void getTrajectoryKeyPosition(double * trajectoryKeyPositions)
{
for (unsigned int i = 0; i < TRAJECTORYKEYPOSITIONS.size1()*TRAJECTORYKEYPOSITIONS.size2(); i++)
trajectoryKeyPositions[i] = TRAJECTORYKEYPOSITIONS(i % (TRAJECTORYKEYPOSITIONS.size1()), i / (TRAJECTORYKEYPOSITIONS.size1()));
}
BOOST_UBLAS_INLINE
int matrix_stride2 (const ublas::matrix<M,F,A> &m) {
return (int) F::one2 (m.size1(), m.size2());
}
void getNumberOfKeyPositions(int * size)
{
*size = TRAJECTORYKEYPOSITIONS.size2();
}
template <typename T> inline T norm_max(ublas::matrix<T>& M) {
size_t n1 = M.size1(); size_t n2 = M.size2(); T m = 0;
for (size_t i=0; i<n1; i++) for (size_t j=0; j<n2; j++)
m = max(M(i,j),m);
return m;
}
void print_matrices_error
(
const std::vector<double>& pel_time
, const std::vector<double>& pel_libor
, const boost::numeric::ublas::matrix<double>& quote_error_l2
, const boost::numeric::ublas::matrix<double>& quote_error_l1
, const boost::numeric::ublas::matrix<double>& quote_error_linf
, const boost::numeric::ublas::matrix<double>& pel_timehomo_error_l2
, const boost::numeric::ublas::matrix<double>& pel_timehomo_error_l1
, const boost::numeric::ublas::matrix<double>& pel_timehomo_error_linf
, const boost::numeric::ublas::matrix<double>& pel_liborsmoth_error_l2
, const boost::numeric::ublas::matrix<double>& pel_liborsmoth_error_l1
, const boost::numeric::ublas::matrix<double>& pel_liborsmoth_error_linf
)
{
{ /// print to excel file
size_t nbPelTime = quote_error_l2.size1();
size_t nbPelLibor = quote_error_l2.size2();
std::string all_error_file_name = "all_Regularization_Result.csv";
std::string full_common_result_file = LMMPATH::get_Root_OutputPath() + all_error_file_name ;
std::ofstream final_result ;
final_result.open( full_common_result_file.c_str() );
final_result<<"PelTime\\PelLibor ,,";
for(size_t j=0;j<nbPelLibor;++j){ final_result<< pel_libor[j]<<" ,,"; } final_result<<std::endl;
for(size_t iT=0;iT<nbPelTime;++iT)
{
final_result<<pel_time[iT]<<" ,," ; for(size_t jL=0;jL<nbPelLibor;++jL) { final_result<<quote_error_l2(iT,jL)<<" ,,"; } final_result<<" L2 Quote Error ,"<<std::endl;
final_result<<pel_time[iT]<<" ,," ; for(size_t jL=0;jL<nbPelLibor;++jL) { final_result<<quote_error_l1(iT,jL)<<" ,,"; } final_result<<" L1 Quote Error ,"<<std::endl;
final_result<<pel_time[iT]<<" ,," ; for(size_t jL=0;jL<nbPelLibor;++jL) { final_result<<quote_error_linf(iT,jL)<<" ,,"; } final_result<<" L_INF Quote Error ,"<<std::endl;
final_result<<pel_time[iT]<<" ,," ; for(size_t jL=0;jL<nbPelLibor;++jL) { final_result<<pel_timehomo_error_l2(iT,jL)<<" ,,"; } final_result<<" L2 Pel Time Error ,"<<std::endl;
final_result<<pel_time[iT]<<" ,," ; for(size_t jL=0;jL<nbPelLibor;++jL) { final_result<<pel_timehomo_error_l1(iT,jL)<<" ,,"; } final_result<<" L1 Pel Time Error ,"<<std::endl;
final_result<<pel_time[iT]<<" ,," ; for(size_t jL=0;jL<nbPelLibor;++jL) { final_result<<pel_timehomo_error_linf(iT,jL)<<" ,,"; } final_result<<" L_INF Pel Time Error ,"<<std::endl;
final_result<<pel_time[iT]<<" ,," ; for(size_t jL=0;jL<nbPelLibor;++jL) { final_result<<pel_liborsmoth_error_l2(iT,jL)<<" ,,"; } final_result<<" L2 Pel Libor Error ,"<<std::endl;
final_result<<pel_time[iT]<<" ,," ; for(size_t jL=0;jL<nbPelLibor;++jL) { final_result<<pel_liborsmoth_error_l1(iT,jL)<<" ,,"; } final_result<<" L1 Pel Libor Error ,"<<std::endl;
final_result<<pel_time[iT]<<" ,," ; for(size_t jL=0;jL<nbPelLibor;++jL) { final_result<<pel_liborsmoth_error_linf(iT,jL)<<" ,,"; } final_result<<" L_INF Pel Libor Error ,"<<std::endl;
final_result<<std::endl;
}
final_result<<std::endl<<std::endl;
final_result.close();
}
{
/// print in gnuplot format
LmmGnuplotPrinterMatrix gnuplot_printer( create___LMMTenorStructure_PTR( 16 ) );
gnuplot_printer.printFullMatrix(quote_error_l2 , pel_time,pel_libor , "gnuplot_quote_error_l2");
gnuplot_printer.printFullMatrix(quote_error_l1 , pel_time,pel_libor , "gnuplot_quote_error_l1");
gnuplot_printer.printFullMatrix(quote_error_linf , pel_time,pel_libor , "gnuplot_quote_error_linf");
gnuplot_printer.printFullMatrix(pel_timehomo_error_l2 , pel_time,pel_libor , "gnuplot_pel_timehomo_error_l2");
gnuplot_printer.printFullMatrix(pel_timehomo_error_l1 , pel_time,pel_libor , "gnuplot_pel_timehomo_error_l1");
gnuplot_printer.printFullMatrix(pel_timehomo_error_linf , pel_time,pel_libor , "gnuplot_pel_timehomo_error_linf");
gnuplot_printer.printFullMatrix(pel_liborsmoth_error_l2 , pel_time,pel_libor , "gnuplot_pel_liborsmoth_error_l2");
gnuplot_printer.printFullMatrix(pel_liborsmoth_error_l1 , pel_time,pel_libor , "gnuplot_pel_liborsmoth_error_l1");
gnuplot_printer.printFullMatrix(pel_liborsmoth_error_linf , pel_time,pel_libor , "gnuplot_pel_liborsmoth_error_linf");
}
}
boost::numeric::ublas::vector<double> gradient_descent(boost::numeric::ublas::matrix<double>& x, boost::numeric::ublas::vector<double>& y, double epsilon, double gamma, int max_iters) {
int iter = 1;
boost::numeric::ublas::vector<double> weight_old(x.size2());
for (size_t i = 0; i < weight_old.size(); i++)
weight_old(i) = 0;
cout << "old weight: " << weight_old << endl;
boost::numeric::ublas::vector<double> weight_new(x.size2());
for (size_t i = 0; i < weight_new.size(); i++)
weight_new(i) = 0;
cout << "new weight: " << weight_new << endl;
while(true) {
for (size_t k = 0; k < weight_new.size(); k++) {
double gradient = 0;
for (size_t i = 0; i < x.size1(); i++) {
double z_i = 0;
for (size_t j = 0; j < weight_old.size(); j++) {
// w^T * x
z_i += weight_old(j) * x(i, j);
}
gradient = y(i) * x(i, k) * sigmoid(-y(i) * z_i);
}
weight_new(k) = weight_old(k) + gamma * gradient;
}
double dist = norm(weight_new, weight_old);
if (dist < epsilon){
cout << "The best weight is:" << weight_new << endl;
cout << "After " << iter << " th iteration" << endl;
break;
}
else
weight_old.swap(weight_new);
iter += 1;
if (iter >= max_iters) {
cout << "The best weight is:" << weight_new << endl;
cout << "After " << iter << " th iteration" << endl;
break;
}
cout << "===========================================" << endl;
cout << "The " << iter << " th iteration, weight:" << endl;
cout << weight_new << endl << endl;
cout << "The best weight:" << endl;
cout << "ending" << endl;
}
return weight_new;
}
void LmmGnuplotPrinterMatrix::printFullMatrix(const boost::numeric::ublas::matrix<double>& matrix
, const std::vector<double>& xticks
, const std::vector<double>& yticks
,const std::string& base_filename) const
{
assert(xticks.size() == matrix.size2() );
assert(yticks.size() == matrix.size1() );
{//print matrix data files
std::string data_file_name = get_dataFileName( base_filename);
std::string path_OutPut = LMMPATH::get_output_path() + data_file_name;
std::ofstream matrix_data_file ;
matrix_data_file.open(path_OutPut.c_str() );
matrix_data_file<<"### Lmm Matrix output for gnuplot printing surface"<<std::endl;
matrix_data_file<<"### grid xtics ";for(size_t i=0;i<xticks.size();++i){ matrix_data_file<<", "<<xticks[i]; }
matrix_data_file<<std::endl;
matrix_data_file<<"### grid ytics ";for(size_t i=0;i<yticks.size();++i){ matrix_data_file<<", "<<yticks[i]; }
for(size_t i=0;i<matrix.size1();++i)
{
const double x_value = xticks[i] ;
for(size_t j=0;j<matrix.size2();++j)
{
const double y_value = yticks[j];
const double z_value = matrix(i,j);
matrix_data_file<<" "<<x_value<<" "<<y_value<<" "<<z_value<<std::endl;
}
matrix_data_file<<std::endl;
}
matrix_data_file.close();
}
{// print gnuplot file
std::string gp_file_name = get_gnuplotFileName(base_filename);
std::string path_OutPut = LMMPATH::get_output_path() + gp_file_name;
std::ofstream gnuplot_file ;
gnuplot_file.open(path_OutPut.c_str() );
gnuplot_file<<"### gnuplot file"<<std::endl;
gnuplot_file<<"### grid xtics ";for(size_t i=0;i<xticks.size();++i){ gnuplot_file<<", "<<xticks[i]; }
gnuplot_file<<std::endl;
gnuplot_file<<"### grid ytics ";for(size_t i=0;i<yticks.size();++i){ gnuplot_file<<", "<<yticks[i]; }
gnuplot_file<<"set xlabel \"xLabel\""<<std::endl;
gnuplot_file<<"set ylabel \"yLabel\""<<std::endl;
gnuplot_file<<"set title \"Graph title\" "<<std::endl;
gnuplot_file<<"set style data lines"<<std::endl;
gnuplot_file<<"set hidden3d"<<std::endl;
gnuplot_file<<"set pm3d ; set palette"<<std::endl;
gnuplot_file<<"set cntrparam levels 10"<<std::endl;
gnuplot_file<<"set contour base"<<std::endl;
std::string data_file_name = get_dataFileName(base_filename);
gnuplot_file<<"splot \""<< data_file_name <<"\"" <<std::endl;
gnuplot_file<<"pause -1 \" Hit return to save image\" "<<std::endl;
gnuplot_file<<"set terminal postscript eps"<<std::endl;
std::string image_file_name = get_imageFileName(base_filename);
gnuplot_file<<"set output \""<<image_file_name <<"\""<<std::endl;
gnuplot_file<<"replot"<<std::endl;
gnuplot_file.close();
}
}