function path = follow_entire_path(Ks,y,loss,ds,path_params,Ks_test,ytest)
% FOLLOW THE ENTIRE PATH OF REGULARIZATION
%
% INPUT
% Ks : kernel matrices
% y : response
% loss : loss.type= 'regression' or 'logistic'
% ds : weights of the block 1-norm
% path_params : parameters of the path (defined below)
% Ks_test, ytest (optional) : testing data
%
% OUTPUT
% path.alphas dual variables
% path.etas weights of kernels
% path.sigmas log(lambda)
% path.netas number of "nonzero" weights
% path.ks number of corrector steps
% path.training_errors
% path.testing_errors
% path.training_predictions values of K * alpha
% path.testing_predictions values of K * alpha
% INITIALIZATION OF CONSTANTS
mu = path_params.mu; % parameter of log-barrier
EPS1 = path_params.EPS1; % precision parameters of Newton steps (very small and fixed)
EPS2 = path_params.EPS2; % precision parameter of tube around path (adaptive)
predictor_type = path_params.predictor_type; % 1 : first order predictor, 2 : second order
efficient_predictor = path_params.efficient_predictor; % 1 : efficient predictor steps, 0 : full steps
efficient_eta = path_params.efficient_eta; % real value : threshold eta for corrector steps, 0 : no threshold
% i.e., only consider the significant ones, but it is buggy because, a zero
% eta might become significant and negative (when a constraint is broken)
maxsigma = path_params.maxsigma; % maximum value of sigma = -log(lambda);
newton_iter1 = path_params.newton_iter1 ; % number of iterations with no modification
newton_iter2 = path_params.newton_iter2 ; % delta number of iterations under which EPS2 is divided/multiplied by 2
maxdsigma = path_params.maxdsigma; % maximal step
mindsigma = path_params.mindsigma; % minimal step
maxvalue_EPS2 = path_params.maxvalue_EPS2; % maximum value of tolerance for predictor steps
problemtype = problem_type(loss); % classification or regression
m = Ks.m;
test = 0; % test = 1 if performs testing online
if nargin>=6,
if ~isempty(Ks_test), test = 1; end
end
MIN_DSIGMA_OCURRED = 0;
% FIRST STEP
beta = target(y,loss);
Kbeta = kernel_operation(Ks,1,beta);
start = sqrt( beta' * Kbeta ) ./ ds ;
lambda = 1.3 * max(start);
sigma = -log(lambda);
alpha = beta / lambda;
% selecte subsets of eta
etas_comp = get_etas(Ks,y,loss,alpha,ds,lambda,mu);
indices = find( etas_comp' .* ds.^2 / mu > efficient_eta );
% first corrector step
[alpha,lambda2,exit_status,k]= newton_method(Ks,y,loss,alpha,ds,lambda,mu,indices,0,EPS1,500);
[f,grad,hessianinvchol0,eta,lambda2,da_dsigma,d2a_dsigma2] = all_derivatives(Ks,y,loss,alpha,ds,lambda,mu);
da_dsigma_old = da_dsigma;
d2a_dsigma2_old = d2a_dsigma2;
alpha_old = alpha;
sigma_old = sigma;
% store first step
alphas = alpha;
sigmas = sigma;
etas = eta;
netas = length(find( eta' .* ds.^2 > mu * 4 ) );
ks = k;
lambda2s = lambda2;
normgrads = norm(grad)^2;
nevals = 0;
EPS2s = EPS2;
ypred = - kernel_operation(Ks,1,alpha) * eta;
switch problemtype,
case 'regression'
training_error = sum( (ypred-y).^2 ) / length(y);
case 'classification'
ypreds = sign( ypred );
training_error = length(find( abs(ypreds-y)> 0 )) / length(y);
case 'classification_unbalanced'
ypreds = sign( ypred );
training_error = sum( y(:,2) .* ( abs(ypreds-y(:,1))> 0 ) ) / length(y);
end
training_errors = training_error;
training_predictions = ypred;
path.ytrain = y;
path.problemtype = problemtype;
if test
path.ytest = ytest;
yhat = - kernel_operation_test(Ks_test,1,alpha) * eta;
ypred = yhat;
switch problemtype,
case 'regression'
testing_error = sum( (ypred-ytest).^2 ) / length(ytest);
case 'classification'
ypreds = sign( ypred );
testing_error = length(find( abs(ypreds-ytest)> 0 )) / length(ytest);
case 'classification_unbalanced'
ypreds = sign( ypred );
testing_error = sum( ytest(:,2) .* ( abs(ypreds-ytest(:,1))> 0 ) ) / length(ytest);
end
testing_errors = testing_error;
testing_predictions = ypred;
end
fprintf('iter %d - sigma=%f - n_corr=%d - lambda2=%1.2e - EPS2=%1.2e - n_pred=%d - neta=%d\n',length(sigmas),sigmas(end),ks(end),lambda2s(end),EPS2,nevals(end),netas(end));
max_steps_no_progress = 6;
% PREDICTOR-CORRECTOR STEPS
% exits if upperbound on sigma is reached or Newton steps didnot converge
delta_sigma = 1;
try_all_predictors=0;
while sigma < maxsigma & lambda2 < EPS2 & delta_sigma > 1e-6 & length(sigmas)<=2000
% every 100 moves, reset to large tube around data
if mod(length(sigmas),100)==1, EPS2 = path_params.EPS2; end
% choosing dsigma : predictor steps
neval = 0;
if length(sigmas)==1,
boosted = 0;
% first predictor step: try out several values
dsigmas = 10.^[-5:.5:0];
for idsigma=1:length(dsigmas);
dsigma=dsigmas(idsigma);
compute_newlambda2;
neval = neval + 1;
if isinf(lambda2) || isnan(lambda2) || (lambda2>EPS2), break;
end;
end
dsigma = dsigmas(idsigma-1);
switch predictor_type
case 0, newalpha = alpha;
case 1, newalpha = alpha+dsigma*da_dsigma;
case 2, newalpha = alpha+dsigma*da_dsigma+ dsigma^2 * .5 * d2a_dsigma2;
end
newlambda = exp(-sigma-dsigma);
else
% for regression, if long stagnation with the same number of
% kernels, the path is likely to be linear in 1/lambda
if length(netas)>=10 & isequal(problemtype,'regression')
if all(netas(end-9:end)==netas(end)), boosted = 1; fprintf(' boosted '); else boosted = 0; end
else
boosted = 0;
end
predictor_step;
end
predicted_type=predictor_type;
if dsigma <= 1e-5
switch predictor_type
case 2,
predictor_type = 1;
predictor_step
predicted_type = 1;
if dsigma <= 1e-5
predictor_type = 0;
predictor_step
predicted_type=0;
end
predictor_type = 2;
case 1,
predictor_type = 0;
predictor_step
predictor_type = 1;
predicted_type =0;
end
end
if dsigma <= 1e-5,
% not event the simpler predictor steps work, get out!
break;
end
if try_all_predictors
alpha_predicted = newalpha;
dsigma_predicted = dsigma;
predictor_type = 0;
predictor_step;
predictor_type = 1;
if dsigma>dsigma_predicted,
predicted_type=0;
fprintf(' trivial is better ');
else
newalpha = alpha_predicted ;
dsigma = dsigma_predicted;
end
end
go_on=1;
counter = 1;
% select etas
etas_comp = get_etas(Ks,y,loss,newalpha,ds,lambda,mu);
indices = find( etas_comp' .* ds.^2 / mu > efficient_eta );
% store for later use
sigma0 = sigma;
newalpha0 = newalpha;
dsigma0=dsigma;
alpha0=alpha;
while go_on & counter <= max_steps_no_progress
% try to perform Newton steps from predicted sigma
% if does not converge, diminishes sigma and divides EPS2 by 8
% if never converges after 4 times, exit
counter = counter + 1;
sigmapot = sigma + dsigma;
try
[alphapot,lambda2,exit_status,k,nevals_newton,exit_params]= newton_method(Ks,y,loss,newalpha,ds,exp(-sigmapot),mu,indices,0,EPS1,30);
catch
q=round(10*sum(clock));
q
save(sprintf('error_%d',q));
error('error in newton method');
end
if strcmp(exit_status,'max_iterations') || lambda2 > 1e-5 || ...
strcmp(exit_status,'infinite_lambda_0') || ...
strcmp(exit_status,'no_inverse_hessian_0') || ...
strcmp(exit_status,'nan_lambda_0')
fprintf('Newton''s method takes too long!! dsigma=%e lambda2=%e\n',dsigma,lambda);
dsigma = dsigma / 8;
EPS2 = EPS2 / 8;
sigmapot = sigma + dsigma;
if boosted
switch predicted_type
case 0, newalpha = alpha ;
case 1, newalpha = alpha + ( exp(dsigma) - 1 ) * da_dsigma;
case 2, newalpha = alpha + ( exp(dsigma) - 1 ) * da_dsigma + ...
+ .5 * ( exp(dsigma) - 1 )^2 * ( d2a_dsigma2 - da_dsigma );
end
else
switch predicted_type
case 0, newalpha = alpha;
case 1, newalpha = alpha+dsigma*da_dsigma;
case 2, newalpha = alpha+dsigma*da_dsigma+ dsigma^2 * .5 * d2a_dsigma2;
end
end
else go_on=0;
end
end
if counter == max_steps_no_progress & go_on, break; end
alpha_old = alpha;
sigma_old = sigma;
alpha = alphapot;
delta_sigma = abs( sigma - sigmapot);
sigma = sigmapot;
lambda = exp(-sigma);
% store step
try
da_dsigma_old = da_dsigma;
d2a_dsigma2_old = d2a_dsigma2;
[f,grad,hessianinvchol,eta,lambda2,da_dsigma,d2a_dsigma2] = all_derivatives(Ks,y,loss,alpha,ds,lambda,mu);
if isinf(f)
% if the value of f is infinite, then it means that the previous
% corrector steps with less etas made one of the forgotten eta
% active -> redo the Newton steps with all etas
counter = 1;
sigma = sigma0;
dsigma = dsigma0;
newalpha = newalpha0;
alpha =alpha0;
while go_on & counter <= max_steps_no_progress
% try to perform Newton steps from predicted sigma
% if does not converge, diminishes sigma and divides EPS2 by 8
% if never converges after 4 times, exit
counter = counter + 1;
sigmapot = sigma + dsigma;
try
[alphapot,lambda2,exit_status,k,nevals_newton,exit_params]= newton_method(Ks,y,loss,newalpha,ds,exp(-sigmapot),mu,1:m,0,EPS1,30);
catch
q=round(10*sum(clock));
q
save(sprintf('error_%d',q));
error('error in newton method');
end
if strcmp(exit_status,'max_iterations') || lambda2 > 1e-5 || ...
strcmp(exit_status,'infinite_lambda_0') || ...
strcmp(exit_status,'no_inverse_hessian_0') || ...
strcmp(exit_status,'nan_lambda_0')
fprintf('Newton''s method takes too long!! dsigma=%e lambda2=%e\n',dsigma,lambda);
dsigma = dsigma / 8;
EPS2 = EPS2 / 8;
sigmapot = sigma + dsigma;
if boosted
switch predicted_type
case 0, newalpha = alpha ;
case 1, newalpha = alpha + ( exp(dsigma) - 1 ) * da_dsigma;
case 2, newalpha = alpha + ( exp(dsigma) - 1 ) * da_dsigma + ...
+ .5 * ( exp(dsigma) - 1 )^2 * ( d2a_dsigma2 - da_dsigma );
end
else
switch predicted_type
case 0, newalpha = alpha;
case 1, newalpha = alpha+dsigma*da_dsigma;
case 2, newalpha = alpha+dsigma*da_dsigma+ dsigma^2 * .5 * d2a_dsigma2;
end
end
else go_on=0;
end
end
if counter == max_steps_no_progress & go_on, break; end
alpha_old = alpha;
sigma_old = sigma;
alpha = alphapot;
delta_sigma = abs( sigma - sigmapot);
sigma = sigmapot;
lambda = exp(-sigma);
[f,grad,hessianinvchol,eta,lambda2,da_dsigma,d2a_dsigma2] = all_derivatives(Ks,y,loss,alpha,ds,lambda,mu);
end
% if the values of the derivatives with respect to the path are infinite or NAN, put them to zero
if sum( isnan(da_dsigma) | isinf(da_dsigma) ),
fprintf('derivative of path is undefined\n');
fprintf('only doing zero order now (trivial predictors)\n');
da_dsigma=zeros(size(da_dsigma));
d2a_dsigma2=zeros(size(d2a_dsigma2));
predictor_type = 0;
try_all_predictors=0;
end
if sum( isnan(d2a_dsigma2) | isinf(d2a_dsigma2) ) & predictor_type ==2,
fprintf('second derivative of path is undefined\n');
fprintf('only doing first order now\n');
d2a_dsigma2=zeros(size(d2a_dsigma2));
predictor_type = 1;
try_all_predictors=1;
end
catch
q=round(10*sum(clock));
q
save(sprintf('error_%d',q));
error('error in all derivatives - stack saved for examination');
end
lambda2s = [ lambda2s lambda2];
normgrads = [ normgrads norm(grad)^2 ];
alphas = [ alphas alpha];
sigmas = [ sigmas sigma];
etas = [ etas eta];
netas = [ netas length(find( eta' .* ds.^2 > mu * 4 ) ) ];
ks = [ ks k];
nevals = [ nevals neval];
% update EPS2
if ~strcmp(exit_status,'df_small')
EPS2=EPS2 * 2^ ( (newton_iter1 -k)/newton_iter2 );
else
EPS2=EPS2 * 2^ ( (newton_iter1 -k)/newton_iter2/2 );
end
if lambda2 >= EPS2/10, EPS2 = lambda2 * 10; end
EPS2 = max(EPS2, 1e-5);
EPS2 = min(EPS2, maxvalue_EPS2);
EPS2s = [ EPS2s EPS2 ];
ypred = - kernel_operation(Ks,1,alpha) * eta;
switch problemtype,
case 'regression'
training_error = sum( (ypred-y).^2 ) / length(y);
case 'classification'
ypreds = sign( ypred );
training_error = length(find( abs(ypreds-y)> 0 )) / length(y);
case 'classification_unbalanced'
ypreds = sign( ypred );
training_error = sum( y(:,2) .* ( abs(ypreds-y(:,1))> 0 ) ) / length(y);
end
training_errors = [ training_errors training_error];
training_predictions = [ training_predictions ypred];
% if the training errors is zero, stop the path following soon
if training_errors(end)<training_errors(1)*1e-6
maxsigma = min(maxsigma,sigma+1);
end
% perform testing if applicable
if test
yhat = - kernel_operation_test(Ks_test,1,alpha) * eta;
ypred = yhat;
switch problemtype,
case 'regression'
testing_error = sum( (ypred-ytest).^2 ) / length(ytest);
case 'classification'
ypreds = sign( ypred );
testing_error = length(find( abs(ypreds-ytest)> 0 )) / length(ytest);
case 'classification_unbalanced'
ypreds = sign( ypred );
testing_error = sum( ytest(:,2) .* ( abs(ypreds-ytest(:,1))> 0 ) ) / length(ytest);
end
testing_errors = [ testing_errors testing_error ];
testing_predictions = [ testing_predictions ypred];
end
fprintf('iter %d - sigma=%f - n_corr=%d - lambda2=%1.2e - EPS2=%1.2e - n_pred=%d - neta=%d - dsigma=%f - status=%s\n',length(sigmas),sigmas(end),ks(end),lambda2s(end),EPS2,nevals(end),netas(end),dsigma,exit_status);
if dsigma < mindsigma,
% after 6 times in a row with a small progress, exit
MIN_DSIGMA_OCURRED = MIN_DSIGMA_OCURRED + 1;
if MIN_DSIGMA_OCURRED == 6
break;
end
else
MIN_DSIGMA_OCURRED = 0;
end
end
path.alphas=alphas;
path.etas=etas;
path.sigmas=sigmas;
path.netas=netas;
path.ks=ks;
% path.nevals=nevals;
% path.normgrads = normgrads;
% path.lambda2s = lambda2s;
% path.EPS2s = EPS2s;
path.training_errors = training_errors;
path.training_predictions = training_predictions;
if test, path.testing_errors = testing_errors;
path.testing_predictions = testing_predictions;
end
if 0,
% debugging
q=round(10*sum(clock));
q
save(sprintf('debug_%d',q));
fprintf('results of path following saved');
end
转载于:https://www.cnblogs.com/davidsvision/p/3347111.html
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