internal virtual void Solve(int l, Kernel Q, double[] b_, sbyte[] y_, double[] alpha_, double Cp, double Cn,
double eps, SolutionInfo si, int shrinking)
{
this.l = l;
this.Q = Q;
b = new double[b_.Length];
b_.CopyTo(b, 0);
y = new sbyte[y_.Length];
y_.CopyTo(y, 0);
alpha = new double[alpha_.Length];
alpha_.CopyTo(alpha, 0);
this.Cp = Cp;
this.Cn = Cn;
this.eps = eps;
unshrinked = false;
// initialize alpha_status
{
alpha_status = new sbyte[l];
for (int i = 0; i < l; i++)
update_alpha_status(i);
}
// initialize active set (for shrinking)
{
active_set = new int[l];
for (int i = 0; i < l; i++)
active_set[i] = i;
active_size = l;
}
// initialize gradient
{
G = new double[l];
G_bar = new double[l];
int i;
for (i = 0; i < l; i++)
{
G[i] = b[i];
G_bar[i] = 0;
}
for (i = 0; i < l; i++)
if (!is_lower_bound(i))
{
float[] Q_i = Q.get_Q(i, l);
double alpha_i = alpha[i];
int j;
for (j = 0; j < l; j++)
G[j] += alpha_i*Q_i[j];
if (is_upper_bound(i))
for (j = 0; j < l; j++)
G_bar[j] += get_C(i)*Q_i[j];
}
}
// optimization step
int iter = 0;
int counter = Math.Min(l, 1000) + 1;
var working_set = new int[2];
while (true)
{
// show progress and do shrinking
if (--counter == 0)
{
counter = Math.Min(l, 1000);
if (shrinking != 0)
do_shrinking();
Console.Error.Write(".");
}
if (select_working_set(working_set) != 0)
{
// reconstruct the whole gradient
reconstruct_gradient();
// reset active set size and check
active_size = l;
Console.Error.Write("*");
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
float[] Q_i = Q.get_Q(i, active_size);
float[] Q_j = Q.get_Q(j, active_size);
double C_i = get_C(i);
double C_j = get_C(j);
double old_alpha_i = alpha[i];
double old_alpha_j = alpha[j];
if (y[i] != y[j])
{
double delta = (- G[i] - G[j])/Math.Max(Q_i[i] + Q_j[j] + 2*Q_i[j], 0);
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 delta = (G[i] - G[j])/Math.Max(Q_i[i] + Q_j[j] - 2*Q_i[j], 0);
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 < active_size; 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);
update_alpha_status(i);
update_alpha_status(j);
int k;
if (ui != is_upper_bound(i))
{
Q_i = Q.get_Q(i, l);
if (ui)
for (k = 0; k < l; k++)
G_bar[k] -= C_i*Q_i[k];
else
for (k = 0; k < l; k++)
G_bar[k] += C_i*Q_i[k];
}
if (uj != is_upper_bound(j))
{
Q_j = Q.get_Q(j, l);
if (uj)
for (k = 0; k < l; k++)
G_bar[k] -= C_j*Q_j[k];
else
for (k = 0; k < l; k++)
G_bar[k] += C_j*Q_j[k];
}
}
}
// calculate rho
si.rho = calculate_rho();
// calculate objective value
{
double v = 0;
int i;
for (i = 0; i < l; i++)
v += alpha[i]*(G[i] + b[i]);
si.obj = v/2;
}
// put back the solution
{
for (int i = 0; i < l; i++)
alpha_[active_set[i]] = alpha[i];
}
si.upper_bound_p = Cp;
si.upper_bound_n = Cn;
Console.Out.Write("\noptimization finished, #iter = " + iter + "\n");
}
internal override void Solve(int l, Kernel Q, double[] b, sbyte[] y, double[] alpha, double Cp, double Cn,
double eps, SolutionInfo si, int shrinking)
{
this.si = si;
base.Solve(l, Q, b, y, alpha, Cp, Cn, eps, si, shrinking);
}