matlab实现smo,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%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)i,1)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 alpha2Newend

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&&alpha1Newelseif alpha2New>0&&alpha2Newelse

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。