QpSolver.h

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//===========================================================================
/*!
 * 
 *
 * \brief       General and specialized quadratic program classes and a generic solver.
 * 
 * 
 *
 * \author      T. Glasmachers, O.Krause
 * \date        2007-2016
 *
 *
 * \par Copyright 1995-2017 Shark Development Team
 * 
 * <BR><HR>
 * This file is part of Shark.
 * <https://shark-ml.github.io/Shark/>
 * 
 * Shark is free software: you can redistribute it and/or modify
 * it under the terms of the GNU Lesser General Public License as published 
 * by the Free Software Foundation, either version 3 of the License, or
 * (at your option) any later version.
 * 
 * Shark is distributed in the hope that it will be useful,
 * but WITHOUT ANY WARRANTY; without even the implied warranty of
 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
 * GNU Lesser General Public License for more details.
 * 
 * You should have received a copy of the GNU Lesser General Public License
 * along with Shark.  If not, see <http://www.gnu.org/licenses/>.
 *
 */
//===========================================================================
 
 
#ifndef SHARK_ALGORITHMS_QP_QPSOLVER_H
#define SHARK_ALGORITHMS_QP_QPSOLVER_H
 
#include <shark/Core/Timer.h>
#include <shark/Algorithms/QP/QuadraticProgram.h>
#include <shark/Data/Dataset.h>
 
namespace shark{
 
/// \brief Quadratic Problem with only Box-Constraints
/// Let K the kernel matrix, than the problem has the form
///
/// \f$max_\alpha - 1/2 \alpha^T K \alpha +  \alpha^Tv\f$
/// under constraints:
/// \f$l_i <= \alpha_i <= u_i\f$
template<class MatrixT>
class GeneralQuadraticProblem{
public:
    typedef MatrixT MatrixType;
    typedef typename MatrixType::QpFloatType QpFloatType;
 
    //Setup only using kernel matrix, labels and regularization parameter
    GeneralQuadraticProblem(MatrixType& quadratic)
    : quadratic(quadratic)
    , linear(quadratic.size(),0)
    , alpha(quadratic.size(),0)
    , diagonal(quadratic.size())
    , permutation(quadratic.size())
    , boxMin(quadratic.size(),0)
    , boxMax(quadratic.size(),0)
    {
        for(std::size_t i = 0; i!= dimensions(); ++i){
            permutation[i] = i;
            diagonal(i) = quadratic.entry(i, i);
        }
    }
 
    /// \brief constructor which initializes a C-SVM problem with weighted datapoints and different regularizers for every class
    GeneralQuadraticProblem(
        MatrixType& quadratic, 
        Data<unsigned int> const& labels, 
        Data<double> const& weights, 
        RealVector const& regularizers
    ): quadratic(quadratic)
    , linear(quadratic.size())
    , alpha(quadratic.size(),0)
    , diagonal(quadratic.size())
    , permutation(quadratic.size())
    , boxMin(quadratic.size())
    , boxMax(quadratic.size())
    {
        SIZE_CHECK(dimensions() == linear.size());
        SIZE_CHECK(dimensions() == quadratic.size());
        SIZE_CHECK(dimensions() == labels.numberOfElements());
        SIZE_CHECK(dimensions() == weights.numberOfElements());
        SIZE_CHECK(regularizers.size() > 0);
        SIZE_CHECK(regularizers.size() <= 2);
        
        double Cn = regularizers[0];
        double Cp = regularizers[0];
        if(regularizers.size() == 2)
            Cp = regularizers[1];
 
        for(std::size_t i = 0; i!= dimensions(); ++i){
            unsigned int label = labels.element(i);
            double weight = weights.element(i);
            permutation[i] = i;
            diagonal(i) = quadratic.entry(i, i);
            linear(i) = label? 1.0:-1.0;
            boxMin(i) = label? 0.0:-Cn*weight;
            boxMax(i) = label? Cp*weight : 0.0;
        }
    }
 
    std::size_t dimensions()const{
        return quadratic.size();
    }
 
    /// exchange two variables via the permutation
    void flipCoordinates(std::size_t i, std::size_t j)
    {
        if (i == j) return;
 
        // notify the matrix cache
        quadratic.flipColumnsAndRows(i, j);
        std::swap( alpha[i], alpha[j]);
        std::swap( linear[i], linear[j]);
        std::swap( diagonal[i], diagonal[j]);
        std::swap( boxMin[i], boxMin[j]);
        std::swap( boxMax[i], boxMax[j]);
        std::swap( permutation[i], permutation[j]);
    }
    
    /// \brief Scales all box constraints by a constant factor and adapts the solution by scaling it by the same factor.
    void scaleBoxConstraints(double factor){
        alpha *= factor;
        boxMin *=factor;
        boxMax *=factor;
    }
 
    /// representation of the quadratic part of the objective function
    MatrixType& quadratic;
 
    /// \brief Linear part of the problem
    RealVector linear;
 
    /// Solution candidate
    RealVector alpha;
 
    /// diagonal matrix entries
    /// The diagonal array is of fixed size and not subject to shrinking.
    RealVector diagonal;
 
    /// permutation of the variables alpha, gradient, etc.
    std::vector<std::size_t> permutation;
 
    /// \brief component-wise lower bound
    RealVector boxMin;
 
    /// \brief component-wise upper bound
    RealVector boxMax;
};
 
///\brief Boxed problem for alpha in [lower,upper]^n and equality constraints. 
///
///It is assumed for the initial alpha value that there exists a sum to one constraint and lower <= 1/n <= upper 
template<class MatrixT>
class BoxedSVMProblem{
public:
    typedef MatrixT MatrixType;
    typedef typename MatrixType::QpFloatType QpFloatType;
 
    //Setup only using kernel matrix, labels and regularization parameter
    BoxedSVMProblem(MatrixType& quadratic, RealVector const& linear, double lower, double upper)
    : quadratic(quadratic)
    , linear(linear)
    , alpha(quadratic.size(),1.0/quadratic.size())
    , diagonal(quadratic.size())
    , permutation(quadratic.size())
    , m_lower(lower)
    , m_upper(upper)
    {
        SIZE_CHECK(dimensions() == linear.size());
        SIZE_CHECK(dimensions() == quadratic.size());
        
        for(std::size_t i = 0; i!= dimensions(); ++i){
            permutation[i] = i;
            diagonal(i) = quadratic.entry(i, i);
        }
    }
 
    std::size_t dimensions()const{
        return quadratic.size();
    }
 
    double boxMin(std::size_t i)const{
        return m_lower;
    }
    double boxMax(std::size_t i)const{
        return m_upper;
    }
 
    /// representation of the quadratic part of the objective function
    MatrixType& quadratic;
 
    ///\brief Linear part of the problem
    RealVector linear;
 
    /// Solution candidate
    RealVector alpha;
 
    /// diagonal matrix entries
    /// The diagonal array is of fixed size and not subject to shrinking.
    RealVector diagonal;
 
    /// exchange two variables via the permutation
    void flipCoordinates(std::size_t i, std::size_t j)
    {
        if (i == j) return;
        
        // notify the matrix cache
        quadratic.flipColumnsAndRows(i, j);
        std::swap( alpha[i], alpha[j]);
        std::swap( linear[i], linear[j]);
        std::swap( diagonal[i], diagonal[j]);
        std::swap( permutation[i], permutation[j]);
    }
    
    /// \brief Scales all box constraints by a constant factor and adapts the solution by scaling it by the same factor.
    void scaleBoxConstraints(double factor){
        m_lower*=factor;
        m_upper*=factor;
        alpha *= factor;
    }
 
    /// permutation of the variables alpha, gradient, etc.
    std::vector<std::size_t> permutation;
private:
    double m_lower;
    double m_upper;
};
 
 
/// \brief Problem formulation for binary C-SVM problems
///
/// \f$max_\alpha - 1/2 \alpha^T K \alpha +  \alpha^Ty\f$
/// under constraints:
/// \f$l_i <= \alpha_i <= u_i\f$
/// \f$\sum_i \alpha_i = 0\f$
template<class MatrixT>
class CSVMProblem{
public:
    typedef MatrixT MatrixType;
    typedef typename MatrixType::QpFloatType QpFloatType;
 
    /// \brief Setup only using kernel matrix, labels and regularization parameter
    CSVMProblem(MatrixType& quadratic, Data<unsigned int> const& labels, double C)
    : quadratic(quadratic)
    , linear(quadratic.size())
    , alpha(quadratic.size(),0)
    , diagonal(quadratic.size())
    , permutation(quadratic.size())
    , positive(quadratic.size())
    , m_Cp(C)
    , m_Cn(C)
    {
        SIZE_CHECK(dimensions() == linear.size());
        SIZE_CHECK(dimensions() == quadratic.size());
        SIZE_CHECK(dimensions() == labels.numberOfElements());
 
        for(std::size_t i = 0; i!= dimensions(); ++i){
            permutation[i] = i;
            diagonal(i) = quadratic.entry(i, i);
            linear(i) = labels.element(i)? 1.0:-1.0;
            positive[i] = linear(i) > 0;
        }
    }
    ///\brief  Setup using kernel matrix, labels and different regularization parameters for positive and negative classes
    CSVMProblem(MatrixType& quadratic, Data<unsigned int> const& labels, RealVector const& regularizers)
    : quadratic(quadratic)
    , linear(quadratic.size())
    , alpha(quadratic.size(),0)
    , diagonal(quadratic.size())
    , permutation(quadratic.size())
    , positive(quadratic.size())
    {
        SIZE_CHECK(dimensions() == linear.size());
        SIZE_CHECK(dimensions() == quadratic.size());
        SIZE_CHECK(dimensions() == labels.numberOfElements());
        
        SIZE_CHECK(regularizers.size() > 0);
        SIZE_CHECK(regularizers.size() <= 2);
        m_Cp = m_Cn = regularizers[0];
        if(regularizers.size() == 2)
            m_Cp = regularizers[1];
 
            
        for(std::size_t i = 0; i!= dimensions(); ++i){
            permutation[i] = i;
            diagonal(i) = quadratic.entry(i, i);
            linear(i) = labels.element(i)? 1.0:-1.0;
            positive[i] = linear(i) > 0;
        }
    }
 
    //Setup with changed linear part
    CSVMProblem(MatrixType& quadratic, RealVector linear, Data<unsigned int> const& labels, double C)
    : quadratic(quadratic)
    , linear(linear)
    , alpha(quadratic.size(),0)
    , diagonal(quadratic.size())
    , permutation(quadratic.size())
    , positive(quadratic.size())
    , m_Cp(C)
    , m_Cn(C)
    {
        SIZE_CHECK(dimensions() == quadratic.size());
        SIZE_CHECK(dimensions() == linear.size());
        SIZE_CHECK(dimensions() == labels.numberOfElements());
        
        for(std::size_t i = 0; i!= dimensions(); ++i){
            permutation[i] = i;
            diagonal(i) = quadratic.entry(i, i);
            positive[i] = labels.element(i) ? 1: 0;
        }
    }
 
    std::size_t dimensions()const{
        return quadratic.size();
    }
 
    double boxMin(std::size_t i)const{
        return positive[i] ? 0.0 : -m_Cn;
    }
    double boxMax(std::size_t i)const{
        return positive[i] ? m_Cp : 0.0;
    }
 
    /// representation of the quadratic part of the objective function
    MatrixType& quadratic;
 
    ///\brief Linear part of the problem
    RealVector linear;
 
    /// Solution candidate
    RealVector alpha;
 
    /// diagonal matrix entries
    /// The diagonal array is of fixed size and not subject to shrinking.
    RealVector diagonal;
 
    /// permutation of the variables alpha, gradient, etc.
    std::vector<std::size_t> permutation;
 
    /// exchange two variables via the permutation
    void flipCoordinates(std::size_t i, std::size_t j)
    {
        if (i == j) return;
        
        // notify the matrix cache
        quadratic.flipColumnsAndRows(i, j);
        std::swap( linear[i], linear[j]);
        std::swap( alpha[i], alpha[j]);
        std::swap( diagonal[i], diagonal[j]);
        std::swap( permutation[i], permutation[j]);
        std::swap( positive[i], positive[j]);
    }
    
    /// \brief Scales all box constraints by a constant factor and adapts the solution by scaling it by the same factor.
    void scaleBoxConstraints(double factor, double variableScalingFactor){
        bool sameFactor = factor == variableScalingFactor;
        double newCp = m_Cp*factor;
        double newCn = m_Cn*factor;
        for(std::size_t i = 0; i != dimensions();  ++i){
            if(sameFactor && alpha(i)== m_Cp)
                alpha(i) = newCp;
            else if(sameFactor && alpha(i) == -m_Cn)
                alpha(i) = -newCn;
            else
            alpha(i) *= variableScalingFactor;
        }
        m_Cp = newCp;
        m_Cn = newCn;
    }
 
private:
    ///\brief whether the label of the point is positive
    std::vector<char> positive;
 
    ///\brief Regularization constant of the positive class
    double m_Cp;
    ///\brief Regularization constant of the negative class
    double m_Cn;
};
 
enum AlphaStatus{
    AlphaFree = 0,
    AlphaLowerBound = 1,
    AlphaUpperBound = 2,
    AlphaDeactivated = 3//also:  AlphaUpperBound and AlphaLowerBound
};
 
///
/// \brief Quadratic program solver
///
/// todo: new documentation
template<class Problem, class SelectionStrategy = typename Problem::PreferedSelectionStrategy >
class QpSolver
{
public:
    QpSolver(
        Problem& problem
    ):m_problem(problem){}
 
    /// \brief Solve the quadratic program.
    ///
    /// The function iteratively refines the solution by applying the
    /// SMO (subset descent) algorithm until one of the stopping
    /// criteria is fulfilled.
    void solve(
        QpStoppingCondition& stop,
        QpSolutionProperties* prop = NULL
    ){
        double start_time = Timer::now();
        unsigned long long iter = 0;
        unsigned long long shrinkCounter = 0;
 
        SelectionStrategy workingSet;
 
        // decomposition loop
        for(;;){
            //stop if iterations exceed
            if( iter == stop.maxIterations){
                if (prop != NULL) prop->type = QpMaxIterationsReached;
                break;
            }
            //stop if the maximum running time is exceeded
            if (stop.maxSeconds < 1e100 && (iter+1) % 1000 == 0 ){
                double current_time = Timer::now();
                if (current_time - start_time > stop.maxSeconds){
                    if (prop != NULL) prop->type = QpTimeout;
                    break;
                }
            }
 
            // select a working set and check for optimality
            std::size_t i = 0, j = 0;
            double acc = workingSet(m_problem,i, j);
            if (acc < stop.minAccuracy) {
                m_problem.unshrink();
                if(m_problem.checkKKT() < stop.minAccuracy){
                    if (prop != NULL) prop->type = QpAccuracyReached;
                    break;
                }
                m_problem.shrink(stop.minAccuracy);
                workingSet(m_problem,i,j);
                workingSet.reset();
            }
 
            //update smo with the selected working set
            m_problem.updateSMO(i,j);
            
            //do a shrinking every 1000 iterations. if variables got shrink
            //notify working set selection
            if(shrinkCounter == 0 && m_problem.shrink(stop.minAccuracy)){
                shrinkCounter = std::max<std::size_t>(1000,m_problem.dimensions());
                workingSet.reset();
            }
            iter++;
            shrinkCounter--;
        }
 
        if (prop != NULL)
        {
            double finish_time = Timer::now();
            
            std::size_t i = 0, j = 0;
            prop->accuracy = workingSet(m_problem,i, j);
            prop->value = m_problem.functionValue();
            prop->iterations = iter;
            prop->seconds = finish_time - start_time;
        }
    }
 
protected:
    Problem& m_problem;
};
 
}
#endif