void Solver::Solve(int l, const Kernel& Q, const double *b_, const schar *y_,
double *alpha_, double Cp, double Cn, double eps,
SolutionInfo* si, int shrinking)
{
this->l = l;
this->Q = &Q;
clone(b, b_,l);
clone(y, y_,l);
clone(alpha,alpha_,l);
this->Cp = Cp;
this->Cn = Cn;
this->eps = eps;
unshrinked = false;
// initialize alpha_status
{
alpha_status = new char[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))
{
Qfloat *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 = min(l,1000)+1;
while(1)
{
// show progress and do shrinking
if(--counter == 0)
{
counter = min(l,1000);
if(shrinking) do_shrinking();
info("."); info_flush();
}
int i,j;
if(select_working_set(i,j)!=0)
{
// reconstruct the whole gradient
reconstruct_gradient();
// reset active set size and check
active_size = l;
info("*"); info_flush();
if(select_working_set(i,j)!=0)
break;
else
counter = 1; // do shrinking next iteration
}
++iter;
// update alpha[i] and alpha[j], handle bounds carefully
const Qfloat *Q_i = Q.get_Q(i,active_size);
const Qfloat *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])/(Q_i[i]+Q_j[j]+2*Q_i[j]);
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])/(Q_i[i]+Q_j[j]-2*Q_i[j]);
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];
}
// juggle everything back
/*{
for(int i=0;i<l;i++)
while(active_set[i] != i)
swap_index(i,active_set[i]);
// or Q.swap_index(i,active_set[i]);
}*/
si->upper_bound_p = Cp;
si->upper_bound_n = Cn;
info("\noptimization finished, #iter = %d\n",iter);
delete[] b;
delete[] y;
delete[] alpha;
delete[] alpha_status;
delete[] active_set;
delete[] G;
delete[] G_bar;
}
float Solver<TQ>::solve(int l, TQ& Q, const signed char *y_,
float *alpha_, float C, float eps, int shrinking)
{
this->l = l;
this->Q = &Q;
this->QD = Q.get_QD();
this->C = C;
this->eps = eps;
unshrinked = false;
p = new float [l];
std::fill(p, p + l, float(-1.0));
y = new signed char [l];
std::copy(y_, y_ + l, y);
alpha = new float [l];
std::copy(alpha_, alpha_ + l, alpha);
// initialize alpha_status
{
alpha_status = new int[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 float[l];
G_bar = new float[l];
for(int i=0;i<l;i++)
{
G[i] = p[i];
G_bar[i] = 0;
}
for(int i=0;i<l;i++)
if(!is_lower_bound(i))
{
const float *Q_i = Q.get_Q(i,l);
float alpha_i = alpha[i];
for(int j=0;j<l;j++)
G[j] += alpha_i*Q_i[j];
if(is_upper_bound(i))
for(int j=0;j<l;j++)
G_bar[j] += get_C(i) * Q_i[j];
}
}
// optimization step
int iter = 0;
int counter = std::min(l,1000)+1;
while (1)
{
// show progress and do shrinking
if(--counter == 0)
{
counter = std::min(l,1000);
if(shrinking)
do_shrinking();
}
int i,j;
if (select_working_set(i, j) != 0)
{
// reconstruct the whole gradient
reconstruct_gradient();
// reset active set size and check
active_size = l;
if (select_working_set(i, j) != 0)
break;
else
counter = 1; // do shrinking next iteration
}
++iter;
// update alpha[i] and alpha[j], handle bounds carefully
const float *Q_i = Q.get_Q(i, active_size);
const float *Q_j = Q.get_Q(j, active_size);
NTA_ASSERT(Q_i != nullptr);
NTA_ASSERT(Q_j != nullptr);
float C_i = get_C(i);
float C_j = get_C(j);
float old_alpha_i = alpha[i];
float old_alpha_j = alpha[j];
if (y[i]!=y[j])
{
float quad_coef = Q_i[i]+Q_j[j]+2*Q_i[j];
if (quad_coef <= 0)
quad_coef = TAU;
NTA_ASSERT(quad_coef > 0);
float delta = (-G[i]-G[j])/quad_coef;
float 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
{
float quad_coef = Q_i[i]+Q_j[j]-2*Q_i[j];
if (quad_coef <= 0)
quad_coef = TAU;
NTA_ASSERT(quad_coef > 0);
float delta = (G[i]-G[j])/quad_coef;
float 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
float delta_alpha_i = alpha[i] - old_alpha_i;
float 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;
NTA_ASSERT(-HUGE_VAL <= G[k] && G[k] <= HUGE_VAL);
}
// 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);
if(ui != is_upper_bound(i))
{
Q_i = Q.get_Q(i,l);
if(ui)
for(int k=0;k<l;k++)
G_bar[k] -= C_i * Q_i[k];
else
for(int 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(int k=0;k<l;k++)
G_bar[k] -= C_j * Q_j[k];
else
for(int k=0;k<l;k++)
G_bar[k] += C_j * Q_j[k];
}
}
}
float rho = calculate_rho();
// put back the solution
for(int i=0;i<l;i++)
alpha_[active_set[i]] = alpha[i];
delete[] p;
delete[] y;
delete[] alpha;
delete[] alpha_status;
delete[] active_set;
delete[] G;
delete[] G_bar;
return rho;
}
