static int
iterate (void *vstate, gsl_multifit_function_fdf * fdf, gsl_vector * x, gsl_vector * f, gsl_matrix * J, gsl_vector * dx, int scale)
{
lmder_state_t *state = (lmder_state_t *) vstate;
gsl_matrix *r = state->r;
gsl_vector *tau = state->tau;
gsl_vector *diag = state->diag;
gsl_vector *qtf = state->qtf;
gsl_vector *x_trial = state->x_trial;
gsl_vector *f_trial = state->f_trial;
gsl_vector *rptdx = state->rptdx;
gsl_vector *newton = state->newton;
gsl_vector *gradient = state->gradient;
gsl_vector *sdiag = state->sdiag;
gsl_vector *w = state->w;
gsl_vector *work1 = state->work1;
gsl_permutation *perm = state->perm;
double prered, actred;
double pnorm, fnorm1, fnorm1p, gnorm;
double ratio;
double dirder;
int iter = 0;
double p1 = 0.1, p25 = 0.25, p5 = 0.5, p75 = 0.75, p0001 = 0.0001;
if (state->fnorm == 0.0)
{
return GSL_SUCCESS;
}
/* Compute qtf = Q^T f */
gsl_vector_memcpy (qtf, f);
gsl_linalg_QR_QTvec (r, tau, qtf);
/* Compute norm of scaled gradient */
compute_gradient_direction (r, perm, qtf, diag, gradient);
{
size_t iamax = gsl_blas_idamax (gradient);
gnorm = fabs(gsl_vector_get (gradient, iamax) / state->fnorm);
}
/* Determine the Levenberg-Marquardt parameter */
lm_iteration:
iter++ ;
{
int status = lmpar (r, perm, qtf, diag, state->delta, &(state->par), newton, gradient, sdiag, dx, w);
if (status)
return status;
}
/* Take a trial step */
gsl_vector_scale (dx, -1.0); /* reverse the step to go downhill */
compute_trial_step (x, dx, state->x_trial);
pnorm = scaled_enorm (diag, dx);
if (state->iter == 1)
{
if (pnorm < state->delta)
{
#ifdef DEBUG
printf("set delta = pnorm = %g\n" , pnorm);
#endif
state->delta = pnorm;
}
}
/* Evaluate function at x + p */
/* return immediately if evaluation raised error */
{
int status = GSL_MULTIFIT_FN_EVAL_F (fdf, x_trial, f_trial);
if (status)
return status;
}
fnorm1 = enorm (f_trial);
/* Compute the scaled actual reduction */
actred = compute_actual_reduction (state->fnorm, fnorm1);
#ifdef DEBUG
printf("lmiterate: fnorm = %g fnorm1 = %g actred = %g\n", state->fnorm, fnorm1, actred);
printf("r = "); gsl_matrix_fprintf(stdout, r, "%g");
printf("perm = "); gsl_permutation_fprintf(stdout, perm, "%d");
printf("dx = "); gsl_vector_fprintf(stdout, dx, "%g");
#endif
/* Compute rptdx = R P^T dx, noting that |J dx| = |R P^T dx| */
compute_rptdx (r, perm, dx, rptdx);
#ifdef DEBUG
printf("rptdx = "); gsl_vector_fprintf(stdout, rptdx, "%g");
#endif
fnorm1p = enorm (rptdx);
/* Compute the scaled predicted reduction = |J dx|^2 + 2 par |D dx|^2 */
{
double t1 = fnorm1p / state->fnorm;
double t2 = (sqrt(state->par) * pnorm) / state->fnorm;
prered = t1 * t1 + t2 * t2 / p5;
dirder = -(t1 * t1 + t2 * t2);
}
/* compute the ratio of the actual to predicted reduction */
if (prered > 0)
{
ratio = actred / prered;
}
else
{
ratio = 0;
}
#ifdef DEBUG
printf("lmiterate: prered = %g dirder = %g ratio = %g\n", prered, dirder,ratio);
#endif
/* update the step bound */
if (ratio > p25)
{
#ifdef DEBUG
printf("ratio > p25\n");
#endif
if (state->par == 0 || ratio >= p75)
{
state->delta = pnorm / p5;
state->par *= p5;
#ifdef DEBUG
printf("updated step bounds: delta = %g, par = %g\n", state->delta, state->par);
#endif
}
}
else
{
double temp = (actred >= 0) ? p5 : p5*dirder / (dirder + p5 * actred);
#ifdef DEBUG
printf("ratio < p25\n");
#endif
if (p1 * fnorm1 >= state->fnorm || temp < p1 )
{
temp = p1;
}
state->delta = temp * GSL_MIN_DBL (state->delta, pnorm/p1);
state->par /= temp;
#ifdef DEBUG
printf("updated step bounds: delta = %g, par = %g\n", state->delta, state->par);
#endif
}
/* test for successful iteration, termination and stringent tolerances */
if (ratio >= p0001)
{
gsl_vector_memcpy (x, x_trial);
gsl_vector_memcpy (f, f_trial);
/* return immediately if evaluation raised error */
{
int status;
if (fdf->df)
status = GSL_MULTIFIT_FN_EVAL_DF (fdf, x_trial, J);
else
status = gsl_multifit_fdfsolver_dif_df(x_trial, fdf, f_trial, J);
if (status)
return status;
}
/* wa2_j = diag_j * x_j */
state->xnorm = scaled_enorm(diag, x);
state->fnorm = fnorm1;
state->iter++;
/* Rescale if necessary */
if (scale)
{
update_diag (J, diag);
}
{
int signum;
gsl_matrix_memcpy (r, J);
gsl_linalg_QRPT_decomp (r, tau, perm, &signum, work1);
}
return GSL_SUCCESS;
}
else if (fabs(actred) <= GSL_DBL_EPSILON && prered <= GSL_DBL_EPSILON
&& p5 * ratio <= 1.0)
{
return GSL_ETOLF ;
}
else if (state->delta <= GSL_DBL_EPSILON * state->xnorm)
{
return GSL_ETOLX;
}
else if (gnorm <= GSL_DBL_EPSILON)
{
return GSL_ETOLG;
}
else if (iter < 10)
{
/* Repeat inner loop if unsuccessful */
goto lm_iteration;
}
return GSL_ENOPROG;
}
static VALUE rb_gsl_blas_idamax(int argc, VALUE *argv, VALUE obj)
{
gsl_vector *x = NULL;
get_vector1(argc, argv, obj, &x);
return INT2FIX(gsl_blas_idamax(x));
}
/**
* C++ version of gsl_blas_idamax().
* @param X A vector
* @return Index of largest-magnitude element
*/
CBLAS_INDEX_t idamax( vector const& X ){ return gsl_blas_idamax( X.get() ); }
int main(int argc, char **argv) {
const int MAX_ITER = 20;
const double TOL = 1e-12;
int rank;
int size;
int P = 8; // number of blocks to update P <= size
/* -----------------------------------
mode controls the selection schemes,
mode =0, fixed P
mode =1, dynamic update P
----------------------------------*/
int mode=1; // number of processors used to update each time
double lambda = 0.1;
srand (time(NULL));
MPI_Init(&argc, &argv);
MPI_Comm_rank(MPI_COMM_WORLD, &rank); // Determine current running process
MPI_Comm_size(MPI_COMM_WORLD, &size); // Total number of processes
// data directory (you need to change the path to your own data directory)
char* dataCenterDir = "../Data/Gaussian";
char* big_dir;
if(argc==2)
big_dir = argv[1];
else
big_dir = "big1";
/* Read in local data */
FILE *f, *test;
int m, n, j;
int row, col;
double entry, startTime, endTime;
double total_start_time, total_end_time;
/*
* Subsystem n will look for files called An.dat and bn.dat
* in the current directory; these are its local data and do not need to be
* visible to any other processes. Note that
* m and n here refer to the dimensions of the *local* coefficient matrix.
*/
/* ------------
Read in A
------------*/
if(rank ==0){
printf("=============================\n");
printf("| Start to load data! |\n");
printf("=============================\n");
}
char s[100];
sprintf(s, "%s/%s/A%d.dat",dataCenterDir,big_dir, rank + 1);
printf("[%d] reading %s\n", rank, s);
f = fopen(s, "r");
if (f == NULL) {
printf("[%d] ERROR: %s does not exist, exiting.\n", rank, s);
exit(EXIT_FAILURE);
}
mm_read_mtx_array_size(f, &m, &n);
gsl_matrix *A = gsl_matrix_calloc(m, n);
for (int i = 0; i < m*n; i++) {
row = i % m;
col = floor(i/m);
fscanf(f, "%lf", &entry);
gsl_matrix_set(A, row, col, entry);
}
fclose(f);
/* ------------
Read in b
-------------*/
sprintf(s, "%s/%s/b.dat", dataCenterDir, big_dir);
printf("[%d] reading %s\n", rank, s);
f = fopen(s, "r");
if (f == NULL) {
printf("[%d] ERROR: %s does not exist, exiting.\n", rank, s);
exit(EXIT_FAILURE);
}
mm_read_mtx_array_size(f, &m, &n);
gsl_vector *b = gsl_vector_calloc(m);
for (int i = 0; i < m; i++) {
fscanf(f, "%lf", &entry);
gsl_vector_set(b, i, entry);
}
fclose(f);
/* ------------
Read in xs
------------*/
sprintf(s, "%s/%s/xs%d.dat", dataCenterDir, big_dir, rank + 1);
printf("[%d] reading %s\n", rank, s);
f = fopen(s, "r");
if (f == NULL) {
printf("[%d] ERROR: %s does not exist, exiting.\n", rank, s);
exit(EXIT_FAILURE);
}
mm_read_mtx_array_size(f, &m, &n);
gsl_vector *xs = gsl_vector_calloc(m);
for (int i = 0; i < m; i++) {
fscanf(f, "%lf", &entry);
gsl_vector_set(xs, i, entry);
}
fclose(f);
m = A->size1;
n = A->size2;
MPI_Barrier(MPI_COMM_WORLD);
/*----------------------------------------
* These are all variables related to GRock
----------------------------------------*/
struct value table[size];
gsl_vector *x = gsl_vector_calloc(n);
gsl_vector *As = gsl_vector_calloc(n);
gsl_vector *invAs = gsl_vector_calloc(n);
gsl_vector *local_b = gsl_vector_calloc(m);
gsl_vector *beta = gsl_vector_calloc(n);
gsl_vector *tmp = gsl_vector_calloc(n);
gsl_vector *d = gsl_vector_calloc(n);
gsl_vector *absd = gsl_vector_calloc(n);
gsl_vector *oldx = gsl_vector_calloc(n);
gsl_vector *tmpx = gsl_vector_calloc(n);
gsl_vector *z = gsl_vector_calloc(m);
gsl_vector *tmpz = gsl_vector_calloc(m);
gsl_vector *Ax = gsl_vector_calloc(m);
gsl_vector *Atmpx = gsl_vector_calloc(m);
gsl_vector *xdiff = gsl_vector_calloc(n);
gsl_permutation *idx = gsl_permutation_calloc(n);
double send[1];
double recv[1];
double err;
int num_upd = (int)(n*0.08);
double sigma = 0.01;
double xs_local_nrm[1], xs_nrm[1];
double local_old_obj, global_old_obj, local_new_obj, global_new_obj;
//calculate the 2 norm of xs
xs_local_nrm[0] = gsl_blas_dnrm2(xs);
xs_local_nrm[0] *=xs_local_nrm[0];
MPI_Allreduce(xs_local_nrm, xs_nrm, 1, MPI_DOUBLE, MPI_SUM, MPI_COMM_WORLD);
xs_nrm[0] = sqrt(xs_nrm[0]);
// evaluate the two norm of the columns of A
for(j=0;j<n;j++){
gsl_vector_view column = gsl_matrix_column(A, j);
double d;
d = gsl_blas_dnrm2(&column.vector);
gsl_vector_set(As, j, d*d);
gsl_vector_set(invAs, j, 1./(d*d));
}
if (rank == 0) {
printf("=============================\n");
printf("|GRock start to solve Lasso!|\n");
printf("|---------------------------|\n");
printf("|lambda=%1.2f, m=%d, n=%d |\n", lambda, m, n*size);
if(mode==1) printf("| Mode: dynamic update P. |\n");
else printf("| Mode: fixed update P |\n");
printf("=============================\n");
printf("%3s %8s %8s %5s\n", "iter", "rel_err", "obj", "P");
startTime = MPI_Wtime();
sprintf(s, "results/test%d.m", size);
test = fopen(s, "w");
fprintf(test,"res = [ \n");
}
/* Main BCD loop */
total_start_time = MPI_Wtime();
int iter = 0;
while (iter < MAX_ITER) {
startTime = MPI_Wtime();
/*---------- restore the old x ------------*/
gsl_vector_memcpy(oldx, x);
/*------- calculate local_b = b - sum_{j \neq i} Aj*xj--------- */
gsl_blas_dgemv(CblasNoTrans, 1, A, x, 0, Ax); // Ax = A * x
MPI_Allreduce(Ax->data, z->data, m, MPI_DOUBLE, MPI_SUM, MPI_COMM_WORLD);
gsl_vector_sub(z, b); // z = Ax - b
gsl_vector_memcpy(local_b, Ax);
gsl_vector_sub(local_b, z);
/* -------calculate beta ------------------*/
gsl_blas_dgemv(CblasTrans, -1, A, z, 0, beta); // beta = A'(b - Ax) + ||A.s||^2 * xs
gsl_vector_memcpy(tmp, As);
pointwise(tmp, x, n);
gsl_vector_add(beta, tmp);
shrink(beta, lambda);
// x = 1/|xs|^2 * shrink(beta, lambda)
gsl_vector_memcpy(x, beta);
pointwise(x, invAs, n);
/* ------calcuate proposed decrease -------- */
gsl_vector_memcpy(d,x);
gsl_vector_sub(d, oldx);
if(mode ==1){
gsl_vector_memcpy(absd, d);
abs_vector(absd, n);
// sort the local array d
gsl_vector_scale(absd, -1.0);
gsl_sort_vector_index(idx, absd);
// printf("|d(0)| = %lf, |d(1)| = %lf \n", gsl_vector_get(absd,0), gsl_vector_get(absd, 3));
// calculate current objective value;
local_old_obj = objective(oldx, lambda, z, size);
MPI_Allreduce(&local_old_obj, &global_old_obj, 1, MPI_DOUBLE, MPI_SUM, MPI_COMM_WORLD);
num_upd = fmin(num_upd+1, (int)(0.1*n));
gsl_vector_memcpy(tmpx, oldx);
int upd_idx;
double local_delta = 0, delta=0.0;
for(int i=0; i<num_upd; i++){
upd_idx = gsl_permutation_get(idx, i);
// printf("%d\n", upd_idx);
gsl_vector_set(tmpx, upd_idx, gsl_vector_get(x, upd_idx));
local_delta += gsl_vector_get(d, upd_idx) * gsl_vector_get(d, upd_idx);
}
MPI_Allreduce(&local_delta, &delta, 1, MPI_DOUBLE, MPI_SUM, MPI_COMM_WORLD);
gsl_blas_dgemv(CblasNoTrans, 1, A, tmpx, 0, Atmpx); // Ax = A * x
MPI_Allreduce(Atmpx->data, tmpz->data, m, MPI_DOUBLE, MPI_SUM, MPI_COMM_WORLD);
gsl_vector_sub(tmpz, b); // z = Ax - b
local_new_obj = objective(tmpx, lambda, tmpz, size);
MPI_Allreduce(&local_new_obj, &global_new_obj, 1, MPI_DOUBLE, MPI_SUM, MPI_COMM_WORLD);
while(global_new_obj - global_old_obj> -sigma * delta){
num_upd = fmax(num_upd-1, 1);
for(int i=0; i<num_upd; i++){
upd_idx = gsl_permutation_get(idx, i);
gsl_vector_set(tmpx, upd_idx, gsl_vector_get(x, upd_idx));
local_delta += gsl_vector_get(d, upd_idx) * gsl_vector_get(d, upd_idx);
}
MPI_Allreduce(&delta, &local_delta, 1, MPI_DOUBLE, MPI_SUM, MPI_COMM_WORLD);
gsl_blas_dgemv(CblasNoTrans, 1, A, tmpx, 0, Atmpx); // Ax = A * x
MPI_Allreduce(Atmpx->data, tmpz->data, m, MPI_DOUBLE, MPI_SUM, MPI_COMM_WORLD);
gsl_vector_sub(tmpz, b); // z = Ax - b
local_new_obj = objective(tmpx, lambda, tmpz, size);
MPI_Allreduce(&local_new_obj, &global_new_obj, 1, MPI_DOUBLE, MPI_SUM, MPI_COMM_WORLD);
if(num_upd==1)
break;
}
gsl_vector_memcpy(x, tmpx);
}
if(mode==0){
CBLAS_INDEX_t id = gsl_blas_idamax(d);
double *store = (double*)calloc(size, sizeof(double));
double foo[1];
foo[0] = gsl_vector_get(d,id);
MPI_Allgather(foo, 1, MPI_DOUBLE, store, 1, MPI_DOUBLE, MPI_COMM_WORLD);
for(int i=0;i<size;i++){
table[i].ID = i;
table[i].data = fabs(store[i]);
}
// quick sort to decide which block to update
qsort((void *) & table, size, sizeof(struct value), (compfn)compare );
gsl_vector_memcpy(x, oldx);
if(size>P){
for(int i=0;i<P;i++){
if(rank == table[i].ID)
gsl_vector_set(x, id, gsl_vector_get(oldx, id) + gsl_vector_get(d, id));
}
}else
gsl_vector_set(x, id, gsl_vector_get(oldx, id) + gsl_vector_get(d, id));
local_new_obj = objective(x, lambda, z, size);
MPI_Allreduce(&local_new_obj, &global_new_obj, 1, MPI_DOUBLE, MPI_SUM, MPI_COMM_WORLD);
}
/*------------------------------
calculate the relative error
------------------------------*/
gsl_vector_memcpy(xdiff,xs);
gsl_vector_sub(xdiff, x);
err = gsl_blas_dnrm2(xdiff);
send[0] = err*err;
MPI_Allreduce(send, recv, 1, MPI_DOUBLE, MPI_SUM, MPI_COMM_WORLD);
recv[0] = sqrt(recv[0])/xs_nrm[0];
endTime = MPI_Wtime();
if(mode==1) P = num_upd*size;
if (rank == 0) {
if(iter%5 == 0)
printf("%3d %10.2e %10.4f %3d\n", iter,
recv[0], global_new_obj, P);
fprintf(test, "%e \n",recv[0]);
}
/* termination check */
if(recv[0] < TOL){
break;
}
iter++;
}
total_end_time = MPI_Wtime();
/* Have the master write out the results to disk */
if (rank == 0) {
printf("=============================\n");
printf("| GRock solved Lasso! |\n");
printf("|---------------------------|\n");
printf("|Summary: |\n");
printf("| # of iteration: %d |\n", iter);
printf("| relative error: %4.2e|\n", recv[0]);
printf("| objective value: %4.2f |\n", global_new_obj);
printf("| time: %4.1es|\n", total_end_time - total_start_time);
printf("=============================\n");
fprintf(test,"] \n");
fprintf(test,"semilogy(1:length(res),res); \n");
fprintf(test,"xlabel('# of iteration'); ylabel('||x - xs||');\n");
fclose(test);
f = fopen("results/solution.dat", "w");
fprintf(f,"x = [ \n");
gsl_vector_fprintf(f, x, "%lf");
fprintf(f,"] \n");
fclose(f);
endTime = MPI_Wtime();
}
MPI_Finalize(); /* Shut down the MPI execution environment */
/* Clear memory */
gsl_matrix_free(A);
gsl_vector_free(b);
gsl_vector_free(x);
gsl_vector_free(z);
gsl_vector_free(xdiff);
gsl_vector_free(Ax);
gsl_vector_free(As);
gsl_vector_free(invAs);
gsl_vector_free(tmpx);
gsl_vector_free(oldx);
gsl_vector_free(local_b);
gsl_vector_free(beta);
gsl_vector_free(tmpz);
gsl_vector_free(absd);
gsl_vector_free(Atmpx);
gsl_permutation_free(idx);
return 0;
}
