diff options
| -rw-r--r-- | model/ranksvmtn.cpp | 39 |
1 files changed, 26 insertions, 13 deletions
diff --git a/model/ranksvmtn.cpp b/model/ranksvmtn.cpp index 105c3fe..d6898d1 100644 --- a/model/ranksvmtn.cpp +++ b/model/ranksvmtn.cpp @@ -10,12 +10,33 @@ const int maxiter = 10; const double prec=1e-4; const double C=1; -int cg_solve(const MatrixXd &A, const VectorXd &b, VectorXd &x) +int computeHs(const MatrixXd &D,const vector<int> &A1,const vector<int> &A2,const VectorXd &pred,const double &C,const VectorXd s,VectorXd &Hs) +{ + Hs = VectorXd::Zero(s.rows()); + VectorXd Ds=D*s; + long n = A1.size(); + VectorXd Xs(n); + for (int i=0;i<n;++i) + Xs(i) = Ds(A1[i]) - Ds(A2[i]); + VectorXd ADXs = VectorXd::Zero(D.rows()); + for (int i=0;i<n;++i) + if (pred(i)>0) + { + ADXs(A1[i]) = ADXs(A1[i]) + Xs(i); + ADXs(A2[i]) = ADXs(A2[i]) - Xs(i); + } + Hs = s + (C*(D.transpose()*ADXs)); + return 0; +} + +int cg_solve(const MatrixXd &D,const vector<int> &A1,const vector<int> &A2,const VectorXd &pred, const VectorXd &b,const double &C, VectorXd &x) { double alpha,beta,r_1,r_2; int step=0; VectorXd q; - VectorXd res = b - A*x; // TODO Hessian product + VectorXd Hs; + computeHs(D,A1,A2,pred,C,x,Hs); + VectorXd res = b - Hs; VectorXd p = res; while (1) { @@ -27,8 +48,8 @@ int cg_solve(const MatrixXd &A, const VectorXd &b, VectorXd &x) beta = r_1 / r_2; p = res + p * beta; } - - q = A*p; // TODO Hessian product + computeHs(D,A1,A2,pred,C,p,Hs); + q = Hs; alpha = r_1/p.dot(q); x=x+p*alpha; res=res-q*alpha; @@ -110,16 +131,8 @@ int train_orig(int fsize, MatrixXd &D,vector<int> &A1,vector<int> &A2,VectorXd & // Generate support vector matrix sv & gradient objfunc_linear(weight,D,A1,A2,C,pred,grad,obj); step = grad*0; - MatrixXd H = MatrixXd::Identity(grad.rows(),grad.rows()); - // Compute Hessian directly - for (int i=0;i<n;++i) - if (pred(i)>0) { - VectorXd v = D.row(A1[i])-D.row(A2[i]); - H = H + C * (v * v.transpose()); - } // Solve - //cout<<obj<<endl; - cg_solve(H,grad,step); + cg_solve(D,A1,A2,pred,grad,C,step); // do line search line_search(weight,D,A1,A2,step,pred,t); |