ruby_linear 0.1.0

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Files changed (26) hide show
  1. data/AUTHORS +3 -0
  2. data/COPYING +24 -0
  3. data/README.markdown +109 -0
  4. data/Rakefile +15 -0
  5. data/ext/blas.h +25 -0
  6. data/ext/blasp.h +430 -0
  7. data/ext/daxpy.c +49 -0
  8. data/ext/ddot.c +50 -0
  9. data/ext/dnrm2.c +62 -0
  10. data/ext/dscal.c +44 -0
  11. data/ext/extconf.rb +4 -0
  12. data/ext/linear.cpp +2385 -0
  13. data/ext/linear.h +77 -0
  14. data/ext/rubylinear.cpp +639 -0
  15. data/ext/tron.cpp +235 -0
  16. data/ext/tron.h +34 -0
  17. data/lib/ruby_linear.rb +11 -0
  18. data/spec/fixtures/dna.dat +187 -0
  19. data/spec/fixtures/dna.out +1186 -0
  20. data/spec/fixtures/dna.scale.t +1186 -0
  21. data/spec/fixtures/dna.scale.txt +2000 -0
  22. data/spec/integration_spec.rb +54 -0
  23. data/spec/model_spec.rb +57 -0
  24. data/spec/problem_spec.rb +83 -0
  25. data/spec/spec_helper.rb +10 -0
  26. metadata +71 -0
data/ext/tron.cpp ADDED
@@ -0,0 +1,235 @@
1
+ #include <math.h>
2
+ #include <stdio.h>
3
+ #include <string.h>
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+ #include <stdarg.h>
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+ #include "tron.h"
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+
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+ #ifndef min
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+ template <class T> static inline T min(T x,T y) { return (x<y)?x:y; }
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+ #endif
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+
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+ #ifndef max
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+ template <class T> static inline T max(T x,T y) { return (x>y)?x:y; }
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+ #endif
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+
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+ #ifdef __cplusplus
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+ extern "C" {
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+ #endif
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+
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+ extern double dnrm2_(int *, double *, int *);
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+ extern double ddot_(int *, double *, int *, double *, int *);
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+ extern int daxpy_(int *, double *, double *, int *, double *, int *);
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+ extern int dscal_(int *, double *, double *, int *);
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+
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+ #ifdef __cplusplus
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+ }
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+ #endif
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+
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+ static void default_print(const char *buf)
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+ {
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+ fputs(buf,stdout);
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+ fflush(stdout);
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+ }
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+
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+ void TRON::info(const char *fmt,...)
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+ {
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+ char buf[BUFSIZ];
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+ va_list ap;
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+ va_start(ap,fmt);
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+ vsprintf(buf,fmt,ap);
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+ va_end(ap);
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+ (*tron_print_string)(buf);
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+ }
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+
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+ TRON::TRON(const function *fun_obj, double eps, int max_iter)
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+ {
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+ this->fun_obj=const_cast<function *>(fun_obj);
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+ this->eps=eps;
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+ this->max_iter=max_iter;
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+ tron_print_string = default_print;
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+ }
51
+
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+ TRON::~TRON()
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+ {
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+ }
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+
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+ void TRON::tron(double *w)
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+ {
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+ // Parameters for updating the iterates.
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+ double eta0 = 1e-4, eta1 = 0.25, eta2 = 0.75;
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+
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+ // Parameters for updating the trust region size delta.
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+ double sigma1 = 0.25, sigma2 = 0.5, sigma3 = 4;
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+
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+ int n = fun_obj->get_nr_variable();
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+ int i, cg_iter;
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+ double delta, snorm, one=1.0;
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+ double alpha, f, fnew, prered, actred, gs;
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+ int search = 1, iter = 1, inc = 1;
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+ double *s = new double[n];
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+ double *r = new double[n];
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+ double *w_new = new double[n];
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+ double *g = new double[n];
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+
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+ for (i=0; i<n; i++)
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+ w[i] = 0;
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+
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+ f = fun_obj->fun(w);
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+ fun_obj->grad(w, g);
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+ delta = dnrm2_(&n, g, &inc);
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+ double gnorm1 = delta;
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+ double gnorm = gnorm1;
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+
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+ if (gnorm <= eps*gnorm1)
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+ search = 0;
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+
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+ iter = 1;
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+
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+ while (iter <= max_iter && search)
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+ {
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+ cg_iter = trcg(delta, g, s, r);
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+
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+ memcpy(w_new, w, sizeof(double)*n);
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+ daxpy_(&n, &one, s, &inc, w_new, &inc);
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+
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+ gs = ddot_(&n, g, &inc, s, &inc);
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+ prered = -0.5*(gs-ddot_(&n, s, &inc, r, &inc));
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+ fnew = fun_obj->fun(w_new);
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+
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+ // Compute the actual reduction.
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+ actred = f - fnew;
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+
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+ // On the first iteration, adjust the initial step bound.
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+ snorm = dnrm2_(&n, s, &inc);
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+ if (iter == 1)
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+ delta = min(delta, snorm);
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+
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+ // Compute prediction alpha*snorm of the step.
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+ if (fnew - f - gs <= 0)
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+ alpha = sigma3;
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+ else
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+ alpha = max(sigma1, -0.5*(gs/(fnew - f - gs)));
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+
113
+ // Update the trust region bound according to the ratio of actual to predicted reduction.
114
+ if (actred < eta0*prered)
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+ delta = min(max(alpha, sigma1)*snorm, sigma2*delta);
116
+ else if (actred < eta1*prered)
117
+ delta = max(sigma1*delta, min(alpha*snorm, sigma2*delta));
118
+ else if (actred < eta2*prered)
119
+ delta = max(sigma1*delta, min(alpha*snorm, sigma3*delta));
120
+ else
121
+ delta = max(delta, min(alpha*snorm, sigma3*delta));
122
+
123
+ info("iter %2d act %5.3e pre %5.3e delta %5.3e f %5.3e |g| %5.3e CG %3d\n", iter, actred, prered, delta, f, gnorm, cg_iter);
124
+
125
+ if (actred > eta0*prered)
126
+ {
127
+ iter++;
128
+ memcpy(w, w_new, sizeof(double)*n);
129
+ f = fnew;
130
+ fun_obj->grad(w, g);
131
+
132
+ gnorm = dnrm2_(&n, g, &inc);
133
+ if (gnorm <= eps*gnorm1)
134
+ break;
135
+ }
136
+ if (f < -1.0e+32)
137
+ {
138
+ info("warning: f < -1.0e+32\n");
139
+ break;
140
+ }
141
+ if (fabs(actred) <= 0 && prered <= 0)
142
+ {
143
+ info("warning: actred and prered <= 0\n");
144
+ break;
145
+ }
146
+ if (fabs(actred) <= 1.0e-12*fabs(f) &&
147
+ fabs(prered) <= 1.0e-12*fabs(f))
148
+ {
149
+ info("warning: actred and prered too small\n");
150
+ break;
151
+ }
152
+ }
153
+
154
+ delete[] g;
155
+ delete[] r;
156
+ delete[] w_new;
157
+ delete[] s;
158
+ }
159
+
160
+ int TRON::trcg(double delta, double *g, double *s, double *r)
161
+ {
162
+ int i, inc = 1;
163
+ int n = fun_obj->get_nr_variable();
164
+ double one = 1;
165
+ double *d = new double[n];
166
+ double *Hd = new double[n];
167
+ double rTr, rnewTrnew, alpha, beta, cgtol;
168
+
169
+ for (i=0; i<n; i++)
170
+ {
171
+ s[i] = 0;
172
+ r[i] = -g[i];
173
+ d[i] = r[i];
174
+ }
175
+ cgtol = 0.1*dnrm2_(&n, g, &inc);
176
+
177
+ int cg_iter = 0;
178
+ rTr = ddot_(&n, r, &inc, r, &inc);
179
+ while (1)
180
+ {
181
+ if (dnrm2_(&n, r, &inc) <= cgtol)
182
+ break;
183
+ cg_iter++;
184
+ fun_obj->Hv(d, Hd);
185
+
186
+ alpha = rTr/ddot_(&n, d, &inc, Hd, &inc);
187
+ daxpy_(&n, &alpha, d, &inc, s, &inc);
188
+ if (dnrm2_(&n, s, &inc) > delta)
189
+ {
190
+ info("cg reaches trust region boundary\n");
191
+ alpha = -alpha;
192
+ daxpy_(&n, &alpha, d, &inc, s, &inc);
193
+
194
+ double std = ddot_(&n, s, &inc, d, &inc);
195
+ double sts = ddot_(&n, s, &inc, s, &inc);
196
+ double dtd = ddot_(&n, d, &inc, d, &inc);
197
+ double dsq = delta*delta;
198
+ double rad = sqrt(std*std + dtd*(dsq-sts));
199
+ if (std >= 0)
200
+ alpha = (dsq - sts)/(std + rad);
201
+ else
202
+ alpha = (rad - std)/dtd;
203
+ daxpy_(&n, &alpha, d, &inc, s, &inc);
204
+ alpha = -alpha;
205
+ daxpy_(&n, &alpha, Hd, &inc, r, &inc);
206
+ break;
207
+ }
208
+ alpha = -alpha;
209
+ daxpy_(&n, &alpha, Hd, &inc, r, &inc);
210
+ rnewTrnew = ddot_(&n, r, &inc, r, &inc);
211
+ beta = rnewTrnew/rTr;
212
+ dscal_(&n, &beta, d, &inc);
213
+ daxpy_(&n, &one, r, &inc, d, &inc);
214
+ rTr = rnewTrnew;
215
+ }
216
+
217
+ delete[] d;
218
+ delete[] Hd;
219
+
220
+ return(cg_iter);
221
+ }
222
+
223
+ double TRON::norm_inf(int n, double *x)
224
+ {
225
+ double dmax = fabs(x[0]);
226
+ for (int i=1; i<n; i++)
227
+ if (fabs(x[i]) >= dmax)
228
+ dmax = fabs(x[i]);
229
+ return(dmax);
230
+ }
231
+
232
+ void TRON::set_print_string(void (*print_string) (const char *buf))
233
+ {
234
+ tron_print_string = print_string;
235
+ }
data/ext/tron.h ADDED
@@ -0,0 +1,34 @@
1
+ #ifndef _TRON_H
2
+ #define _TRON_H
3
+
4
+ class function
5
+ {
6
+ public:
7
+ virtual double fun(double *w) = 0 ;
8
+ virtual void grad(double *w, double *g) = 0 ;
9
+ virtual void Hv(double *s, double *Hs) = 0 ;
10
+
11
+ virtual int get_nr_variable(void) = 0 ;
12
+ virtual ~function(void){}
13
+ };
14
+
15
+ class TRON
16
+ {
17
+ public:
18
+ TRON(const function *fun_obj, double eps = 0.1, int max_iter = 1000);
19
+ ~TRON();
20
+
21
+ void tron(double *w);
22
+ void set_print_string(void (*i_print) (const char *buf));
23
+
24
+ private:
25
+ int trcg(double delta, double *g, double *s, double *r);
26
+ double norm_inf(int n, double *x);
27
+
28
+ double eps;
29
+ int max_iter;
30
+ function *fun_obj;
31
+ void info(const char *fmt,...);
32
+ void (*tron_print_string)(const char *buf);
33
+ };
34
+ #endif
data/lib/ruby_linear.rb ADDED
@@ -0,0 +1,11 @@
1
+ require 'rubylinear_native'
2
+
3
+ module RubyLinear
4
+ def self.validate_options(options)
5
+ raise ArgumentError, "A solver must be specified" unless options[:solver]
6
+ unknown_keys = options.keys - [:c, :solver, :eps, :weights]
7
+ if unknown_keys.any?
8
+ raise ArgumentError, "Unknown options: #{unknown_keys.inspect}"
9
+ end
10
+ end
11
+ end
data/spec/fixtures/dna.dat ADDED
@@ -0,0 +1,187 @@
1
+ solver_type L1R_L2LOSS_SVC
2
+ nr_class 3
3
+ label 3 1 2
4
+ nr_feature 180
5
+ bias 1
6
+ w
7
+ 0.02013340696642403 0 -0.1571378238848434
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+ 0.03749897313697532 0.02851810309740256 -0.08792709217307064
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+ 0.182416942819516 0 -0.1629008738421322
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+ 0.057398256185904 0.08587655132804607 -0.4021248537619269
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+ -0.08440945299874639 0.04594758113861868 -0.324144012763583
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+ 0.09626666880140594 -0.2013231822238345 -0.2020521658482208
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+ 0.1931040870407536 0.1165262941019092 -0.2730273782988501
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+ 0.2422178248127555 -0.2029517136885474 -0.1256037328887049
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+ 0.2009360994942547 -0.06501527346239024 -0.2667453041189386
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