public virtual void Solve(int length, QMatrix Q, double[] p_, sbyte[] y_,
double[] alpha_, double Cp, double Cn, double eps, SolutionInfo si, bool shrinking)
{
_length = length;
_q = Q;
_qd = Q.GetQD();
_p = (double[]) p_.Clone();
_y = (sbyte[]) y_.Clone();
_alpha = (double[]) alpha_.Clone();
_cp = Cp;
_cn = Cn;
_eps = eps;
_unshrink = false;
// initialize alpha_status
_alphaStatus = new BoundType[length];
for (int i = 0; i < length; i++)
{
UpdateAlphaStatus(i);
}
// initialize active set (for shrinking)
_activeSet = new int[length];
for (int i = 0; i < length; i++)
{
_activeSet[i] = i;
}
_activeSize = length;
// initialize gradient
_g = new double[length];
_gBar = new double[length];
for (int i = 0; i < length; i++)
{
_g[i] = _p[i];
_gBar[i] = 0;
}
for (int i = 0; i < length; i++)
{
if (!IsLowerBound(i))
{
double[] Q_i = Q.GetQ(i, length);
double alpha_i = _alpha[i];
for (int j = 0; j < length; j++)
{
_g[j] += alpha_i * Q_i[j];
}
if (IsUpperBound(i))
{
for (int j = 0; j < length; j++)
{
_gBar[j] += GetC(i) * Q_i[j];
}
}
}
}
// optimization step
int iter = 0;
int max_iter = Math.Max(10000000, length > int.MaxValue / 100 ? int.MaxValue : 100 * length);
int counter = Math.Min(length, 1000) + 1;
int[] working_set = new int[2];
while (iter < max_iter)
{
// show progress and do shrinking
if (--counter == 0)
{
counter = Math.Min(length, 1000);
if (shrinking) DoShrinking();
Svm.info(".");
}
if (SelectWorkingSet(working_set) != 0)
{
// reconstruct the whole gradient
ReconstructGradient();
// reset active set size and check
_activeSize = length;
Svm.info("*");
if (SelectWorkingSet(working_set) != 0)
break;
else
counter = 1; // do shrinking next iteration
}
int i = working_set[0];
int j = working_set[1];
++iter;
// update alpha[i] and alpha[j], handle bounds carefully
double[] Q_i = Q.GetQ(i, _activeSize);
double[] Q_j = Q.GetQ(j, _activeSize);
double C_i = GetC(i);
double C_j = GetC(j);
double old_alpha_i = _alpha[i];
double old_alpha_j = _alpha[j];
if (_y[i] != _y[j])
{
double quad_coef = _qd[i] + _qd[j] + 2*Q_i[j];
if (quad_coef <= 0)
quad_coef = 1e-12;
double delta = (-_g[i] - _g[j])/quad_coef;
double diff = _alpha[i] - _alpha[j];
_alpha[i] += delta;
_alpha[j] += delta;
if (diff > 0)
{
if (_alpha[j] < 0)
{
_alpha[j] = 0;
_alpha[i] = diff;
}
}
else
{
if (_alpha[i] < 0)
{
_alpha[i] = 0;
_alpha[j] = -diff;
}
}
if (diff > C_i - C_j)
{
if (_alpha[i] > C_i)
{
_alpha[i] = C_i;
_alpha[j] = C_i - diff;
}
}
else
{
if (_alpha[j] > C_j)
{
_alpha[j] = C_j;
_alpha[i] = C_j + diff;
}
}
}
else
{
double quad_coef = _qd[i] + _qd[j] - 2*Q_i[j];
if (quad_coef <= 0)
quad_coef = 1e-12;
double delta = (_g[i] - _g[j])/quad_coef;
double sum = _alpha[i] + _alpha[j];
_alpha[i] -= delta;
_alpha[j] += delta;
if (sum > C_i)
{
if (_alpha[i] > C_i)
{
_alpha[i] = C_i;
_alpha[j] = sum - C_i;
}
}
else
{
if (_alpha[j] < 0)
{
_alpha[j] = 0;
_alpha[i] = sum;
}
}
if (sum > C_j)
{
if (_alpha[j] > C_j)
{
_alpha[j] = C_j;
_alpha[i] = sum - C_j;
}
}
else
{
if (_alpha[i] < 0)
{
_alpha[i] = 0;
_alpha[j] = sum;
}
}
}
// update G
double delta_alpha_i = _alpha[i] - old_alpha_i;
double delta_alpha_j = _alpha[j] - old_alpha_j;
for (int k = 0; k < _activeSize; k++)
{
_g[k] += Q_i[k]*delta_alpha_i + Q_j[k]*delta_alpha_j;
}
// update alpha_status and G_bar
bool ui = IsUpperBound(i);
bool uj = IsUpperBound(j);
UpdateAlphaStatus(i);
UpdateAlphaStatus(j);
//int k;
if (ui != IsUpperBound(i))
{
Q_i = Q.GetQ(i, length);
if (ui)
{
for (int k = 0; k < length; k++)
{
_gBar[k] -= C_i*Q_i[k];
}
}
else
{
for (int k = 0; k < length; k++)
{
_gBar[k] += C_i*Q_i[k];
}
}
}
if (uj != IsUpperBound(j))
{
Q_j = Q.GetQ(j, length);
if (uj)
{
for (int k = 0; k < length; k++)
{
_gBar[k] -= C_j*Q_j[k];
}
}
else
{
for (int k = 0; k < length; k++)
{
_gBar[k] += C_j*Q_j[k];
}
}
}
}
if (iter >= max_iter)
{
if (_activeSize < length)
{
// reconstruct the whole gradient to calculate objective value
ReconstructGradient();
_activeSize = length;
Svm.info("*");
}
Console.Error.WriteLine("\nWARNING: reaching max number of iterations");
}
// calculate rho
si.Rho = CalculateRho();
// calculate objective value
double v = 0;
for (int i = 0; i < length; i++)
{
v += _alpha[i]*(_g[i] + _p[i]);
}
si.Obj = v/2;
// put back the solution
for (int i = 0; i < length; i++)
{
alpha_[_activeSet[i]] = _alpha[i];
}
si.UpperBoundP = Cp;
si.UpperBoundN = Cn;
Svm.info("\noptimization finished, #iter = " + iter + "\n");
}
public virtual void Solve(int length, QMatrix Q, double[] p_, sbyte[] y_,
double[] alpha_, double Cp, double Cn, double eps, SolutionInfo si, bool shrinking)
{
this._length = length;
this._q = Q;
_qd = Q.GetQD();
_p = (double[])p_.Clone();
_y = (sbyte[])y_.Clone();
_alpha = (double[])alpha_.Clone();
this._cp = Cp;
this._cn = Cn;
this._eps = eps;
this._unshrink = false;
// initialize alpha_status
{
_alphaStatus = new BoundType[length];
for (int i = 0; i < length; i++)
{
UpdateAlphaStatus(i);
}
}
// initialize active set (for shrinking)
{
_activeSet = new int[length];
for (int i = 0; i < length; i++)
{
_activeSet[i] = i;
}
_activeSize = length;
}
// initialize gradient
{
_g = new double[length];
_gBar = new double[length];
int i;
for (i = 0; i < length; i++)
{
_g[i] = _p[i];
_gBar[i] = 0;
}
for (i = 0; i < length; i++)
{
if (!is_lower_bound(i))
{
double[] Q_i = Q.GetQ(i, length);
double alpha_i = _alpha[i];
int j;
for (j = 0; j < length; j++)
{
_g[j] += alpha_i * Q_i[j];
}
if (is_upper_bound(i))
{
for (j = 0; j < length; j++)
{
_gBar[j] += GetC(i) * Q_i[j];
}
}
}
}
}
// optimization step
int iter = 0;
int max_iter = Math.Max(10000000, length > int.MaxValue / 100 ? int.MaxValue : 100 * length);
int counter = Math.Min(length, 1000) + 1;
int[] working_set = new int[2];
while (iter < max_iter)
{
// show progress and do shrinking
if (--counter == 0)
{
counter = Math.Min(length, 1000);
if (shrinking)
{
do_shrinking();
}
Svm.info(".");
}
if (select_working_set(working_set) != 0)
{
// reconstruct the whole gradient
reconstruct_gradient();
// reset active set size and check
_activeSize = length;
Svm.info("*");
if (select_working_set(working_set) != 0)
{
break;
}
else
{
counter = 1; // do shrinking next iteration
}
}
int i = working_set[0];
int j = working_set[1];
++iter;
// update alpha[i] and alpha[j], handle bounds carefully
double[] Q_i = Q.GetQ(i, _activeSize);
double[] Q_j = Q.GetQ(j, _activeSize);
double C_i = GetC(i);
double C_j = GetC(j);
double old_alpha_i = _alpha[i];
double old_alpha_j = _alpha[j];
if (_y[i] != _y[j])
{
double quad_coef = _qd[i] + _qd[j] + 2 * Q_i[j];
if (quad_coef <= 0)
{
quad_coef = 1e-12;
}
double delta = (-_g[i] - _g[j]) / quad_coef;
double diff = _alpha[i] - _alpha[j];
_alpha[i] += delta;
_alpha[j] += delta;
if (diff > 0)
{
if (_alpha[j] < 0)
{
_alpha[j] = 0;
_alpha[i] = diff;
}
}
else
{
if (_alpha[i] < 0)
{
_alpha[i] = 0;
_alpha[j] = -diff;
}
}
if (diff > C_i - C_j)
{
if (_alpha[i] > C_i)
{
_alpha[i] = C_i;
_alpha[j] = C_i - diff;
}
}
else
{
if (_alpha[j] > C_j)
{
_alpha[j] = C_j;
_alpha[i] = C_j + diff;
}
}
}
else
{
double quad_coef = _qd[i] + _qd[j] - 2 * Q_i[j];
if (quad_coef <= 0)
{
quad_coef = 1e-12;
}
double delta = (_g[i] - _g[j]) / quad_coef;
double sum = _alpha[i] + _alpha[j];
_alpha[i] -= delta;
_alpha[j] += delta;
if (sum > C_i)
{
if (_alpha[i] > C_i)
{
_alpha[i] = C_i;
_alpha[j] = sum - C_i;
}
}
else
{
if (_alpha[j] < 0)
{
_alpha[j] = 0;
_alpha[i] = sum;
}
}
if (sum > C_j)
{
if (_alpha[j] > C_j)
{
_alpha[j] = C_j;
_alpha[i] = sum - C_j;
}
}
else
{
if (_alpha[i] < 0)
{
_alpha[i] = 0;
_alpha[j] = sum;
}
}
}
// update G
double delta_alpha_i = _alpha[i] - old_alpha_i;
double delta_alpha_j = _alpha[j] - old_alpha_j;
for (int k = 0; k < _activeSize; k++)
{
_g[k] += Q_i[k] * delta_alpha_i + Q_j[k] * delta_alpha_j;
}
// update alpha_status and G_bar
bool ui = is_upper_bound(i);
bool uj = is_upper_bound(j);
UpdateAlphaStatus(i);
UpdateAlphaStatus(j);
//int k;
if (ui != is_upper_bound(i))
{
Q_i = Q.GetQ(i, length);
if (ui)
{
for (int k = 0; k < length; k++)
{
_gBar[k] -= C_i * Q_i[k];
}
}
else
{
for (int k = 0; k < length; k++)
{
_gBar[k] += C_i * Q_i[k];
}
}
}
if (uj != is_upper_bound(j))
{
Q_j = Q.GetQ(j, length);
if (uj)
{
for (int k = 0; k < length; k++)
{
_gBar[k] -= C_j * Q_j[k];
}
}
else
{
for (int k = 0; k < length; k++)
{
_gBar[k] += C_j * Q_j[k];
}
}
}
}
if (iter >= max_iter)
{
if (_activeSize < length)
{
// reconstruct the whole gradient to calculate objective value
reconstruct_gradient();
_activeSize = length;
Svm.info("*");
}
Svm.info("\nWARNING: reaching max number of iterations");
}
// calculate rho
si.Rho = calculate_rho();
// calculate objective value
double v = 0;
for (int i = 0; i < length; i++)
{
v += _alpha[i] * (_g[i] + _p[i]);
}
si.Obj = v / 2;
// put back the solution
for (int i = 0; i < length; i++)
{
alpha_[_activeSet[i]] = _alpha[i];
}
si.UpperBoundP = Cp;
si.UpperBoundN = Cn;
Svm.info("\noptimization finished, #iter = " + iter + "\n");
}