private void InitializeGradient(int totalProblems, IQMatrix qMatrix)
{
gradient = new double[totalProblems];
gradientBar = new double[totalProblems];
int i;
for (i = 0; i < totalProblems; i++)
{
gradient[i] = p[i];
gradientBar[i] = 0;
}
for (i = 0; i < totalProblems; i++)
{
if (!IsLowerBound(i))
{
float[] Q_i = qMatrix.GetQ(i, totalProblems);
double alpha_i = alpha[i];
int j;
for (j = 0; j < totalProblems; j++)
{
gradient[j] += alpha_i * Q_i[j];
}
if (IsUpperBound(i))
{
for (j = 0; j < totalProblems; j++)
{
gradientBar[j] += GetC(i) * Q_i[j];
}
}
}
}
}
public virtual void Solve(int l, IQMatrix Q, double[] p_, sbyte[] y_, double[] alpha_, double Cp, double Cn, double eps, SolutionInfo si, bool shrinking)
{
this.l = l;
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
{
alpha_status = new byte[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] = p[i];
G_bar[i] = 0;
}
for (i = 0; i < l; i++)
if (!is_lower_bound(i))
{
float[] Q_i = Q.GetQ(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;
int[] working_set = new int[2];
while (true)
{
// show progress and do shrinking
if (--counter == 0)
{
counter = Math.Min(l, 1000);
if (shrinking) do_shrinking();
Procedures.info(".");
}
if (select_working_set(working_set) != 0)
{
// reconstruct the whole gradient
reconstruct_gradient();
// reset active set size and check
active_size = l;
Procedures.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
float[] Q_i = Q.GetQ(i, active_size);
float[] Q_j = Q.GetQ(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 quad_coef = Q_i[i] + Q_j[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 = Q_i[i] + Q_j[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 < 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.GetQ(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.GetQ(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] + p[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;
Procedures.info("\noptimization finished, #iter = " + iter + "\n");
}
// return 1 if already optimal, return 0 otherwise
protected virtual int SelectWorkingSet(int[] workingSet)
{
// return i,j such that
// i: Maximizes -y_i * grad(f)_i, i in I_up(\Alpha)
// j: mimimizes the decrease of obj value
// (if quadratic coefficeint <= 0, replace it with tau)
// -y_j*grad(f)_j < -y_i*grad(f)_i, j in I_low(\Alpha)
double gMax = -INF;
double gMax2 = -INF;
int gMaxIdx = -1;
int gMinIdx = -1;
double objDiffMin = INF;
for (int t = 0; t < activeSize; t++)
{
if (y[t] == +1)
{
if (!IsUpperBound(t))
{
if (-gradient[t] >= gMax)
{
gMax = -gradient[t];
gMaxIdx = t;
}
}
}
else
{
if (!IsLowerBound(t))
{
if (gradient[t] >= gMax)
{
gMax = gradient[t];
gMaxIdx = t;
}
}
}
}
int i = gMaxIdx;
float[] qI = null;
if (i != -1) // null Q_i not accessed: GMax=-INF if i=-1
{
qI = qMatrix.GetQ(i, activeSize);
}
for (int j = 0; j < activeSize; j++)
{
if (y[j] == +1)
{
if (!IsLowerBound(j))
{
double gradDiff = gMax + gradient[j];
if (gradient[j] >= gMax2)
{
gMax2 = gradient[j];
}
if (gradDiff > 0)
{
double objDiff;
double quadCoef = qI[i] + qd[j] - 2.0 * y[i] * qI[j];
if (quadCoef > 0)
{
objDiff = -(gradDiff * gradDiff) / quadCoef;
}
else
{
objDiff = -(gradDiff * gradDiff) / 1e-12;
}
if (objDiff <= objDiffMin)
{
gMinIdx = j;
objDiffMin = objDiff;
}
}
}
}
else
{
if (!IsUpperBound(j))
{
double gradDiff = gMax - gradient[j];
if (-gradient[j] >= gMax2)
{
gMax2 = -gradient[j];
}
if (gradDiff > 0)
{
double objDiff;
double quadCoef = qI[i] + qd[j] + 2.0 * y[i] * qI[j];
if (quadCoef > 0)
{
objDiff = -(gradDiff * gradDiff) / quadCoef;
}
else
{
objDiff = -(gradDiff * gradDiff) / 1e-12;
}
if (objDiff <= objDiffMin)
{
gMinIdx = j;
objDiffMin = objDiff;
}
}
}
}
}
if (gMax + gMax2 < eps)
{
return(1);
}
workingSet[0] = gMaxIdx;
workingSet[1] = gMinIdx;
return(0);
}
public virtual void Solve(
int totalProblemsInSolver,
IQMatrix matrix,
double[] pValue,
sbyte[] yValue,
double[] alphaValue,
double cpValue,
double cnValue,
double epsValue,
SolutionInfo solutionInfo,
bool shrinking)
{
totalProblems = totalProblemsInSolver;
qMatrix = matrix;
qd = matrix.GetQD();
p = (double[])pValue.Clone();
y = (sbyte[])yValue.Clone();
alpha = (double[])alphaValue.Clone();
this.cp = cpValue;
this.cn = cnValue;
eps = epsValue;
unshrink = false;
// initialize alpha_status
InitializeAlphaStatus(totalProblemsInSolver);
// initialize active set (for shrinking)
InitializeActiveSet(totalProblemsInSolver);
// initialize gradient
InitializeGradient(totalProblemsInSolver, matrix);
// optimization step
int maxIterations = Math.Max(10000000, totalProblemsInSolver > int.MaxValue / 100 ? int.MaxValue : 100 * totalProblemsInSolver);
int iter = 0;
int counter = Math.Min(totalProblemsInSolver, 1000) + 1;
int[] workingSet = new int[2];
while (iter < maxIterations)
{
// show progress and do shrinking
Token.ThrowIfCancellationRequested();
if (--counter == 0)
{
counter = Math.Min(totalProblemsInSolver, 1000);
if (shrinking)
{
DoShrinking();
}
log.Debug(".");
}
if (SelectWorkingSet(workingSet) != 0)
{
// reconstruct the whole gradient
ReconstructGradient();
// reset active set size and check
activeSize = totalProblemsInSolver;
log.Debug("*");
if (SelectWorkingSet(workingSet) != 0)
{
break;
}
counter = 1; // do shrinking next iteration
}
int i = workingSet[0];
int j = workingSet[1];
++iter;
// update Alpha[i] and Alpha[j], handle bounds carefully
float[] qI = matrix.GetQ(i, activeSize);
float[] qJ = matrix.GetQ(j, activeSize);
double cI = GetC(i);
double cJ = GetC(j);
double oldAlphaI = alpha[i];
double oldAlphaJ = alpha[j];
if (y[i] != y[j])
{
double quadCoef = qI[i] + qJ[j] + 2 * qI[j];
if (quadCoef <= 0)
{
quadCoef = 1e-12;
}
double delta = (-gradient[i] - gradient[j]) / quadCoef;
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 > cI - cJ)
{
if (alpha[i] > cI)
{
alpha[i] = cI;
alpha[j] = cI - diff;
}
}
else
{
if (alpha[j] > cJ)
{
alpha[j] = cJ;
alpha[i] = cJ + diff;
}
}
}
else
{
double quadCoef = qI[i] + qJ[j] - 2 * qI[j];
if (quadCoef <= 0)
{
quadCoef = 1e-12;
}
double delta = (gradient[i] - gradient[j]) / quadCoef;
double sum = alpha[i] + alpha[j];
alpha[i] -= delta;
alpha[j] += delta;
if (sum > cI)
{
if (alpha[i] > cI)
{
alpha[i] = cI;
alpha[j] = sum - cI;
}
}
else
{
if (alpha[j] < 0)
{
alpha[j] = 0;
alpha[i] = sum;
}
}
if (sum > cJ)
{
if (alpha[j] > cJ)
{
alpha[j] = cJ;
alpha[i] = sum - cJ;
}
}
else
{
if (alpha[i] < 0)
{
alpha[i] = 0;
alpha[j] = sum;
}
}
}
// update G
double deltaAlphaI = alpha[i] - oldAlphaI;
double deltaAlphaJ = alpha[j] - oldAlphaJ;
for (int k = 0; k < activeSize; k++)
{
gradient[k] += qI[k] * deltaAlphaI + qJ[k] * deltaAlphaJ;
}
// update alpha_status and G_bar
{
bool ui = IsUpperBound(i);
bool uj = IsUpperBound(j);
UpdateAlphaStatus(i);
UpdateAlphaStatus(j);
int k;
if (ui != IsUpperBound(i))
{
qI = matrix.GetQ(i, totalProblemsInSolver);
if (ui)
{
for (k = 0; k < totalProblemsInSolver; k++)
{
gradientBar[k] -= cI * qI[k];
}
}
else
{
for (k = 0; k < totalProblemsInSolver; k++)
{
gradientBar[k] += cI * qI[k];
}
}
}
if (uj != IsUpperBound(j))
{
qJ = matrix.GetQ(j, totalProblemsInSolver);
if (uj)
{
for (k = 0; k < totalProblemsInSolver; k++)
{
gradientBar[k] -= cJ * qJ[k];
}
}
else
{
for (k = 0; k < totalProblemsInSolver; k++)
{
gradientBar[k] += cJ * qJ[k];
}
}
}
}
}
if (iter >= maxIterations)
{
if (activeSize < totalProblemsInSolver)
{
// reconstruct the whole gradient to calculate objective value
ReconstructGradient();
activeSize = totalProblemsInSolver;
log.Debug("*");
}
log.Warn("WARNING: reaching max number of iterations");
}
// calculate rho
solutionInfo.Rho = CalculateRho();
// calculate objective value
CalculateObjectiveValue(totalProblemsInSolver, solutionInfo);
// put back the solution
for (int i = 0; i < totalProblemsInSolver; i++)
{
alphaValue[activeSet[i]] = alpha[i];
}
solutionInfo.UpperBoundP = cpValue;
solutionInfo.UpperBoundN = cnValue;
log.Debug("optimization finished, #iter = " + iter);
}
public virtual void Solve(int l, IQMatrix Q, double[] p_, sbyte[] y_, double[] alpha_, double Cp, double Cn, double eps, SolutionInfo si, bool shrinking)
{
this.l = l;
this.Q = Q;
this.QD = Q.GetQD();
this.p = (double[])p_.Clone();
this.y = (sbyte[])y_.Clone();
this.alpha = (double[])alpha_.Clone();
this.Cp = Cp;
this.Cn = Cn;
this.EPS = eps;
this.unshrink = false;
this.alpha_status = new byte[l];
for (int i = 0; i < l; i++)
{
this.update_alpha_status(i);
}
this.active_set = new int[l];
for (int j = 0; j < l; j++)
{
this.active_set[j] = j;
}
this.active_size = l;
this.G = new double[l];
this.G_bar = new double[l];
for (int k = 0; k < l; k++)
{
this.G[k] = this.p[k];
this.G_bar[k] = 0.0;
}
for (int k = 0; k < l; k++)
{
if (!this.is_lower_bound(k))
{
float[] q = Q.GetQ(k, l);
double num = this.alpha[k];
for (int m = 0; m < l; m++)
{
this.G[m] += num * (double)q[m];
}
if (this.is_upper_bound(k))
{
for (int m = 0; m < l; m++)
{
this.G_bar[m] += this.get_C(k) * (double)q[m];
}
}
}
}
int num2 = 0;
int num3 = Math.Min(l, 1000) + 1;
int[] array = new int[2];
while (true)
{
if (--num3 == 0)
{
num3 = Math.Min(l, 1000);
if (shrinking)
{
this.do_shrinking();
}
Procedures.info(".");
}
if (this.select_working_set(array) != 0)
{
this.reconstruct_gradient();
this.active_size = l;
Procedures.info("*");
if (this.select_working_set(array) != 0)
{
break;
}
num3 = 1;
}
int num4 = array[0];
int num5 = array[1];
num2++;
float[] q2 = Q.GetQ(num4, this.active_size);
float[] q3 = Q.GetQ(num5, this.active_size);
double num6 = this.get_C(num4);
double num7 = this.get_C(num5);
double num8 = this.alpha[num4];
double num9 = this.alpha[num5];
if (this.y[num4] != this.y[num5])
{
double num10 = (double)(q2[num4] + q3[num5] + 2f * q2[num5]);
if (num10 <= 0.0)
{
num10 = 1E-12;
}
double num11 = (0.0 - this.G[num4] - this.G[num5]) / num10;
double num12 = this.alpha[num4] - this.alpha[num5];
this.alpha[num4] += num11;
this.alpha[num5] += num11;
if (num12 > 0.0)
{
if (this.alpha[num5] < 0.0)
{
this.alpha[num5] = 0.0;
this.alpha[num4] = num12;
}
}
else if (this.alpha[num4] < 0.0)
{
this.alpha[num4] = 0.0;
this.alpha[num5] = 0.0 - num12;
}
if (num12 > num6 - num7)
{
if (this.alpha[num4] > num6)
{
this.alpha[num4] = num6;
this.alpha[num5] = num6 - num12;
}
}
else if (this.alpha[num5] > num7)
{
this.alpha[num5] = num7;
this.alpha[num4] = num7 + num12;
}
}
else
{
double num13 = (double)(q2[num4] + q3[num5] - 2f * q2[num5]);
if (num13 <= 0.0)
{
num13 = 1E-12;
}
double num14 = (this.G[num4] - this.G[num5]) / num13;
double num15 = this.alpha[num4] + this.alpha[num5];
this.alpha[num4] -= num14;
this.alpha[num5] += num14;
if (num15 > num6)
{
if (this.alpha[num4] > num6)
{
this.alpha[num4] = num6;
this.alpha[num5] = num15 - num6;
}
}
else if (this.alpha[num5] < 0.0)
{
this.alpha[num5] = 0.0;
this.alpha[num4] = num15;
}
if (num15 > num7)
{
if (this.alpha[num5] > num7)
{
this.alpha[num5] = num7;
this.alpha[num4] = num15 - num7;
}
}
else if (this.alpha[num4] < 0.0)
{
this.alpha[num4] = 0.0;
this.alpha[num5] = num15;
}
}
double num16 = this.alpha[num4] - num8;
double num17 = this.alpha[num5] - num9;
for (int n = 0; n < this.active_size; n++)
{
this.G[n] += (double)q2[n] * num16 + (double)q3[n] * num17;
}
bool flag = this.is_upper_bound(num4);
bool flag2 = this.is_upper_bound(num5);
this.update_alpha_status(num4);
this.update_alpha_status(num5);
if (flag != this.is_upper_bound(num4))
{
q2 = Q.GetQ(num4, l);
if (flag)
{
for (int num18 = 0; num18 < l; num18++)
{
this.G_bar[num18] -= num6 * (double)q2[num18];
}
}
else
{
for (int num18 = 0; num18 < l; num18++)
{
this.G_bar[num18] += num6 * (double)q2[num18];
}
}
}
if (flag2 != this.is_upper_bound(num5))
{
q3 = Q.GetQ(num5, l);
if (flag2)
{
for (int num18 = 0; num18 < l; num18++)
{
this.G_bar[num18] -= num7 * (double)q3[num18];
}
}
else
{
for (int num18 = 0; num18 < l; num18++)
{
this.G_bar[num18] += num7 * (double)q3[num18];
}
}
}
}
si.rho = this.calculate_rho();
double num19 = 0.0;
for (int num20 = 0; num20 < l; num20++)
{
num19 += this.alpha[num20] * (this.G[num20] + this.p[num20]);
}
si.obj = num19 / 2.0;
for (int num21 = 0; num21 < l; num21++)
{
alpha_[this.active_set[num21]] = this.alpha[num21];
}
si.upper_bound_p = Cp;
si.upper_bound_n = Cn;
Procedures.info("\noptimization finished, #iter = " + num2 + "\n");
}