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CMMDKernelSelectionCombOpt Class Reference

Detailed Description

Implementation of optimal kernel selection for combined kernel. This class selects a combination of baseline kernels that maximises the ratio of the MMD and its standard deviation for a combined kernel. This boils down to solve the convex program

\[ \min_\beta \{\beta^T (Q+\lambda_m) \beta \quad \text{s.t.}\quad \beta^T \eta=1, \beta\succeq 0\}, \]

where \(\eta\) is a vector whose elements are the MMDs of the baseline kernels and \(Q\) is a linear time estimate of the covariance of \(\eta\).

This only works for the CLinearTimeMMD statistic. * IMPORTANT: The kernel has to be selected on different data than the two-sample test is performed on.

The method is described in Gretton, A., Sriperumbudur, B., Sejdinovic, D., Strathmann, H., Balakrishnan, S., Pontil, M., & Fukumizu, K. (2012). Optimal kernel choice for large-scale two-sample tests. Advances in Neural Information Processing Systems.

Definition at line 42 of file MMDKernelSelectionCombOpt.h.

Inheritance diagram for CMMDKernelSelectionCombOpt:
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Public Member Functions

 CMMDKernelSelectionCombOpt ()
 
 CMMDKernelSelectionCombOpt (CKernelTwoSampleTest *mmd, float64_t lambda=10E-5)
 
virtual ~CMMDKernelSelectionCombOpt ()
 
virtual SGVector< float64_tcompute_measures ()
 
virtual const char * get_name () const
 
virtual CKernelselect_kernel ()
 
void set_estimator (CKernelTwoSampleTest *estimator)
 
CKernelTwoSampleTestget_estimator () const
 
virtual CSGObjectshallow_copy () const
 
virtual CSGObjectdeep_copy () const
 
virtual bool is_generic (EPrimitiveType *generic) const
 
template<class T >
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
void unset_generic ()
 
virtual void print_serializable (const char *prefix="")
 
virtual bool save_serializable (CSerializableFile *file, const char *prefix="")
 
virtual bool load_serializable (CSerializableFile *file, const char *prefix="")
 
void set_global_io (SGIO *io)
 
SGIOget_global_io ()
 
void set_global_parallel (Parallel *parallel)
 
Parallelget_global_parallel ()
 
void set_global_version (Version *version)
 
Versionget_global_version ()
 
SGStringList< char > get_modelsel_names ()
 
void print_modsel_params ()
 
char * get_modsel_param_descr (const char *param_name)
 
index_t get_modsel_param_index (const char *param_name)
 
void build_gradient_parameter_dictionary (CMap< TParameter *, CSGObject * > *dict)
 
virtual void update_parameter_hash ()
 
virtual bool parameter_hash_changed ()
 
virtual bool equals (CSGObject *other, float64_t accuracy=0.0, bool tolerant=false)
 
virtual CSGObjectclone ()
 

Public Attributes

SGIOio
 
Parallelparallel
 
Versionversion
 
Parameterm_parameters
 
Parameterm_model_selection_parameters
 
Parameterm_gradient_parameters
 
uint32_t m_hash
 

Protected Member Functions

virtual SGVector< float64_tsolve_optimization (SGVector< float64_t > mmds)
 
virtual void load_serializable_pre () throw (ShogunException)
 
virtual void load_serializable_post () throw (ShogunException)
 
virtual void save_serializable_pre () throw (ShogunException)
 
virtual void save_serializable_post () throw (ShogunException)
 

Static Protected Member Functions

static const float64_tget_Q_col (uint32_t i)
 
static void print_state (libqp_state_T state)
 

Protected Attributes

float64_t m_lambda
 
index_t m_opt_max_iterations
 
float64_t m_opt_epsilon
 
float64_t m_opt_low_cut
 
CKernelTwoSampleTestm_estimator
 

Static Protected Attributes

static SGMatrix< float64_tm_Q =SGMatrix<float64_t>(false)
 

Constructor & Destructor Documentation

Default constructor

Definition at line 17 of file MMDKernelSelectionCombOpt.cpp.

Constructor that initialises the underlying MMD instance

Parameters
mmdlinear time mmd MMD instance to use.
lambdaridge that is added to standard deviation, a sensible value is 10E-5 which is the default

Definition at line 23 of file MMDKernelSelectionCombOpt.cpp.

Destructor

Definition at line 37 of file MMDKernelSelectionCombOpt.cpp.

Member Function Documentation

void build_gradient_parameter_dictionary ( CMap< TParameter *, CSGObject * > *  dict)
inherited

Builds a dictionary of all parameters in SGObject as well of those of SGObjects that are parameters of this object. Dictionary maps parameters to the objects that own them.

Parameters
dictdictionary of parameters to be built.

Definition at line 597 of file SGObject.cpp.

CSGObject * clone ( )
virtualinherited

Creates a clone of the current object. This is done via recursively traversing all parameters, which corresponds to a deep copy. Calling equals on the cloned object always returns true although none of the memory of both objects overlaps.

Returns
an identical copy of the given object, which is disjoint in memory. NULL if the clone fails. Note that the returned object is SG_REF'ed

Definition at line 714 of file SGObject.cpp.

SGVector< float64_t > compute_measures ( )
virtual

Computes optimal kernel weights using the ratio of the squared MMD by its standard deviation as a criterion, where both expressions are estimated in linear time.

This boils down to solving a convex program which is quadratic in the number of kernels. See class description.

SHOGUN has to be compiled with LAPACK to make this available. See set_opt* methods for optimization parameters.

IMPORTANT: Kernel weights have to be learned on different data than is used for testing/evaluation!

Implements CMMDKernelSelection.

Definition at line 51 of file MMDKernelSelectionCombOpt.cpp.

CSGObject * deep_copy ( ) const
virtualinherited

A deep copy. All the instance variables will also be copied.

Definition at line 198 of file SGObject.cpp.

bool equals ( CSGObject other,
float64_t  accuracy = 0.0,
bool  tolerant = false 
)
virtualinherited

Recursively compares the current SGObject to another one. Compares all registered numerical parameters, recursion upon complex (SGObject) parameters. Does not compare pointers!

May be overwritten but please do with care! Should not be necessary in most cases.

Parameters
otherobject to compare with
accuracyaccuracy to use for comparison (optional)
tolerantallows linient check on float equality (within accuracy)
Returns
true if all parameters were equal, false if not

Definition at line 618 of file SGObject.cpp.

CKernelTwoSampleTest * get_estimator ( ) const
inherited
Returns
the underlying CKernelTwoSampleTest instance

Definition at line 82 of file KernelSelection.cpp.

SGIO * get_global_io ( )
inherited

get the io object

Returns
io object

Definition at line 235 of file SGObject.cpp.

Parallel * get_global_parallel ( )
inherited

get the parallel object

Returns
parallel object

Definition at line 277 of file SGObject.cpp.

Version * get_global_version ( )
inherited

get the version object

Returns
version object

Definition at line 290 of file SGObject.cpp.

SGStringList< char > get_modelsel_names ( )
inherited
Returns
vector of names of all parameters which are registered for model selection

Definition at line 498 of file SGObject.cpp.

char * get_modsel_param_descr ( const char *  param_name)
inherited

Returns description of a given parameter string, if it exists. SG_ERROR otherwise

Parameters
param_namename of the parameter
Returns
description of the parameter

Definition at line 522 of file SGObject.cpp.

index_t get_modsel_param_index ( const char *  param_name)
inherited

Returns index of model selection parameter with provided index

Parameters
param_namename of model selection parameter
Returns
index of model selection parameter with provided name, -1 if there is no such

Definition at line 535 of file SGObject.cpp.

virtual const char* get_name ( ) const
virtual
Returns
name of the SGSerializable

Implements CMMDKernelSelectionComb.

Definition at line 77 of file MMDKernelSelectionCombOpt.h.

const float64_t * get_Q_col ( uint32_t  i)
staticprotectedinherited

return pointer to i-th column of m_Q. Helper for libqp

Definition at line 63 of file MMDKernelSelectionComb.cpp.

bool is_generic ( EPrimitiveType *  generic) const
virtualinherited

If the SGSerializable is a class template then TRUE will be returned and GENERIC is set to the type of the generic.

Parameters
genericset to the type of the generic if returning TRUE
Returns
TRUE if a class template.

Definition at line 296 of file SGObject.cpp.

bool load_serializable ( CSerializableFile file,
const char *  prefix = "" 
)
virtualinherited

Load this object from file. If it will fail (returning FALSE) then this object will contain inconsistent data and should not be used!

Parameters
filewhere to load from
prefixprefix for members
param_version(optional) a parameter version different to (this is mainly for testing, better do not use)
Returns
TRUE if done, otherwise FALSE

Definition at line 369 of file SGObject.cpp.

void load_serializable_post ( )
throw (ShogunException
)
protectedvirtualinherited

Can (optionally) be overridden to post-initialize some member variables which are not PARAMETER::ADD'ed. Make sure that at first the overridden method BASE_CLASS::LOAD_SERIALIZABLE_POST is called.

Exceptions
ShogunExceptionwill be thrown if an error occurs.

Reimplemented in CKernel, CWeightedDegreePositionStringKernel, CList, CAlphabet, CLinearHMM, CGaussianKernel, CInverseMultiQuadricKernel, CCircularKernel, and CExponentialKernel.

Definition at line 426 of file SGObject.cpp.

void load_serializable_pre ( )
throw (ShogunException
)
protectedvirtualinherited

Can (optionally) be overridden to pre-initialize some member variables which are not PARAMETER::ADD'ed. Make sure that at first the overridden method BASE_CLASS::LOAD_SERIALIZABLE_PRE is called.

Exceptions
ShogunExceptionwill be thrown if an error occurs.

Reimplemented in CDynamicArray< T >, CDynamicArray< float64_t >, CDynamicArray< float32_t >, CDynamicArray< int32_t >, CDynamicArray< char >, CDynamicArray< bool >, and CDynamicObjectArray.

Definition at line 421 of file SGObject.cpp.

bool parameter_hash_changed ( )
virtualinherited
Returns
whether parameter combination has changed since last update

Definition at line 262 of file SGObject.cpp.

void print_modsel_params ( )
inherited

prints all parameter registered for model selection and their type

Definition at line 474 of file SGObject.cpp.

void print_serializable ( const char *  prefix = "")
virtualinherited

prints registered parameters out

Parameters
prefixprefix for members

Definition at line 308 of file SGObject.cpp.

void print_state ( libqp_state_T  state)
staticprotectedinherited

helper function that prints current state

Definition at line 69 of file MMDKernelSelectionComb.cpp.

bool save_serializable ( CSerializableFile file,
const char *  prefix = "" 
)
virtualinherited

Save this object to file.

Parameters
filewhere to save the object; will be closed during returning if PREFIX is an empty string.
prefixprefix for members
param_version(optional) a parameter version different to (this is mainly for testing, better do not use)
Returns
TRUE if done, otherwise FALSE

Definition at line 314 of file SGObject.cpp.

void save_serializable_post ( )
throw (ShogunException
)
protectedvirtualinherited

Can (optionally) be overridden to post-initialize some member variables which are not PARAMETER::ADD'ed. Make sure that at first the overridden method BASE_CLASS::SAVE_SERIALIZABLE_POST is called.

Exceptions
ShogunExceptionwill be thrown if an error occurs.

Reimplemented in CKernel.

Definition at line 436 of file SGObject.cpp.

void save_serializable_pre ( )
throw (ShogunException
)
protectedvirtualinherited

Can (optionally) be overridden to pre-initialize some member variables which are not PARAMETER::ADD'ed. Make sure that at first the overridden method BASE_CLASS::SAVE_SERIALIZABLE_PRE is called.

Exceptions
ShogunExceptionwill be thrown if an error occurs.

Reimplemented in CKernel, CDynamicArray< T >, CDynamicArray< float64_t >, CDynamicArray< float32_t >, CDynamicArray< int32_t >, CDynamicArray< char >, CDynamicArray< bool >, and CDynamicObjectArray.

Definition at line 431 of file SGObject.cpp.

CKernel * select_kernel ( )
virtualinherited
Returns
computes weights for the underlying kernel, sets them to it, and returns it (SG_REF'ed)
underlying kernel with weights set

Reimplemented from CMMDKernelSelection.

Definition at line 47 of file MMDKernelSelectionComb.cpp.

void set_estimator ( CKernelTwoSampleTest estimator)
inherited
Parameters
estimatorthe underlying CKernelTwoSampleTest instance

Definition at line 64 of file KernelSelection.cpp.

void set_generic ( )
inherited

Definition at line 41 of file SGObject.cpp.

void set_generic ( )
inherited

Definition at line 46 of file SGObject.cpp.

void set_generic ( )
inherited

Definition at line 51 of file SGObject.cpp.

void set_generic ( )
inherited

Definition at line 56 of file SGObject.cpp.

void set_generic ( )
inherited

Definition at line 61 of file SGObject.cpp.

void set_generic ( )
inherited

Definition at line 66 of file SGObject.cpp.

void set_generic ( )
inherited

Definition at line 71 of file SGObject.cpp.

void set_generic ( )
inherited

Definition at line 76 of file SGObject.cpp.

void set_generic ( )
inherited

Definition at line 81 of file SGObject.cpp.

void set_generic ( )
inherited

Definition at line 86 of file SGObject.cpp.

void set_generic ( )
inherited

Definition at line 91 of file SGObject.cpp.

void set_generic ( )
inherited

Definition at line 96 of file SGObject.cpp.

void set_generic ( )
inherited

Definition at line 101 of file SGObject.cpp.

void set_generic ( )
inherited

Definition at line 106 of file SGObject.cpp.

void set_generic ( )
inherited

Definition at line 111 of file SGObject.cpp.

void set_generic ( )
inherited

set generic type to T

void set_global_io ( SGIO io)
inherited

loads some specified parameters from a file with a specified version The provided parameter info has a version which is recursively mapped until the file parameter version is reached. Note that there may be possibly multiple parameters in the mapping, therefore, a set of TParameter instances is returned

Parameters
param_infoinformation of parameter
file_versionparameter version of the file, must be <= provided parameter version
filefile to load from
prefixprefix for members
Returns
new array with TParameter instances with the attached data set the io object
Parameters
ioio object to use

Definition at line 228 of file SGObject.cpp.

void set_global_parallel ( Parallel parallel)
inherited

set the parallel object

Parameters
parallelparallel object to use

Definition at line 241 of file SGObject.cpp.

void set_global_version ( Version version)
inherited

set the version object

Parameters
versionversion object to use

Definition at line 283 of file SGObject.cpp.

CSGObject * shallow_copy ( ) const
virtualinherited

A shallow copy. All the SGObject instance variables will be simply assigned and SG_REF-ed.

Reimplemented in CGaussianKernel.

Definition at line 192 of file SGObject.cpp.

SGVector< float64_t > solve_optimization ( SGVector< float64_t mmds)
protectedvirtualinherited

Solves the quadratic program

\[ \min_\beta \{\beta^T Q \beta \quad \text{s.t.}\quad \beta^T \eta=1, \beta\succeq 0\}, \]

where \(\eta\) is a given parameter and \(Q\) is the m_Q member.

Note that at least one element is assumed \(\eta\) has to be positive.

Parameters
mmdsvalues that will be put into \(\eta\). At least one element is assumed to be positive
Returns
result of optimization \(\beta\)

Definition at line 74 of file MMDKernelSelectionComb.cpp.

void unset_generic ( )
inherited

unset generic type

this has to be called in classes specializing a template class

Definition at line 303 of file SGObject.cpp.

void update_parameter_hash ( )
virtualinherited

Updates the hash of current parameter combination

Definition at line 248 of file SGObject.cpp.

Member Data Documentation

SGIO* io
inherited

io

Definition at line 387 of file SGObject.h.

CKernelTwoSampleTest* m_estimator
protectedinherited

Underlying kernel two-sample test instance

Definition at line 99 of file KernelSelection.h.

Parameter* m_gradient_parameters
inherited

parameters wrt which we can compute gradients

Definition at line 402 of file SGObject.h.

uint32_t m_hash
inherited

Hash of parameter values

Definition at line 405 of file SGObject.h.

float64_t m_lambda
protected

Ridge that is added to the diagonal of the Q matrix in the optimization problem

Definition at line 89 of file MMDKernelSelectionCombOpt.h.

Parameter* m_model_selection_parameters
inherited

model selection parameters

Definition at line 399 of file SGObject.h.

float64_t m_opt_epsilon
protectedinherited

stopping accuracy of qp solver

Definition at line 80 of file MMDKernelSelectionComb.h.

float64_t m_opt_low_cut
protectedinherited

low cut for weights, if weights are under this value, are set to zero

Definition at line 83 of file MMDKernelSelectionComb.h.

index_t m_opt_max_iterations
protectedinherited

maximum number of iterations of qp solver

Definition at line 77 of file MMDKernelSelectionComb.h.

Parameter* m_parameters
inherited

parameters

Definition at line 396 of file SGObject.h.

SGMatrix< float64_t > m_Q =SGMatrix<float64_t>(false)
staticprotectedinherited

matrix for selection of kernel weights (static because of libqp)

Definition at line 86 of file MMDKernelSelectionComb.h.

Parallel* parallel
inherited

parallel

Definition at line 390 of file SGObject.h.

Version* version
inherited

version

Definition at line 393 of file SGObject.h.


The documentation for this class was generated from the following files:

SHOGUN Machine Learning Toolbox - Documentation