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CMMDKernelSelectionCombMaxL2 Class Reference

Detailed Description

Implementation of maximum MMD kernel selection for combined kernel. This class selects a combination of baseline kernels that maximises the the MMD for a combined kernel based on a L2-regularization approach. This boils down to solve the convex program

\[ \min_\beta \{\beta^T \beta \quad \text{s.t.}\quad \beta^T \eta=1, \beta\succeq 0\}, \]

where \(\eta\) is a vector whose elements are the MMDs of the baseline kernels.

This is meant to work for the CQuadraticTimeMMD statistic. Optimal weight selecton for CLinearTimeMMD can be found in CMMDKernelSelectionCombOpt.

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 MMDKernelSelectionCombMaxL2.h.

Inheritance diagram for CMMDKernelSelectionCombMaxL2:
Inheritance graph
[legend]

List of all members.

Public Member Functions

 CMMDKernelSelectionCombMaxL2 ()
 CMMDKernelSelectionCombMaxL2 (CKernelTwoSampleTestStatistic *mmd)
virtual ~CMMDKernelSelectionCombMaxL2 ()
virtual SGVector< float64_tcompute_measures ()
const char * get_name () const
virtual CKernelselect_kernel ()
virtual CSGObjectshallow_copy () const
virtual CSGObjectdeep_copy () const
virtual bool is_generic (EPrimitiveType *generic) const
template<class T >
void set_generic ()
void unset_generic ()
virtual void print_serializable (const char *prefix="")
virtual bool save_serializable (CSerializableFile *file, const char *prefix="", int32_t param_version=Version::get_version_parameter())
virtual bool load_serializable (CSerializableFile *file, const char *prefix="", int32_t param_version=Version::get_version_parameter())
DynArray< TParameter * > * load_file_parameters (const SGParamInfo *param_info, int32_t file_version, CSerializableFile *file, const char *prefix="")
DynArray< TParameter * > * load_all_file_parameters (int32_t file_version, int32_t current_version, CSerializableFile *file, const char *prefix="")
void map_parameters (DynArray< TParameter * > *param_base, int32_t &base_version, DynArray< const SGParamInfo * > *target_param_infos)
void set_global_io (SGIO *io)
SGIOget_global_io ()
void set_global_parallel (Parallel *parallel)
Parallelget_global_parallel ()
void set_global_version (Version *version)
Versionget_global_version ()
SGStringList< char > get_modelsel_names ()
void print_modsel_params ()
char * get_modsel_param_descr (const char *param_name)
index_t get_modsel_param_index (const char *param_name)
void build_gradient_parameter_dictionary (CMap< TParameter *, CSGObject * > *dict)
virtual bool update_parameter_hash ()
virtual bool equals (CSGObject *other, float64_t accuracy=0.0)
virtual CSGObjectclone ()

Public Attributes

SGIOio
Parallelparallel
Versionversion
Parameterm_parameters
Parameterm_model_selection_parameters
Parameterm_gradient_parameters
ParameterMapm_parameter_map
uint32_t m_hash

Protected Member Functions

virtual SGVector< float64_tsolve_optimization (SGVector< float64_t > mmds)
virtual TParametermigrate (DynArray< TParameter * > *param_base, const SGParamInfo *target)
virtual void one_to_one_migration_prepare (DynArray< TParameter * > *param_base, const SGParamInfo *target, TParameter *&replacement, TParameter *&to_migrate, char *old_name=NULL)
virtual void load_serializable_pre () throw (ShogunException)
virtual void load_serializable_post () throw (ShogunException)
virtual void save_serializable_pre () throw (ShogunException)
virtual void save_serializable_post () throw (ShogunException)

Static Protected Member Functions

static const float64_tget_Q_col (uint32_t i)
static void print_state (libqp_state_T state)

Protected Attributes

index_t m_opt_max_iterations
float64_t m_opt_epsilon
float64_t m_opt_low_cut
CKernelTwoSampleTestStatisticm_mmd

Static Protected Attributes

static SGMatrix< float64_tm_Q = SGMatrix<float64_t>(false)

Constructor & Destructor Documentation

Default constructor

Definition at line 18 of file MMDKernelSelectionCombMaxL2.cpp.

Constructor that initialises the underlying MMD instance

Parameters:
mmdMMD instance to use. Has to be an MMD based kernel two-sample test. Currently: linear or quadratic time MMD.

Definition at line 23 of file MMDKernelSelectionCombMaxL2.cpp.

Destructor

Definition at line 33 of file MMDKernelSelectionCombMaxL2.cpp.


Member Function Documentation

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.

Parameters:
dictdictionary of parameters to be built.

Definition at line 1156 of file SGObject.cpp.

CSGObject * clone ( ) [virtual, inherited]

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.

Returns:
an identical copy of the given object, which is disjoint in memory. NULL if the clone fails. Note that the returned object is SG_REF'ed

Definition at line 1273 of file SGObject.cpp.

Computes kernel weights which maximise the MMD of the underlying combined kernel using L2-regularization.

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 38 of file MMDKernelSelectionCombMaxL2.cpp.

virtual CSGObject* deep_copy ( ) const [virtual, inherited]

A deep copy. All the instance variables will also be copied.

Definition at line 126 of file SGObject.h.

bool equals ( CSGObject other,
float64_t  accuracy = 0.0 
) [virtual, inherited]

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.

Parameters:
otherobject to compare with
accuracyaccuracy to use for comparison (optional)
Returns:
true if all parameters were equal, false if not

Definition at line 1177 of file SGObject.cpp.

SGIO * get_global_io ( ) [inherited]

get the io object

Returns:
io object

Definition at line 174 of file SGObject.cpp.

Parallel * get_global_parallel ( ) [inherited]

get the parallel object

Returns:
parallel object

Definition at line 209 of file SGObject.cpp.

Version * get_global_version ( ) [inherited]

get the version object

Returns:
version object

Definition at line 222 of file SGObject.cpp.

SGStringList< char > get_modelsel_names ( ) [inherited]
Returns:
vector of names of all parameters which are registered for model selection

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

Parameters:
param_namename of the parameter
Returns:
description 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

Parameters:
param_namename of model selection parameter
Returns:
index of model selection parameter with provided name, -1 if there is no such

Definition at line 1097 of file SGObject.cpp.

const char* get_name ( ) const [virtual]
Returns:
name of the SGSerializable

Implements CMMDKernelSelectionComb.

Definition at line 74 of file MMDKernelSelectionCombMaxL2.h.

const float64_t * get_Q_col ( uint32_t  i) [static, protected, inherited]

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.

Parameters:
genericset to the type of the generic if returning TRUE
Returns:
TRUE if a class template.

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 = "" 
) [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)

Parameters:
file_versionparameter version of the file
current_versionversion from which mapping begins (you want to use Version::get_version_parameter() for this in most cases)
filefile to load from
prefixprefix for members
Returns:
(sorted) array of created TParameter instances with file data

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

Parameters:
param_infoinformation of parameter
file_versionparameter version of the file, must be <= provided parameter version
filefile to load from
prefixprefix for members
Returns:
new array with TParameter instances with the attached data

Definition at line 474 of file SGObject.cpp.

bool load_serializable ( CSerializableFile file,
const char *  prefix = "",
int32_t  param_version = Version::get_version_parameter() 
) [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!

Parameters:
filewhere to load from
prefixprefix for members
param_version(optional) a parameter version different to (this is mainly for testing, better do not use)
Returns:
TRUE if done, otherwise FALSE

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.

Exceptions:
ShogunExceptionWill 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.

Exceptions:
ShogunExceptionWill 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

Parameters:
param_baseset of TParameter instances that are mapped to the provided target parameter infos
base_versionversion of the parameter base
target_param_infosset 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

Parameters:
param_baseset of TParameter instances to use for migration
targetparameter info for the resulting TParameter
Returns:
a new TParameter instance with migrated data from the base of the type which is specified by the target parameter

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 
) [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)

Parameters:
param_baseset of TParameter instances to use for migration
targetparameter info for the resulting TParameter
replacement(used as output) here the TParameter instance which is returned by migration is created into
to_migratethe only source that is used for migration
old_namewith 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

Parameters:
prefixprefix 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 = "",
int32_t  param_version = Version::get_version_parameter() 
) [virtual, inherited]

Save this object to file.

Parameters:
filewhere to save the object; will be closed during returning if PREFIX is an empty string.
prefixprefix for members
param_version(optional) a parameter version different to (this is mainly for testing, better do not use)
Returns:
TRUE if done, otherwise FALSE

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.

Exceptions:
ShogunExceptionWill 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.

Exceptions:
ShogunExceptionWill 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]
Returns:
computes weights for the underlying kernel, sets them to it, and returns it (SG_REF'ed)
underlying kernel with weights set

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]

set the io object

Parameters:
ioio object to use

Definition at line 167 of file SGObject.cpp.

void set_global_parallel ( Parallel parallel) [inherited]

set the parallel object

Parameters:
parallelparallel object to use

Definition at line 180 of file SGObject.cpp.

void set_global_version ( Version version) [inherited]

set the version object

Parameters:
versionversion 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.

Parameters:
mmdsvalues that will be put into \(\eta\). At least one element is assumed to be positive
Returns:
result of optimization \(\beta\)

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.

Returns:
bool if parameter combination has changed since last update.

Definition at line 187 of file SGObject.cpp.


Member Data Documentation

SGIO* io [inherited]

io

Definition at line 473 of file SGObject.h.

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.

CKernelTwoSampleTestStatistic* m_mmd [protected, inherited]

Underlying MMD instance

Definition at line 77 of file MMDKernelSelection.h.

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.

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.

SGMatrix< float64_t > m_Q = SGMatrix<float64_t>(false) [static, protected, inherited]

matrix for selection of kernel weights (static because of libqp)

Definition at line 102 of file MMDKernelSelectionComb.h.

Parallel* parallel [inherited]

parallel

Definition at line 476 of file SGObject.h.

Version* version [inherited]

version

Definition at line 479 of file SGObject.h.


The documentation for this class was generated from the following files:
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