==2) { if(model_->param.solver_type == L2R_L2LOSS_SVR || model_->param.solver_type == L2R_L1LOSS_SVR_DUAL || model_->param.solver_type == L2R_L2LOSS_SVR_DUAL) return dec_values[0]; else return (dec_values[0]>0)?model_->label[0]:model_->label[1]; } else { int dec_max_idx = 0; for(i=1;i dec_values[dec_max_idx]) dec_max_idx = i; } return model_->label[dec_max_idx]; } } double predict(const model *model_, const feature_node *x) { double *dec_values = Malloc(double, model_->nr_class); double label=predict_values(model_, x, dec_values); free(dec_values); return label; } double predict_probability(const struct model *model_, const struct feature_node *x, double* prob_estimates) { if(check_probability_model(model_)) { int i; int nr_class=model_->nr_class; int nr_w; if(nr_class==2) nr_w = 1; else nr_w = nr_class; double label=predict_values(model_, x, prob_estimates); for(i=0;inr_feature; int n; const parameter& param = model_->param; if(model_->bias>=0) n=nr_feature+1; else n=nr_feature; int w_size = n; FILE *fp = fopen(model_file_name,"w"); if(fp==NULL) return -1; char *old_locale = strdup(setlocale(LC_ALL, NULL)); setlocale(LC_ALL, "C"); int nr_w; if(model_->nr_class==2 && model_->param.solver_type != MCSVM_CS) nr_w=1; else nr_w=model_->nr_class; fprintf(fp, "solver_type %s\n", solver_type_table[param.solver_type]); fprintf(fp, "nr_class %d\n", model_->nr_class); if(model_->label) { fprintf(fp, "label"); for(i=0; inr_class; i++) fprintf(fp, " %d", model_->label[i]); fprintf(fp, "\n"); } fprintf(fp, "nr_feature %d\n", nr_feature); fprintf(fp, "bias %.16g\n", model_->bias); fprintf(fp, "w\n"); for(i=0; iw[i*nr_w+j]); fprintf(fp, "\n"); } setlocale(LC_ALL, old_locale); free(old_locale); if (ferror(fp) != 0 || fclose(fp) != 0) return -1; else return 0; } struct model *load_model(const char *model_file_name) { FILE *fp = fopen(model_file_name,"r"); if(fp==NULL) return NULL; int i; int nr_feature; int n; int nr_class; double bias; model *model_ = Malloc(model,1); parameter& param = model_->param; model_->label = NULL; char *old_locale = strdup(setlocale(LC_ALL, NULL)); setlocale(LC_ALL, "C"); char cmd[81]; while(1) { fscanf(fp,"%80s",cmd); if(strcmp(cmd,"solver_type")==0) { fscanf(fp,"%80s",cmd); int i; for(i=0;solver_type_table[i];i++) { if(strcmp(solver_type_table[i],cmd)==0) { param.solver_type=i; break; } } if(solver_type_table[i] == NULL) { fprintf(stderr,"unknown solver type.\n"); setlocale(LC_ALL, old_locale); free(model_->label); free(model_); free(old_locale); return NULL; } } else if(strcmp(cmd,"nr_class")==0) { fscanf(fp,"%d",&nr_class); model_->nr_class=nr_class; } else if(strcmp(cmd,"nr_feature")==0) { fscanf(fp,"%d",&nr_feature); model_->nr_feature=nr_feature; } else if(strcmp(cmd,"bias")==0) { fscanf(fp,"%lf",&bias); model_->bias=bias; } else if(strcmp(cmd,"w")==0) { break; } else if(strcmp(cmd,"label")==0) { int nr_class = model_->nr_class; model_->label = Malloc(int,nr_class); for(int i=0;ilabel[i]); } else { fprintf(stderr,"unknown text in model file: [%s]\n",cmd); setlocale(LC_ALL, old_locale); free(model_->label); free(model_); free(old_locale); return NULL; } } nr_feature=model_->nr_feature; if(model_->bias>=0) n=nr_feature+1; else n=nr_feature; int w_size = n; int nr_w; if(nr_class==2 && param.solver_type != MCSVM_CS) nr_w = 1; else nr_w = nr_class; model_->w=Malloc(double, w_size*nr_w); for(i=0; iw[i*nr_w+j]); fscanf(fp, "\n"); } setlocale(LC_ALL, old_locale); free(old_locale); if (ferror(fp) != 0 || fclose(fp) != 0) return NULL; return model_; } int get_nr_feature(const model *model_) { return model_->nr_feature; } int get_nr_class(const model *model_) { return model_->nr_class; } void get_labels(const model *model_, int* label) { if (model_->label != NULL) for(int i=0;inr_class;i++) label[i] = model_->label[i]; } void free_model_content(struct model *model_ptr) { if(model_ptr->w != NULL) free(model_ptr->w); if(model_ptr->label != NULL) free(model_ptr->label); } void free_and_destroy_model(struct model **model_ptr_ptr) { struct model *model_ptr = *model_ptr_ptr; if(model_ptr != NULL) { free_model_content(model_ptr); free(model_ptr); } } void destroy_param(parameter* param) { if(param->weight_label != NULL) free(param->weight_label); if(param->weight != NULL) free(param->weight); } const char *check_parameter(const problem *prob, const parameter *param) { if(param->eps <= 0) return "eps <= 0"; if(param->C <= 0) return "C <= 0"; if(param->p < 0) return "p < 0"; if(param->solver_type != L2R_LR && param->solver_type != L2R_L2LOSS_SVC_DUAL && param->solver_type != L2R_L2LOSS_SVC && param->solver_type != L2R_L1LOSS_SVC_DUAL && param->solver_type != MCSVM_CS && param->solver_type != L1R_L2LOSS_SVC && param->solver_type != L1R_LR && param->solver_type != L2R_LR_DUAL && param->solver_type != L2R_L2LOSS_SVR && param->solver_type != L2R_L2LOSS_SVR_DUAL && param->solver_type != L2R_L1LOSS_SVR_DUAL) return "unknown solver type"; return NULL; } int check_probability_model(const struct model *model_) { return (model_->param.solver_type==L2R_LR || model_->param.solver_type==L2R_LR_DUAL || model_->param.solver_type==L1R_LR); } void set_print_string_function(void (*print_func)(const char*)) { if (print_func == NULL) liblinear_print_string = &print_string_stdout; else liblinear_print_string = print_func; }