ruby_linear 0.1.0

data/ext/tron.cpp

@@ -0,0 +1,235 @@
+#include <math.h>
+#include <stdio.h>
+#include <string.h>
+#include <stdarg.h>
+#include "tron.h"
+
+#ifndef min
+template <class T> static inline T min(T x,T y) { return (x<y)?x:y; }
+#endif
+
+#ifndef max
+template <class T> static inline T max(T x,T y) { return (x>y)?x:y; }
+#endif
+
+#ifdef __cplusplus
+extern "C" {
+#endif
+
+extern double dnrm2_(int *, double *, int *);
+extern double ddot_(int *, double *, int *, double *, int *);
+extern int daxpy_(int *, double *, double *, int *, double *, int *);
+extern int dscal_(int *, double *, double *, int *);
+
+#ifdef __cplusplus
+}
+#endif
+
+static void default_print(const char *buf)
+{
+	fputs(buf,stdout);
+	fflush(stdout);
+}
+
+void TRON::info(const char *fmt,...)
+{
+	char buf[BUFSIZ];
+	va_list ap;
+	va_start(ap,fmt);
+	vsprintf(buf,fmt,ap);
+	va_end(ap);
+	(*tron_print_string)(buf);
+}
+
+TRON::TRON(const function *fun_obj, double eps, int max_iter)
+{
+	this->fun_obj=const_cast<function *>(fun_obj);
+	this->eps=eps;
+	this->max_iter=max_iter;
+	tron_print_string = default_print;
+}
+
+TRON::~TRON()
+{
+}
+
+void TRON::tron(double *w)
+{
+	// Parameters for updating the iterates.
+	double eta0 = 1e-4, eta1 = 0.25, eta2 = 0.75;
+
+	// Parameters for updating the trust region size delta.
+	double sigma1 = 0.25, sigma2 = 0.5, sigma3 = 4;
+
+	int n = fun_obj->get_nr_variable();
+	int i, cg_iter;
+	double delta, snorm, one=1.0;
+	double alpha, f, fnew, prered, actred, gs;
+	int search = 1, iter = 1, inc = 1;
+	double *s = new double[n];
+	double *r = new double[n];
+	double *w_new = new double[n];
+	double *g = new double[n];
+
+	for (i=0; i<n; i++)
+		w[i] = 0;
+
+        f = fun_obj->fun(w);
+	fun_obj->grad(w, g);
+	delta = dnrm2_(&n, g, &inc);
+	double gnorm1 = delta;
+	double gnorm = gnorm1;
+
+	if (gnorm <= eps*gnorm1)
+		search = 0;
+
+	iter = 1;
+
+	while (iter <= max_iter && search)
+	{
+		cg_iter = trcg(delta, g, s, r);
+
+		memcpy(w_new, w, sizeof(double)*n);
+		daxpy_(&n, &one, s, &inc, w_new, &inc);
+
+		gs = ddot_(&n, g, &inc, s, &inc);
+		prered = -0.5*(gs-ddot_(&n, s, &inc, r, &inc));
+                fnew = fun_obj->fun(w_new);
+
+		// Compute the actual reduction.
+	        actred = f - fnew;
+
+		// On the first iteration, adjust the initial step bound.
+		snorm = dnrm2_(&n, s, &inc);
+		if (iter == 1)
+			delta = min(delta, snorm);
+
+		// Compute prediction alpha*snorm of the step.
+		if (fnew - f - gs <= 0)
+			alpha = sigma3;
+		else
+			alpha = max(sigma1, -0.5*(gs/(fnew - f - gs)));
+
+		// Update the trust region bound according to the ratio of actual to predicted reduction.
+		if (actred < eta0*prered)
+			delta = min(max(alpha, sigma1)*snorm, sigma2*delta);
+		else if (actred < eta1*prered)
+			delta = max(sigma1*delta, min(alpha*snorm, sigma2*delta));
+		else if (actred < eta2*prered)
+			delta = max(sigma1*delta, min(alpha*snorm, sigma3*delta));
+		else
+			delta = max(delta, min(alpha*snorm, sigma3*delta));
+
+		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);
+
+		if (actred > eta0*prered)
+		{
+			iter++;
+			memcpy(w, w_new, sizeof(double)*n);
+			f = fnew;
+		        fun_obj->grad(w, g);
+
+			gnorm = dnrm2_(&n, g, &inc);
+			if (gnorm <= eps*gnorm1)
+				break;
+		}
+		if (f < -1.0e+32)
+		{
+			info("warning: f < -1.0e+32\n");
+			break;
+		}
+		if (fabs(actred) <= 0 && prered <= 0)
+		{
+			info("warning: actred and prered <= 0\n");
+			break;
+		}
+		if (fabs(actred) <= 1.0e-12*fabs(f) &&
+		    fabs(prered) <= 1.0e-12*fabs(f))
+		{
+			info("warning: actred and prered too small\n");
+			break;
+		}
+	}
+
+	delete[] g;
+	delete[] r;
+	delete[] w_new;
+	delete[] s;
+}
+
+int TRON::trcg(double delta, double *g, double *s, double *r)
+{
+	int i, inc = 1;
+	int n = fun_obj->get_nr_variable();
+	double one = 1;
+	double *d = new double[n];
+	double *Hd = new double[n];
+	double rTr, rnewTrnew, alpha, beta, cgtol;
+
+	for (i=0; i<n; i++)
+	{
+		s[i] = 0;
+		r[i] = -g[i];
+		d[i] = r[i];
+	}
+	cgtol = 0.1*dnrm2_(&n, g, &inc);
+
+	int cg_iter = 0;
+	rTr = ddot_(&n, r, &inc, r, &inc);
+	while (1)
+	{
+		if (dnrm2_(&n, r, &inc) <= cgtol)
+			break;
+		cg_iter++;
+		fun_obj->Hv(d, Hd);
+
+		alpha = rTr/ddot_(&n, d, &inc, Hd, &inc);
+		daxpy_(&n, &alpha, d, &inc, s, &inc);
+		if (dnrm2_(&n, s, &inc) > delta)
+		{
+			info("cg reaches trust region boundary\n");
+			alpha = -alpha;
+			daxpy_(&n, &alpha, d, &inc, s, &inc);
+
+			double std = ddot_(&n, s, &inc, d, &inc);
+			double sts = ddot_(&n, s, &inc, s, &inc);
+			double dtd = ddot_(&n, d, &inc, d, &inc);
+			double dsq = delta*delta;
+			double rad = sqrt(std*std + dtd*(dsq-sts));
+			if (std >= 0)
+				alpha = (dsq - sts)/(std + rad);
+			else
+				alpha = (rad - std)/dtd;
+			daxpy_(&n, &alpha, d, &inc, s, &inc);
+			alpha = -alpha;
+			daxpy_(&n, &alpha, Hd, &inc, r, &inc);
+			break;
+		}
+		alpha = -alpha;
+		daxpy_(&n, &alpha, Hd, &inc, r, &inc);
+		rnewTrnew = ddot_(&n, r, &inc, r, &inc);
+		beta = rnewTrnew/rTr;
+		dscal_(&n, &beta, d, &inc);
+		daxpy_(&n, &one, r, &inc, d, &inc);
+		rTr = rnewTrnew;
+	}
+
+	delete[] d;
+	delete[] Hd;
+
+	return(cg_iter);
+}
+
+double TRON::norm_inf(int n, double *x)
+{
+	double dmax = fabs(x[0]);
+	for (int i=1; i<n; i++)
+		if (fabs(x[i]) >= dmax)
+			dmax = fabs(x[i]);
+	return(dmax);
+}
+
+void TRON::set_print_string(void (*print_string) (const char *buf))
+{
+	tron_print_string = print_string;
+}

data/ext/tron.h

@@ -0,0 +1,34 @@
+#ifndef _TRON_H
+#define _TRON_H
+
+class function
+{
+public:
+	virtual double fun(double *w) = 0 ;
+	virtual void grad(double *w, double *g) = 0 ;
+	virtual void Hv(double *s, double *Hs) = 0 ;
+
+	virtual int get_nr_variable(void) = 0 ;
+	virtual ~function(void){}
+};
+
+class TRON
+{
+public:
+	TRON(const function *fun_obj, double eps = 0.1, int max_iter = 1000);
+	~TRON();
+
+	void tron(double *w);
+	void set_print_string(void (*i_print) (const char *buf));
+
+private:
+	int trcg(double delta, double *g, double *s, double *r);
+	double norm_inf(int n, double *x);
+
+	double eps;
+	int max_iter;
+	function *fun_obj;
+	void info(const char *fmt,...);
+	void (*tron_print_string)(const char *buf);
+};
+#endif

data/lib/ruby_linear.rb

@@ -0,0 +1,11 @@
+require 'rubylinear_native'
+
+module RubyLinear
+  def self.validate_options(options)
+    raise ArgumentError, "A solver must be specified" unless options[:solver]
+    unknown_keys = options.keys - [:c, :solver, :eps, :weights]
+    if unknown_keys.any?
+      raise ArgumentError, "Unknown options: #{unknown_keys.inspect}"
+    end
+  end
+end

data/spec/fixtures/dna.dat

@@ -0,0 +1,187 @@
+solver_type L1R_L2LOSS_SVC
+nr_class 3
+label 3 1 2
+nr_feature 180
+bias 1
+w
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