void test_sgd_bpr_generated_data(void){
int n_features = 15;
int n_samples = 10;
int k = 4;
TestFixture_T *data = makeTestFixture(1245, n_samples, n_features, k);
ffm_matrix *compares = ffm_vector_to_rank_comparision(data->y);
ffm_vector * true_order = ffm_vector_get_order(data->y);
ffm_vector * y_pred = ffm_vector_calloc(n_samples);
int n_iter = 100;
double init_sigma = 0.1;
double step_size = .1;
ffm_coef *coef = alloc_fm_coef(n_features, k, false);
ffm_param param = {.n_iter=n_iter, .init_sigma=init_sigma,
.stepsize=step_size, .SOLVER=SOLVER_SGD, .TASK=TASK_RANKING};
param.init_lambda_w = 0.05;
param.init_lambda_V = 0.05;
ffm_fit_sgd_bpr(coef, data->X_t, compares, param);
sparse_predict(coef, data->X, y_pred);
ffm_vector * pred_order = ffm_vector_get_order(y_pred);
double kendall_tau = \
ffm_vector_kendall_tau(true_order, pred_order);
g_assert_cmpfloat(kendall_tau, > , .45);
ffm_vector_free(y_pred);
free_ffm_coef(coef);
TestFixtureDestructor(data, NULL);
}
void test_sparse_predict(TestFixture_T *pFix, gconstpointer pg) {
ffm_vector *y_pred = ffm_vector_calloc(5);
sparse_predict(pFix->coef, pFix->X, y_pred);
g_assert_cmpfloat(298.0, ==, ffm_vector_get(y_pred, 0));
g_assert_cmpfloat(266.0, ==, ffm_vector_get(y_pred, 1));
g_assert_cmpfloat(29.0, ==, ffm_vector_get(y_pred, 2));
g_assert_cmpfloat(298.0, ==, ffm_vector_get(y_pred, 3));
g_assert_cmpfloat(848.0, ==, ffm_vector_get(y_pred, 4));
ffm_vector_free(y_pred);
}
void test_sparse_map_gibbs_first_order_interactions(void) {
int n_features = 10;
int n_samples = 100;
int k = 0;
TestFixture_T *data = makeTestFixture(124, n_samples, n_features, k);
ffm_vector *y_pred = ffm_vector_calloc(n_samples);
ffm_coef *coef = alloc_fm_coef(n_features, k, false);
ffm_param param = {.n_iter = 200, .init_sigma = 0.1, .SOLVER = SOLVER_MCMC};
sparse_fit(coef, data->X, data->X, data->y, y_pred, param);
g_assert_cmpfloat(ffm_r2_score(data->y, y_pred), >, .99);
ffm_vector_free(y_pred);
free_ffm_coef(coef);
TestFixtureDestructor(data, NULL);
}
void test_train_test_data(void) {
// test if training and test data a propertly handeled
// no check of prediction quality
int n_features = 10;
int n_samples_train = 100;
int n_samples_test = 30;
int k = 3;
TestFixture_T *data_train =
makeTestFixture(124, n_samples_train, n_features, k);
TestFixture_T *data_test =
makeTestFixture(124, n_samples_test, n_features, k);
ffm_vector *y_pred = ffm_vector_calloc(n_samples_test);
// gibts
ffm_coef *coef = alloc_fm_coef(n_features, k, false);
ffm_param param = {.n_iter = 200, .init_sigma = 0.1, .SOLVER = SOLVER_MCMC};
sparse_fit(coef, data_train->X, data_test->X, data_train->y, y_pred, param);
free_ffm_coef(coef);
// als
coef = alloc_fm_coef(n_features, k, false);
ffm_param param_als = {
.n_iter = 200, .init_sigma = 0.1, .SOLVER = SOLVER_ALS};
sparse_fit(coef, data_train->X, data_test->X, data_train->y, y_pred,
param_als);
sparse_predict(coef, data_test->X, y_pred);
free_ffm_coef(coef);
TestFixtureDestructor(data_train, NULL);
TestFixtureDestructor(data_test, NULL);
}
void test_sparse_map_gibbs_second_interactions(void) {
int n_features = 10;
int n_samples = 1000;
int k = 2;
double init_sigma = 0.1;
TestFixture_T *data = makeTestFixture(124, n_samples, n_features, k);
ffm_vector *y_pred = ffm_vector_calloc(n_samples);
ffm_coef *coef = alloc_fm_coef(n_features, k, false);
ffm_param param = {
.n_iter = 5, .init_sigma = init_sigma, .SOLVER = SOLVER_MCMC};
sparse_fit(coef, data->X, data->X, data->y, y_pred, param);
double score_5_samples = ffm_r2_score(data->y, y_pred);
free_ffm_coef(coef);
ffm_vector_set_all(y_pred, 0);
coef = alloc_fm_coef(n_features, 0, false);
ffm_param param_50 = {
.n_iter = 50, .init_sigma = init_sigma, .SOLVER = SOLVER_MCMC};
sparse_fit(coef, data->X, data->X, data->y, y_pred, param_50);
double score_50_samples_first_order = ffm_r2_score(data->y, y_pred);
free_ffm_coef(coef);
ffm_vector_set_all(y_pred, 0);
coef = alloc_fm_coef(n_features, k + 5, false);
sparse_fit(coef, data->X, data->X, data->y, y_pred, param_50);
double score_50_samples = ffm_r2_score(data->y, y_pred);
g_assert_cmpfloat(score_50_samples, >, score_50_samples_first_order);
g_assert_cmpfloat(score_50_samples, >, score_5_samples);
g_assert_cmpfloat(score_50_samples, >, .72);
ffm_vector_free(y_pred);
free_ffm_coef(coef);
TestFixtureDestructor(data, NULL);
}
void test_sparse_als_classification(void) {
int n_features = 10;
int n_samples = 100;
int k = 2;
double init_sigma = 0.01;
TestFixture_T *data = makeTestFixture(124, n_samples, n_features, k);
// map to classification problem
ffm_vector_make_labels(data->y);
ffm_vector *y_pred = ffm_vector_calloc(n_samples);
ffm_coef *coef = alloc_fm_coef(n_features, k, false);
ffm_param param = {.n_iter = 50,
.init_sigma = init_sigma,
.SOLVER = SOLVER_ALS,
.TASK = TASK_CLASSIFICATION};
param.init_lambda_w = 5.5;
param.init_lambda_V = 5.5;
sparse_fit(coef, data->X, NULL, data->y, NULL, param);
sparse_predict(coef, data->X, y_pred);
ffm_vector_normal_cdf(y_pred);
g_assert_cmpfloat(ffm_vector_accuracy(data->y, y_pred), >=, .8);
ffm_vector_free(y_pred);
free_ffm_coef(coef);
TestFixtureDestructor(data, NULL);
}
void test_sparse_als_classification_path(void) {
int n_features = 10;
int n_samples = 200;
int k = 4;
double init_sigma = 0.1;
TestFixture_T *data = makeTestFixture(124, n_samples, n_features, k);
// map to classification problem
ffm_vector_make_labels(data->y);
ffm_vector *y_pred = ffm_vector_calloc(n_samples);
ffm_coef *coef = alloc_fm_coef(n_features, k, false);
ffm_param param = {.n_iter = 0,
.init_sigma = init_sigma,
.SOLVER = SOLVER_ALS,
.TASK = TASK_CLASSIFICATION};
param.init_lambda_w = 5.5;
param.init_lambda_V = 5.5;
double acc = 0;
// objective does not decline strigtly monotonic because of latend target
// but should still decrease on average (at least till convergence)
for (int i = 1; i < 9; i = i * 2) {
param.n_iter = i;
sparse_fit(coef, data->X, NULL, data->y, NULL, param);
sparse_predict(coef, data->X, y_pred);
ffm_vector_normal_cdf(y_pred);
double tmp_acc = ffm_vector_accuracy(data->y, y_pred);
// training error should (almost) always decrease
// printf("iter %d, last acc %f\n", i, acc);
g_assert_cmpfloat(tmp_acc, >=, acc);
acc = tmp_acc;
}
ffm_vector_free(y_pred);
free_ffm_coef(coef);
TestFixtureDestructor(data, NULL);
}
void test_sparse_mcmc_classification(void) {
int n_features = 10;
int n_samples = 100;
int k = 2;
double init_sigma = 0.1;
TestFixture_T *data = makeTestFixture(124, n_samples, n_features, k);
// map to classification problem
ffm_vector_make_labels(data->y);
ffm_vector *y_pred = ffm_vector_calloc(n_samples);
ffm_coef *coef = alloc_fm_coef(n_features, k, false);
ffm_param param = {.n_iter = 50,
.init_sigma = init_sigma,
.SOLVER = SOLVER_MCMC,
.TASK = TASK_CLASSIFICATION};
param.init_lambda_w = 5.5;
param.init_lambda_V = 5.5;
sparse_fit(coef, data->X, data->X, data->y, y_pred, param);
sparse_predict(coef, data->X, y_pred);
g_assert_cmpfloat(ffm_vector_accuracy(data->y, y_pred), >=, .84);
ffm_vector_free(y_pred);
free_ffm_coef(coef);
TestFixtureDestructor(data, NULL);
}
void test_numerical_stability(void) {
int n_features = 10;
int n_samples = 10000;
int k = 2;
TestFixture_T *data = makeTestFixture(15, n_samples, n_features, k);
ffm_vector *y_pred = ffm_vector_calloc(n_samples);
ffm_coef *coef = alloc_fm_coef(n_features, k, false);
ffm_param param = {.n_iter = 7, .init_sigma = 0.01, .SOLVER = SOLVER_ALS};
param.init_lambda_w = 400;
param.init_lambda_V = 400;
sparse_fit(coef, data->X, data->X, data->y, y_pred, param);
sparse_predict(coef, data->X, y_pred);
double score_als = ffm_r2_score(data->y, y_pred);
g_assert_cmpfloat(score_als, >, .98);
free_ffm_coef(coef);
ffm_vector_set_all(y_pred, 0);
coef = alloc_fm_coef(n_features, k, false);
ffm_param param_mcmc = {
.n_iter = 50, .init_sigma = 0.01, .SOLVER = SOLVER_MCMC};
sparse_fit(coef, data->X, data->X, data->y, y_pred, param_mcmc);
double score_gibbs = ffm_r2_score(data->y, y_pred);
g_assert_cmpfloat(score_gibbs, >, .99);
ffm_vector_free(y_pred);
free_ffm_coef(coef);
TestFixtureDestructor(data, NULL);
}
void test_map_update_target(void) {
double pred[] = {0.5, 0.2, -0.2, -0.5, -0.1, 0.8};
double true_[] = {1, 1, -1, -1, 1, -1};
double z[] = {0.509160434, 0.6750731798, -0.6750731798,
-0.509160434, 0.8626174715, -1.3674022692};
ffm_vector y_pred = {.data = pred, .size = 6};
ffm_vector y_true = {.data = true_, .size = 6};
ffm_vector *z_target = ffm_vector_alloc(6);
map_update_target(&y_pred, z_target, &y_true);
for (int i = 0; i < 6; i++)
g_assert_cmpfloat(fabs(z_target->data[i] - z[i]), <=, 1e-9);
ffm_vector_free(z_target);
}
void test_als_warm_start(TestFixture_T *pFix, gconstpointer pg) {
int n_features = pFix->X->n;
int n_samples = pFix->X->m;
int k = 4;
ffm_vector *y_10_iter = ffm_vector_calloc(n_samples);
ffm_vector *y_15_iter = ffm_vector_calloc(n_samples);
ffm_vector *y_5_plus_5_iter = ffm_vector_calloc(n_samples);
ffm_param param = {.warm_start = false,
.init_sigma = 0.1,
.SOLVER = SOLVER_ALS,
.TASK = TASK_REGRESSION,
.rng_seed = 123};
param.n_iter = 10;
ffm_coef *coef = alloc_fm_coef(n_features, k, false);
sparse_fit(coef, pFix->X, NULL, pFix->y, NULL, param);
sparse_predict(coef, pFix->X, y_10_iter);
param.n_iter = 15;
sparse_fit(coef, pFix->X, NULL, pFix->y, NULL, param);
sparse_predict(coef, pFix->X, y_15_iter);
param.n_iter = 5;
sparse_fit(coef, pFix->X, NULL, pFix->y, NULL, param);
param.warm_start = true;
sparse_fit(coef, pFix->X, NULL, pFix->y, NULL, param);
sparse_predict(coef, pFix->X, y_5_plus_5_iter);
// check that the results are equal
double mse = ffm_vector_mean_squared_error(y_10_iter, y_5_plus_5_iter);
double mse_diff = ffm_vector_mean_squared_error(y_15_iter, y_5_plus_5_iter);
g_assert_cmpfloat(mse, <=, 1e-8);
g_assert_cmpfloat(mse, <, mse_diff);
free_ffm_coef(coef);
ffm_vector_free_all(y_10_iter, y_5_plus_5_iter);
}
void test_mcmc_warm_start(TestFixture_T *pFix, gconstpointer pg) {
int n_features = pFix->X->n;
int n_samples = pFix->X->m;
int k = 4;
ffm_vector *y_10_iter = ffm_vector_calloc(n_samples);
ffm_vector *y_15_iter = ffm_vector_calloc(n_samples);
ffm_vector *y_5_plus_5_iter = ffm_vector_calloc(n_samples);
ffm_param param = {.warm_start = false,
.init_sigma = 0.1,
.SOLVER = SOLVER_MCMC,
.TASK = TASK_REGRESSION,
.rng_seed = 125};
param.n_iter = 100;
// printf("n_iter %d\n", param.n_iter);
ffm_coef *coef = alloc_fm_coef(n_features, k, false);
sparse_fit(coef, pFix->X, pFix->X, pFix->y, y_10_iter, param);
param.n_iter = 150;
sparse_fit(coef, pFix->X, pFix->X, pFix->y, y_15_iter, param);
param.n_iter = 50;
sparse_fit(coef, pFix->X, pFix->X, pFix->y, y_5_plus_5_iter, param);
param.warm_start = true;
param.iter_count = param.n_iter;
param.n_iter += 50; // add more iterations
sparse_fit(coef, pFix->X, pFix->X, pFix->y, y_5_plus_5_iter, param);
// check that the results are equal
// double mse10 = ffm_vector_mean_squared_error(pFix->y, y_5_plus_5_iter);
double mse10_55 = ffm_vector_mean_squared_error(y_10_iter, y_5_plus_5_iter);
double mse15_55 = ffm_vector_mean_squared_error(y_15_iter, y_5_plus_5_iter);
g_assert_cmpfloat(mse10_55, <, mse15_55);
free_ffm_coef(coef);
ffm_vector_free_all(y_10_iter, y_5_plus_5_iter);
}
int main(int argc, char **argv) {
/*
feenableexcept(FE_INVALID |
FE_DIVBYZERO |
FE_OVERFLOW |
FE_UNDERFLOW);
*/
g_test_init(&argc, &argv, NULL);
TestFixture_T Fixture;
g_test_add("/als/update second-order error", TestFixture_T, &Fixture,
TestFixtureContructorLong, test_update_second_order_error,
TestFixtureDestructor);
g_test_add("/als/eval second-order term", TestFixture_T, &Fixture,
TestFixtureContructorLong, test_eval_second_order_term,
TestFixtureDestructor);
g_test_add("/als/update v_ij", TestFixture_T, &Fixture,
TestFixtureContructorLong, test_sparse_update_v_ij,
TestFixtureDestructor);
g_test_add("/general/predict", TestFixture_T, &Fixture,
TestFixtureContructorLong, test_sparse_predict,
TestFixtureDestructor);
g_test_add("/general/row_predict", TestFixture_T, &Fixture,
TestFixtureContructorLong, test_row_predict,
TestFixtureDestructor);
g_test_add("/general/col_predict", TestFixture_T, &Fixture,
TestFixtureContructorLong, test_col_predict,
TestFixtureDestructor);
g_test_add("/als/zero order only", TestFixture_T, &Fixture,
TestFixtureContructorSimple, test_sparse_als_zero_order_only,
TestFixtureDestructor);
g_test_add("/als/first order only", TestFixture_T, &Fixture,
TestFixtureContructorSimple, test_sparse_als_first_order_only,
TestFixtureDestructor);
g_test_add("/als/second order only", TestFixture_T, &Fixture,
TestFixtureContructorSimple, test_sparse_als_second_order_only,
TestFixtureDestructor);
g_test_add("/als/all interactions", TestFixture_T, &Fixture,
TestFixtureContructorSimple, test_sparse_als_all_interactions,
TestFixtureDestructor);
g_test_add("/als/first order", TestFixture_T, &Fixture,
TestFixtureContructorLong,
test_sparse_als_first_order_interactions, TestFixtureDestructor);
g_test_add("/als/second order", TestFixture_T, &Fixture,
TestFixtureContructorLong, test_sparse_als_second_interactions,
TestFixtureDestructor);
g_test_add("/mcmc/second order", TestFixture_T, &Fixture,
TestFixtureContructorLong, test_sparse_mcmc_second_interactions,
TestFixtureDestructor);
g_test_add("/mcmc/second order classification", TestFixture_T, &Fixture,
TestFixtureContructorLong,
test_sparse_mcmc_second_interactions_classification,
TestFixtureDestructor);
g_test_add("/general/train test different size", TestFixture_T, &Fixture,
TestFixtureContructorLong, test_train_test_of_different_size,
TestFixtureDestructor);
g_test_add_func("/als/generated data", test_sparse_als_generated_data);
g_test_add_func("/mcmc/MAP gibbs first order",
test_sparse_map_gibbs_first_order_interactions);
g_test_add_func("/mcmc/hyperparameter sampling", test_hyerparameter_sampling);
g_test_add_func("/mcmc/MAP gibbs second order",
test_sparse_map_gibbs_second_interactions);
g_test_add_func("/general/numerical stability", test_numerical_stability);
g_test_add_func("/mcmc/map update target", test_map_update_target);
g_test_add_func("/als/classification", test_sparse_als_classification);
g_test_add_func("/als/classification path",
test_sparse_als_classification_path);
g_test_add_func("/mcmc/classification", test_sparse_mcmc_classification);
g_test_add("/als/warm_start", TestFixture_T, &Fixture,
TestFixtureContructorSimple, test_als_warm_start,
TestFixtureDestructor);
g_test_add("/mcmc/warm_start", TestFixture_T, &Fixture,
TestFixtureContructorSimple, test_mcmc_warm_start,
TestFixtureDestructor);
return g_test_run();
}
void test_sparse_als_zero_order_only(TestFixture_T *pFix, gconstpointer pg) {
int n_features = pFix->X->n;
int k = 0;
ffm_param param = {.n_iter = 1,
.warm_start = true,
.ignore_w = true,
.init_sigma = 0.1,
.SOLVER = SOLVER_ALS,
.TASK = TASK_REGRESSION};
ffm_coef *coef = alloc_fm_coef(n_features, k, true);
param.init_lambda_w = 0;
sparse_fit(coef, pFix->X, NULL, pFix->y, NULL, param);
// g_assert_cmpfloat(4466.666666, ==, coef->w_0);
g_assert_cmpfloat(fabs(4466.666666 - coef->w_0), <, 1e-6);
free_ffm_coef(coef);
}
void test_sparse_als_first_order_only(TestFixture_T *pFix, gconstpointer pg) {
int n_features = pFix->X->n;
int k = 0;
ffm_param param = {.n_iter = 1,
.warm_start = true,
.ignore_w_0 = true,
.init_sigma = 0.1,
.SOLVER = SOLVER_ALS,
.TASK = TASK_REGRESSION};
ffm_coef *coef = alloc_fm_coef(n_features, k, false);
coef->w_0 = 0;
param.init_lambda_w = 0;
ffm_vector_set(coef->w, 0, 10);
ffm_vector_set(coef->w, 1, 20);
sparse_fit(coef, pFix->X, NULL, pFix->y, NULL, param);
// hand calculated results 1660.57142857 -11.87755102
g_assert_cmpfloat(fabs(1660.57142857 - ffm_vector_get(coef->w, 0)), <, 1e-8);
g_assert_cmpfloat(fabs(-11.87755102 - ffm_vector_get(coef->w, 1)), <, 1e-8);
free_ffm_coef(coef);
}
void test_sparse_als_second_order_only(TestFixture_T *pFix, gconstpointer pg) {
int n_features = pFix->X->n;
int k = 1;
ffm_param param = {.n_iter = 1,
.warm_start = true,
.ignore_w_0 = true,
.ignore_w = true,
.init_sigma = 0.1,
.SOLVER = SOLVER_ALS,
.TASK = TASK_REGRESSION};
ffm_coef *coef = alloc_fm_coef(n_features, k, false);
coef->w_0 = 0;
param.init_lambda_w = 0;
param.init_lambda_V = 0;
ffm_matrix_set(coef->V, 0, 0, 300);
ffm_matrix_set(coef->V, 0, 1, 400);
sparse_fit(coef, pFix->X, NULL, pFix->y, NULL, param);
// hand calculated results 0.79866412 400.
g_assert_cmpfloat(fabs(0.79866412 - ffm_matrix_get(coef->V, 0, 0)), <, 1e-8);
g_assert_cmpfloat(fabs(400 - ffm_matrix_get(coef->V, 0, 1)), <, 1e-8);
free_ffm_coef(coef);
}
void test_sparse_als_all_interactions(TestFixture_T *pFix, gconstpointer pg) {
int n_features = pFix->X->n;
int k = 1;
ffm_param param = {.n_iter = 1,
.warm_start = true,
.ignore_w_0 = false,
.ignore_w = false,
.init_sigma = 0.1,
.SOLVER = SOLVER_ALS,
.TASK = TASK_REGRESSION};
ffm_coef *coef = alloc_fm_coef(n_features, k, false);
coef->w_0 = 0;
ffm_vector_set(coef->w, 0, 10);
ffm_vector_set(coef->w, 1, 20);
ffm_matrix_set(coef->V, 0, 0, 300);
ffm_matrix_set(coef->V, 0, 1, 400);
sparse_fit(coef, pFix->X, NULL, pFix->y, NULL, param);
// hand calculated results checked with libfm
g_assert_cmpfloat(fabs(-1755643.33333 - coef->w_0), <, 1e-5);
g_assert_cmpfloat(fabs(-191459.71428571 - ffm_vector_get(coef->w, 0)), <,
1e-6);
g_assert_cmpfloat(fabs(30791.91836735 - ffm_vector_get(coef->w, 1)), <, 1e-6);
g_assert_cmpfloat(fabs(253.89744249 - ffm_matrix_get(coef->V, 0, 0)), <,
1e-6);
g_assert_cmpfloat(fabs(400 - ffm_matrix_get(coef->V, 0, 1)), <, 1e-6);
param.n_iter = 99;
sparse_fit(coef, pFix->X, NULL, pFix->y, NULL, param);
g_assert_cmpfloat(fabs(210911.940403 - coef->w_0), <, 1e-7);
g_assert_cmpfloat(fabs(-322970.68313639 - ffm_vector_get(coef->w, 0)), <,
1e-6);
g_assert_cmpfloat(fabs(51927.60978978 - ffm_vector_get(coef->w, 1)), <, 1e-6);
g_assert_cmpfloat(fabs(94.76612018 - ffm_matrix_get(coef->V, 0, 0)), <, 1e-6);
g_assert_cmpfloat(fabs(400 - ffm_matrix_get(coef->V, 0, 1)), <, 1e-6);
free_ffm_coef(coef);
}
void test_sparse_als_first_order_interactions(TestFixture_T *pFix,
gconstpointer pg) {
ffm_vector *y_pred = ffm_vector_calloc(5);
int n_features = pFix->X->n;
int k = 0;
ffm_coef *coef = alloc_fm_coef(n_features, k, false);
ffm_param param = {.n_iter = 500,
.init_sigma = 0.1,
.SOLVER = SOLVER_ALS,
.TASK = TASK_REGRESSION};
sparse_fit(coef, pFix->X, NULL, pFix->y, NULL, param);
sparse_predict(coef, pFix->X, y_pred);
/* reference values from sklearn LinearRegression
y_pred: [ 321.05084746 346.6779661 -40.15254237 321.05084746
790.37288136]
coef: [ 69.6779661 152.16949153]
mse: 3134.91525424 */
g_assert_cmpfloat(fabs(321.05084746 - ffm_vector_get(y_pred, 0)), <, 1e-6);
g_assert_cmpfloat(fabs(346.6779661 - ffm_vector_get(y_pred, 1)), <, 1e-6);
g_assert_cmpfloat(fabs(-40.15254237 - ffm_vector_get(y_pred, 2)), <, 1e-6);
g_assert_cmpfloat(fabs(321.05084746 - ffm_vector_get(y_pred, 3)), <, 1e-6);
g_assert_cmpfloat(fabs(790.37288136 - ffm_vector_get(y_pred, 4)), <, 1e-6);
ffm_vector_free(y_pred);
free_ffm_coef(coef);
}
void test_sparse_als_second_interactions(TestFixture_T *pFix,
gconstpointer pg) {
ffm_vector *y_pred = ffm_vector_calloc(5);
int n_features = pFix->X->n;
int k = 2;
ffm_coef *coef = alloc_fm_coef(n_features, k, false);
ffm_param param = {.n_iter = 1000, .init_sigma = 0.1, .SOLVER = SOLVER_ALS};
sparse_fit(coef, pFix->X, NULL, pFix->y, NULL, param);
sparse_predict(coef, pFix->X, y_pred);
/* reference values from sklearn LinearRegression
y_pred: [ 298. 266. 29. 298. 848.]
coeff: [ 9. 2. 40.]
mse: 4.53374139449e-27 */
g_assert_cmpfloat(fabs(298 - ffm_vector_get(y_pred, 0)), <, 1e-4);
g_assert_cmpfloat(fabs(266 - ffm_vector_get(y_pred, 1)), <, 1e-4);
g_assert_cmpfloat(fabs(29 - ffm_vector_get(y_pred, 2)), <, 1e-3);
g_assert_cmpfloat(fabs(298 - ffm_vector_get(y_pred, 3)), <, 1e-4);
g_assert_cmpfloat(fabs(848.0 - ffm_vector_get(y_pred, 4)), <, 1e-4);
ffm_vector_free(y_pred);
free_ffm_coef(coef);
}
void test_sparse_mcmc_second_interactions(TestFixture_T *pFix,
gconstpointer pg) {
int n_features = pFix->X->n;
int n_samples = pFix->X->m;
int k = 2;
ffm_coef *coef = alloc_fm_coef(n_features, k, false);
ffm_vector *y_pred = ffm_vector_calloc(n_samples);
ffm_param param = {.n_iter = 100,
.init_sigma = 0.1,
.SOLVER = SOLVER_MCMC,
.TASK = TASK_REGRESSION,
.rng_seed = 1234};
sparse_fit(coef, pFix->X, pFix->X, pFix->y, y_pred, param);
g_assert_cmpfloat(ffm_r2_score(pFix->y, y_pred), >, .98);
ffm_vector_free(y_pred);
free_ffm_coef(coef);
}
void test_sparse_mcmc_second_interactions_classification(TestFixture_T *pFix,
gconstpointer pg) {
int n_features = pFix->X->n;
int n_samples = pFix->X->m;
int k = 2;
ffm_vector_make_labels(pFix->y);
ffm_coef *coef = alloc_fm_coef(n_features, k, false);
ffm_vector *y_pred = ffm_vector_calloc(n_samples);
ffm_param param = {.n_iter = 10,
.init_sigma = 0.1,
.SOLVER = SOLVER_MCMC,
.TASK = TASK_CLASSIFICATION};
sparse_fit(coef, pFix->X, pFix->X, pFix->y, y_pred, param);
g_assert_cmpfloat(ffm_vector_accuracy(pFix->y, y_pred), >=, .98);
ffm_vector_free(y_pred);
free_ffm_coef(coef);
}
void test_train_test_of_different_size(TestFixture_T *pFix, gconstpointer pg) {
int n_features = pFix->X->n;
int k = 2;
int n_samples_short = 3;
int m = n_samples_short;
int n = n_features;
cs *X = cs_spalloc(m, n, m * n, 1, 1); /* create triplet identity matrix */
cs_entry(X, 0, 0, 6);
cs_entry(X, 0, 1, 1);
cs_entry(X, 1, 0, 2);
cs_entry(X, 1, 1, 3);
cs_entry(X, 2, 0, 3);
cs *X_csc = cs_compress(X); /* A = compressed-column form of T */
cs *X_t = cs_transpose(X_csc, 1);
cs_spfree(X);
ffm_vector *y = ffm_vector_calloc(n_samples_short);
// y [ 298 266 29 298 848 ]
y->data[0] = 298;
y->data[1] = 266;
y->data[2] = 29;
ffm_coef *coef = alloc_fm_coef(n_features, k, false);
ffm_vector *y_pred = ffm_vector_calloc(n_samples_short);
ffm_param param = {.n_iter = 20, .init_sigma = 0.01};
// test: train > test
param.SOLVER = SOLVER_ALS;
sparse_fit(coef, pFix->X, NULL, pFix->y, NULL, param);
sparse_predict(coef, X_csc, y_pred);
param.TASK = TASK_CLASSIFICATION;
sparse_fit(coef, pFix->X, NULL, pFix->y, NULL, param);
sparse_predict(coef, X_csc, y_pred);
param.SOLVER = SOLVER_MCMC;
param.TASK = TASK_CLASSIFICATION;
sparse_fit(coef, pFix->X, X_csc, pFix->y, y_pred, param);
param.TASK = TASK_REGRESSION;
sparse_fit(coef, pFix->X, X_csc, pFix->y, y_pred, param);
// test: train < test
param.SOLVER = SOLVER_MCMC;
param.TASK = TASK_CLASSIFICATION;
sparse_fit(coef, X_csc, pFix->X, y_pred, pFix->y, param);
param.TASK = TASK_REGRESSION;
sparse_fit(coef, X_csc, pFix->X, y_pred, pFix->y, param);
param.SOLVER = SOLVER_ALS;
sparse_fit(coef, X_csc, NULL, y_pred, NULL, param);
sparse_predict(coef, pFix->X, pFix->y);
param.TASK = TASK_CLASSIFICATION;
sparse_fit(coef, X_csc, NULL, y_pred, NULL, param);
sparse_predict(coef, pFix->X, pFix->y);
ffm_vector_free(y_pred);
free_ffm_coef(coef);
cs_spfree(X_t);
cs_spfree(X_csc);
}
void test_sparse_als_generated_data(void) {
int n_features = 10;
int n_samples = 100;
int k = 2;
TestFixture_T *data = makeTestFixture(124, n_samples, n_features, k);
ffm_vector *y_pred = ffm_vector_calloc(n_samples);
ffm_coef *coef = alloc_fm_coef(n_features, k, false);
ffm_param param = {.n_iter = 50, .init_sigma = 0.01, .SOLVER = SOLVER_ALS};
param.init_lambda_w = 23.5;
param.init_lambda_V = 23.5;
sparse_fit(coef, data->X, NULL, data->y, NULL, param);
sparse_predict(coef, data->X, y_pred);
g_assert_cmpfloat(ffm_r2_score(data->y, y_pred), >, 0.85);
ffm_vector_free(y_pred);
free_ffm_coef(coef);
TestFixtureDestructor(data, NULL);
}
void test_hyerparameter_sampling(void) {
ffm_rng *rng = ffm_rng_seed(12345);
int n_features = 20;
int n_samples = 150;
int k = 1; // don't just change k, the rank is hard coded in the test
// (ffm_vector_get(coef->lambda_V, 0);)
int n_replication = 40;
int n_draws = 1000;
ffm_vector *alpha_rep = ffm_vector_calloc(n_replication);
ffm_vector *lambda_w_rep = ffm_vector_calloc(n_replication);
ffm_vector *lambda_V_rep = ffm_vector_calloc(n_replication);
ffm_vector *mu_w_rep = ffm_vector_calloc(n_replication);
ffm_vector *mu_V_rep = ffm_vector_calloc(n_replication);
ffm_vector *err = ffm_vector_alloc(n_samples);
for (int j = 0; j < n_replication; j++) {
TestFixture_T *data = makeTestFixture(124, n_samples, n_features, k);
ffm_coef *coef = data->coef;
sparse_predict(coef, data->X, err);
ffm_vector_scale(err, -1);
ffm_vector_add(err, data->y);
// make sure that distribution is converged bevore selecting
// reference / init values
for (int l = 0; l < 50; l++) sample_hyper_parameter(coef, err, rng);
double alpha_init = coef->alpha;
double lambda_w_init = coef->lambda_w;
double lambda_V_init = ffm_vector_get(coef->lambda_V, 0);
double mu_w_init = coef->mu_w;
double mu_V_init = ffm_vector_get(coef->mu_V, 0);
double alpha_count = 0;
double lambda_w_count = 0, lambda_V_count = 0;
double mu_w_count = 0, mu_V_count = 0;
for (int l = 0; l < n_draws; l++) {
sample_hyper_parameter(coef, err, rng);
if (alpha_init > coef->alpha) alpha_count++;
if (lambda_w_init > coef->lambda_w) lambda_w_count++;
if (lambda_V_init > ffm_vector_get(coef->lambda_V, 0)) lambda_V_count++;
if (mu_w_init > coef->mu_w) mu_w_count++;
if (mu_V_init > ffm_vector_get(coef->mu_V, 0)) mu_V_count++;
}
ffm_vector_set(alpha_rep, j, alpha_count / (n_draws + 1));
ffm_vector_set(lambda_w_rep, j, lambda_w_count / (n_draws + 1));
ffm_vector_set(lambda_V_rep, j, lambda_V_count / (n_draws + 1));
ffm_vector_set(mu_w_rep, j, mu_w_count / (n_draws + 1));
ffm_vector_set(mu_V_rep, j, mu_V_count / (n_draws + 1));
TestFixtureDestructor(data, NULL);
}
double chi_alpha = 0;
for (int i = 0; i < n_replication; i++)
chi_alpha +=
ffm_pow_2(gsl_cdf_ugaussian_Qinv(ffm_vector_get(alpha_rep, i)));
g_assert_cmpfloat(gsl_ran_chisq_pdf(chi_alpha, n_replication), <, .05);
double chi_lambda_w = 0;
for (int i = 0; i < n_replication; i++)
chi_lambda_w +=
ffm_pow_2(gsl_cdf_ugaussian_Qinv(ffm_vector_get(lambda_w_rep, i)));
g_assert_cmpfloat(gsl_ran_chisq_pdf(chi_lambda_w, n_replication), <, .05);
double chi_lambda_V = 0;
for (int i = 0; i < n_replication; i++)
chi_lambda_V +=
ffm_pow_2(gsl_cdf_ugaussian_Qinv(ffm_vector_get(lambda_V_rep, i)));
g_assert_cmpfloat(gsl_ran_chisq_pdf(chi_lambda_V, n_replication), <, .05);
double chi_mu_w = 0;
for (int i = 0; i < n_replication; i++)
chi_mu_w += ffm_pow_2(gsl_cdf_ugaussian_Qinv(ffm_vector_get(mu_w_rep, i)));
g_assert_cmpfloat(gsl_ran_chisq_pdf(chi_mu_w, n_replication), <, .05);
double chi_mu_V = 0;
for (int i = 0; i < n_replication; i++)
chi_mu_V += ffm_pow_2(gsl_cdf_ugaussian_Qinv(ffm_vector_get(mu_V_rep, i)));
g_assert_cmpfloat(gsl_ran_chisq_pdf(chi_mu_V, n_replication), <, .05);
ffm_vector_free_all(alpha_rep, lambda_w_rep, lambda_V_rep, mu_w_rep, mu_V_rep,
err);
ffm_rng_free(rng);
}
void ffm_predict(double *w_0, double *w, double *V, cs *X, double *y_pred, int k) {
int n_samples = X->m;
int n_features = X->n;
ffm_vector ffm_w = {.size=n_features, .data=w, .owner=0};
ffm_matrix ffm_V = {.size0=k, .size1=n_features, .data=V, .owner=0};
ffm_coef coef = {.w_0=*w_0, .w=&ffm_w, .V=&ffm_V};
ffm_vector ffm_y_pred = {.size=n_samples, .data=y_pred, .owner=0};
sparse_predict(&coef, X, &ffm_y_pred);
}
void ffm_als_fit(double *w_0, double *w, double *V, cs *X, double *y,
ffm_param *param) {
param->SOLVER = SOLVER_ALS;
int n_samples = X->m;
int n_features = X->n;
ffm_vector ffm_w = {.size=n_features, .data=w, .owner=0};
ffm_matrix ffm_V = {.size0=param->k, .size1=n_features, .data=V, .owner=0};
ffm_coef coef = {.w_0=*w_0, .w=&ffm_w, .V=&ffm_V,
.lambda_w=param->init_lambda_w
};
if (param->k > 0)
{
coef.lambda_V = ffm_vector_alloc(param->k);
coef.mu_V = ffm_vector_alloc(param->k);
ffm_vector_set_all(coef.lambda_V, param->init_lambda_V);
} else
{
coef.lambda_V = NULL;
coef.mu_V = NULL;
}
ffm_vector ffm_y = {.size=n_samples, .data=y, .owner=0};
sparse_fit(&coef, X, NULL, &ffm_y, NULL, *param);
// copy the last coef values back into the python memory
*w_0 = coef.w_0;
ffm_vector_free_all(coef.lambda_V, coef.mu_V);
}
void ffm_mcmc_fit_predict(double *w_0, double *w, double *V,
cs *X_train, cs *X_test, double *y_train, double *y_pred,
ffm_param *param) {
param->SOLVER = SOLVER_MCMC;
int k = param->k;
double * hyper_param = param->hyper_param;
int n_test_samples = X_test->m;
int n_train_samples = X_train->m;
int n_features = X_train->n;
ffm_vector ffm_w = {.size=n_features, .data=w, .owner=0};
ffm_matrix ffm_V = {.size0=param->k, .size1=n_features, .data=V, .owner=0};
ffm_coef coef = {.w_0=*w_0, .w=&ffm_w, .V=&ffm_V,
.lambda_w=param->init_lambda_w, .alpha=1, .mu_w=0
};
if (k > 0)
{
coef.lambda_V = ffm_vector_alloc(param->k);
coef.mu_V = ffm_vector_alloc(param->k);
}
else
{
coef.lambda_V = NULL;
coef.mu_V = NULL;
}
// set inital values for hyperparameter
int w_groups = 1;
assert(param->n_hyper_param == 1 + 2 * k + 2 * w_groups &&
"hyper_parameter vector has wrong size");
if (param->warm_start)
{
coef.alpha = hyper_param[0];
coef.lambda_w = hyper_param[1];
// copy V lambda's over
for (int i=0; i<k; i++) ffm_vector_set(coef.lambda_V, i,
hyper_param[i + 1 + w_groups]);
coef.mu_w = hyper_param[k + 1 + w_groups];
// copy V mu's over
for (int i=0; i<k; i++) ffm_vector_set(coef.mu_V, i,
hyper_param[i + 1 + (2 * w_groups) + k]);
}
ffm_vector ffm_y_train = {.size=n_train_samples, .data=y_train, .owner=0};
ffm_vector ffm_y_pred = {.size=n_test_samples, .data=y_pred, .owner=0};
sparse_fit(&coef, X_train, X_test, &ffm_y_train, &ffm_y_pred, *param);
// copy the last coef values back into the python memory
*w_0 = coef.w_0;
// copy current hyperparameter back
hyper_param[0] = coef.alpha;
hyper_param[1] = coef.lambda_w;
// copy V lambda's back
for (int i=0; i<k; i++) hyper_param[i + 1 + w_groups] =
ffm_vector_get(coef.lambda_V, i);
hyper_param[k + 1 + w_groups] = coef.mu_w;
// copy mu's back
for (int i=0; i<k; i++) hyper_param[i + 1 + (2 * w_groups) + k] =
ffm_vector_get(coef.mu_V, i);
if ( k > 0 )
ffm_vector_free_all(coef.lambda_V, coef.mu_V);
}
void ffm_sgd_bpr_fit(double *w_0, double *w, double *V,
cs *X, double *pairs, int n_pairs, ffm_param *param) {
int n_features = X->m;
ffm_vector ffm_w = {.size=n_features, .data=w, .owner=0};
ffm_matrix ffm_V = {.size0=param->k, .size1=n_features, .data=V, .owner=0};
ffm_coef coef = {.w_0=*w_0, .w=&ffm_w, .V=&ffm_V,
.lambda_w=param->init_lambda_w
};
if (param->k > 0)
{
coef.lambda_V = ffm_vector_alloc(param->k);
coef.mu_V = ffm_vector_alloc(param->k);
}
else
{
coef.lambda_V = NULL;
coef.mu_V = NULL;
}
ffm_matrix ffm_y = {.size0=n_pairs, .size1=2, .data=pairs, .owner=0};
ffm_fit_sgd_bpr(&coef, X, &ffm_y, *param);
// copy the last coef values back into the python memory
*w_0 = coef.w_0;
if ( param->k > 0 )
ffm_vector_free_all(coef.lambda_V, coef.mu_V);
}
void ffm_sgd_fit(double *w_0, double *w, double *V,
cs *X, double *y, ffm_param *param) {
int n_samples = X->n;
int n_features = X->m;
ffm_vector ffm_w = {.size=n_features, .data=w, .owner=0};
ffm_matrix ffm_V = {.size0=param->k, .size1=n_features, .data=V, .owner=0};
ffm_coef coef = {.w_0=*w_0, .w=&ffm_w, .V=&ffm_V,
.lambda_w=param->init_lambda_w
};
if (param->k > 0)
{
coef.lambda_V = ffm_vector_alloc(param->k);
coef.mu_V = ffm_vector_alloc(param->k);
}
else
{
coef.lambda_V = NULL;
coef.mu_V = NULL;
}
ffm_vector ffm_y = {.size=n_samples, .data=y, .owner=0};
ffm_fit_sgd(&coef, X, &ffm_y, param);
// copy the last coef values back into the python memory
*w_0 = coef.w_0;
if ( param->k > 0 )
ffm_vector_free_all(coef.lambda_V, coef.mu_V);
}
int
main (int argc, char **argv)
{
feenableexcept(FE_INVALID |
FE_DIVBYZERO |
FE_OVERFLOW |
FE_UNDERFLOW);
struct arguments arguments;
/* Default values. */
arguments.silent = 0;
arguments.verbose = 0;
// file paths
arguments.test_file = NULL;
arguments.train_file = NULL;
arguments.test_predict_file= NULL;
arguments.train_pairs = NULL;
// fm default parameters
arguments.k = 8;
arguments.n_iter = 50;
arguments.init_var = 0.01;
arguments.step_size = 0.01;
arguments.l2_reg = 1;
arguments.l2_reg_w = 0;
arguments.l2_reg_V = 0;
arguments.solver = "mcmc";
arguments.task = "regression";
arguments.rng_seed = time(NULL);
int arg_count = 2;
arguments.arg_count = &arg_count;
/* Parse our arguments; every option seen by parse_opt will
be reflected in arguments. */
argp_parse (&argp, argc, argv, 0, 0, &arguments);
ffm_param param = {.n_iter = arguments.n_iter,
.init_sigma = arguments.init_var,
.k = arguments.k,
.stepsize = arguments.step_size,
.rng_seed = arguments.rng_seed};
// parse solver
if (strcmp(arguments.solver,"mcmc") == 0)
param.SOLVER = SOLVER_MCMC;
else if(strcmp(arguments.solver,"als") == 0)
param.SOLVER = SOLVER_ALS;
else if(strcmp(arguments.solver,"sgd") == 0)
param.SOLVER = SOLVER_SGD;
else assert(0 && "unknown solver");
// parse task
if (strcmp(arguments.task,"regression") == 0)
param.TASK = TASK_REGRESSION;
else if(strcmp(arguments.task,"classification") == 0)
param.TASK = TASK_CLASSIFICATION;
else if(strcmp(arguments.task,"ranking") == 0)
param.TASK = TASK_RANKING;
else assert(0 && "unknown task");
printf ("TRAIN_FILE = %s\nTEST_FILE = %s\n"
"VERBOSE = %s\nSILENT = %s\n",
arguments.args[0], arguments.args[1],
arguments.verbose ? "yes" : "no",
arguments.silent ? "yes" : "no");
printf ("task=%s", arguments.task);
printf (", init-var=%f", param.init_sigma);
printf (", n-iter=%i", param.n_iter);
if (param.TASK == TASK_RANKING)
printf (", step-size=%f", param.stepsize);
printf (", solver=%s", arguments.solver);
printf (", k=%i", param.k);
// default if no l2_reg_w specified
param.init_lambda_w = arguments.l2_reg;
param.init_lambda_V = arguments.l2_reg;
if (arguments.l2_reg_w != 0.0)
param.init_lambda_w = arguments.l2_reg_w;
if (arguments.l2_reg_V != 0.0)
param.init_lambda_V = arguments.l2_reg_V;
if (strcmp(arguments.solver,"mcmc") != 0)
{
printf (", l2-reg-w=%f", param.init_lambda_w);
if (arguments.k > 0)
printf (", l2-reg-V=%f", param.init_lambda_V);
printf("\n");
}
printf("\nload data\n");
fm_data train_data = read_svm_light_file(arguments.args[0]);
fm_data test_data = read_svm_light_file(arguments.args[1]);
int n_features = train_data.X->n;
ffm_vector *y_test_predict = ffm_vector_calloc(test_data.y->size);
ffm_coef *coef = alloc_fm_coef(n_features, arguments.k, false);
printf("fit model\n");
if (param.TASK == TASK_RANKING)
{
assert(arguments.train_pairs != NULL && "Ranking requires the option '--train-pairs'");
ffm_matrix * train_pairs = ffm_matrix_from_file(arguments.train_pairs);
cs *X_t = cs_transpose (train_data.X, 1);
cs_spfree(train_data.X);
train_data.X = X_t;
ffm_fit_sgd_bpr(coef, train_data.X, train_pairs, param);
//printf("c%", arguments.train_pairs);
}
else
sparse_fit(coef, train_data.X, test_data.X, train_data.y, y_test_predict,
param);
// the predictions are calculated during the training phase for mcmc
if (param.SOLVER != SOLVER_MCMC){
sparse_predict(coef, test_data.X, y_test_predict);
if (param.TASK == TASK_CLASSIFICATION)
ffm_vector_normal_cdf(y_test_predict);
}
// save predictions
if (arguments.test_predict_file){
FILE *f = fopen(arguments.test_predict_file, "w");
for (int i=0; i< y_test_predict->size; i++)
fprintf(f, "%f\n", y_test_predict->data[i]);
fclose(f);
}
if (param.TASK == TASK_REGRESSION)
printf("\nr2 score: %f \n", ffm_r2_score(test_data.y, y_test_predict));
if (param.TASK == TASK_CLASSIFICATION)
printf("\nacc score: %f \n", ffm_vector_accuracy(test_data.y, y_test_predict));
/*
printf("calculate kendall tau\n");
if (param.TASK == TASK_RANKING)
{
ffm_vector * true_order = ffm_vector_get_order(test_data.y);
ffm_vector * pred_order = ffm_vector_get_order(y_test_predict);
double kendall_tau = \
ffm_vector_kendall_tau(true_order, pred_order);
printf("\nkendall tau: %f \n", kendall_tau);
}
*/
exit (0);
}
void test_first_order_sgd(TestFixture_T* pFix, gconstpointer pg){
//int k = pFix->coef->V->size0;
int k = 0;
int n_features = pFix->X->n;
int n_iter = 50;
double init_sigma = .1;
double step_size = .002;
ffm_coef *coef = alloc_fm_coef(n_features, k, false);
ffm_vector * y_pred = ffm_vector_calloc(5);
ffm_param param = {.n_iter=n_iter * 100, .init_sigma=init_sigma,
.stepsize=step_size, .SOLVER=SOLVER_SGD, .TASK=TASK_REGRESSION};
param.init_lambda_w = 0.5;
ffm_fit_sgd(coef, pFix->X_t, pFix->y, ¶m);
sparse_predict(coef, pFix->X, y_pred);
g_assert_cmpfloat(ffm_r2_score(y_pred, pFix->y), > , .85);
ffm_vector * y_pred_als = ffm_vector_calloc(5);
ffm_coef *coef_als = alloc_fm_coef(n_features, k, false);
ffm_param param_als = {.n_iter=50, .init_sigma=0.1, .SOLVER=SOLVER_ALS,
.TASK=TASK_REGRESSION};
param_als.init_lambda_w = 3.5;
sparse_fit(coef_als, pFix->X, pFix->X, pFix->y, y_pred_als, param_als);
sparse_predict(coef_als, pFix->X, y_pred_als);
// compare fit of als and sgd
g_assert_cmpfloat(ffm_r2_score(y_pred, y_pred_als), > , .98);
// compare coef of als and sgd
g_assert_cmpfloat(ffm_r2_score(coef->w, coef_als->w), > , .98);
ffm_vector_free_all(y_pred, y_pred_als);
free_ffm_coef(coef);
free_ffm_coef(coef_als);
}
void test_second_order_sgd(TestFixture_T* pFix, gconstpointer pg){
int n_features = pFix->X->n;
int k = 2; int n_iter = 10;
double init_sigma = .01;
double step_size = .0002;
ffm_coef *coef = alloc_fm_coef(n_features, k, false);
ffm_vector * y_pred = ffm_vector_calloc(5);
ffm_param param = {.n_iter=n_iter * 100, .init_sigma=init_sigma,
.stepsize=step_size, .SOLVER=SOLVER_SGD, .TASK=TASK_REGRESSION};
param.init_lambda_w = 0.5;
param.init_lambda_V = 50.5;
ffm_fit_sgd(coef, pFix->X_t, pFix->y, ¶m);
sparse_predict(coef, pFix->X, y_pred);
g_assert_cmpfloat(ffm_r2_score(y_pred, pFix->y), > , .98);
ffm_vector * y_pred_als = ffm_vector_calloc(5);
ffm_coef *coef_als = alloc_fm_coef(n_features, k, false);
ffm_param param_als = {.n_iter=10, .init_sigma=0.01, .SOLVER=SOLVER_ALS};
param_als.init_lambda_w = 3.5;
param_als.init_lambda_V = 50.5;
sparse_fit(coef_als, pFix->X, pFix->X, pFix->y, y_pred_als, param_als);
sparse_predict(coef_als, pFix->X, y_pred_als);
// compare fit of als and sgd
g_assert_cmpfloat(ffm_r2_score(y_pred, y_pred_als), > , .98);
ffm_vector_free_all(y_pred, y_pred_als);
free_ffm_coef(coef);
free_ffm_coef(coef_als);
}
void test_sgd_classification(TestFixture_T* pFix, gconstpointer pg){
int n_features = pFix->X->n;
int k = 2;
int n_iter = 10;
double init_sigma = .01;
double step_size = .0002;
// map to classification problem
ffm_vector_make_labels(pFix->y);
ffm_coef *coef = alloc_fm_coef(n_features, k, false);
ffm_vector * y_pred = ffm_vector_calloc(5);
ffm_param param = {.n_iter=n_iter * 100, .init_sigma=init_sigma,
.stepsize=step_size, .SOLVER=SOLVER_SGD, .TASK=TASK_CLASSIFICATION};
param.init_lambda_w = 0.5;
param.init_lambda_V = 0.5;
ffm_fit_sgd(coef, pFix->X_t, pFix->y, ¶m);
sparse_predict(coef, pFix->X, y_pred);
for(int i=0; i< y_pred->size; i++)
ffm_vector_set(y_pred, i, ffm_sigmoid(ffm_vector_get(y_pred, i)));
g_assert_cmpfloat(ffm_vector_accuracy(pFix->y, y_pred), >= , .8);
ffm_vector_free(y_pred);
free_ffm_coef(coef);
}
void test_first_order_bpr(TestFixture_T* pFix, gconstpointer pg){
int n_features = pFix->X->n;
int n_samples = pFix->X->m;
int k = 0;
int n_iter = 200;
double init_sigma = .01;
double step_size = .002;
ffm_matrix *compares = ffm_vector_to_rank_comparision(pFix->y);
ffm_vector * true_order = ffm_vector_get_order(pFix->y);
ffm_coef *coef = alloc_fm_coef(n_features, k, false);
for(int i=0; i< 2; i++)
coef->w->data[i] = 0.1;
ffm_vector * y_pred = ffm_vector_calloc(n_samples);
ffm_param param = {.n_iter=n_iter * 100, .init_sigma=init_sigma,
.stepsize=step_size, .SOLVER=SOLVER_SGD, .TASK=TASK_RANKING};
param.init_lambda_w = 0.0;
ffm_fit_sgd_bpr(coef, pFix->X_t, compares, param);
sparse_predict(coef, pFix->X, y_pred);
ffm_vector * pred_order = ffm_vector_get_order(y_pred);
double kendall_tau = \
ffm_vector_kendall_tau(true_order, pred_order);
g_assert_cmpfloat(kendall_tau, == , 1);
ffm_vector_free_all(y_pred, true_order, pred_order);
free_ffm_coef(coef);
}
void test_update_second_order_bpr(TestFixture_T* pFix, gconstpointer pg){
double cache_p = 1.1;
double cache_n = 2.2;
double y_err = -1;
double step_size = 0.1;
double lambda_V = 4;
int sample_row_p = 1;
int sample_row_n = 0;
int V_col = 0;
update_second_order_bpr(pFix->X_t, pFix->coef->V, cache_n, cache_p, y_err,
step_size, lambda_V, sample_row_p, sample_row_n, V_col);
// 1 - 0.1*(-1 * (4*1.1 - 4^2 - (1*2.2 - 1^2*1)) + 4 *1) = -0.68
g_assert_cmpfloat(fabs(ffm_matrix_get(pFix->coef->V, 0, 0) - (-0.68)), < , 1e-10);
//> 2 - 0.1*(-1 * (0*1.1 - 0^2*2 - (2*2.2 - 2^2*2)) + 4 *2)
//[1] 1.56
g_assert_cmpfloat(ffm_matrix_get(pFix->coef->V, 0, 1), ==, 1.56);
}
void test_second_order_bpr(TestFixture_T* pFix, gconstpointer pg){
int n_features = pFix->X->n;
int n_samples = pFix->X->m;
int k = 2;
int n_iter = 200;
double init_sigma = .01;
double step_size = .02;
ffm_matrix *compares = ffm_vector_to_rank_comparision(pFix->y);
ffm_vector * true_order = ffm_vector_get_order(pFix->y);
ffm_coef *coef = alloc_fm_coef(n_features, k, false);
ffm_vector * y_pred = ffm_vector_calloc(n_samples);
ffm_param param = {.n_iter=n_iter, .init_sigma=init_sigma,
.stepsize=step_size, .SOLVER=SOLVER_SGD, .TASK=TASK_RANKING};
param.init_lambda_w = 0.5;
param.init_lambda_V = 0.5;
ffm_fit_sgd_bpr(coef, pFix->X_t, compares, param);
sparse_predict(coef, pFix->X, y_pred);
ffm_vector * pred_order = ffm_vector_get_order(y_pred);
double kendall_tau = \
ffm_vector_kendall_tau(true_order, pred_order);
g_assert_cmpfloat(kendall_tau, == , 1);
ffm_vector_free_all(y_pred, true_order, pred_order);
free_ffm_coef(coef);
}
void test_sgd_generated_data(void){
int n_features = 10;
int n_samples = 100;
int k = 0;
TestFixture_T *data = makeTestFixture(124, n_samples, n_features, k);
ffm_vector * y_pred = ffm_vector_calloc(n_samples);
int n_iter = 40;
double init_sigma = 0.1;
double step_size = .05;
ffm_coef *coef = alloc_fm_coef(n_features, k, false);
ffm_param param = {.n_iter=n_iter * 100, .init_sigma=init_sigma,
.stepsize=step_size, .SOLVER=SOLVER_SGD, .TASK=TASK_REGRESSION};
param.init_lambda_w = 0.05;
ffm_fit_sgd(coef, data->X_t, data->y, ¶m);
sparse_predict(coef, data->X, y_pred);
g_assert_cmpfloat(ffm_r2_score(y_pred, data->y), > , 0.95);
ffm_vector_free(y_pred);
free_ffm_coef(coef);
TestFixtureDestructor(data, NULL);
}
void test_sgd_classification_generated_data(void){
int n_features = 10;
int n_samples = 100;
int k = 2;
TestFixture_T *data = makeTestFixture(124, n_samples, n_features, k);
ffm_vector_make_labels(data->y);
ffm_vector * y_pred = ffm_vector_calloc(n_samples);
int n_iter = 200;
double init_sigma = 0.1;
double step_size = .2;
ffm_coef *coef = alloc_fm_coef(n_features, k, false);
ffm_param param = {.n_iter=n_iter, .init_sigma=init_sigma,
.stepsize=step_size, .SOLVER=SOLVER_SGD, .TASK=TASK_CLASSIFICATION};
param.init_lambda_w = 0.05;
param.init_lambda_V = 0.05;
ffm_fit_sgd(coef, data->X_t, data->y, ¶m);
sparse_predict(coef, data->X, y_pred);
for(int i=0; i< y_pred->size; i++)
ffm_vector_set(y_pred, i, ffm_sigmoid(ffm_vector_get(y_pred, i)));
g_assert_cmpfloat(ffm_vector_accuracy(data->y, y_pred), >= , .81);
ffm_vector_free(y_pred);
free_ffm_coef(coef);
TestFixtureDestructor(data, NULL);
}
