public void find_parameter_C(Problem prob, Parameter param1, int nr_fold, double start_C, double max_C, ref double best_C, ref double best_rate)
{
// variables for CV
int i;
int l = prob.l;
int[] perm = new int[l];
double[] target = new double[prob.l];
Problem[] subprob = new Problem[nr_fold];
// variables for warm start
double ratio = 2;
double[][] prev_w = new double[nr_fold][];
int num_unchanged_w = 0;
//parameter param1 = param;
if (nr_fold > l)
{
nr_fold = l;
_logger.LogWarning("WARNING: # folds > # data. Will use # folds = # data instead (i.e., leave-one-out cross validation)");
}
int[] fold_start = new int[nr_fold + 1];
for (i = 0; i < l; i++)
{
perm[i] = i;
}
for (i = 0; i < l; i++)
{
int j = i + rand.Next(l - i);
Helper.swap(perm, i, j);
}
for (i = 0; i <= nr_fold; i++)
{
fold_start[i] = i * l / nr_fold;
}
for (i = 0; i < nr_fold; i++)
{
int begin = fold_start[i];
int end = fold_start[i + 1];
int j, k;
subprob[i].bias = prob.bias;
subprob[i].n = prob.n;
subprob[i].l = l - (end - begin);
int[] newperm = new int[subprob[i].l];
subprob[i].y = new double[subprob[i].l];
k = 0;
for (j = 0; j < begin; j++)
{
newperm[k] = perm[j];
subprob[i].y[k] = prob.y[perm[j]];
++k;
}
for (j = end; j < l; j++)
{
newperm[k] = perm[j];
subprob[i].y[k] = prob.y[perm[j]];
++k;
}
subprob[i].x = SparseMatrixFactory.CreateFacadeMatrix(prob.x, newperm);
}
//best_C = Double.NaN;
best_rate = 0;
if (start_C <= 0)
{
start_C = calc_start_C(prob, param1);
}
//start_C = calc_start_C(prob, param);
param1.C = start_C;
Console.WriteLine("Param1.C {0}", param1.C);
while (param1.C <= max_C)
{
for (i = 0; i < nr_fold; i++)
{
int j;
int begin = fold_start[i];
int end = fold_start[i + 1];
param1.init_sol = prev_w[i];
Model submodel = train(subprob[i], param1);
int total_w_size;
if (submodel.nr_class == 2)
{
total_w_size = subprob[i].n;
}
else
{
total_w_size = subprob[i].n * submodel.nr_class;
}
if (prev_w[i] == null)
{
prev_w[i] = new double[total_w_size];
for (j = 0; j < total_w_size; j++)
{
prev_w[i][j] = submodel.w[j];
}
}
else if (num_unchanged_w >= 0)
{
double norm_w_diff = 0;
for (j = 0; j < total_w_size; j++)
{
norm_w_diff += (submodel.w[j] - prev_w[i][j]) * (submodel.w[j] - prev_w[i][j]);
prev_w[i][j] = submodel.w[j];
}
//norm_w_diff = Math.Sqrt(norm_w_diff);
if (norm_w_diff > CONSTANTS.SMALL_EPS_SQ)
{
num_unchanged_w = -1;
}
}
else
{
for (j = 0; j < total_w_size; j++)
{
prev_w[i][j] = submodel.w[j];
}
}
for (j = begin; j < end; j++)
{
target[perm[j]] = predict(submodel, prob.x.getRowPtr(perm[j]));
}
}
int total_correct = 0;
for (i = 0; i < prob.l; i++)
{
if (target[i] == prob.y[i])
{
++total_correct;
}
}
double current_rate = (double)total_correct / prob.l;
if (current_rate > best_rate)
{
best_C = param1.C;
best_rate = current_rate;
}
_logger.LogInformation("log2c={0}\trate={1}", Math.Log(param1.C) / Math.Log(2.0), 100.0 * current_rate);
num_unchanged_w++;
if (num_unchanged_w == 3)
{
break;
}
param1.C = param1.C * ratio;
}
if (param1.C > max_C && max_C > start_C)
{
_logger.LogInformation("warning: maximum C reached.\n");
}
}
public void cross_validation(Problem prob, Parameter param, ref int nr_fold, ref double[] target)
{
int i;
int l = prob.l;
int[] perm = new int[l];
if (nr_fold > l)
{
nr_fold = l;
_logger.LogWarning("WARNING: # folds > # data. Will use # folds = # data instead (i.e., leave-one-out cross validation)");
}
int[] fold_start = new int[nr_fold + 1];
for (i = 0; i < l; i++)
{
perm[i] = i;
}
for (i = 0; i < l; i++)
{
int j = i + rand.Next(l - i);
Helper.swap(perm, i, j);
}
for (i = 0; i <= nr_fold; i++)
{
fold_start[i] = i * l / nr_fold;
}
for (i = 0; i < nr_fold; i++)
{
int begin = fold_start[i];
int end = fold_start[i + 1];
int j, k;
Problem subprob = new Problem();
subprob.bias = prob.bias;
subprob.n = prob.n;
subprob.l = l - (end - begin);
subprob.y = new double[subprob.l];
int[] newperm = new int[subprob.l];
k = 0;
for (j = 0; j < begin; j++)
{
newperm[k] = perm[j];
subprob.y[k] = prob.y[perm[j]];
++k;
}
for (j = end; j < l; j++)
{
newperm[k] = perm[j];
subprob.y[k] = prob.y[perm[j]];
++k;
}
subprob.x = SparseMatrixFactory.CreateFacadeMatrix(prob.x, newperm);
Model submodel = train(subprob, param);
for (j = begin; j < end; j++)
{
target[perm[j]] = predict(submodel, prob.x.getRowPtr(perm[j]));
}
}
}
//
// Interface functions
//
public Model train(Problem prob, Parameter param)
{
int i, j;
int l = prob.l;
int n = prob.n;
int w_size = prob.n;
Model model_ = new Model();
if (prob.bias >= 0)
{
model_.nr_feature = n - 1;
}
else
{
model_.nr_feature = n;
}
model_.param = param;
model_.bias = prob.bias;
if (model_.param.check_regression_model())
{
model_.w = new double[w_size];
for (i = 0; i < w_size; i++)
{
model_.w[i] = 0;
}
model_.nr_class = 2;
model_.label = null;
double[] w = model_.w;
train_one(prob, param, ref w, 0, 0);
model_.w = w;
}
else
{
int nr_class = 0;
int[] label = null;
int[] start = null;
int[] count = null;
int[] perm = new int[l];
// group training data of the same class
group_classes(prob, ref nr_class, ref label, ref start, ref count, ref perm);
model_.nr_class = nr_class;
model_.label = new int[nr_class];
for (i = 0; i < nr_class; i++)
{
model_.label[i] = label[i];
}
// calculate weighted C
double[] weighted_C = new double[nr_class];
for (i = 0; i < nr_class; i++)
{
weighted_C[i] = param.C;
}
for (i = 0; i < param.nr_weight; i++)
{
for (j = 0; j < nr_class; j++)
{
if (param.weight_label[i] == label[j])
{
break;
}
}
if (j == nr_class)
{
_logger.LogError(string.Format("WARNING:ok class label {0} specified in weight is not found\n", param.weight_label[i]));
}
else
{
weighted_C[j] *= param.weight[i];
}
}
// constructing the subproblem
int k;
Problem sub_prob = new Problem();
sub_prob.l = l;
sub_prob.n = n;
sub_prob.y = new double[sub_prob.l];
sub_prob.x = SparseMatrixFactory.CreateFacadeMatrix(prob.x, perm);
// multi-class svm by Crammer and Singer
if (param.solver_type == SOLVER_TYPE.MCSVM_CS)
{
model_.w = new double[n * nr_class];
for (i = 0; i < nr_class; i++)
{
for (j = start[i]; j < start[i] + count[i]; j++)
{
sub_prob.y[j] = i;
}
}
Solver_MCSVM_CS Solver = new Solver_MCSVM_CS(sub_prob, nr_class, weighted_C, param.eps);
Solver.Solve(model_.w);
}
else
{
if (nr_class == 2)
{
model_.w = new double[w_size];
int e0 = start[0] + count[0];
k = 0;
for (; k < e0; k++)
{
sub_prob.y[k] = +1;
}
for (; k < sub_prob.l; k++)
{
sub_prob.y[k] = -1;
}
if (param.init_sol != null)
{
for (i = 0; i < w_size; i++)
{
model_.w[i] = param.init_sol[i];
}
}
else
{
for (i = 0; i < w_size; i++)
{
model_.w[i] = 0;
}
}
double [] w = model_.w;
train_one(sub_prob, param, ref w, weighted_C[0], weighted_C[1]);
model_.w = w;
}
else
{
model_.w = new double[w_size * nr_class];
double[] w = new double[w_size];
for (i = 0; i < nr_class; i++)
{
int si = start[i];
int ei = si + count[i];
k = 0;
for (; k < si; k++)
{
sub_prob.y[k] = -1;
}
for (; k < ei; k++)
{
sub_prob.y[k] = +1;
}
for (; k < sub_prob.l; k++)
{
sub_prob.y[k] = -1;
}
if (param.init_sol != null)
{
for (j = 0; j < w_size; j++)
{
w[j] = param.init_sol[j * nr_class + i];
}
}
else
{
for (j = 0; j < w_size; j++)
{
w[j] = 0;
}
}
train_one(sub_prob, param, ref w, weighted_C[i], param.C);
for (j = 0; j < w_size; j++)
{
model_.w[j * nr_class + i] = w[j];
}
}
}
}
}
return(model_);
}
// read in a problem (in libsvm format)
public static Problem read_problem(StreamReader fp, double bias, ILogger _logger)
{
_logger.LogInformation("Starting ");
char[] delimiters = { ' ', '\t' };
int elements = 0;
Problem p = new Problem();
p.bias = bias;
int maxCol = 0;
try {
_logger.LogInformation("Opening File");
string line = fp.ReadLine();
_logger.LogInformation("reading file phase 1");
while (line != null)
{
string[] tok = line.Split(delimiters);
elements += (String.IsNullOrWhiteSpace(tok[tok.Length - 1])) ? tok.Length - 2 : tok.Length - 1;
for (int i = 0; i < tok.Length; i++)
{
if (tok[i].Contains(":"))
{
string[] t = tok[i].Split(":");
maxCol = Math.Max(maxCol, int.Parse(t[0]));
}
}
line = fp.ReadLine();
p.l++;
if (p.bias >= 0)
{
elements++;
}
}
if (p.bias >= 0)
{
maxCol++; // Attempt to add back BIAS
System.Console.WriteLine("Bias {0}", p.bias);
}
fp.BaseStream.Position = 0;
fp.DiscardBufferedData();
_logger.LogInformation("reading file phase 2 p.l={0}, colcount={1}, element={2}", p.l, maxCol, elements);
p.y = new double[p.l];
p.x = SparseMatrixFactory.CreateMatrix(p.l, maxCol, elements);
p.n = maxCol;
// Sequential Loader mode on teh Matrix is a way to prevent some housekeeping operation as loading rows and columns in order.
p.x.SequentialLoad = true;
int[] cols = new int[2000];
double[] vals = new double[2000];
for (int i = 0; i < p.l; i++)
{
line = fp.ReadLine();
string[] tok = line.Split(delimiters);
int len = 0;
for (int j = 0; j < tok.Length; j++)
{
string[] t = tok[j].Split(":", 2);
if (t.Length > 1)
{
cols[len] = int.Parse(t[0]) - 1;
vals[len] = double.Parse(t[1]);
len++;
}
else if (!String.IsNullOrWhiteSpace(tok[j]))
{
p.y[i] = double.Parse(tok[j]);
}
}
if (p.bias >= 0)
{
// Attempt to add back BIAS
cols[len] = maxCol - 1;
vals[len] = p.bias;
len++;
}
p.x.LoadRow(i, cols, vals, len);
}
p.x.SequentialLoad = false;
fp.Close();
} catch (Exception e) {
_logger.LogError(e.Message);
throw new Exception("Badly formated input");
}
return(p);
}
