SHOGUN
v3.2.0
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Implementation of optimal kernel selection for combined kernel. This class selects a combination of baseline kernels that maximises the ratio of the MMD and its standard deviation for a combined kernel. This boils down to solve the convex program
\[ \min_\beta \{\beta^T (Q+\lambda_m) \beta \quad \text{s.t.}\quad \beta^T \eta=1, \beta\succeq 0\}, \]
where \(\eta\) is a vector whose elements are the MMDs of the baseline kernels and \(Q\) is a linear time estimate of the covariance of \(\eta\).
This only works for the CLinearTimeMMD statistic. * IMPORTANT: The kernel has to be selected on different data than the two-sample test is performed on.
The method is described in Gretton, A., Sriperumbudur, B., Sejdinovic, D., Strathmann, H., Balakrishnan, S., Pontil, M., & Fukumizu, K. (2012). Optimal kernel choice for large-scale two-sample tests. Advances in Neural Information Processing Systems.
Definition at line 40 of file MMDKernelSelectionCombOpt.h.
Default constructor
Definition at line 17 of file MMDKernelSelectionCombOpt.cpp.
CMMDKernelSelectionCombOpt | ( | CKernelTwoSampleTestStatistic * | mmd, |
float64_t | lambda = 10E-5 |
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) |
Constructor that initialises the underlying MMD instance
mmd | linear time mmd MMD instance to use. |
lambda | ridge that is added to standard deviation, a sensible value is 10E-5 which is the default |
Definition at line 23 of file MMDKernelSelectionCombOpt.cpp.
~CMMDKernelSelectionCombOpt | ( | ) | [virtual] |
Destructor
Definition at line 37 of file MMDKernelSelectionCombOpt.cpp.
void build_gradient_parameter_dictionary | ( | CMap< TParameter *, CSGObject * > * | dict | ) | [inherited] |
Builds a dictionary of all parameters in SGObject as well of those of SGObjects that are parameters of this object. Dictionary maps parameters to the objects that own them.
dict | dictionary of parameters to be built. |
Definition at line 1156 of file SGObject.cpp.
Creates a clone of the current object. This is done via recursively traversing all parameters, which corresponds to a deep copy. Calling equals on the cloned object always returns true although none of the memory of both objects overlaps.
Definition at line 1273 of file SGObject.cpp.
SGVector< float64_t > compute_measures | ( | ) | [virtual] |
Computes optimal kernel weights using the ratio of the squared MMD by its standard deviation as a criterion, where both expressions are estimated in linear time.
This boils down to solving a convex program which is quadratic in the number of kernels. See class description.
SHOGUN has to be compiled with LAPACK to make this available. See set_opt* methods for optimization parameters.
IMPORTANT: Kernel weights have to be learned on different data than is used for testing/evaluation!
Implements CMMDKernelSelectionComb.
Definition at line 52 of file MMDKernelSelectionCombOpt.cpp.
A deep copy. All the instance variables will also be copied.
Definition at line 126 of file SGObject.h.
Recursively compares the current SGObject to another one. Compares all registered numerical parameters, recursion upon complex (SGObject) parameters. Does not compare pointers!
May be overwritten but please do with care! Should not be necessary in most cases.
other | object to compare with |
accuracy | accuracy to use for comparison (optional) |
Definition at line 1177 of file SGObject.cpp.
SGIO * get_global_io | ( | ) | [inherited] |
Parallel * get_global_parallel | ( | ) | [inherited] |
Version * get_global_version | ( | ) | [inherited] |
SGStringList< char > get_modelsel_names | ( | ) | [inherited] |
Definition at line 1060 of file SGObject.cpp.
char * get_modsel_param_descr | ( | const char * | param_name | ) | [inherited] |
Returns description of a given parameter string, if it exists. SG_ERROR otherwise
param_name | name of the parameter |
Definition at line 1084 of file SGObject.cpp.
index_t get_modsel_param_index | ( | const char * | param_name | ) | [inherited] |
Returns index of model selection parameter with provided index
param_name | name of model selection parameter |
Definition at line 1097 of file SGObject.cpp.
const char* get_name | ( | ) | const [virtual] |
Implements CMMDKernelSelectionComb.
Definition at line 77 of file MMDKernelSelectionCombOpt.h.
return pointer to i-th column of m_Q. Helper for libqp
Definition at line 53 of file MMDKernelSelectionComb.cpp.
bool is_generic | ( | EPrimitiveType * | generic | ) | const [virtual, inherited] |
If the SGSerializable is a class template then TRUE will be returned and GENERIC is set to the type of the generic.
generic | set to the type of the generic if returning TRUE |
Definition at line 228 of file SGObject.cpp.
DynArray< TParameter * > * load_all_file_parameters | ( | int32_t | file_version, |
int32_t | current_version, | ||
CSerializableFile * | file, | ||
const char * | prefix = "" |
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) | [inherited] |
maps all parameters of this instance to the provided file version and loads all parameter data from the file into an array, which is sorted (basically calls load_file_parameter(...) for all parameters and puts all results into a sorted array)
file_version | parameter version of the file |
current_version | version from which mapping begins (you want to use Version::get_version_parameter() for this in most cases) |
file | file to load from |
prefix | prefix for members |
Definition at line 633 of file SGObject.cpp.
DynArray< TParameter * > * load_file_parameters | ( | const SGParamInfo * | param_info, |
int32_t | file_version, | ||
CSerializableFile * | file, | ||
const char * | prefix = "" |
||
) | [inherited] |
loads some specified parameters from a file with a specified version The provided parameter info has a version which is recursively mapped until the file parameter version is reached. Note that there may be possibly multiple parameters in the mapping, therefore, a set of TParameter instances is returned
param_info | information of parameter |
file_version | parameter version of the file, must be <= provided parameter version |
file | file to load from |
prefix | prefix for members |
Definition at line 474 of file SGObject.cpp.
bool load_serializable | ( | CSerializableFile * | file, |
const char * | prefix = "" , |
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int32_t | param_version = Version::get_version_parameter() |
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) | [virtual, inherited] |
Load this object from file. If it will fail (returning FALSE) then this object will contain inconsistent data and should not be used!
file | where to load from |
prefix | prefix for members |
param_version | (optional) a parameter version different to (this is mainly for testing, better do not use) |
Definition at line 305 of file SGObject.cpp.
void load_serializable_post | ( | ) | throw (ShogunException) [protected, virtual, inherited] |
Can (optionally) be overridden to post-initialize some member variables which are not PARAMETER::ADD'ed. Make sure that at first the overridden method BASE_CLASS::LOAD_SERIALIZABLE_POST is called.
ShogunException | Will be thrown if an error occurres. |
Reimplemented in CKernel, CWeightedDegreePositionStringKernel, CList, CAlphabet, CLinearHMM, CGaussianKernel, CInverseMultiQuadricKernel, CCircularKernel, and CExponentialKernel.
Definition at line 989 of file SGObject.cpp.
void load_serializable_pre | ( | ) | throw (ShogunException) [protected, virtual, inherited] |
Can (optionally) be overridden to pre-initialize some member variables which are not PARAMETER::ADD'ed. Make sure that at first the overridden method BASE_CLASS::LOAD_SERIALIZABLE_PRE is called.
ShogunException | Will be thrown if an error occurres. |
Reimplemented in CDynamicArray< T >, CDynamicArray< float64_t >, CDynamicArray< float32_t >, CDynamicArray< int32_t >, CDynamicArray< char >, CDynamicArray< bool >, and CDynamicObjectArray.
Definition at line 984 of file SGObject.cpp.
void map_parameters | ( | DynArray< TParameter * > * | param_base, |
int32_t & | base_version, | ||
DynArray< const SGParamInfo * > * | target_param_infos | ||
) | [inherited] |
Takes a set of TParameter instances (base) with a certain version and a set of target parameter infos and recursively maps the base level wise to the current version using CSGObject::migrate(...). The base is replaced. After this call, the base version containing parameters should be of same version/type as the initial target parameter infos. Note for this to work, the migrate methods and all the internal parameter mappings have to match
param_base | set of TParameter instances that are mapped to the provided target parameter infos |
base_version | version of the parameter base |
target_param_infos | set of SGParamInfo instances that specify the target parameter base |
Definition at line 671 of file SGObject.cpp.
TParameter * migrate | ( | DynArray< TParameter * > * | param_base, |
const SGParamInfo * | target | ||
) | [protected, virtual, inherited] |
creates a new TParameter instance, which contains migrated data from the version that is provided. The provided parameter data base is used for migration, this base is a collection of all parameter data of the previous version. Migration is done FROM the data in param_base TO the provided param info Migration is always one version step. Method has to be implemented in subclasses, if no match is found, base method has to be called.
If there is an element in the param_base which equals the target, a copy of the element is returned. This represents the case when nothing has changed and therefore, the migrate method is not overloaded in a subclass
param_base | set of TParameter instances to use for migration |
target | parameter info for the resulting TParameter |
Definition at line 878 of file SGObject.cpp.
void one_to_one_migration_prepare | ( | DynArray< TParameter * > * | param_base, |
const SGParamInfo * | target, | ||
TParameter *& | replacement, | ||
TParameter *& | to_migrate, | ||
char * | old_name = NULL |
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) | [protected, virtual, inherited] |
This method prepares everything for a one-to-one parameter migration. One to one here means that only ONE element of the parameter base is needed for the migration (the one with the same name as the target). Data is allocated for the target (in the type as provided in the target SGParamInfo), and a corresponding new TParameter instance is written to replacement. The to_migrate pointer points to the single needed TParameter instance needed for migration. If a name change happened, the old name may be specified by old_name. In addition, the m_delete_data flag of to_migrate is set to true. So if you want to migrate data, the only thing to do after this call is converting the data in the m_parameter fields. If unsure how to use - have a look into an example for this. (base_migration_type_conversion.cpp for example)
param_base | set of TParameter instances to use for migration |
target | parameter info for the resulting TParameter |
replacement | (used as output) here the TParameter instance which is returned by migration is created into |
to_migrate | the only source that is used for migration |
old_name | with this parameter, a name change may be specified |
Definition at line 818 of file SGObject.cpp.
void print_modsel_params | ( | ) | [inherited] |
prints all parameter registered for model selection and their type
Definition at line 1036 of file SGObject.cpp.
void print_serializable | ( | const char * | prefix = "" | ) | [virtual, inherited] |
prints registered parameters out
prefix | prefix for members |
Definition at line 240 of file SGObject.cpp.
void print_state | ( | libqp_state_T | state | ) | [static, protected, inherited] |
helper function that prints current state
Definition at line 59 of file MMDKernelSelectionComb.cpp.
bool save_serializable | ( | CSerializableFile * | file, |
const char * | prefix = "" , |
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int32_t | param_version = Version::get_version_parameter() |
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) | [virtual, inherited] |
Save this object to file.
file | where to save the object; will be closed during returning if PREFIX is an empty string. |
prefix | prefix for members |
param_version | (optional) a parameter version different to (this is mainly for testing, better do not use) |
Definition at line 246 of file SGObject.cpp.
void save_serializable_post | ( | ) | throw (ShogunException) [protected, virtual, inherited] |
Can (optionally) be overridden to post-initialize some member variables which are not PARAMETER::ADD'ed. Make sure that at first the overridden method BASE_CLASS::SAVE_SERIALIZABLE_POST is called.
ShogunException | Will be thrown if an error occurres. |
Reimplemented in CKernel.
Definition at line 999 of file SGObject.cpp.
void save_serializable_pre | ( | ) | throw (ShogunException) [protected, virtual, inherited] |
Can (optionally) be overridden to pre-initialize some member variables which are not PARAMETER::ADD'ed. Make sure that at first the overridden method BASE_CLASS::SAVE_SERIALIZABLE_PRE is called.
ShogunException | Will be thrown if an error occurres. |
Reimplemented in CKernel, CDynamicArray< T >, CDynamicArray< float64_t >, CDynamicArray< float32_t >, CDynamicArray< int32_t >, CDynamicArray< char >, CDynamicArray< bool >, and CDynamicObjectArray.
Definition at line 994 of file SGObject.cpp.
CKernel * select_kernel | ( | ) | [virtual, inherited] |
Reimplemented from CMMDKernelSelection.
Definition at line 65 of file MMDKernelSelectionComb.cpp.
void set_generic< complex128_t > | ( | ) | [inherited] |
set generic type to T
Definition at line 41 of file SGObject.cpp.
void set_global_io | ( | SGIO * | io | ) | [inherited] |
void set_global_parallel | ( | Parallel * | parallel | ) | [inherited] |
set the parallel object
parallel | parallel object to use |
Definition at line 180 of file SGObject.cpp.
void set_global_version | ( | Version * | version | ) | [inherited] |
set the version object
version | version object to use |
Definition at line 215 of file SGObject.cpp.
virtual CSGObject* shallow_copy | ( | ) | const [virtual, inherited] |
A shallow copy. All the SGObject instance variables will be simply assigned and SG_REF-ed.
Reimplemented in CGaussianKernel.
Definition at line 117 of file SGObject.h.
SGVector< float64_t > solve_optimization | ( | SGVector< float64_t > | mmds | ) | [protected, virtual, inherited] |
Solves the quadratic program
\[ \min_\beta \{\beta^T Q \beta \quad \text{s.t.}\quad \beta^T \eta=1, \beta\succeq 0\}, \]
where \(\eta\) is a given parameter and \(Q\) is the m_Q member.
Note that at least one element is assumed \(\eta\) has to be positive.
mmds | values that will be put into \(\eta\). At least one element is assumed to be positive |
Definition at line 78 of file MMDKernelSelectionComb.cpp.
void unset_generic | ( | ) | [inherited] |
unset generic type
this has to be called in classes specializing a template class
Definition at line 235 of file SGObject.cpp.
bool update_parameter_hash | ( | ) | [virtual, inherited] |
Updates the hash of current parameter combination.
Definition at line 187 of file SGObject.cpp.
io
Definition at line 473 of file SGObject.h.
Parameter* m_gradient_parameters [inherited] |
parameters wrt which we can compute gradients
Definition at line 488 of file SGObject.h.
uint32_t m_hash [inherited] |
Hash of parameter values
Definition at line 494 of file SGObject.h.
Ridge that is added to the diagonal of the Q matrix in the optimization problem
Definition at line 86 of file MMDKernelSelectionCombOpt.h.
CKernelTwoSampleTestStatistic* m_mmd [protected, inherited] |
Underlying MMD instance
Definition at line 77 of file MMDKernelSelection.h.
Parameter* m_model_selection_parameters [inherited] |
model selection parameters
Definition at line 485 of file SGObject.h.
float64_t m_opt_epsilon [protected, inherited] |
stopping accuracy of qp solver
Definition at line 96 of file MMDKernelSelectionComb.h.
float64_t m_opt_low_cut [protected, inherited] |
low cut for weights, if weights are under this value, are set to zero
Definition at line 99 of file MMDKernelSelectionComb.h.
index_t m_opt_max_iterations [protected, inherited] |
maximum number of iterations of qp solver
Definition at line 93 of file MMDKernelSelectionComb.h.
ParameterMap* m_parameter_map [inherited] |
map for different parameter versions
Definition at line 491 of file SGObject.h.
Parameter* m_parameters [inherited] |
parameters
Definition at line 482 of file SGObject.h.
matrix for selection of kernel weights (static because of libqp)
Definition at line 102 of file MMDKernelSelectionComb.h.
parallel
Definition at line 476 of file SGObject.h.
version
Definition at line 479 of file SGObject.h.