基于matlab的SMO实现

这是我在机器学习课程上的作业，用matlab实现的SMO，记录一下体会。
我实现了简化版SMO代码，网络上流传的大部分也都是这种思路的代码，主要参考了Peter《机器学习实战》中关于SMO算法的部分。感谢yqx老师。
我自己编写的简化版代码：

function [alpha,bias] = my_seqminoptSimple(training,groupIndex,C,maxIter,tol)

% init
[sampleNum,featuerNum]=size(training);
alpha=zeros(sampleNum,1);
bias=0;
iteratorTimes=0;

K=training*training';
while iteratorTimes<maxIter
    %iteratorTimes=iteratorTimes+1;
    alphaPairsChanged=0;
    % calculate predict value
    %K=training*training';
    %g=(alpha.*groupIndex)'*K+repmat(bias,1,sampleNum);
    %g=g';

    % calculate error
    %E=g-groupIndex;

    % find alpha1
    for i=1:sampleNum
        g1=(alpha.*groupIndex)'*(training*training(i,:)')+bias;
        E1=g1-groupIndex(i,1);
       % choose i: avoid KKT conditions
       if(((E1*groupIndex(i,1)<-tol)&&alpha(i,1)<C)||((E1*groupIndex(i,1)>tol)&&alpha(i,1)>0))
           % choose j: different from i 
           j=i;
           while j==i
                j=randi(sampleNum);
           end

            alpha1=i;
            alpha2=j;

            % updata alpha1 and alpha2
            alpha1Old=alpha(alpha1,1);
            alpha2Old=alpha(alpha2,1);
            y1=groupIndex(alpha1,1);
            y2=groupIndex(alpha2,1);

            g2=(alpha.*groupIndex)'*(training*training(j,:)')+bias;
            E2=g2-groupIndex(j,1);

            if y1~=y2
                L=max(0,alpha2Old-alpha1Old);
                H=min(C,C+alpha2Old-alpha1Old);
            else
                L=max(0,alpha2Old+alpha1Old-C);
                H=min(C,alpha2Old+alpha1Old);
            end

            if L==H
                fprintf('H==L\n');
                continue;
            end

            parameter=K(alpha1,alpha1)+K(alpha2,alpha2)-2*K(alpha1,alpha2);

            if parameter<=0
                fprintf('parameter<=0\n');
                continue;
            end

            alpha2New=alpha2Old+y2*(E1-E2)/parameter;

            if alpha2New>H
                alpha2New=H;
            end

            if alpha2New<L
                alpha2New=L;
            end

            if abs(alpha2New-alpha2Old)<=0.0001
                fprintf('change small\n');
                continue;
            end

            alpha1New=alpha1Old+y1*y2*(alpha2Old-alpha2New);

            % updata bias
            bias1=-E1-y1*K(alpha1,alpha1)*(alpha1New-alpha1Old)-y2*K(alpha2,alpha1)*(alpha2New-alpha2Old)+bias;
            bias2=-E2-y1*K(alpha1,alpha2)*(alpha1New-alpha1Old)-y2*K(alpha2,alpha2)*(alpha2New-alpha2Old)+bias;

            if alpha1New>0&&alpha1New<C
                bias=bias1;
            elseif alpha2New>0&&alpha2New<C
                bias=bias2;
            else
                bias=(bias2+bias1)/2;
            end

            alpha(alpha1,1)=alpha1New;
            alpha(alpha2,1)=alpha2New;
            alphaPairsChanged=alphaPairsChanged+1;
       end  
    end

    if alphaPairsChanged==0
        iteratorTimes=iteratorTimes+1;
    else
        iteratorTimes=0;
    end
    fprintf('iteratorTimes=%d\n',iteratorTimes);

end

《机器学习实战》部分简化版SMO代码，感谢Peter的代码。

'''
Created on Nov 4, 2010
Chapter 5 source file for Machine Learing in Action
@author: Peter
'''
from numpy import *
from time import sleep

def loadDataSet(fileName):
    dataMat = []; labelMat = []
    fr = open(fileName)
    for line in fr.readlines():
        lineArr = line.strip().split('\t')
        dataMat.append([float(lineArr[0]), float(lineArr[1])])
        labelMat.append(float(lineArr[2]))
    return dataMat,labelMat

def selectJrand(i,m):
    j=i #we want to select any J not equal to i
    while (j==i):
        j = int(random.uniform(0,m))
    return j

def clipAlpha(aj,H,L):
    if aj > H: 
        aj = H
    if L > aj:
        aj = L
    return aj

def smoSimple(dataMatIn, classLabels, C, toler, maxIter):
    dataMatrix = mat(dataMatIn); labelMat = mat(classLabels).transpose()
    b = 0; m,n = shape(dataMatrix)
    alphas = mat(zeros((m,1)))
    iter = 0
    while (iter < maxIter):
        alphaPairsChanged = 0
        for i in range(m):
            fXi = float(multiply(alphas,labelMat).T*(dataMatrix*dataMatrix[i,:].T)) + b
            Ei = fXi - float(labelMat[i])#if checks if an example violates KKT conditions
            if ((labelMat[i]*Ei < -toler) and (alphas[i] < C)) or ((labelMat[i]*Ei > toler) and (alphas[i] > 0)):
                j = selectJrand(i,m)
                fXj = float(multiply(alphas,labelMat).T*(dataMatrix*dataMatrix[j,:].T)) + b
                Ej = fXj - float(labelMat[j])
                alphaIold = alphas[i].copy(); alphaJold = alphas[j].copy();
                if (labelMat[i] != labelMat[j]):
                    L = max(0, alphas[j] - alphas[i])
                    H = min(C, C + alphas[j] - alphas[i])
                else:
                    L = max(0, alphas[j] + alphas[i] - C)
                    H = min(C, alphas[j] + alphas[i])
                if L==H: print "L==H"; continue
                eta = 2.0 * dataMatrix[i,:]*dataMatrix[j,:].T - dataMatrix[i,:]*dataMatrix[i,:].T - dataMatrix[j,:]*dataMatrix[j,:].T
                if eta >= 0: print "eta>=0"; continue
                alphas[j] -= labelMat[j]*(Ei - Ej)/eta
                alphas[j] = clipAlpha(alphas[j],H,L)
                if (abs(alphas[j] - alphaJold) < 0.00001): print "j not moving enough"; continue
                alphas[i] += labelMat[j]*labelMat[i]*(alphaJold - alphas[j])#update i by the same amount as j
                                                                        #the update is in the oppostie direction
                b1 = b - Ei- labelMat[i]*(alphas[i]-alphaIold)*dataMatrix[i,:]*dataMatrix[i,:].T - labelMat[j]*(alphas[j]-alphaJold)*dataMatrix[i,:]*dataMatrix[j,:].T
                b2 = b - Ej- labelMat[i]*(alphas[i]-alphaIold)*dataMatrix[i,:]*dataMatrix[j,:].T - labelMat[j]*(alphas[j]-alphaJold)*dataMatrix[j,:]*dataMatrix[j,:].T
                if (0 < alphas[i]) and (C > alphas[i]): b = b1
                elif (0 < alphas[j]) and (C > alphas[j]): b = b2
                else: b = (b1 + b2)/2.0
                alphaPairsChanged += 1
                print "iter: %d i:%d, pairs changed %d" % (iter,i,alphaPairsChanged)
        if (alphaPairsChanged == 0): iter += 1
        else: iter = 0
        print "iteration number: %d" % iter
    return b,alphas


dataArr,labelArr=loadDataSet('testSet.txt')
b,alphas=smoSimple(dataArr, labelArr, 0.6, 0.001, 40)

SMO算法的基本思想就是对于还有大量变量的优化问题不好求解，我们就采用比较简单的思路：每次只更新两个变量的值，找到一个较好的解。
SMO理论不再重复，需要的可以参考传送门，这是一个去年选了这门课的一个师兄总结的，感谢。

我这里主要讨论一下我对SMO的体会吧。简化版SMO和原始SMO主要的区别在于两个更新变量选取。

• 思路一
  选取违反KKT最大的变量α1，再选择更新值|E1-E2|最大的α2。但是简单的这么操作更新几次后就卡死了，看来SMO并没有如此简单。

• 思路二
  选取违反KKT最严重的α1，再随机选一个α2。

• 思路三
  遍历的选一个α1，再随机选一个α2。
  这种简化的SMO就是选择思路三，而且必须加上很多的限制项，防止陷入一对选取的值然后就卡死不动了。具体的限制请参考SMO代码。

对于高级用户来说，想要实现完整版的SMO，请参考《机器学习实战》第6章的内容。