alglib 0.1.1

data/ext/alglib/mlpbase.h

@@ -0,0 +1,589 @@
+/*************************************************************************
+Copyright (c) 2007-2008, Sergey Bochkanov (ALGLIB project).
+
+Redistribution and use in source and binary forms, with or without
+modification, are permitted provided that the following conditions are
+met:
+
+- Redistributions of source code must retain the above copyright
+  notice, this list of conditions and the following disclaimer.
+
+- Redistributions in binary form must reproduce the above copyright
+  notice, this list of conditions and the following disclaimer listed
+  in this license in the documentation and/or other materials
+  provided with the distribution.
+
+- Neither the name of the copyright holders nor the names of its
+  contributors may be used to endorse or promote products derived from
+  this software without specific prior written permission.
+
+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.
+*************************************************************************/
+
+#ifndef _mlpbase_h
+#define _mlpbase_h
+
+#include "ap.h"
+#include "ialglib.h"
+
+struct multilayerperceptron
+{
+    ap::integer_1d_array structinfo;
+    ap::real_1d_array weights;
+    ap::real_1d_array columnmeans;
+    ap::real_1d_array columnsigmas;
+    ap::real_1d_array neurons;
+    ap::real_1d_array dfdnet;
+    ap::real_1d_array derror;
+    ap::real_1d_array x;
+    ap::real_1d_array y;
+    ap::real_2d_array chunks;
+    ap::real_1d_array nwbuf;
+};
+
+
+/*************************************************************************
+Creates  neural  network  with  NIn  inputs,  NOut outputs, without hidden
+layers, with linear output layer. Network weights are  filled  with  small
+random values.
+
+  -- ALGLIB --
+     Copyright 04.11.2007 by Bochkanov Sergey
+*************************************************************************/
+void mlpcreate0(int nin, int nout, multilayerperceptron& network);
+
+
+/*************************************************************************
+Same  as  MLPCreate0,  but  with  one  hidden  layer  (NHid  neurons) with
+non-linear activation function. Output layer is linear.
+
+  -- ALGLIB --
+     Copyright 04.11.2007 by Bochkanov Sergey
+*************************************************************************/
+void mlpcreate1(int nin, int nhid, int nout, multilayerperceptron& network);
+
+
+/*************************************************************************
+Same as MLPCreate0, but with two hidden layers (NHid1 and  NHid2  neurons)
+with non-linear activation function. Output layer is linear.
+ $ALL
+
+  -- ALGLIB --
+     Copyright 04.11.2007 by Bochkanov Sergey
+*************************************************************************/
+void mlpcreate2(int nin,
+     int nhid1,
+     int nhid2,
+     int nout,
+     multilayerperceptron& network);
+
+
+/*************************************************************************
+Creates  neural  network  with  NIn  inputs,  NOut outputs, without hidden
+layers with non-linear output layer. Network weights are filled with small
+random values.
+
+Activation function of the output layer takes values:
+
+    (B, +INF), if D>=0
+
+or
+
+    (-INF, B), if D<0.
+
+
+  -- ALGLIB --
+     Copyright 30.03.2008 by Bochkanov Sergey
+*************************************************************************/
+void mlpcreateb0(int nin,
+     int nout,
+     double b,
+     double d,
+     multilayerperceptron& network);
+
+
+/*************************************************************************
+Same as MLPCreateB0 but with non-linear hidden layer.
+
+  -- ALGLIB --
+     Copyright 30.03.2008 by Bochkanov Sergey
+*************************************************************************/
+void mlpcreateb1(int nin,
+     int nhid,
+     int nout,
+     double b,
+     double d,
+     multilayerperceptron& network);
+
+
+/*************************************************************************
+Same as MLPCreateB0 but with two non-linear hidden layers.
+
+  -- ALGLIB --
+     Copyright 30.03.2008 by Bochkanov Sergey
+*************************************************************************/
+void mlpcreateb2(int nin,
+     int nhid1,
+     int nhid2,
+     int nout,
+     double b,
+     double d,
+     multilayerperceptron& network);
+
+
+/*************************************************************************
+Creates  neural  network  with  NIn  inputs,  NOut outputs, without hidden
+layers with non-linear output layer. Network weights are filled with small
+random values. Activation function of the output layer takes values [A,B].
+
+  -- ALGLIB --
+     Copyright 30.03.2008 by Bochkanov Sergey
+*************************************************************************/
+void mlpcreater0(int nin,
+     int nout,
+     double a,
+     double b,
+     multilayerperceptron& network);
+
+
+/*************************************************************************
+Same as MLPCreateR0, but with non-linear hidden layer.
+
+  -- ALGLIB --
+     Copyright 30.03.2008 by Bochkanov Sergey
+*************************************************************************/
+void mlpcreater1(int nin,
+     int nhid,
+     int nout,
+     double a,
+     double b,
+     multilayerperceptron& network);
+
+
+/*************************************************************************
+Same as MLPCreateR0, but with two non-linear hidden layers.
+
+  -- ALGLIB --
+     Copyright 30.03.2008 by Bochkanov Sergey
+*************************************************************************/
+void mlpcreater2(int nin,
+     int nhid1,
+     int nhid2,
+     int nout,
+     double a,
+     double b,
+     multilayerperceptron& network);
+
+
+/*************************************************************************
+Creates classifier network with NIn  inputs  and  NOut  possible  classes.
+Network contains no hidden layers and linear output  layer  with  SOFTMAX-
+normalization  (so  outputs  sums  up  to  1.0  and  converge to posterior
+probabilities).
+
+  -- ALGLIB --
+     Copyright 04.11.2007 by Bochkanov Sergey
+*************************************************************************/
+void mlpcreatec0(int nin, int nout, multilayerperceptron& network);
+
+
+/*************************************************************************
+Same as MLPCreateC0, but with one non-linear hidden layer.
+
+  -- ALGLIB --
+     Copyright 04.11.2007 by Bochkanov Sergey
+*************************************************************************/
+void mlpcreatec1(int nin, int nhid, int nout, multilayerperceptron& network);
+
+
+/*************************************************************************
+Same as MLPCreateC0, but with two non-linear hidden layers.
+
+  -- ALGLIB --
+     Copyright 04.11.2007 by Bochkanov Sergey
+*************************************************************************/
+void mlpcreatec2(int nin,
+     int nhid1,
+     int nhid2,
+     int nout,
+     multilayerperceptron& network);
+
+
+/*************************************************************************
+Copying of neural network
+
+INPUT PARAMETERS:
+    Network1 -   original
+
+OUTPUT PARAMETERS:
+    Network2 -   copy
+
+  -- ALGLIB --
+     Copyright 04.11.2007 by Bochkanov Sergey
+*************************************************************************/
+void mlpcopy(const multilayerperceptron& network1,
+     multilayerperceptron& network2);
+
+
+/*************************************************************************
+Serialization of MultiLayerPerceptron strucure
+
+INPUT PARAMETERS:
+    Network -   original
+
+OUTPUT PARAMETERS:
+    RA      -   array of real numbers which stores network,
+                array[0..RLen-1]
+    RLen    -   RA lenght
+
+  -- ALGLIB --
+     Copyright 29.03.2008 by Bochkanov Sergey
+*************************************************************************/
+void mlpserialize(const multilayerperceptron& network,
+     ap::real_1d_array& ra,
+     int& rlen);
+
+
+/*************************************************************************
+Unserialization of MultiLayerPerceptron strucure
+
+INPUT PARAMETERS:
+    RA      -   real array which stores network
+
+OUTPUT PARAMETERS:
+    Network -   restored network
+
+  -- ALGLIB --
+     Copyright 29.03.2008 by Bochkanov Sergey
+*************************************************************************/
+void mlpunserialize(const ap::real_1d_array& ra,
+     multilayerperceptron& network);
+
+
+/*************************************************************************
+Randomization of neural network weights
+
+  -- ALGLIB --
+     Copyright 06.11.2007 by Bochkanov Sergey
+*************************************************************************/
+void mlprandomize(multilayerperceptron& network);
+
+
+/*************************************************************************
+Randomization of neural network weights and standartisator
+
+  -- ALGLIB --
+     Copyright 10.03.2008 by Bochkanov Sergey
+*************************************************************************/
+void mlprandomizefull(multilayerperceptron& network);
+
+
+/*************************************************************************
+Internal subroutine.
+
+  -- ALGLIB --
+     Copyright 30.03.2008 by Bochkanov Sergey
+*************************************************************************/
+void mlpinitpreprocessor(multilayerperceptron& network,
+     const ap::real_2d_array& xy,
+     int ssize);
+
+
+/*************************************************************************
+Returns information about initialized network: number of inputs, outputs,
+weights.
+
+  -- ALGLIB --
+     Copyright 04.11.2007 by Bochkanov Sergey
+*************************************************************************/
+void mlpproperties(const multilayerperceptron& network,
+     int& nin,
+     int& nout,
+     int& wcount);
+
+
+/*************************************************************************
+Tells whether network is SOFTMAX-normalized (i.e. classifier) or not.
+
+  -- ALGLIB --
+     Copyright 04.11.2007 by Bochkanov Sergey
+*************************************************************************/
+bool mlpissoftmax(const multilayerperceptron& network);
+
+
+/*************************************************************************
+Procesing
+
+INPUT PARAMETERS:
+    Network -   neural network
+    X       -   input vector,  array[0..NIn-1].
+
+OUTPUT PARAMETERS:
+    Y       -   result. Regression estimate when solving regression  task,
+                vector of posterior probabilities for classification task.
+                Subroutine does not allocate memory for this vector, it is
+                responsibility of a caller to allocate it. Array  must  be
+                at least [0..NOut-1].
+
+  -- ALGLIB --
+     Copyright 04.11.2007 by Bochkanov Sergey
+*************************************************************************/
+void mlpprocess(multilayerperceptron& network,
+     const ap::real_1d_array& x,
+     ap::real_1d_array& y);
+
+
+/*************************************************************************
+Error function for neural network, internal subroutine.
+
+  -- ALGLIB --
+     Copyright 04.11.2007 by Bochkanov Sergey
+*************************************************************************/
+double mlperror(multilayerperceptron& network,
+     const ap::real_2d_array& xy,
+     int ssize);
+
+
+/*************************************************************************
+Natural error function for neural network, internal subroutine.
+
+  -- ALGLIB --
+     Copyright 04.11.2007 by Bochkanov Sergey
+*************************************************************************/
+double mlperrorn(multilayerperceptron& network,
+     const ap::real_2d_array& xy,
+     int ssize);
+
+
+/*************************************************************************
+Classification error
+
+  -- ALGLIB --
+     Copyright 04.11.2007 by Bochkanov Sergey
+*************************************************************************/
+int mlpclserror(multilayerperceptron& network,
+     const ap::real_2d_array& xy,
+     int ssize);
+
+
+/*************************************************************************
+Relative classification error on the test set
+
+INPUT PARAMETERS:
+    Network -   network
+    XY      -   test set
+    NPoints -   test set size
+
+RESULT:
+    percent of incorrectly classified cases. Works both for
+    classifier networks and general purpose networks used as
+    classifiers.
+
+  -- ALGLIB --
+     Copyright 25.12.2008 by Bochkanov Sergey
+*************************************************************************/
+double mlprelclserror(multilayerperceptron& network,
+     const ap::real_2d_array& xy,
+     int npoints);
+
+
+/*************************************************************************
+Average cross-entropy (in bits per element) on the test set
+
+INPUT PARAMETERS:
+    Network -   neural network
+    XY      -   test set
+    NPoints -   test set size
+
+RESULT:
+    CrossEntropy/(NPoints*LN(2)).
+    Zero if network solves regression task.
+
+  -- ALGLIB --
+     Copyright 08.01.2009 by Bochkanov Sergey
+*************************************************************************/
+double mlpavgce(multilayerperceptron& network,
+     const ap::real_2d_array& xy,
+     int npoints);
+
+
+/*************************************************************************
+RMS error on the test set
+
+INPUT PARAMETERS:
+    Network -   neural network
+    XY      -   test set
+    NPoints -   test set size
+
+RESULT:
+    root mean square error.
+    Its meaning for regression task is obvious. As for
+    classification task, RMS error means error when estimating posterior
+    probabilities.
+
+  -- ALGLIB --
+     Copyright 04.11.2007 by Bochkanov Sergey
+*************************************************************************/
+double mlprmserror(multilayerperceptron& network,
+     const ap::real_2d_array& xy,
+     int npoints);
+
+
+/*************************************************************************
+Average error on the test set
+
+INPUT PARAMETERS:
+    Network -   neural network
+    XY      -   test set
+    NPoints -   test set size
+
+RESULT:
+    Its meaning for regression task is obvious. As for
+    classification task, it means average error when estimating posterior
+    probabilities.
+
+  -- ALGLIB --
+     Copyright 11.03.2008 by Bochkanov Sergey
+*************************************************************************/
+double mlpavgerror(multilayerperceptron& network,
+     const ap::real_2d_array& xy,
+     int npoints);
+
+
+/*************************************************************************
+Average relative error on the test set
+
+INPUT PARAMETERS:
+    Network -   neural network
+    XY      -   test set
+    NPoints -   test set size
+
+RESULT:
+    Its meaning for regression task is obvious. As for
+    classification task, it means average relative error when estimating
+    posterior probability of belonging to the correct class.
+
+  -- ALGLIB --
+     Copyright 11.03.2008 by Bochkanov Sergey
+*************************************************************************/
+double mlpavgrelerror(multilayerperceptron& network,
+     const ap::real_2d_array& xy,
+     int npoints);
+
+
+/*************************************************************************
+Gradient calculation. Internal subroutine.
+
+  -- ALGLIB --
+     Copyright 04.11.2007 by Bochkanov Sergey
+*************************************************************************/
+void mlpgrad(multilayerperceptron& network,
+     const ap::real_1d_array& x,
+     const ap::real_1d_array& desiredy,
+     double& e,
+     ap::real_1d_array& grad);
+
+
+/*************************************************************************
+Gradient calculation (natural error function). Internal subroutine.
+
+  -- ALGLIB --
+     Copyright 04.11.2007 by Bochkanov Sergey
+*************************************************************************/
+void mlpgradn(multilayerperceptron& network,
+     const ap::real_1d_array& x,
+     const ap::real_1d_array& desiredy,
+     double& e,
+     ap::real_1d_array& grad);
+
+
+/*************************************************************************
+Batch gradient calculation. Internal subroutine.
+
+  -- ALGLIB --
+     Copyright 04.11.2007 by Bochkanov Sergey
+*************************************************************************/
+void mlpgradbatch(multilayerperceptron& network,
+     const ap::real_2d_array& xy,
+     int ssize,
+     double& e,
+     ap::real_1d_array& grad);
+
+
+/*************************************************************************
+Batch gradient calculation (natural error function). Internal subroutine.
+
+  -- ALGLIB --
+     Copyright 04.11.2007 by Bochkanov Sergey
+*************************************************************************/
+void mlpgradnbatch(multilayerperceptron& network,
+     const ap::real_2d_array& xy,
+     int ssize,
+     double& e,
+     ap::real_1d_array& grad);
+
+
+/*************************************************************************
+Batch Hessian calculation (natural error function) using R-algorithm.
+Internal subroutine.
+
+  -- ALGLIB --
+     Copyright 26.01.2008 by Bochkanov Sergey.
+     
+     Hessian calculation based on R-algorithm described in
+     "Fast Exact Multiplication by the Hessian",
+     B. A. Pearlmutter,
+     Neural Computation, 1994.
+*************************************************************************/
+void mlphessiannbatch(multilayerperceptron& network,
+     const ap::real_2d_array& xy,
+     int ssize,
+     double& e,
+     ap::real_1d_array& grad,
+     ap::real_2d_array& h);
+
+
+/*************************************************************************
+Batch Hessian calculation using R-algorithm.
+Internal subroutine.
+
+  -- ALGLIB --
+     Copyright 26.01.2008 by Bochkanov Sergey.
+
+     Hessian calculation based on R-algorithm described in
+     "Fast Exact Multiplication by the Hessian",
+     B. A. Pearlmutter,
+     Neural Computation, 1994.
+*************************************************************************/
+void mlphessianbatch(multilayerperceptron& network,
+     const ap::real_2d_array& xy,
+     int ssize,
+     double& e,
+     ap::real_1d_array& grad,
+     ap::real_2d_array& h);
+
+
+/*************************************************************************
+Internal subroutine, shouldn't be called by user.
+*************************************************************************/
+void mlpinternalprocessvector(const ap::integer_1d_array& structinfo,
+     const ap::real_1d_array& weights,
+     const ap::real_1d_array& columnmeans,
+     const ap::real_1d_array& columnsigmas,
+     ap::real_1d_array& neurons,
+     ap::real_1d_array& dfdnet,
+     const ap::real_1d_array& x,
+     ap::real_1d_array& y);
+
+
+#endif