Example #1
0
// gradient-descent ------------------------------------------------------------
//' @title Regular gradient descent for latent factor model with covariates
//' @param X The ratings matrix. Unobserved entries must be marked NA. Users
//' must be along rows, and tracks must be along columns.
//' @param Z The covariates associated with each pair. This must be shaped as an
//' array with users along rows, tracks along columns, and features along
//' slices.
//' @param k_factors The number of latent factors for the problem.
//' @param lambdas The regularization parameters for P, Q, and beta, respectively.
//' @param n_iter The number of gradient descent iterations to run.
//' @param batch_samples The proportion of the observed entries to sample in the
//' gradient for each factor in the gradient descent.
//' @param batch_factors The proportion of latent factors to update at each
//' iteration.
//' @param gamma The step-size in the gradient descent.
//' @param verbose Print the objective at each iteration of the descent?
//' @return A list with the following elements, \cr
//'   $P The learned user latent factors. \cr
//'   $Q The learned track latent factors. \cr
//'   $beta The learned regression coefficients.
//' @export
// [[Rcpp::export]]
Rcpp::List svd_cov(Rcpp::NumericMatrix X, Rcpp::NumericVector Z_vec,
		   int k_factors, Rcpp::NumericVector lambdas, int n_iter,
		   double batch_samples, double batch_factors,
		   double gamma_pq, double gamma_beta, bool verbose) {

  // convert to arma
  Rcpp::IntegerVector Z_dim = Z_vec.attr("dim");
  arma::cube Z(Z_vec.begin(), Z_dim[0], Z_dim[1], Z_dim[2], false);

  // initialize results
  int m = X.nrow();
  int n = X.ncol();
  int l = Z_dim[2];

  arma::mat P = 1.0 / sqrt(m) * arma::randn(m, k_factors);
  arma::mat Q = 1.0 / sqrt(n) * arma::randn(n, k_factors);
  arma::vec beta = 1.0 / sqrt(l) * arma::randn(l);
  arma::vec objs = arma::zeros(n_iter);

  // perform gradient descent steps
  for(int cur_iter = 0; cur_iter < n_iter; cur_iter++) {
    // update user factors
    arma::uvec cur_factors = get_batch_ix(m, batch_factors);
    for(int i = 0; i < cur_factors.n_elem; i++) {
      int cur_ix = cur_factors(i);
      P.row(cur_ix) = update_factor(X.row(cur_ix),
				    Z(arma::span(cur_ix), arma::span(), arma::span()),
				    arma::conv_to<arma::vec>::from(P.row(cur_ix)), Q, beta,
				    batch_samples, lambdas[0], gamma_pq).t();
    }

    // update track factors
    cur_factors = get_batch_ix(n, batch_factors);
    for(int j = 0; j < cur_factors.n_elem; j++) {
      int cur_ix = cur_factors(j);
      Q.row(cur_ix) = update_factor(X.column(cur_ix),
				    Z(arma::span(), arma::span(cur_ix), arma::span()),
				    arma::conv_to<arma::vec>::from(Q.row(cur_ix)), P, beta,
				    batch_samples, lambdas[1], gamma_pq).t();
    }

    // update regression coefficients
    beta = update_beta(Rcpp::as<arma::mat>(X), Z, P, Q, beta, lambdas[2], gamma_beta);
    objs[cur_iter] = objective_fun(Rcpp::as<arma::mat>(X), Z, P, Q, beta, lambdas);
    if(verbose) {
      printf("iteration %d \n", cur_iter);
      printf("Objective: %g \n", objs[cur_iter]);
    }
  }

  return Rcpp::List::create(Rcpp::Named("P") = P,
			    Rcpp::Named("Q") = Q,
			    Rcpp::Named("beta") = beta,
			    Rcpp::Named("objs") = objs);
}
Example #2
0
void sampleRho(Rcpp::NumericVector& rho, Rcpp::NumericMatrix& A, arma::mat A_restrict, double rhoa, double rhob){
    int k = A.ncol();
    int p = A.nrow();
	arma::rowvec A_maxnnz_col = arma::sum(A_restrict, 0);
    for (int i=0; i<k; i++) {
        NumericMatrix::Column col = A.column(i) ;
        NumericVector As = ifelse(abs(col)<1e-10, 0.0, 1.0);
        double nnz = std::accumulate(As.begin(), As.end(), 0.0);
        double maxnnz = A_maxnnz_col(i);
        rho(i) = Rf_rbeta(rhoa + nnz, rhob + maxnnz-nnz);
    }
}
Example #3
0
///********************************************************************
///** tam_rcpp_rowCumsums
// [[Rcpp::export]]
Rcpp::NumericMatrix tam_rcpp_rowCumsums( Rcpp::NumericMatrix input )
{
    Rcpp::NumericMatrix output  = Rcpp::clone< Rcpp::NumericMatrix >(input);
    int nr = input.nrow();
    int nc = input.ncol();
    Rcpp::NumericVector tmp(nr);
    for( int i=0; i<nc; i++){
        tmp = tmp + input.column(i);
        Rcpp::NumericMatrix::Column target( output, i );
        std::copy( tmp.begin(), tmp.end(), target.begin() );
    }
    return output;
}