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Commit 2c8422eb authored by Davis King's avatar Davis King
Browse files

Cleaned up the rvm code and made the regression version more 

numerically robust.

--HG--
extra : convert_revision : svn%3Afdd8eb12-d10e-0410-9acb-85c331704f74/trunk%402489
parent 82b2a4cf
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Showing with 138 additions and 243 deletions
dlib/svm/rvm.h
View file @ 2c8422eb
...@@ -16,6 +16,111 @@ namespace dlib ...@@ -16,6 +16,111 @@ namespace dlib
// ---------------------------------------------------------------------------------------- // ----------------------------------------------------------------------------------------
namespace rvm_helpers
{
// ------------------------------------------------------------------------------------
template <typename scalar_vector_type, typename mem_manager_type>
long find_next_best_alpha_to_update (
const scalar_vector_type& S,
const scalar_vector_type& Q,
const scalar_vector_type& alpha,
const matrix<long,0,1,mem_manager_type>& active_bases,
const bool search_all_alphas,
typename scalar_vector_type::type eps
)
/*!
ensures
- if (we can find another alpha to update) then
- returns the index of said alpha
- else
- returns -1
!*/
{
typedef typename scalar_vector_type::type scalar_type;
// now use S and Q to find next alpha to update. What
// we want to do here is select the alpha to update that gives us
// the greatest improvement in marginal likelihood.
long selected_idx = -1;
scalar_type greatest_improvement = -1;
for (long i = 0; i < S.nr(); ++i)
{
scalar_type value = -1;
// if i is currently in the active set
if (active_bases(i) >= 0)
{
const long idx = active_bases(i);
const scalar_type s = alpha(idx)*S(i)/(alpha(idx) - S(i));
const scalar_type q = alpha(idx)*Q(i)/(alpha(idx) - S(i));
if (q*q-s > 0)
{
// only update an existing alpha if this is a narrow search
if (search_all_alphas == false)
{
// choosing this sample would mean doing an update of an
// existing alpha value.
scalar_type new_alpha = s*s/(q*q-s);
scalar_type cur_alpha = alpha(idx);
new_alpha = 1/new_alpha;
cur_alpha = 1/cur_alpha;
// from equation 32 in the Tipping paper
value = Q(i)*Q(i)/(S(i) + 1/(new_alpha - cur_alpha) ) -
std::log(1 + S(i)*(new_alpha - cur_alpha));
}
}
// we only pick an alpha to remove if this is a wide search and it wasn't one of the recently added ones
else if (search_all_alphas && idx+2 < alpha.size() )
{
// choosing this sample would mean the alpha value is infinite
// so we would remove the selected sample from our model.
// from equation 37 in the Tipping paper
value = Q(i)*Q(i)/(S(i) - alpha(idx)) -
std::log(1-S(i)/alpha(idx));
}
}
else if (search_all_alphas)
{
const scalar_type s = S(i);
const scalar_type q = Q(i);
if (q*q-s > 0)
{
// choosing this sample would mean we would add the selected
// sample to our model.
// from equation 27 in the Tipping paper
value = (Q(i)*Q(i)-S(i))/S(i) + std::log(S(i)/(Q(i)*Q(i)));
}
}
if (value > greatest_improvement)
{
greatest_improvement = value;
selected_idx = i;
}
}
// If the greatest_improvement in marginal likelihood we would get is less
// than our epsilon then report that there isn't anything else to do. But
// if it is big enough then return the selected_idx.
if (greatest_improvement > eps)
return selected_idx;
else
return -1;
}
} // end namespace rvm_helpers
// ------------------------------------------------------------------------------------
template < template <
typename kern_type typename kern_type
> >
...@@ -269,7 +374,7 @@ namespace dlib ...@@ -269,7 +374,7 @@ namespace dlib
Q(i) = tempv2*t_hat - tempv2*tempv; Q(i) = tempv2*t_hat - tempv2*tempv;
} }
const long selected_idx = find_next_best_alpha_to_update(S,Q,alpha,active_bases, search_all_alphas); const long selected_idx = rvm_helpers::find_next_best_alpha_to_update(S,Q,alpha,active_bases, search_all_alphas, eps);
// if find_next_best_alpha_to_update didn't find any good alpha to update // if find_next_best_alpha_to_update didn't find any good alpha to update
...@@ -385,6 +490,34 @@ namespace dlib ...@@ -385,6 +490,34 @@ namespace dlib
} }
// ------------------------------------------------------------------------------------
template <typename M1, typename M2>
long pick_initial_vector (
const M1& x,
const M2& t
) const
{
scalar_vector_type K_col;
double max_projection = -std::numeric_limits<scalar_type>::infinity();
long max_idx = 0;
// find the row in the kernel matrix that has the biggest normalized projection onto the t vector
for (long r = 0; r < x.nr(); ++r)
{
get_kernel_colum(r,x,K_col);
double temp = trans(K_col)*t;
temp = temp*temp/length_squared(K_col);
if (temp > max_projection)
{
max_projection = temp;
max_idx = r;
}
}
return max_idx;
}
// ------------------------------------------------------------------------------------ // ------------------------------------------------------------------------------------
template <typename T> template <typename T>
...@@ -415,128 +548,6 @@ namespace dlib ...@@ -415,128 +548,6 @@ namespace dlib
return temp/( temp2*temp2/temp + variance(t)*0.1); return temp/( temp2*temp2/temp + variance(t)*0.1);
} }
// ------------------------------------------------------------------------------------
long find_next_best_alpha_to_update (
const scalar_vector_type& S,
const scalar_vector_type& Q,
const scalar_vector_type& alpha,
const matrix<long,0,1,mem_manager_type>& active_bases,
const bool search_all_alphas
) const
/*!
ensures
- if (we can find another alpha to update) then
- returns the index of said alpha
- else
- returns -1
!*/
{
// now use S and Q to find next alpha to update. What
// we want to do here is select the alpha to update that gives us
// the greatest improvement in marginal likelihood.
long selected_idx = -1;
scalar_type greatest_improvement = -1;
for (long i = 0; i < S.nr(); ++i)
{
scalar_type value = -1;
// if i is currently in the active set
if (active_bases(i) >= 0)
{
const long idx = active_bases(i);
const scalar_type s = alpha(idx)*S(i)/(alpha(idx) - S(i));
const scalar_type q = alpha(idx)*Q(i)/(alpha(idx) - S(i));
if (q*q-s > 0)
{
// only update an existing alpha if this is a narrow search
if (search_all_alphas == false)
{
// choosing this sample would mean doing an update of an
// existing alpha value.
scalar_type new_alpha = s*s/(q*q-s);
scalar_type cur_alpha = alpha(idx);
new_alpha = 1/new_alpha;
cur_alpha = 1/cur_alpha;
// from equation 32 in the Tipping paper
value = Q(i)*Q(i)/(S(i) + 1/(new_alpha - cur_alpha) ) -
std::log(1 + S(i)*(new_alpha - cur_alpha));
}
}
// we only pick an alpha to remove if this is a wide search and it wasn't one of the recently added ones
else if (search_all_alphas && idx+2 < alpha.size() )
{
// choosing this sample would mean the alpha value is infinite
// so we would remove the selected sample from our model.
// from equation 37 in the Tipping paper
value = Q(i)*Q(i)/(S(i) - alpha(idx)) -
std::log(1-S(i)/alpha(idx));
}
}
else if (search_all_alphas)
{
const scalar_type s = S(i);
const scalar_type q = Q(i);
if (q*q-s > 0)
{
// choosing this sample would mean we would add the selected
// sample to our model.
// from equation 27 in the Tipping paper
value = (Q(i)*Q(i)-S(i))/S(i) + std::log(S(i)/(Q(i)*Q(i)));
}
}
if (value > greatest_improvement)
{
greatest_improvement = value;
selected_idx = i;
}
}
// If the greatest_improvement in marginal likelihood we would get is less
// than our epsilon then report that there isn't anything else to do. But
// if it is big enough then return the selected_idx.
if (greatest_improvement > eps)
return selected_idx;
else
return -1;
}
// ------------------------------------------------------------------------------------
template <typename M1, typename M2>
long pick_initial_vector (
const M1& x,
const M2& t
) const
{
scalar_vector_type K_col;
double max_projection = -std::numeric_limits<scalar_type>::infinity();
long max_idx = 0;
// find the row in the kernel matrix that has the biggest normalized projection onto the t vector
for (long r = 0; r < x.nr(); ++r)
{
get_kernel_colum(r,x,K_col);
double temp = trans(K_col)*t;
temp = temp*temp/length_squared(K_col);
if (temp > max_projection)
{
max_projection = temp;
max_idx = r;
}
}
return max_idx;
}
// ------------------------------------------------------------------------------------ // ------------------------------------------------------------------------------------
// private member variables // private member variables
...@@ -589,7 +600,7 @@ namespace dlib ...@@ -589,7 +600,7 @@ namespace dlib
typedef decision_function<kernel_type> trained_function_type; typedef decision_function<kernel_type> trained_function_type;
rvm_regression_trainer ( rvm_regression_trainer (
) : eps(0.001) ) : eps(0.0005)
{ {
} }
...@@ -704,7 +715,7 @@ namespace dlib ...@@ -704,7 +715,7 @@ namespace dlib
sigma = trans(phi)*phi/var; sigma = trans(phi)*phi/var;
for (long r = 0; r < alpha.nr(); ++r) for (long r = 0; r < alpha.nr(); ++r)
sigma(r,r) += alpha(r); sigma(r,r) += alpha(r);
sigma = pinv(sigma); sigma = inv(sigma);
weights = sigma*trans(phi)*t/var; weights = sigma*trans(phi)*t/var;
...@@ -753,14 +764,7 @@ namespace dlib ...@@ -753,14 +764,7 @@ namespace dlib
Q(i) = tempv2*t - tempv2*tempv; Q(i) = tempv2*t - tempv2*tempv;
} }
const long selected_idx = find_next_best_alpha_to_update(S,Q,alpha,active_bases, search_all_alphas); const long selected_idx = rvm_helpers::find_next_best_alpha_to_update(S,Q,alpha,active_bases, search_all_alphas, eps);
// if we just did a search of all the alphas and it still put is back
// into the current active set then we are done.
if (search_all_alphas == true && selected_idx != -1 && active_bases(selected_idx) != -1)
{
break;
}
// if find_next_best_alpha_to_update didn't find any good alpha to update // if find_next_best_alpha_to_update didn't find any good alpha to update
if (selected_idx == -1) if (selected_idx == -1)
...@@ -796,7 +800,7 @@ namespace dlib ...@@ -796,7 +800,7 @@ namespace dlib
alpha(idx) = s*s/(q*q-s); alpha(idx) = s*s/(q*q-s);
} }
else if (phi.nc() > 1) // don't ever remove the last basis vector from phi else
{ {
// the new alpha value is infinite so remove the selected alpha from our model // the new alpha value is infinite so remove the selected alpha from our model
active_bases(selected_idx) = -1; active_bases(selected_idx) = -1;
...@@ -813,21 +817,6 @@ namespace dlib ...@@ -813,21 +817,6 @@ namespace dlib
} }
} }
} }
else
{
if (search_all_alphas == true)
{
// In this case we are saying we are done because the wide search
// told us to remove the only basis function we have. So just stop
break;
}
else
{
// we tried to remove the last basis vector in phi
// so lets make sure we do a round of wide search next time.
ticker = rounds_of_narrow_search;
}
}
} }
else else
{ {
...@@ -917,100 +906,6 @@ namespace dlib ...@@ -917,100 +906,6 @@ namespace dlib
return temp/( temp2*temp2/temp + var); return temp/( temp2*temp2/temp + var);
} }
// ------------------------------------------------------------------------------------
long find_next_best_alpha_to_update (
const scalar_vector_type& S,
const scalar_vector_type& Q,
const scalar_vector_type& alpha,
const matrix<long,0,1,mem_manager_type>& active_bases,
const bool search_all_alphas
) const
/*!
ensures
- if (we can find another alpha to update) then
- returns the index of said alpha
- else
- returns -1
!*/
{
// now use S and Q to find next alpha to update. What
// we want to do here is select the alpha to update that gives us
// the greatest improvement in marginal likelihood.
long selected_idx = -1;
scalar_type greatest_improvement = -1;
for (long i = 0; i < S.nr(); ++i)
{
// if we are currently limiting the search for the next alpha to update
// to the set in the active set then skip all non-active alphas.
if (search_all_alphas == false && active_bases(i) == -1)
continue;
scalar_type value = -1;
// if i is currently in the active set
if (active_bases(i) >= 0)
{
const long idx = active_bases(i);
const scalar_type s = alpha(idx)*S(i)/(alpha(idx) - S(i));
const scalar_type q = alpha(idx)*Q(i)/(alpha(idx) - S(i));
if (q*q-s > 0)
{
// choosing this sample would mean doing an update of an
// existing alpha value.
scalar_type new_alpha = s*s/(q*q-s);
scalar_type cur_alpha = alpha(idx);
new_alpha = 1/new_alpha;
cur_alpha = 1/cur_alpha;
// from equation 32 in the Tipping paper
value = Q(i)*Q(i)/(S(i) + 1/(new_alpha - cur_alpha) ) -
std::log(1 + S(i)*(new_alpha - cur_alpha));
}
else
{
// choosing this sample would mean the alpha value is infinite
// so we would remove the selected sample from our model.
// from equation 37 in the Tipping paper
value = Q(i)*Q(i)/(S(i) - alpha(idx)) -
std::log(1-S(i)/alpha(idx));
}
}
else
{
const scalar_type s = S(i);
const scalar_type q = Q(i);
if (q*q-s > 0)
{
// choosing this sample would mean we would add the selected
// sample to our model.
// from equation 27 in the Tipping paper
value = (Q(i)*Q(i)-S(i))/S(i) + std::log(S(i)/(Q(i)*Q(i)));
}
}
if (value > greatest_improvement)
{
greatest_improvement = value;
selected_idx = i;
}
}
// If the greatest_improvement in marginal likelihood we would get is less
// than our epsilon then report that there isn't anything else to do. But
// if it is big enough then return the selected_idx.
if (greatest_improvement > eps)
return selected_idx;
else
return -1;
}
// ------------------------------------------------------------------------------------ // ------------------------------------------------------------------------------------
template <typename M1, typename M2> template <typename M1, typename M2>
......
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