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#include "crm_svm_lib_fncts.h"
// crm_svm_lib_fncts.c - Support Vector Machine
////////////////////////////////////////////////////////////////////////
// This code is originally copyright and owned by William
// S. Yerazunis as file crm_neural_net. In return for addition of
// significant derivative work, Jennifer Barry is hereby granted a full
// unlimited license to use this code, includng license to relicense under
// other licenses.
////////////////////////////////////////////////////////////////////////
//
// Copyright 2009 William S. Yerazunis.
// This file is under GPLv3, as described in COPYING.
//static function declarations
static SVM_Solution *svm_solve_init_sol(Matrix *Xy, Vector *st_theta,
double weight, int max_train_val);
/**********************************************************************
*This method is taken from:
* Training SVMs in Linear Time
* Thorsten Joachims
* ACM Conference on Knowledge Discovery and Data Mining 2006
*
*For labeled examples {(x_1, y_1), (x_2, y_2), ..., (x_n, y_n)}, the classic
*SVM problem is
* min_{theta, zeta >= 0} 0.5*theta*theta + C/n*sum_{i = 1}^n zeta_i
* s.t. for all i 1 <= i <= n, y_i*theta*x_i >= 1 - zeta_i
*where zeta is the vector of slack variables and C is large and positive.
*The classification of an example x is
* h(x) = sgn(theta*x)
*Note that this formulation DOES NOT INCLUDE A CONSTANT VALUE. If you want
*a constant value (so that h(x) = sgn(theta*x + b)), you can create that by
*adding an extra column to each example with the value +1.
*
*Now define a binary vector c of length n. We will call this a "constraint
*vector" and there are 2^n such vectors.
*Let x_c = 1/n sum_{i=1}^n c_i*y_i*x_i for any c.
*Then Joachims shows that the problem formulation
* min_{theta, zeta >= 0} 0.5*theta*theta + C*zeta
* s.t. for all c \in {0, 1}^n, theta*x_c >= 1/n*||c||_1 - zeta
*where ||c||_1 is the L1-norm (ie the number of 1's in c) is equivalent
*to the problem given above. In its dual form this is
* max_{alpha >= 0} \sum_{c \in {0, 1}^n} 1/n*||c||_1*alpha_c -
0.5*sum_{c, c'} alpha_c alpha_c' x_c*x_c'
* s.t. sum_{c} alpha_c <= C (DUAL PROBLEM)
*where theta = sum_c alpha_c*x_c and
*zeta = max_c (1/n||c||_1 - theta*x_c
*In QP terms (which requires a sign change since we minimize) the problem is
* min_{alpha} 0.5*alpha*H*alpha + f*alpha
* s.t. A*alpha >= b
* where H_{c, c'} = x_c*x_c' (k x k on the kth iteration)
* f_c = -1/n*||c||_1 (1 x k)
* A is k+1xk with the top row all -1's (corresponding to sum_{c} alpha_c)
* and the bottom kxk matrix the kxk identity matrix times -1
* b is the vector 1xk+1 vector with the first entry -SVM_MAX_X_VAL
* and the last k entries 0
*
*Clearly this form of the problem has an exponential number of contraints.
*To solve it efficiently we use a cutting-plane method to decide which
*constraints are important. Specifically we do the following:
* 1) Solve the DUAL PROBLEM over the current H, f, A, b
* see quad_prog.c for how that is done.
* 2) Calculate theta and zeta from the alpha_c using the above equations
* 3) Calculate the most violated constraint c
* c has a 1 in the i^th position if x_i is not classified correctly
* by a large enough problem
* 4) Check how much this constraint is violated by.
* This corresponds to zeta' = 1/n*||c||_1 - theta*x_c
* If this error is within ACCURACY of the training error zeta
* from the last QP run (ie within ACCURACY of "as close as we could get")
* we return
* 5) Update the arguments to the QP solver
* This requires:
* Adding a row and a column to H of the dot products with the new x_c
* Adding -1/n||c||_1 as the last entry of f
* Adding a row and column to A. The top and bottom entries of the new
* column are -1
* Adding a new 0 entry to b
* We also save x_c so that we can recreate theta from the alpha_c's
*
*
*INPUT: This method takes as input the data matrix X where
* X_i = y_i*x_i
* Here X_i is the ith row of X, y_i is the label (+/-1) of the ith
* example and x_i is the ith example. Ie, if x_i is an example belonging to
* class -1, the ith row of X would be x_i multiplied by -1. (In the case where
* x_i contains only positive entries, then the ith row of X would contain only
* negative entries.)
*
*OUTPUT: The function returns a solution struct. This struct contains the
* vector theta, which is the decision boundary: The classification of
* an example x is
* h(x) = theta*x
* theta is a NON-SPARSE vector. If X originally had a number of nonzero
* columns, you need to convert theta into a sparse vector using the
* colMap returned from preprocess. If you call this function using the
* wrapper function, solve, it will take care of this process for you and
* return theta as a sparse vector.
*
* The solution struct also contains all of the support vectors, which allows
* you to restart the learning with a new example without having to relearn
* which of the old examples were support vectors. Support vectors are those
* vectors on or in violation of the margin (y_i*theta*x_i <= 1 => x_i is a
* support vector).
*
* There is also data in the solution struct allowing the restart of the
* solution. The variable num_examples will be set to Xy->rows and
* max_train_val = curr_max_train_val - sum_c alpha_c. For how these are used
* see the comment to svm_solve_init_solution.
*
* Xy will then only contain those vectors that ARE NOT support vectors.
* Note that Xy WILL CHANGE.
*
*TYPES: We recommend that X be a SPARSE ARRAY to optimize memory caching
* but testing has shown that making it a SPARSE LIST doesn't slow anything
* down too much. Not sure why you would want to do that though since X is
* static and a SPARSE LIST would actually take more memory.
* DO NOT CHANGE THE TYPES IN THE FUNCTION. To make this as fast as possible,
* I have moved away in some places from using structure-independent calls.
* If you, for example, change theta to be anything but a MATR_PRECISE NON_SPARSE
* vector it WILL cause a seg fault.
*
*ACCURACY: This runs until it finds a solution within some "accuracy"
* parameter. Here the accuracy on each iteration with new constraint vector
* c, current slack variable zeta, and current decision boundary theta
* is measured by the function:
* delta = ||c||_1/n - 1/n*sum_{i=1}^n c_i*theta*y_i*x_i - zeta
* This is exactly the average over the margin violations of all of the
* vectors minus the average margin violations already accounted for by the
* slack variable. In other words, accuracy is the *average margin violation
* unaccounted for by the slack variable*. Since this is MARGIN violation,
* NOT necessarily a classification error (we would have to violate the margin
* by more than 1 for a classification error), we can set the ACCURACY
* parameter fairly high (ie 0.01 or 0.001) and still have good results.
*
*SV_TOLERANCE: An example x_i is tagged as a support vector if
* theta*y_i*x_i <= 1 + SV_TOLERANCE. In general, setting
* SV_TOLERANCE = ACCURACY is approximately right since ACCURACY is kind of
* how much play we have around the margin. A low SV_TOLERANCE, will lead
* to fast inclusion of new examples (because there are fewer support vectors
* from old runs), but less accuracy. One strategy might be to set
* SV_TOLERANCE very low (even to 0), but rerun all seen examples every so
* often.
*
*WARNINGS:
*1) This function uses NON-SPARSE vectors of length X->cols
* to do fast dot products. Therefore, X should not have a large
* number of fully zero columns. If it is expected to, run
* preprocess first.
*
*2) X should contain NO ZERO ROWS. If it may, run preprocess first.
*
*3) On return Xy contains only those vectors that are NOT support vectors.
* Xy WILL CHANGE.
*
*CALLING SVM_SOLVE: with a new matrix and a null old solution will
* preprocess the matrix and feed it to this function correctly.
***********************************************************************/
SVM_Solution *svm_solve_no_init_sol(Matrix *Xy) {
return svm_solve_init_sol(Xy, NULL, 0, SVM_MAX_X_VAL);
}
/*************************************************************************
*Solves the SVM problem using an initial solution. As far as I know
*(I haven't really done that much research) this approach is novel.
*
*Note that all of the x_c's we calculated in our old solution still exist
*if we simply assume 0's in the correct place for the c's. The only
*difference is that now we have more examples so the denominator changes.
*Specifically if we had n_old examples before and n_new examples now
*we need to update
* x_c -> n_old/(n_old+n_new)*x_c
*Therefore, if the old decision boundary was theta, the new boundary is
* theta -> n_old/(n_old + n_new)*theta
*
*Now we break alpha, f, and H (see above comment for these definitions)
*into two parts: the "old" parts, which we solved for before and the "new"
*parts that we have yet to solve. The QP becomes:
* min_{alpha >= 0} 0.5*alpha_old*H_old*alpha_old + f_old*alpha_old
* + 0.5*alpha_new*H_new*alpha_new + f_new*alpha_new
+ alpha_new*H_{new, old}*alpha_old
* s.t. sum_{c} alpha_c <= C
*Clearly, the problem almost decouples - the only term involving alpha_new
*and alpha_old is the last (note that H_{new, old} = X_{c, new}*X_{c, old}^T).
*However, define
* theta_new = alpha_new*X_{c, new} = sum_{new c} (alpha_c*x_c)
* theta_old = X_{c, old}^T*alpha_old = sum_{old c} (alpha_c*x_c)
*When we solved for alpha_old, we assumed that theta_new = 0. How good was
*this approximation? Well, the full answer to the problem is
* theta = theta_old + theta_new
*If we assume that we are adding in just a few new examples to a problem we
*have already pretty well learned, ||theta_new|| << ||theta_old||, making
*this a good approximation. Therefore, in the incremental learning, we
*hold alpha_old constant. This pulls out the terms just involving alpha_old
*leaving us with the QP problem
*
* min_{alpha >= 0} 0.5*alpha_new*H_new*alpha_new + f_new*alpha_new
+ alpha_new*H_{new, old}*alpha_old
* s.t. sum_{new c} alpha_c <= C - sum_{old c} alpha_c
*Now you might worry that the term alpha_new*H_{new, old}*alpha_old
*is difficult to
*calculate but in fact it is quite easy. Consider:
* H_{new, old}*alpha_old = X_new*X_old^T*alpha_old = X_new*theta_old
*Therefore, just by saving theta_old (which we were doing anyway since it was
*our old decision boundary!) we can simply fold the last term into the linear
*term using
* f' = f_new + X_new*theta_old.
*Therefore, the only extra calculation we must do per iteration is
* f_c' = f_c + x_c*theta_old.
*This is a simple dot product.
*
*Now what if we didn't have a lot of examples to start with? Does that mess
*up this assumption? Possibly. Therefore, we also train on the old support
*vectors. This gives the old solution some "input" as well as dealing with
*this problem - if our old solution incorporates very few examples they are
*likely to be almost all support vectors. Therefore, we will train on them
*again.
*
*In addition, notice that each x_c is weighted by 1/n. In this formulation
*n is always the total number of examples seen, NOT the current number we
*are training on. That means that if our old decision boundary is theta_d,
*theta_old = n_old/(n_old + n_new)*theta_d. Thus if n_old is small and
*n_new is large, our old solution will not influence the new solution much.
*Similarly, as we argued above, if n_old is large and n_new is small, the
*new solution is a small addition to the old one.
*
*There's one other issue: each time we go through this, we drop the maximum
*allowed value for the sum of the alpha's. If this value started fairly small
*it can get to zero pretty quickly. Therefore, we bottom it out at
*SVM_MIN_X_VAL so that every new example will contribute something to the answer.
*
*A few notes about what the arguments to this function are:
* Note that when we add more examples we need to "pretend" as though they
* were there all along. This means that any time in the old algorithm that
* we divided by 1/n, n needs to increase to include the new examples.
* Therefore, st_theta should actually NOT just be the old decision boundary
* since that was calculated using the wrong n. If the old decision boundary
* was theta_d, st_theta should be
* st_theta = n_old/(n_old + n_new)*theta_d
* In addition, in THIS algorithm anywhere we multiply by 1/n, we need to make
* sure that n is n = n_old + n_new. For that reason we pass in the "weight"
* parameter where weight = 1.0/(n_old + n_new).
*
* We also have that sum_{c new} alpha_c <= C - sum_{c old} alpha_c.
* Therefore, we need to remember the boundary on the alpha_c. This is passed
* in as max_sum = C - sum_{old c} alpha_c. In summary:
*
*INPUT:
* Xy: The matrix of the NEW examples and the OLD SUPPORT VECTORS multiplied
* by their label.
* st_theta: The reweighted old decision boundary. If the old decision
* boundary was theta_d calculated using n_old examples and we are adding in
* n_new examples, st_theta = n_old/(n_old + n_new)*theta_d. If you have
* no old solution, use st_theta = NULL.
* weight: If the previous solution was calculated on n_old examples and we
* are adding n_new examples, weight = 1.0/(n_old + n_new). In other words,
* weight = 1.0/n where n is the TOTAL NUMBER OF EXAMPLES WE HAVE SEEN.
* max_sum: The sum of all alpha's calculated in the old solution subtracted
* from the original maximum value max_sum = SVM_MAX_X_VAL - sum_{old c} alpha_c.
*
*
*OUTPUT:
* The function returns a solution struct. See the comment to
* svm_solve_no_init_sol for an explanation of that struct.
*
*TRAINING METHOD:
* The incremental method is most error prone in the region
* ||theta_new ~= theta_old||. If you
* have about the same number of old and new examples, it is almost certainly
* better and not much (if any) slower to retrain the whole thing than to try
* to use the incremental method to add those on. This is ESPECIALLY TRUE if
* the new examples are differently biased (ie many more negative or many more
* positive) than the old example.
* THE SVM IS MOST SENSITIVE TO THE MOST RECENTLY TRAIN THINGS! If you are
* using an incremental training method, try to mix positive and negative
* examples as much as possible!
*
*TYPES, ACCURACY, SV_TOLERANCE: See the comment to svm_solve_no_init_sol.
*
*WARNINGS:
*1) This function uses NON-SPARSE vectors of length X->cols
* to do fast dot products. Therefore, X should not have a large
* number of fully zero columns. If it is expected to, run
* preprocess first.
*
*2) X should contain NO ZERO ROWS. If it may, run preprocess first.
*
*3) On return Xy contains only those vectors that are NOT support vectors.
* Xy WILL CHANGE.
*
*4) st_theta is NOT the old solution. It is the old solution REWEIGHTED by
* n_old/(n_old + n_new).
*
*5) Xy should ONLY contain new examples and old support vectors. It should
* NOT contain previously seen old non-support vectors if st_theta is
* non-null.
*
*CALLING SVM_SOLVE: with an old solution struct and a new matrix will compute
* the correct arguments to this function and take care of the preprocessing.
* We HIGHLY RECOMMEND that you do that. This function is static because
* the arguments to it are complicated!
****************************************************************************/
static SVM_Solution *svm_solve_init_sol(Matrix *Xy, Vector *st_theta,
double weight, int max_sum) {
unsigned int n, i, j;
Vector *row, //a row of XC usually
*xc, //the x_c we are adding
//Lagrange multipliers - the solution of the QP problem
*alpha = vector_make(0, SPARSE_LIST, MATR_PRECISE),
//Solution to the SVM. Should be NON_SPARSE for fastest execution.
*theta = vector_make(Xy->cols, NON_SPARSE, MATR_PRECISE),
//Linear term in the QP problem (-1/n*||c||_c + st_theta*x_c)
*f = vector_make(0, NON_SPARSE, MATR_PRECISE),
//The L1 norms of the c
*l1norms = vector_make(0, NON_SPARSE, MATR_COMPACT),
//The constraint vector for the QP problem. The first term of
//b is max_sum. The rest are zeros
*b = vector_make(1, SPARSE_LIST, MATR_PRECISE);
double delta = SVM_ACCURACY + 1, zeta, d, s, dev;
//The Hessian H_{c, c'} = x_c*x_c'
//You could try to save space by making this compact and leaving out the 1/n^2
//terms, but the numbers in H will quickly exceed 32 bit so it's probably
//not worth it
Matrix *H = matr_make(0, 0, NON_SPARSE, MATR_PRECISE),
//The constraint matrix for the QP problem. The top row of
//A is k+1xk where k is the number of iterations.
//The top row is all 1's for the constraint sum_{c}alpha_c <= C
//The remaining kxk matrix is I_k (kxk identity) to represent alpha_c >= 0
*A = matr_make_size(1, 0, SPARSE_ARRAY, MATR_COMPACT, SVM_EXP_MAX_IT),
//The current x_c's we are considering. We make this compact by actually
//storing n*x_c. This should be NON_SPARSE for fastest execution.
*XC = matr_make(0, Xy->cols, NON_SPARSE, MATR_COMPACT);
VectorIterator vit;
int nz, loop_it = 0, sv[Xy->rows], offset;
SVM_Solution *sol;
MATR_DEBUG_MODE = SVM_DEBUG_MODE;
if (!alpha || !theta || !f || !l1norms || !b || !H || !A || !XC) {
if (SVM_DEBUG_MODE) {
fprintf(stderr, "Error initializing svm solver.\n");
}
vector_free(alpha);
vector_free(theta);
vector_free(f);
vector_free(l1norms);
vector_free(b);
matr_free(H);
matr_free(A);
matr_free(XC);
return NULL;
}
n = Xy->rows;
//set up the first row of b to be SVM_MAX_X_VAL (ie the constant C)
//note that our QP solver takes constraints of the form A*x >= b
//so everything is multiplied by -1
vectorit_set_at_beg(&vit, b);
if (max_sum > SVM_MAX_X_VAL) {
max_sum = SVM_MAX_X_VAL;
}
if (max_sum < SVM_MIN_X_VAL) {
max_sum = SVM_MIN_X_VAL;
}
if (SVM_DEBUG_MODE >= SVM_SOLVER_DEBUG) {
fprintf(stderr, "Using %d as limit for multipliers.\n", max_sum);
}
vectorit_insert(&vit, 0, -1.0*max_sum, b);
if (SVM_DEBUG_MODE >= SVM_SOLVER_DEBUG_LOOP) {
fprintf(stderr, "Xy = \n");
matr_print(Xy);
}
if (weight < SVM_EPSILON) {
weight = 1.0/n;
}
while (delta > SVM_ACCURACY && loop_it < SVM_MAX_SOLVER_ITERATIONS) {
if (!(loop_it % SVM_CHECK) && delta <= SVM_CHECK_FACTOR*SVM_ACCURACY) {
//close enough
break;
}
//run the QP problem
if (H->rows > 0) {
if (SVM_DEBUG_MODE >= SVM_SOLVER_DEBUG) {
fprintf(stderr, "Running quadratic programming problem.\n");
}
run_qp(H, A, f, b, alpha);
if (SVM_DEBUG_MODE >= SVM_SOLVER_DEBUG) {
fprintf(stderr, "Returned from quadratic programming problem.\n");
}
}
//calculate theta
//time for loop is N*|W|
//theta = st_theta + sum_c alpha_c*x_c
vectorit_set_at_beg(&vit, alpha);
if (st_theta) {
vector_copy(st_theta, theta);
} else {
vector_zero(theta);
}
//sum_c alpha_c*x_c
while(!vectorit_past_end(vit, alpha)) {
row = matr_get_row(XC, vectorit_curr_col(vit, alpha));
if (!row) {
continue;
}
vector_add_multiple(theta, row, weight*vectorit_curr_val(vit, alpha),
theta);
//for (i = 0; i < XC->cols; i++) {
//theta->data.nsarray.precise[i] +=
// weight*(vit.pcurr->data.data)*(row->data.nsarray.compact[i]);
//}
vectorit_next(&vit, alpha);
}
//calculate which examples we aren't classifying
//with a high enough margin
//this gives us our new x_c and also the average margin
//deviation over ALL the examples (the variable dev)
matr_add_row(XC);
xc = matr_get_row(XC, XC->rows-1); //will hold our x_c
if (!xc) {
//this indicates that something has gone really wrong
//probably the original input was corrupted
break;
}
s = 0;
nz = 0;
for (i = 0; i < n; i++) {
//d = dot(theta, example i);
d = 0;
row = matr_get_row(Xy, i);
if (!row) {
continue;
}
d = dot(theta, row);
if (d < 1) {
//we violate the margin
s += d; //add it to our average deviation
vector_add(xc, row, xc); //and to x_c
nz++; //number of ones in c
}
//keep track of the support vectors
//namely those that are exactly at the margin
//or in violation
//we will save them in case we need to restart the learning
if (d <= 1.0+SV_TOLERANCE) {
//support vector!
sv[i] = 1;
} else {
sv[i] = 0;
}
}
//this is the average deviation from the margin
dev = weight*s;
//add a row and a column to H
//corresponding to the new XC
//and calculate zeta
matr_add_col(H);
matr_add_row(H);
zeta = 0;
vectorit_set_at_beg(&vit, f);
//loop is |W|*N
for (i = 0; i < H->rows; i++) {
//d = (weight^2)*dot(matr_get_row(XC, i), xc);
d = 0;
//s = weight*dot(matr_get_row(XC, i), theta)
s = 0;
row = matr_get_row(XC, i);
if (!row) {
continue;
}
//it's more efficient to do both of these together
//enough to have an impact on the running time
//since xc, row, and theta are all initialized in this
//function, we know what vector type they are
//and can access the data directly
for (j = 0; j < XC->cols; j++) {
d += xc->data.nsarray.compact[j]*
row->data.nsarray.compact[j];
s += theta->data.nsarray.precise[j]*
row->data.nsarray.compact[j];
}
d *= weight*weight;
//these are inserts at the end of a sparse vector
//will be fast
//note that H is symmetrical (yay for positive semi-definiteness!)
row = matr_get_row(H, H->rows-1);
if (!row) {
//bad problems
break;
}
vectorit_set_at_end(&vit, row);
vectorit_insert(&vit, i, d, row);
row = matr_get_row(H, i);
if (!row) {
//disaster!
break;
}
vectorit_set_at_end(&vit, row);
vectorit_insert(&vit, H->cols-1, d, row);
//now calculate zeta
//this is zeta from solving the QP problem waaaay at the top
//of the loop
//it is more efficient to calculate it here, but we need to
//remember not to incorporate our newest (as yet untrained on) x_c
if ((int)i < (int)(H->rows - 2)) {
d = weight*(vector_get(l1norms, i) - s);
if (d > zeta) {
zeta = d;
}
}
}
//add a column to f
//this is 1/n*||c||_1 + x_c dot theta_old
vector_add_col(f);
vectorit_set_at_end(&vit, f);
if (st_theta) {
d = weight*dot(st_theta, xc);
} else {
d = 0;
}
vectorit_insert(&vit, f->dim-1, -1.0*(nz)*weight + d, f);
//add a column to l1norms
//this is the number of non-zero entries in c
vector_add_col(l1norms);
vectorit_set_at_end(&vit, l1norms);
vectorit_insert(&vit, l1norms->dim-1, nz, l1norms);
//add a row and a column to A
matr_add_col(A);
matr_add_row(A);
row = matr_get_row(A, 0);
if (!row) {
//uh oh
break;
}
vectorit_set_at_end(&vit, row);
vectorit_insert(&vit, A->cols-1, -1, row);
row = matr_get_row(A, A->rows-1);
if (!row) {
//not good
break;
}
vectorit_set_at_end(&vit, row);
vectorit_insert(&vit, A->cols-1, 1, row);
//add a column to b (last element is zero)
vector_add_col(b);
//add a column to alpha
//note that the solution to the last iteration is an excellent
//starting point for the next iteration for exactly the reasons
//that this iterative method works
//so just add this column and
//don't reset alpha to be anything
vector_add_col(alpha);
//calculate the accuracy
//this is the average deviation from the margin
//not already accounted for by zeta
//note that we "assume" that old examples we are not training
//on STILL don't violate the margin
delta = weight*nz - dev - zeta;
//print out more debugging information
if (SVM_DEBUG_MODE >= SVM_SOLVER_DEBUG_LOOP) {
fprintf(stderr, "theta = ");
vector_print(theta);
fprintf(stderr, "x_c = ");
vector_print(xc);
fprintf(stderr, "alpha = ");
vector_print(alpha);
fprintf(stderr, "zeta = %.10lf dev = %lf nz = %d, weight = %lf\n",
zeta, dev, nz, weight);
}
if (SVM_DEBUG_MODE >= SVM_SOLVER_DEBUG) {
fprintf(stderr, "%d: delta = %.10lf\n", loop_it, delta);
}
loop_it++;
}
if (delta > SVM_ACCURACY + SVM_EPSILON && SVM_DEBUG_MODE) {
fprintf(stderr, "Warning: SVM solver did not converge all the way. Full convergence would have solved to an accuracy of %lf - we solved only to an accuracy of %lf. If this is not accurate enough, increase SVM_MAX_SOLVER_ITERATIONS, decrease SVM_CHECK_FACTOR, or change your training method.\n", SVM_ACCURACY,
delta);
}
//free everything!
vector_free(f);
vector_free(l1norms);
vector_free(b);
matr_free(H);
matr_free(A);
matr_free(XC);
//make the solution block
sol = (SVM_Solution *)malloc(sizeof(SVM_Solution));
sol->theta = theta;
sol->num_examples = n;
//store the support vectors
sol->SV = matr_make_size(0, Xy->cols, Xy->type, Xy->compact, Xy->size);
offset = 0;
for (i = 0; i < n; i++) {
if (sv[i]) {
row = matr_get_row(Xy, i - offset);
if (!row) {
continue;
}
matr_shallow_row_copy(sol->SV, sol->SV->rows, row);
matr_erase_row(Xy, i-offset);
offset++;
}
}
//figure out what the maximum value is next time
vectorit_set_at_beg(&vit, alpha);
sol->max_train_val = max_sum;
while (!vectorit_past_end(vit, alpha)) {
sol->max_train_val -= vectorit_curr_val(vit, alpha);
vectorit_next(&vit, alpha);
}
if (sol->max_train_val > SVM_MAX_X_VAL) {
sol->max_train_val = SVM_MAX_X_VAL;
} else if (sol->max_train_val < SVM_MIN_X_VAL) {
sol->max_train_val = SVM_MIN_X_VAL;
}
//free more stuff!
vector_free(alpha);
return sol;
}
/**********************************************************************
*Removes zero rows and columns from the matrix X.
*If the number of columns of X is an integer (ie X->cols < 2^32)
*then this runs in constant time O(ns).
*
*INPUT: Matrix X from which to remove zero rows and columns.
* old_theta: the old decision boundary if you have it. this will densify
* the columns of that boundary so that it can be used with the preprocessed
* X. If you have no old solution, pass in NULL.
*
*OUTPUT: An expanding array colMap mapping between the renumbered
* columns of X and the old columns of X. Specifically colMap[i] = j
* if the ith column of X AFTER preprocessing was the jth column BEFORE
* preprocessing. X remains sparse. The same is true of old_theta if
* you passed one in.
**********************************************************************/
ExpandingArray *svm_preprocess(Matrix *X, Vector *old_theta) {
ExpandingArray *colMap;
colMap = matr_remove_zero_rows(X);
expanding_array_free(colMap);
if (X->type == NON_SPARSE) {
//don't densify X if X is non-sparse
return NULL;
}
if (old_theta) {
matr_shallow_row_copy(X, X->rows, old_theta);
}
colMap = matr_remove_zero_cols(X);
if (old_theta) {
matr_erase_row(X, X->rows-1);
}
return colMap;
}
/***************************************************************
*Solve the SVM problem
*
*INPUT: Xy: the matrix of examples. Examples from class 0 should
* be multiplied by the label +1 and examples from class 1 should be
* multiplied by the label -1.
* sol_ptr: A pointer to the old SVM solution or a pointer to
* NULL if there is no old solution.
*
*OUTPUT: sol_ptr will contain a pointer to an SVM_Solution struct
* which can be used to resolve the SVM with more examples or
* to classify examples. For an overview of the struct, see the OUTPUT
* comment to solve_svm_no_init_sol.
*
* Xy = *Xy_ptr will contain the examples that are NOT support vectors. If
* there were support vectors in *sol_ptr that are no longer support
* vectors these will have been added to Xy. Similarly, all examples
* in Xy that became support vectors will have moved to the solution struct.
* If all examples are support vectors Xy = NULL.
*
*WARNINGS:
*1) sol_ptr is a DOUBLE POINTER because the svm solver returns
* a pointer. even if you have no previous svm solution sol_ptr
* should not be NULL - *sol_ptr should be NULL.
*2) Note that each row of Xy should be *premultiplied* by the
* class label which MUST be +/-1 (classic SVM problem). This algorithm
* does not explicitly add a constant value to the decision (ie it solves
* for theta such that h(x) = sgn(theta*x)). If you want a constant
* value, you need to add a column of all +/-1 to each example.
*3) Xy does NOT have to be preprocessed (ie have the all-zero
* rows and columns removed). This function will do that for
* you. If you do the preprocess ahead of time, this function
* will just redo that work.
*4) On return Xy = *Xy_ptr will contain only those examples (perhaps
* including old support vectors from *sol_ptr) that are NOT
* support vectors. The solution struct will contain the support vectors.
* Note that Xy WILL CHANGE and MAY BE NULL. Note that sol WILL CHANGE.
* Examples will migrate between Xy_ptr and sol_ptr... don't expect them
* to _not_ move.
*
****************************************************************************/
void svm_solve(Matrix **Xy_ptr, SVM_Solution **sol_ptr) {
SVM_Solution *sol;
ExpandingArray *colMap = NULL;
int i, n_old_examples, max_train;
VectorIterator vit;
Vector *theta, *row;
Matrix *Xy;
double weight;
MATR_DEBUG_MODE = SVM_DEBUG_MODE;
if (!sol_ptr) {
if (SVM_DEBUG_MODE) {
fprintf(stderr,
"svm_solve: unitialized sol_ptr. If you have no previous svm solution, make *sol_ptr = NULL\n");
}
return;
}
if (!Xy_ptr) {
if (SVM_DEBUG_MODE) {
fprintf(stderr,
"svm_solve: unitialized Xy_ptr. If you have no new examples, make *Xy_ptr = NULL\n");
}
return;
}
sol = *sol_ptr;
Xy = *Xy_ptr;
if (sol) {
//for what we do with the old solution, see the comment to
//svm_solve_init_sol
if (SVM_DEBUG_MODE >= SVM_SOLVER_DEBUG) {
fprintf(stderr, "Incorporating old solution\n");
}
theta = sol->theta;
//n_old_examples is the number of non-support-vector old examples
n_old_examples = sol->num_examples - sol->SV->rows;
//add the old support vectors into our current matrix
matr_append_matr(&Xy, sol->SV);
max_train = sol->max_train_val;
if (n_old_examples < 0 || !(Xy) || !(Xy->data)) {
if (SVM_DEBUG_MODE) {
fprintf(stderr, "svm_solve: something is weird with the initial solution. Why don't you try again with no initial solution?\n");
}
svm_free_solution(sol);
*sol_ptr = NULL;
return;
}
} else {
if (!Xy) {
if (SVM_DEBUG_MODE) {
fprintf(stderr, "One of *Xy_ptr and *sol_ptr must be non-null!\n");
}
return;
}
//no initial solution
theta = NULL;
n_old_examples = 0;
max_train = SVM_MAX_X_VAL;
}
//debugging info
if (SVM_DEBUG_MODE >= SVM_SOLVER_DEBUG) {
fprintf(stderr, "Xy is %d by %u with %d non-zero elements\n",
Xy->rows, Xy->cols, Xy->nz);
}
//get rid of zero rows and columns of Xy
colMap = svm_preprocess(Xy, theta);
if (!(Xy->rows) && !(n_old_examples)) {
if (SVM_DEBUG_MODE) {
fprintf(stderr, "SVM solve: nothing to learn on.\n");
}
if (*sol_ptr) {
svm_free_solution(*sol_ptr);
}
*sol_ptr = NULL;
return;
}
//this is 1/(n_old + n_new) - ie 1/(total # of examples we've seen)
weight = 1.0/(Xy->rows + n_old_examples);
if (theta) {
if (SVM_DEBUG_MODE >= SVM_SOLVER_DEBUG) {
fprintf(stderr, "sol->num_examples = %d, n_old_examples = %d, Xy->rows = %d\n", sol->num_examples, n_old_examples, Xy->rows);
fprintf(stderr, "multiplying theta by %f\n",
sol->num_examples/(n_old_examples + (double)Xy->rows));
}
//reweight theta to include the new examples in n
vector_multiply(theta, sol->num_examples/(n_old_examples+(double)Xy->rows),
theta);
}
//more debugging information...
if (SVM_DEBUG_MODE >= SVM_SOLVER_DEBUG) {
fprintf(stderr, "After preprocess Xy is %d by %u\n", Xy->rows, Xy->cols);
}
if (SVM_DEBUG_MODE >= SVM_SOLVER_DEBUG_LOOP) {
fprintf(stderr, "Xy = \n");
matr_print(Xy);
}
//run the solver!
sol = svm_solve_init_sol(Xy, theta, weight, max_train);
if (*sol_ptr) {
//we don't need the old solution any more
svm_free_solution(*sol_ptr);
}
if (!sol) {
//uh oh, the solver choked on something
//probably the data was corrupted
if (Xy) {
matr_free(Xy);
}
if (colMap) {
expanding_array_free(colMap);
}
*Xy_ptr = NULL;
*sol_ptr = NULL;
if (SVM_DEBUG_MODE) {
fprintf(stderr, "SVM Solver Error.\n");
}
return;
}
//sol->num_examples = Xy->rows. so tell it that it also had n_old_examples
//it didn't see but were used to generate the older solution
sol->num_examples += n_old_examples;
theta = sol->theta;
//ok, yes, we do a lot of debugging
if (SVM_DEBUG_MODE >= SVM_SOLVER_DEBUG) {
fprintf(stderr, "Number support vectors: %d\n", sol->SV->rows);
}
//undo the densification if we did it
//note that sol->SV and Xy are STILL SPARSE
//they just have the densified column numbers
//so we need to change that
if (colMap) {
//make theta sparse with the correct column numbers
vector_convert_nonsparse_to_sparray(sol->theta, colMap);
//give sol->SV the correct column numbers
if (sol->SV->rows) {
matr_add_ncols(sol->SV,
expanding_array_get(sol->SV->cols-1, colMap).compact->i+1
- sol->SV->cols);
for (i = 0; i < sol->SV->rows; i++) {
row = matr_get_row(sol->SV, i);
if (!row) {
continue;
}
vectorit_set_at_end(&vit, row);
while (!vectorit_past_beg(vit, row)) {
vectorit_set_col(vit,
expanding_array_get(vectorit_curr_col(vit, row),
colMap).compact->i, row);
vectorit_prev(&vit, row);
}
}
} else {
if (SVM_DEBUG_MODE) {
fprintf(stderr, "svm_solve: No support vectors recorded. Run again with SV_TOLERANCE set higher if they are necessary.\n");
}
}
//give Xy the correct column numbers
if (Xy && Xy->rows) {
matr_add_ncols(Xy,
expanding_array_get(Xy->cols-1, colMap).compact->i+1 -
Xy->cols);
for (i = 0; i < Xy->rows; i++) {
row = matr_get_row(Xy, i);
if (!row) {
continue;
}
vectorit_set_at_end(&vit, row);
while (!vectorit_past_beg(vit, row)) {
vectorit_set_col(vit,
expanding_array_get(vectorit_curr_col(vit, row),
colMap).
compact->i,
row);
vectorit_prev(&vit, row);
}
}
} else {
matr_free(Xy);
Xy = NULL;
}
expanding_array_free(colMap);
}
if (Xy && !Xy->rows) {
matr_free(Xy);
Xy = NULL;
}
*sol_ptr = sol;
*Xy_ptr = Xy;
}
/***********************SVM_Solution Functions******************************/
/***************************************************************************
*Classify an example.
*
*INPUT: ex: example to classify
* sol: SVM solution struct
*
*OUTPUT: +1/-1 label of the example
***************************************************************************/
int svm_classify_example(Vector *ex, SVM_Solution *sol) {
double d;
if (!ex || !sol || !sol->theta) {
if (SVM_DEBUG_MODE) {
fprintf(stderr, "svm_classify_example: null argument.\n");
}
return 0;
}
d = dot(ex, sol->theta);
if (d < 0) {
return -1;
}
return 1;
}
/*****************************************************************************
*Write a solution struct to a file in binary format.
*
*INPUT: sol: Solution to write
* filename: file to write to
*
*OUTPUT: the amount written in bytes
****************************************************************************/
size_t svm_write_solution(SVM_Solution *sol, char *filename) {
FILE *fp = fopen(filename, "wb");
size_t size;
if (!fp) {
if (SVM_DEBUG_MODE) {
fprintf(stderr, "svm_write_solution: bad filename %s\n", filename);
}
return 0;
}
size = svm_write_solution_fp(sol, fp);
fclose(fp);
return size;
}
/*****************************************************************************
*Write a solution struct to a file in binary format.
*
*INPUT: sol: Solution to write
* fp: file to write to
*
*OUTPUT: the amount written in bytes
****************************************************************************/
size_t svm_write_solution_fp(SVM_Solution *sol, FILE *fp) {
//write theta
size_t size;
if (!sol || !fp) {
if (SVM_DEBUG_MODE) {
fprintf(stderr, "svm_wrte_solution: bad file pointer.\n");
}
return 0;
}
size = vector_write_bin_fp(sol->theta, fp);
//write support vectors
size += matr_write_bin_fp(sol->SV, fp);
size += sizeof(int)*fwrite(&(sol->num_examples), sizeof(int), 1, fp);
size += sizeof(int)*fwrite(&(sol->max_train_val), sizeof(int), 1, fp);
return size;
}
/*****************************************************************************
*Read a solution struct from a file in binary format.
*
*INPUT: filename: file to read from
*
*OUTPUT: the solution struct stored in the file or NULL if it couldn't be
* read
*
*WARNINGS:
*1) This file expects a file formatted as svm_write_solution creates. If
* file is not formatted that way, results may vary. It should not seg
* fault, but that's about all I can promise.
****************************************************************************/
SVM_Solution *svm_read_solution(char *filename) {
SVM_Solution *sol;
FILE *fp = fopen(filename, "rb");
if (!fp) {
if (SVM_DEBUG_MODE) {
fprintf(stderr, "svm_read_solution: bad filename %s\n", filename);
}
return NULL;
}
sol = svm_read_solution_fp(fp);
fclose(fp);
return sol;
}
/*****************************************************************************
*Read a solution struct from a file in binary format.
*
*INPUT: fp: file to read from
*
*OUTPUT: the solution struct stored in the file or NULL if it couldn't be
* read
*
*WARNINGS:
*1) This file expects a file formatted as svm_write_solution creates. If
* file is not formatted that way, results may vary. It should not seg
* fault, but that's about all I can promise.
****************************************************************************/
SVM_Solution *svm_read_solution_fp(FILE *fp) {
SVM_Solution *sol = (SVM_Solution *)malloc(sizeof(SVM_Solution));
size_t unused;
if (!fp) {
if (SVM_DEBUG_MODE) {
fprintf(stderr, "svm_read_solution: bad file pointer.\n");
}
free(sol);
return NULL;
}
sol->theta = vector_read_bin_fp(fp);
if (!sol->theta) {
if (SVM_DEBUG_MODE) {
fprintf(stderr, "read_solution: Bad file.\n");
}
free(sol);
return NULL;
}
sol->SV = matr_read_bin_fp(fp);
unused = fread(&(sol->num_examples), sizeof(int), 1, fp);
unused = fread(&(sol->max_train_val), sizeof(int), 1, fp);
return sol;
}
/***************************************************************************
*Maps a solution from a block of memory in binary format (the same
*format as would be written to a file using write.
*
*INPUT: addr: pointer to the address where the solution begins
* last_addr: the last possible address that is valid. NOT necessarily where
* the solution ends - just the last address that has been allocated in the
* chunk pointed to by *addr (ie, if *addr was taken from an mmap'd file
* last_addr would be *addr + the file size).
*
*OUTPUT: A solution STILL referencing the chunk of memory at *addr,
* but formated as an SVM_Solution or NULL if a properly formatted
* solution didn't start at *addr.
* *addr: (pass-by-reference) points to the first memory location AFTER the
* full solution
* *n_elts_ptr: (pass-by-reference) the number of elements actually read
*
*WARNINGS:
* 1) *addr needs to be writable. This will CHANGE VALUES stored at *addr and
* will seg fault if addr is not writable.
* 2) last_addr does not need to be the last address of the solution
* but if it is before that, either NULL will be returned or an
* matrix with a NULL data value will be returned.
* 3) if *addr does not contain a properly formatted solution, this function
* will not seg fault, but that is the only guarantee.
* 4) you MUST call solution_free!
* 5) *addr and CHANGES!
* 6) the address returned by this IS NOT EQUAL to *addr as passed in.
***************************************************************************/
SVM_Solution *svm_map_solution(void **addr, void *last_addr) {
SVM_Solution *sol = (SVM_Solution *)malloc(sizeof(SVM_Solution));
sol->theta = vector_map(addr, last_addr);
if (!sol->theta) {
if (SVM_DEBUG_MODE) {
fprintf(stderr, "map_solution: Bad file.\n");
}
free(sol);
return NULL;
}
sol->SV = matr_map(addr, last_addr);
if (*addr > last_addr || *addr + 2*sizeof(int) > last_addr) {
if (SVM_DEBUG_MODE) {
fprintf(stderr, "map_solution: Bad file.\n");
}
svm_free_solution(sol);
return NULL;
}
sol->num_examples = *((int *)(*addr));
*addr += sizeof(int);
sol->max_train_val = *((int *)(*addr));
*addr += sizeof(int);
return sol;
}
/*****************************************************************************
*Free a solution struct.
*
*INPUT: sol: struct to free
****************************************************************************/
void svm_free_solution(SVM_Solution *sol) {
if (sol) {
if (sol->theta) {
vector_free(sol->theta);
}
if (sol->SV) {
matr_free(sol->SV);
}
free(sol);
}
}
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