def _cvxmod_minimize(self, lb, ub, **kwargs):
""" solve quadratic problem using CVXMOD interface
Keyword arguments:
lb, ub -- vectors of lower and upper bounds (potentially modified by
added tolerance)
Modified member variables:
status, solution, obj_value
Returns: nothing
"""
# shorter names
v = self.cvxmodV
A = self.cvxmodMatrix
minus_w = cvxmod.matrix(self.obj.f) # negative wildtype solution
lb = cvxmod.matrix(lb)
ub = cvxmod.matrix(ub)
if self.weights is not None:
weights = cvxmod.matrix(diag(sqrt(self.weights)))
if self.Aineq is not None:
Aineq = cvxmod.matrix(array(self.Aineq))
bineq = cvxmod.matrix(self.bineq)
if self.weights is None:
p = cvxmod.problem(cvxmod.minimize(
cvxmod.norm2(v + minus_w)), [
cvxmod.abs(A * v) < self.matrix_tol,
Aineq * v <= bineq + self.matrix_tol, v >= lb, v <= ub
])
else:
p = cvxmod.problem(
cvxmod.minimize(cvxmod.norm2(weights * (v + minus_w))), [
cvxmod.abs(A * v) < self.matrix_tol,
Aineq * v <= bineq + self.matrix_tol, v >= lb, v <= ub
])
else:
if self.weights is None:
p = cvxmod.problem(
cvxmod.minimize(cvxmod.norm2(v + minus_w)),
[cvxmod.abs(A * v) < self.matrix_tol, v >= lb, v <= ub])
else:
p = cvxmod.problem(
cvxmod.minimize(cvxmod.norm2(weights * (v + minus_w))),
[cvxmod.abs(A * v) < self.matrix_tol, v >= lb, v <= ub])
self.status = cvxToSolverStatus(p.solve())
if not v.value:
self.solution = []
else:
self.solution = array(list(v.value))
try:
self.obj_value = p.value
except cvxmod.OptvarValueError:
self.obj_value = inf
def SDPToALocate(self, RN, ToA, ToAStd):
"""
Apply SDP approximation and localization
"""
RN = cvxm.matrix(RN)
ToA = cvxm.matrix(ToA)
c = 3e08 # Speed of light
RoA = c*ToA
RoAStd = c*ToAStd
RoAStd = cvxm.matrix(RoAStd)
mtoa,ntoa=cvxm.size(RN)
Im = cvxm.eye(mtoa)
Y=cvxm.optvar('Y',mtoa+1,mtoa+1)
t=cvxm.optvar('t',ntoa,1)
prob=cvxm.problem(cvxm.minimize(cvxm.norm2(t)))
prob.constr.append(Y>=0)
prob.constr.append(Y[mtoa,mtoa]==1)
for i in range(ntoa):
X0=cvxm.matrix([[Im, -cvxm.transpose(RN[:,i])],[-RN[:,i], cvxm.transpose(RN[:,i])*RN[:,i]]])
prob.constr.append(-t[i]<(cvxm.trace(X0*Y)-RoA[i]**2)*(1/RoAStd[i]))
prob.constr.append(t[i]>(cvxm.trace(X0*Y)-RoA[i]**2)*(1/RoAStd[i]))
prob.solve()
Pval=Y.value
X_cvx=Pval[:2,-1]
return X_cvx
def solve(cols,W,penalty,par,parvalue):
P=len(cols)
N=len(cols[0])
norm=eval("norm"+penalty)
normFUN=eval("n"+penalty)
normQX=0.0
SUMDIFF=0.0
X=matrix([list(x) for x in cols],(N*P,1))
alpha=optvar("alpha",N*P)
PARAM=float(parvalue)
for i in range(N):
for j in range(i+1,N):
w=W[i][j]
q=matrix(0.0,(1,N))
q[i]=1
q[j]=-1
Qij=getQij(q,P)
SUMDIFF+= norm(Qij*alpha)*w
xidiff=[cols[k][i]-cols[k][j] for k in range(P)]
normQX += normFUN(xidiff)*w
from cvxmod.atoms import sum,square
## TDH alternate parameterization
##penalty_norm = 1.0/float(N*(N-1))
##SUMDIFF *= penalty_norm
##normQX *= penalty_norm
##error=(0.5/N)*sum(square(X-alpha))
error=0.5*sum(square(X-alpha))
problems={
"lambda":(error+PARAM*SUMDIFF,[]),
"s":(error,[SUMDIFF*(1/normQX) <= PARAM]),
}
tomin,constraint=problems[par]
p=problem(minimize(tomin),constraint)
p.solve()
return alpha
def solve(cols, W, penalty, par, parvalue):
P = len(cols)
N = len(cols[0])
norm = eval("norm" + penalty)
normFUN = eval("n" + penalty)
normQX = 0.0
SUMDIFF = 0.0
X = matrix([list(x) for x in cols], (N * P, 1))
alpha = optvar("alpha", N * P)
PARAM = float(parvalue)
for i in range(N):
for j in range(i + 1, N):
w = W[i][j]
q = matrix(0.0, (1, N))
q[i] = 1
q[j] = -1
Qij = getQij(q, P)
SUMDIFF += norm(Qij * alpha) * w
xidiff = [cols[k][i] - cols[k][j] for k in range(P)]
normQX += normFUN(xidiff) * w
from cvxmod.atoms import sum, square
## TDH alternate parameterization
##penalty_norm = 1.0/float(N*(N-1))
##SUMDIFF *= penalty_norm
##normQX *= penalty_norm
##error=(0.5/N)*sum(square(X-alpha))
error = 0.5 * sum(square(X - alpha))
problems = {
"lambda": (error + PARAM * SUMDIFF, []),
"s": (error, [SUMDIFF * (1 / normQX) <= PARAM]),
}
tomin, constraint = problems[par]
p = problem(minimize(tomin), constraint)
p.solve()
return alpha
def SDPTDoALocate(self, RN1, RN2, TDoA, TDoAStd):
"""
Apply SDP approximation and localization
"""
RN1 = cvxm.matrix(RN1)
RN2 = cvxm.matrix(RN2)
TDoA = cvxm.matrix(TDoA)
c = 3e08
RDoA = c*TDoA
RDoAStd=cvxm.matrix(c*TDoAStd)
mtdoa,ntdoa=cvxm.size(RN1)
Im = cvxm.eye(mtdoa)
Y=cvxm.optvar('Y',mtdoa+1,mtdoa+1)
t=cvxm.optvar('t',ntdoa,1)
prob=cvxm.problem(cvxm.minimize(cvxm.norm2(t)))
prob.constr.append(Y>=0)
prob.constr.append(Y[mtdoa,mtdoa]==1)
for i in range(ntdoa):
X0=cvxm.matrix([[Im, -cvxm.transpose(RN1[:,i])],[-RN1[:,i], cvxm.transpose(RN1[:,i])*RN1[:,i]]])
X1=cvxm.matrix([[Im, -cvxm.transpose(RN2[:,i])],[-RN2[:,i], cvxm.transpose(RN2[:,i])*RN2[:,i]]])
prob.constr.append(-RDoAStd[i,0]*t[i]<cvxm.trace(X0*Y)+cvxm.trace(X1*Y)-RDoA[i,0]**2)
prob.constr.append(RDoAStd[i,0]*t[i]>cvxm.trace(X0*Y)+cvxm.trace(X1*Y)-RDoA[i,0]**2)
prob.solve()
Pval=Y.value
X_cvx=Pval[:2,-1]
return X_cvx
def SDPRSSLocate(self, RN, PL0, d0, RSS, RSSnp, RSSStd, Rest):
RoA=self.getRange(RN, PL0, d0, RSS, RSSnp, RSSStd, Rest)
RN=cvxm.matrix(RN)
RSS=cvxm.matrix(RSS)
RSSnp=cvxm.matrix(RSSnp)
RSSStd=cvxm.matrix(RSSStd)
PL0=cvxm.matrix(PL0)
RoA=cvxm.matrix(RoA)
mrss,nrss=cvxm.size(RN)
Si = array([(1/d0**2)*10**((RSS[0,0]-PL0[0,0])/(5.0*RSSnp[0,0])),(1/d0**2)*10**((RSS[1,0]-PL0[1,0])/(5.0*RSSnp[1,0])),(1/d0**2)*10**((RSS[2,0]-PL0[2,0])/(5.0*RSSnp[2,0])),(1/d0**2)*10**((RSS[3,0]-PL0[3,0])/(5.0*RSSnp[3,0]))])
#Si = array([(1/d0**2)*10**(-(RSS[0,0]-PL0[0,0])/(5.0*RSSnp[0,0])),(1/d0**2)*10**(-(RSS[0,1]-PL0[1,0])/(5.0*RSSnp[0,1])),(1/d0**2)*10**(-(RSS[0,2]-PL0[2,0])/(5.0*RSSnp[0,2])),(1/d0**2)*10**(-(RSS[0,3]-PL0[3,0])/(5.0*RSSnp[0,3]))])
Im = cvxm.eye(mrss)
Y=cvxm.optvar('Y',mrss+1,mrss+1)
t=cvxm.optvar('t',nrss,1)
prob=cvxm.problem(cvxm.minimize(cvxm.norm2(t)))
prob.constr.append(Y>=0)
prob.constr.append(Y[mrss,mrss]==1)
for i in range(nrss):
X0=cvxm.matrix([[Im, -cvxm.transpose(RN[:,i])],[-RN[:,i], cvxm.transpose(RN[:,i])*RN[:,i]]])
prob.constr.append(-RSSStd[i,0]*t[i]<Si[i]*cvxm.trace(X0*Y)-1)
prob.constr.append(RSSStd[i,0]*t[i]>Si[i]*cvxm.trace(X0*Y)-1)
prob.solve()
Pval=Y.value
X_cvx=Pval[:2,-1]
return X_cvx
def _compute(self): start = datetime.datetime.now() C = self.C gamma = self.gamma Kcount = len( gamma ) (N,d) = self.data.shape X = self.data # CMF of observations X Xcmf = ( (X.reshape(N,1,d) > transpose(X.reshape(N,1,d),[1,0,2])).prod(2).sum(1,dtype=float) / N ).reshape([N,1]) # epsilon of observations X e = sqrt( (1./N) * ( Xcmf ) * (1.-Xcmf) ).reshape([N,1]) K = self._K( Xcmf.reshape(N,1,d), transpose(Xcmf.reshape(N,1,d), [1,0,2]), gamma ) xipos = cvxmod.optvar( 'xi+', N,1) xipos.pos = True xineg = cvxmod.optvar( 'xi-', N,1) xineg.pos = True alphas = list() expr = ( C*cvxmod.sum(xipos) ) + ( C*cvxmod.sum(xineg) ) ineq = 0 eq = 0 for i in range( Kcount ): alpha = cvxmod.optvar( 'alpha(%s)' % i, N,1) alpha.pos = True alphas.append( alpha ) expr += ( float(1./gamma[i]) * cvxmod.sum( alpha ) ) ineq += ( cvxopt.matrix( K[i], (N,N) ) * alpha ) eq += cvxmod.sum( alpha ) objective = cvxmod.minimize( expr ) ineq1 = ineq <= cvxopt.matrix( Xcmf + e ) + xineg ineq2 = ineq >= cvxopt.matrix( Xcmf - e ) - xipos eq1 = eq == cvxopt.matrix( 1.0 ) # Solve! p = cvxmod.problem( objective = objective, constr = [ineq1,ineq2,eq1] ) start = datetime.datetime.now() p.solve() duration = datetime.datetime.now() - start print "optimized in %ss" % (float(duration.microseconds)/1000000) self.Fl = Xcmf self.betas = [ ma.masked_less( alpha.value, 1e-4) for alpha in alphas ] print "SV's found: %s" % [ len( beta.compressed()) for beta in self.betas ]
def fit_ellipse_squared(x, y):
"""
fit ellipoid using squared loss
"""
assert len(x) == len(y)
N = len(x)
D = 5
dat = numpy.zeros((N, D))
dat[:,0] = x*x
dat[:,1] = y*y
#dat[:,2] = x*y
dat[:,2] = x
dat[:,3] = y
dat[:,4] = numpy.ones(N)
print dat.shape
dat = cvxmod.matrix(dat)
#### parameters
# data
X = cvxmod.param("X", N, D)
#### varibales
# parameter vector
theta = cvxmod.optvar("theta", D)
# simple objective
objective = cvxmod.atoms.norm2(X*theta)
# create problem
p = cvxmod.problem(cvxmod.minimize(objective))
p.constr.append(theta[0] + theta[1] == 1)
###### set values
X.value = dat
#solver = "mosek"
#p.solve(lpsolver=solver)
p.solve()
cvxmod.printval(theta)
theta_ = numpy.array(cvxmod.value(theta))
ellipse = conic_to_ellipse(theta_)
return ellipse
def compute_combinaison_safe(self,target,rcond = 0.0,regul = None):
"""
Computes the combination of base targets allowing to reproduce
'target' (or giving the best approximation), while keeping
coefficients between 0 and 1.
arguments :
- target : target to fit
- rcond : cut off on the singular values as a fraction of
the biggest one. Only base vectors corresponding
to singular values bigger than rcond*largest_singular_value
- regul : regularisation factor for least square fitting. This force
the algorithm to use fewer targets.
"""
from cvxmod import optvar,param,norm2,norm1,problem,matrix,minimize
if type(target) is str or type(target) is unicode :
target = read_target(target)
cond = self.s>= rcond*self.s[0]
u = self.u[ : , cond ]
vt = self.vt[ cond ]
s = self.s[cond]
t = target.flatten()
dim,ntargets = self.vt.shape
nvert = target.shape[0]
pt = np.dot(u.T,t.reshape(nvert*3,1))
A = param('A',value = matrix(s.reshape(dim,1)*vt))
b = param('b',value = matrix(pt))
x = optvar('x',ntargets)
if regul is None : prob = problem(minimize(norm2(A*x-b)),[x>=0.,x<=1.])
else : prob = problem(minimize(norm2(A*x-b) + regul * norm1(x)),[x>=0.,x<=1.])
prob.solve()
bs = np.array(x.value).flatten()
# Body setting files have a precision of at most 1.e-3
return bs*(bs>=1e-3)
def reconstruct_target(target_file,base_prefix,regul = None):
"""
Reconstruct the target in 'target_file' using constrained,
and optionally regularized, least square optimisation.
arguments :
target_file : file contaiing the target to fit
base_prefix : prefix for the files of the base.
"""
vlist = read_vertex_list(base_prefix+'_vertices.dat')
t = read_target(target_file,vlist)
U = load(base_prefix+"_U.npy").astype('float')
S = load(base_prefix+"_S.npy").astype('float')
V = load(base_prefix+"_V.npy").astype('float')
ntargets,dim = V.shape
nvert = len(t)
pt = dot(U.T,t.reshape(nvert*3,1))
pbase = S[:dim].reshape(dim,1)*V.T
A = param('A',value = matrix(pbase))
b = param('b',value = matrix(pt))
x = optvar('x',ntargets)
if regul is None : prob = problem(minimize(norm2(A*x-b)),[x>=0.,x<=1.])
else : prob = problem(minimize(norm2(A*x-b) + regul * norm1(x)),[x>=0.,x<=1.])
prob.solve()
targ_names_file = base_prefix+"_names.txt"
with open(targ_names_file) as f :
tnames = [line.strip() for line in f.readlines() ]
tnames.sort()
base,ext = os.path.splitext(target_file)
bs_name = base+".bs"
with open(bs_name,"w") as f :
for tn,v in zip(tnames,x.value):
if v >= 1e-3 : f.write("%s %0.3f\n"%(tn,v))
def reconstruct_target(target_file,base_prefix,regul = None):
"""
Reconstruct the target in 'target_file' using constrained,
and optionally regularized, least square optimisation.
arguments :
target_file : file contaiing the target to fit
base_prefix : prefix for the files of the base.
"""
vlist = read_vertex_list(base_prefix+'_vertices.dat')
t = read_target(target_file,vlist)
U = load(base_prefix+"_U.npy").astype('float')
S = load(base_prefix+"_S.npy").astype('float')
V = load(base_prefix+"_V.npy").astype('float')
ntargets,dim = V.shape
nvert = len(t)
pt = dot(U.T,t.reshape(nvert*3,1))
pbase = S[:dim].reshape(dim,1)*V.T
A = param('A',value = matrix(pbase))
b = param('b',value = matrix(pt))
x = optvar('x',ntargets)
if regul is None : prob = problem(minimize(norm2(A*x-b)),[x>=0.,x<=1.])
else : prob = problem(minimize(norm2(A*x-b) + regul * norm1(x)),[x>=0.,x<=1.])
prob.solve()
targ_names_file = base_prefix+"_names.txt"
with open(targ_names_file) as f :
tnames = [line.strip() for line in f.readlines() ]
tnames.sort()
base,ext = os.path.splitext(target_file)
bs_name = base+".bs"
with open(bs_name,"w") as f :
for tn,v in zip(tnames,x.value):
if v >= 1e-3 : f.write("%s %0.3f\n"%(tn,v))
def solve_rw_l1_cvxmod(A, y, iters=6):
W = speye(A.size[1])
x = optvar('x', A.size[1])
epsilon = 0.5
for i in range(iters):
last_x = matrix(x.value) if x.value else None
p = problem(minimize(norm1(W*x)), [A*x == y])
p.solve(quiet=True, cvxoptsolver='glpk')
ww = abs(x.value) + epsilon
W = diag(matrix([1/w for w in ww]))
if last_x:
err = ( (last_x - x.value).T * (last_x - x.value) )[0]
if err < 1e-4:
break
return x.value
def interior_point(X, y, lam):
"""
solve lasso using an interior point method
requires cvxmod (Jacob Mattingley and Stephen Boyd)
http://cvxmod.net/
"""
import cvxmod as cvx
n, m = X.shape
X_cvx = cvx.matrix(np.array(X))
y_cvx = cvx.matrix(np.array(y))
theta = cvx.optvar('theta', m)
p = cvx.problem(cvx.minimize(cvx.sum(cvx.atoms.power(X_cvx*theta - y_cvx, 2)) +
(2*lam)*cvx.norm1(theta)))
p.solve()
return np.array(cvx.value(theta))
def solve_rw_l1_cvxmod(A, y, iters=6):
W = speye(A.size[1])
x = optvar('x', A.size[1])
epsilon = 0.5
for i in range(iters):
last_x = matrix(x.value) if x.value else None
p = problem(minimize(norm1(W * x)), [A * x == y])
p.solve(quiet=True, cvxoptsolver='glpk')
ww = abs(x.value) + epsilon
W = diag(matrix([1 / w for w in ww]))
if last_x:
err = ((last_x - x.value).T * (last_x - x.value))[0]
if err < 1e-4:
break
return x.value
def _compute(self): start = datetime.datetime.now() gamma = self.gamma (N,d) = self.data.shape X = self.data Xcmf = ( (X.reshape(N,1,d) > transpose(X.reshape(N,1,d),[1,0,2])).prod(2).sum(1,dtype=float) / N ).reshape([N,1]) sigma = .75 / sqrt(N) K = self._K( X.reshape(N,1,d), transpose(X.reshape(N,1,d), [1,0,2]), gamma ).reshape([N,N]) #NOTE: this integral depends on K being the gaussian kernel Kint = ( (1.0/gamma)*scipy.special.ndtr( (X-X.T)/gamma ) ) alpha = cvxmod.optvar( 'alpha',N,1) alpha.pos = True pK = cvxmod.param( 'K',N,N ) pK.psd = True pK.value = cvxopt.matrix(K,(N,N) ) pKint = cvxmod.param( 'Kint',N,N ) pKint.value = cvxopt.matrix(Kint,(N,N)) #pKint.pos = True pXcmf = cvxmod.param( 'Xcmf',N,1) pXcmf.value = cvxopt.matrix(Xcmf, (N,1)) #pXcmf.pos = True objective = cvxmod.minimize( cvxmod.atoms.quadform(alpha, pK) ) eq1 = cvxmod.abs( pXcmf - ( pKint * alpha ) ) <= sigma eq2 = cvxmod.sum( alpha ) == 1.0 # Solve! p = cvxmod.problem( objective = objective, constr = [eq1, eq2] ) start = datetime.datetime.now() p.solve() duration = datetime.datetime.now() - start print "optimized in %ss" % (float(duration.microseconds)/1000000) beta = ma.masked_less( alpha.value, 1e-7 ) mask = ma.getmask( beta ) data = ma.array(X,mask=mask) self.Fl = Xcmf self.beta = beta.compressed().reshape([ 1, len(beta.compressed()) ]) self.SV = data.compressed().reshape([len(beta.compressed()),1]) print "%s SV's found" % len(self.SV)
def run_opt(feature_lists, reference_indices, alpha):
"""
run_opt( feature_lists ) -> weights
feature_lists is a list of I image_feature_sets
image_feature_sets are a list of P stacked_features
stacked_features are a list of N different feature types
reference_indices is a set of indices which will be held out as "reference"
performs the opt:
min sum_{i_r in ref_idx} sum_{i < I not in ref_idx} sum_{p < P}
w' * ||f_{i_r,p,n} - f_{i,p,n}||^2 - alpha/(P-1) * sum_{p'<p} || f_{i_r,p,n} - f_{i,p',n} ||^2
"""
I = len(feature_lists)
P = len(feature_lists[0])
N = len(feature_lists[0][0])
non_reference_indices = [i for i in range(I) if not i in reference_indices]
closeness_reward = np.zeros(N)
uniqueness_penalty = np.zeros(N)
f = feature_lists
for i_r in reference_indices:
for i in non_reference_indices:
for p in range(P):
for n in range(N):
closeness_reward[n] += feature_distance(
f[i_r][p][n], f[i][p][n])
for p_false in range(p):
uniqueness_penalty[n] += feature_distance(
f[i_r][p][n], f[i][p_false][n])
c = cvx.param('c',
value=cvx.matrix(closeness_reward -
alpha / float(P - 1) * uniqueness_penalty))
print c.value
w = cvx.optvar('w', N)
w.pos = True
w | cvx.In | cvx.norm1ball(N)
p = cvx.problem()
p.objective = cvx.minimize(cvx.tp(c) * w)
p.constr = [cvx.sum(w) == 1]
print "Running solver"
p.solve()
print "Ran!"
return np.array(w.value)
def _compute(self):
C = self.C
gamma = self.gamma
(N, d) = self.data.shape
X = self.data
Xcmf = (
(X.reshape(N, 1, d) > transpose(X.reshape(N, 1, d), [1, 0, 2])).prod(2).sum(1, dtype=float) / N
).reshape([N, 1])
sigma = 0.75 / sqrt(N)
K = self._K(X.reshape(N, 1, d), transpose(X.reshape(N, 1, d), [1, 0, 2]), gamma).reshape([N, N])
# NOTE: this integral depends on K being the gaussian kernel
Kint = (1.0 / gamma) * scipy.special.ndtr((X - X.T) / gamma)
alpha = cvxmod.optvar("alpha", N, 1)
alpha.pos = True
xi = cvxmod.optvar("xi", N, 1)
xi.pos = True
pXcmf = cvxmod.param("Xcmf", N, 1)
pXcmf.pos = True
pXcmf.value = cvxopt.matrix(Xcmf, (N, 1))
pKint = cvxmod.param("Kint", N, N)
pKint.value = cvxopt.matrix(Kint, (N, N))
objective = cvxmod.minimize(cvxmod.sum(cvxmod.atoms.power(alpha, 2)) + (C * cvxmod.sum(xi)))
eq1 = cvxmod.abs((pKint * alpha) - pXcmf) <= sigma + xi
eq2 = cvxmod.sum(alpha) == 1.0
# Solve!
p = cvxmod.problem(objective=objective, constr=[eq1, eq2])
p.solve()
beta = ma.masked_less(alpha.value, 1e-7)
mask = ma.getmask(beta)
data = ma.array(X, mask=mask)
self.beta = beta.compressed().reshape([1, len(beta.compressed())])
self.SV = data.compressed().reshape([len(beta.compressed()), 1])
print "%s SV's found" % len(self.SV)
def update(self, dt=None):
"""
"""
self.initialize_LQP()
self.get_situation()
self.compute_objectives()
self.write_tasks()
self.write_constraints()
self.solve_LQP()
M = param('M', value=matrix(self.world.mass))
N = param('N', value=matrix(self.world.nleffects))
# variables:
dgvel = optvar('dgvel', self._wndof)
tau = optvar('tau', self._wndof)
#fc = optvar('tau', self._wndof)
gvel = param('gvel', value=matrix(self.world.gvel))
taumax = param('taumax', value=matrix(array([10., 10., 10.])))
### resolution ###
cost = norm2(tau)
for task in self._tasks:
cost += 100. * task.cost(dgvel)
p = problem(minimize(cost))
p.constr.append(M * dgvel + N * gvel == tau)
p.constr.append(-taumax <= tau)
p.constr.append(tau <= taumax)
p.solve(True)
tau = array(tau.value).reshape(self._wndof)
self._rec_tau.append(tau)
gforce = tau
impedance = zeros((self._wndof, self._wndof))
return (gforce, impedance)
def run_opt( feature_lists, reference_indices, alpha ):
"""
run_opt( feature_lists ) -> weights
feature_lists is a list of I image_feature_sets
image_feature_sets are a list of P stacked_features
stacked_features are a list of N different feature types
reference_indices is a set of indices which will be held out as "reference"
performs the opt:
min sum_{i_r in ref_idx} sum_{i < I not in ref_idx} sum_{p < P}
w' * ||f_{i_r,p,n} - f_{i,p,n}||^2 - alpha/(P-1) * sum_{p'<p} || f_{i_r,p,n} - f_{i,p',n} ||^2
"""
I = len( feature_lists )
P = len( feature_lists[0] )
N = len( feature_lists[0][0] )
non_reference_indices = [i for i in range(I) if not i in reference_indices]
closeness_reward = np.zeros( N )
uniqueness_penalty = np.zeros( N )
f = feature_lists
for i_r in reference_indices:
for i in non_reference_indices:
for p in range(P):
for n in range(N):
closeness_reward[ n ] += feature_distance( f[i_r][p][n], f[i][p][n] )
for p_false in range(p):
uniqueness_penalty[ n ] += feature_distance( f[i_r][p][n], f[i][p_false][n] )
c = cvx.param('c', value = cvx.matrix( closeness_reward - alpha / float(P-1) * uniqueness_penalty ) )
print c.value
w = cvx.optvar('w', N )
w.pos = True
w | cvx.In | cvx.norm1ball(N)
p = cvx.problem()
p.objective = cvx.minimize( cvx.tp(c) * w )
p.constr = [ cvx.sum(w) == 1]
print "Running solver"
p.solve()
print "Ran!"
return np.array( w.value )
def update(self, dt=None):
"""
"""
self.initialize_LQP()
self.get_situation()
self.compute_objectives()
self.write_tasks()
self.write_constraints()
self.solve_LQP()
M = param("M", value=matrix(self.world.mass))
N = param("N", value=matrix(self.world.nleffects))
# variables:
dgvel = optvar("dgvel", self._wndof)
tau = optvar("tau", self._wndof)
# fc = optvar('tau', self._wndof)
gvel = param("gvel", value=matrix(self.world.gvel))
taumax = param("taumax", value=matrix(array([10.0, 10.0, 10.0])))
### resolution ###
cost = norm2(tau)
for task in self._tasks:
cost += 100.0 * task.cost(dgvel)
p = problem(minimize(cost))
p.constr.append(M * dgvel + N * gvel == tau)
p.constr.append(-taumax <= tau)
p.constr.append(tau <= taumax)
p.solve(True)
tau = array(tau.value).reshape(self._wndof)
self._rec_tau.append(tau)
gforce = tau
impedance = zeros((self._wndof, self._wndof))
return (gforce, impedance)
def fit(self, data):
dat = phi_of_x(data)
N = dat.shape[0]
D = dat.shape[1]
dat = cvxmod.matrix(dat)
#### parameters
# data
X = cvxmod.param("X", N, D)
#### varibales
# parameter vector
theta = cvxmod.optvar("theta", D)
# simple objective
objective = cvxmod.atoms.norm2(X*theta)
# create problem
p = cvxmod.problem(cvxmod.minimize(objective))
p.constr.append(theta[0] + theta[1] == 1)
###### set values
X.value = dat
p.solve()
cvxmod.printval(theta)
theta_ = numpy.array(cvxmod.value(theta))
#ellipse = conic_to_ellipse(theta_)
#return ellipse
return theta_
def fit_ellipse_stack_squared(dx, dy, dz, di):
"""
fit ellipoid using squared loss
idea to learn all stacks together including smoothness
"""
# sanity check
assert len(dx) == len(dy)
assert len(dx) == len(dz)
assert len(dx) == len(di)
# unique zs
dat = defaultdict(list)
# resort data
for idx in range(len(dx)):
dat[dz[idx]].append( [dx[idx], dy[idx], di[idx]] )
# init ret
ellipse_stack = []
for idx in range(max(dz)):
ellipse_stack.append(Ellipse(0, 0, idx, 1, 1, 0))
total_N = len(dx)
M = len(dat.keys())
D = 5
X_matrix = []
thetas = []
for z in dat.keys():
x = numpy.array(dat[z])[:,0]
y = numpy.array(dat[z])[:,1]
# intensities
i = numpy.array(dat[z])[:,2]
# log intensities
i = numpy.log(i)
# create matrix
ity = numpy.diag(i)
# dimensionality
N = len(x)
d = numpy.zeros((N, D))
d[:,0] = x*x
d[:,1] = y*y
#d[:,2] = x*y
d[:,2] = x
d[:,3] = y
d[:,4] = numpy.ones(N)
#d[:,0] = x*x
#d[:,1] = y*y
#d[:,2] = x*y
#d[:,3] = x
#d[:,4] = y
#d[:,5] = numpy.ones(N)
# consider intensities
old_shape = d.shape
d = numpy.dot(ity, d)
assert d.shape == old_shape
print d.shape
d = cvxmod.matrix(d)
#### parameters
# da
X = cvxmod.param("X" + str(z), N, D)
X.value = d
X_matrix.append(X)
#### varibales
# parameter vector
theta = cvxmod.optvar("theta" + str(z), D)
thetas.append(theta)
# contruct objective
objective = 0
for (i,X) in enumerate(X_matrix):
#TODO try abs loss here!
objective += cvxmod.sum(cvxmod.atoms.square(X*thetas[i]))
#objective += cvxmod.sum(cvxmod.atoms.abs(X*thetas[i]))
# add smoothness regularization
reg_const = float(total_N) / float(M-1)
for i in xrange(M-1):
objective += reg_const * cvxmod.sum(cvxmod.atoms.square(thetas[i] - thetas[i+1]))
print objective
# create problem
p = cvxmod.problem(cvxmod.minimize(objective))
# add constraints
for i in xrange(M):
p.constr.append(thetas[i][0] + thetas[i][1] == 1)
###### set values
p.solve()
# wrap up result
ellipse_stack = {}
active_layers = dat.keys()
assert len(active_layers) == M
for i in xrange(M):
theta_ = numpy.array(cvxmod.value(thetas[i]))
z_layer = active_layers[i]
ellipse_stack[z_layer] = conic_to_ellipse(theta_)
ellipse_stack[z_layer].cz = z_layer
return ellipse_stack
def fit_ellipse_stack_abs(dx, dy, dz, di):
"""
fit ellipoid using squared loss
idea to learn all stacks together including smoothness
"""
# sanity check
assert len(dx) == len(dy)
assert len(dx) == len(dz)
assert len(dx) == len(di)
# unique zs
dat = defaultdict(list)
# resort data
for idx in range(len(dx)):
dat[dz[idx]].append( [dx[idx], dy[idx], di[idx]] )
# init ret
ellipse_stack = []
for idx in range(max(dz)):
ellipse_stack.append(Ellipse(0, 0, idx, 1, 1, 0))
total_N = len(dx)
M = len(dat.keys())
D = 5
X_matrix = []
thetas = []
slacks = []
eps_slacks = []
mean_di = float(numpy.mean(di))
for z in dat.keys():
x = numpy.array(dat[z])[:,0]
y = numpy.array(dat[z])[:,1]
# intensities
i = numpy.array(dat[z])[:,2]
# log intensities
i = numpy.log(i)
# create matrix
ity = numpy.diag(i)# / mean_di
# dimensionality
N = len(x)
d = numpy.zeros((N, D))
d[:,0] = x*x
d[:,1] = y*y
#d[:,2] = x*y
d[:,2] = x
d[:,3] = y
d[:,4] = numpy.ones(N)
#d[:,0] = x*x
#d[:,1] = y*y
#d[:,2] = x*y
#d[:,3] = x
#d[:,4] = y
#d[:,5] = numpy.ones(N)
print "old", d
# consider intensities
old_shape = d.shape
d = numpy.dot(ity, d)
print "new", d
assert d.shape == old_shape
print d.shape
d = cvxmod.matrix(d)
#### parameters
# da
X = cvxmod.param("X" + str(z), N, D)
X.value = d
X_matrix.append(X)
#### varibales
# parameter vector
theta = cvxmod.optvar("theta" + str(z), D)
thetas.append(theta)
# construct obj
objective = 0
# loss term
for i in xrange(M):
objective += cvxmod.atoms.norm1(X_matrix[i] * thetas[i])
# add smoothness regularization
reg_const = 5 * float(total_N) / float(M-1)
for i in xrange(M-1):
objective += reg_const * cvxmod.norm1(thetas[i] - thetas[i+1])
# create problem
prob = cvxmod.problem(cvxmod.minimize(objective))
# add constraints
"""
for (i,X) in enumerate(X_matrix):
p.constr.append(X*thetas[i] <= slacks[i])
p.constr.append(-X*thetas[i] <= slacks[i])
#eps = 0.5
#p.constr.append(slacks[i] - eps <= eps_slacks[i])
#p.constr.append(0 <= eps_slacks[i])
"""
# add non-degeneracy constraints
for i in xrange(1, M-1):
prob.constr.append(thetas[i][0] + thetas[i][1] == 1.0) # A + C = 1
# pinch ends
prob.constr.append(cvxmod.sum(thetas[0]) >= -0.01)
prob.constr.append(cvxmod.sum(thetas[-1]) >= -0.01)
print prob
###### set values
from cvxopt import solvers
solvers.options['reltol'] = 1e-1
solvers.options['abstol'] = 1e-1
print solvers.options
prob.solve()
# wrap up result
ellipse_stack = {}
active_layers = dat.keys()
assert len(active_layers) == M
# reconstruct original parameterization
for i in xrange(M):
theta_ = numpy.array(cvxmod.value(thetas[i]))
z_layer = active_layers[i]
ellipse_stack[z_layer] = conic_to_ellipse(theta_)
ellipse_stack[z_layer].cz = z_layer
return ellipse_stack
def Main():
options, _ = MakeOpts().parse_args(sys.argv)
assert options.genes_filename
assert options.protein_levels_a and options.protein_levels_b
print 'Reading genes list from', options.genes_filename
gene_ids = util.ReadProteinIDs(options.genes_filename)
print 'Reading protein data A from', options.protein_levels_a
gene_counts_a = util.ReadProteinCounts(options.protein_levels_a)
print 'Reading protein data B from', options.protein_levels_b
gene_counts_b = util.ReadProteinCounts(options.protein_levels_b)
my_counts_a = dict(
(id, (count, name))
for id, name, count in util.ExtractCounts(gene_counts_a, gene_ids))
my_counts_b = dict(
(id, (count, name))
for id, name, count in util.ExtractCounts(gene_counts_b, gene_ids))
overlap_ids = set(my_counts_a.keys()).intersection(my_counts_b.keys())
x = pylab.matrix([my_counts_a[id][0] for id in overlap_ids])
y = pylab.matrix([my_counts_b[id][0] for id in overlap_ids])
labels = [my_counts_b[id][1] for id in overlap_ids]
xlog = pylab.log10(x)
ylog = pylab.log10(y)
a = cvxmod.optvar('a', 1)
mx = cvxmod.matrix(xlog.T)
my = cvxmod.matrix(ylog.T)
p = cvxmod.problem(cvxmod.minimize(cvxmod.norm2(my - a - mx)))
p.solve(quiet=True)
offset = cvxmod.value(a)
lin_factor = 10**offset
lin_label = 'Y = %.2g*X' % lin_factor
log_label = 'log10(Y) = %.2g + log10(X)' % offset
f1 = pylab.figure(0)
pylab.title('Linear scale')
xylim = max([x.max(), y.max()]) + 5000
linxs = pylab.arange(0.0, xylim, 0.1)
linys = linxs * lin_factor
pylab.plot(x.tolist()[0], y.tolist()[0], 'g.', label='Protein Data')
pylab.plot(linxs, linys, 'b-', label=lin_label)
for x_val, y_val, label in zip(x.tolist()[0], y.tolist()[0], labels):
pylab.text(x_val, y_val, label, fontsize=8)
pylab.xlabel(options.a_label)
pylab.ylabel(options.b_label)
pylab.legend()
pylab.xlim((0.0, xylim))
pylab.ylim((0.0, xylim))
f2 = pylab.figure(1)
pylab.title('Log10 scale')
xylim = max([xlog.max(), ylog.max()]) + 1.0
pylab.plot(xlog.tolist()[0],
ylog.tolist()[0],
'g.',
label='Log10 Protein Data')
linxs = pylab.arange(0.0, xylim, 0.1)
linys = linxs + offset
pylab.plot(linxs, linys, 'b-', label=log_label)
for x_val, y_val, label in zip(xlog.tolist()[0], ylog.tolist()[0], labels):
pylab.text(x_val, y_val, label, fontsize=8)
pylab.xlabel(options.a_label + ' (log10)')
pylab.ylabel(options.b_label + ' (log10)')
pylab.legend()
pylab.xlim((0.0, xylim))
pylab.ylim((0.0, xylim))
pylab.show()
def Main():
options, _ = MakeOpts().parse_args(sys.argv)
assert options.genes_filename
assert options.protein_levels_a and options.protein_levels_b
print 'Reading genes list from', options.genes_filename
gene_ids = util.ReadProteinIDs(options.genes_filename)
print 'Reading protein data A from', options.protein_levels_a
gene_counts_a = util.ReadProteinCounts(options.protein_levels_a)
print 'Reading protein data B from', options.protein_levels_b
gene_counts_b = util.ReadProteinCounts(options.protein_levels_b)
my_counts_a = dict((id, (count, name)) for id, name, count in
util.ExtractCounts(gene_counts_a, gene_ids))
my_counts_b = dict((id, (count, name)) for id, name, count in
util.ExtractCounts(gene_counts_b, gene_ids))
overlap_ids = set(my_counts_a.keys()).intersection(my_counts_b.keys())
x = pylab.matrix([my_counts_a[id][0] for id in overlap_ids])
y = pylab.matrix([my_counts_b[id][0] for id in overlap_ids])
labels = [my_counts_b[id][1] for id in overlap_ids]
xlog = pylab.log10(x)
ylog = pylab.log10(y)
a = cvxmod.optvar('a', 1)
mx = cvxmod.matrix(xlog.T)
my = cvxmod.matrix(ylog.T)
p = cvxmod.problem(cvxmod.minimize(cvxmod.norm2(my - a - mx)))
p.solve(quiet=True)
offset = cvxmod.value(a)
lin_factor = 10**offset
lin_label = 'Y = %.2g*X' % lin_factor
log_label = 'log10(Y) = %.2g + log10(X)' % offset
f1 = pylab.figure(0)
pylab.title('Linear scale')
xylim = max([x.max(), y.max()]) + 5000
linxs = pylab.arange(0.0, xylim, 0.1)
linys = linxs * lin_factor
pylab.plot(x.tolist()[0], y.tolist()[0], 'g.', label='Protein Data')
pylab.plot(linxs, linys, 'b-', label=lin_label)
for x_val, y_val, label in zip(x.tolist()[0], y.tolist()[0], labels):
pylab.text(x_val, y_val, label, fontsize=8)
pylab.xlabel(options.a_label)
pylab.ylabel(options.b_label)
pylab.legend()
pylab.xlim((0.0, xylim))
pylab.ylim((0.0, xylim))
f2 = pylab.figure(1)
pylab.title('Log10 scale')
xylim = max([xlog.max(), ylog.max()]) + 1.0
pylab.plot(xlog.tolist()[0], ylog.tolist()[0], 'g.', label='Log10 Protein Data')
linxs = pylab.arange(0.0, xylim, 0.1)
linys = linxs + offset
pylab.plot(linxs, linys, 'b-', label=log_label)
for x_val, y_val, label in zip(xlog.tolist()[0], ylog.tolist()[0], labels):
pylab.text(x_val, y_val, label, fontsize=8)
pylab.xlabel(options.a_label + ' (log10)')
pylab.ylabel(options.b_label + ' (log10)')
pylab.legend()
pylab.xlim((0.0, xylim))
pylab.ylim((0.0, xylim))
pylab.show()
def fit_ellipse_linear(x, y):
"""
fit ellipse stack using absolute loss
"""
x = numpy.array(x)
y = numpy.array(y)
print "shapes", x.shape, y.shape
assert len(x) == len(y)
N = len(x)
D = 6
dat = numpy.zeros((N, D))
dat[:,0] = x*x
dat[:,1] = y*y
dat[:,2] = y*x
dat[:,3] = x
dat[:,4] = y
dat[:,5] = numpy.ones(N)
print dat.shape
dat = cvxmod.matrix(dat)
# norm
norm = numpy.zeros((N,N))
for i in range(N):
norm[i,i] = numpy.sqrt(numpy.dot(dat[i], numpy.transpose(dat[i])))
norm = cvxmod.matrix(norm)
#### parameters
# data
X = cvxmod.param("X", N, D)
Q_grad = cvxmod.param("Q_grad", N, N)
#### varibales
# parameter vector
theta = cvxmod.optvar("theta", D)
# dim = (N x 1)
s = cvxmod.optvar("s", N)
# simple objective
objective = cvxmod.sum(s)
# create problem
p = cvxmod.problem(cvxmod.minimize(objective))
# add constraints
# (N x D) * (D X 1) = (N x N) * (N X 1)
p.constr.append(X*theta <= Q_grad*s)
p.constr.append(-X*theta <= Q_grad*s)
#p.constr.append(theta[4] == 1)
# trace constraint
p.constr.append(theta[0] + theta[1] == 1)
###### set values
X.value = dat
Q_grad.value = norm
#solver = "mosek"
#p.solve(lpsolver=solver)
p.solve()
cvxmod.printval(theta)
theta_ = numpy.array(cvxmod.value(theta))
ellipse = conic_to_ellipse(theta_)
return ellipse
def solve_boosting(out, labels, nu, solver):
'''
solve boosting formulation used by gelher and novozin
@param out: matrix (N,F) of predictions (for each f_i) for all examples
@param y: vector (N,1) label for each example
@param p: regularization constant
'''
N = out.size[0]
F = out.size[1]
assert(N==len(labels))
norm_fact = 1.0 / (nu * float(N))
print norm_fact
label_matrix = cvxmod.zeros((N,N))
# avoid point-wise product
for i in xrange(N):
label_matrix[i,i] = labels[i]
#### parameters
f = cvxmod.param("f", N, F)
y = cvxmod.param("y", N, N, symm=True)
norm = cvxmod.param("norm", 1)
#### varibales
# rho
rho = cvxmod.optvar("rho", 1)
# dim = (N x 1)
chi = cvxmod.optvar("chi", N)
# dim = (F x 1)
beta = cvxmod.optvar("beta", F)
#objective = -rho + cvxmod.sum(chi) * norm_fact + square(norm2(beta))
objective = -rho + cvxmod.sum(chi) * norm_fact
print objective
# create problem
p = cvxmod.problem(cvxmod.minimize(objective))
# create contraint for probability simplex
#p.constr.append(beta |cvxmod.In| probsimp(F))
p.constr.append(cvxmod.sum(beta)==1.0)
#p.constr.append(square(norm2(beta)) <= 1.0)
p.constr.append(beta >= 0.0)
# y f beta y f*beta y*f*beta
# (N x N) (N x F) (F x 1) --> (N x N) (N x 1) --> (N x 1)
p.constr.append(y * (f * beta) + chi >= rho)
###### set values
f.value = out
y.value = label_matrix
norm.value = norm_fact
p.solve(lpsolver=solver)
weights = numpy.array(cvxmod.value(beta))
#print weights
cvxmod.printval(chi)
cvxmod.printval(beta)
cvxmod.printval(rho)
return p
def initialize_LQP(self):
self._Fopti = 0.
self._p = problem(minimize(self._Fopti))
def get_energy_per_quanto_state_all(self, baseFileName, convexOpt=False):
"""This function evaluates the .pwr file and calculates the individual
power consumption per state for every node. It then sets the variable
statePower on every node to a dictionary, where the keys are the
string representation of the state, and the value is the average power
consumption for that state.
This function expects a very specific .pwr file, where one line starts
with "#states:". This line encodes all the states that are considered
by quanto.
"""
for n in self.nodes:
f = open("%s.%s.log.pwr"%(baseFileName, n.ip), "r")
X = []
Y = []
W = []
totalTime = 0
totalEnergy = 0
states = []
maxEntries = 0
for line in f:
l = line.strip().split()
if len(l) > 0 and l[0] == "#states:":
# this line encodes the names of all the states.
states = l[1:]
continue
if len(states) == 0 or len(l) != len(states)+3:
# +2 comes from the icount and time field
continue
#time is in uS, convert it to seconds
time = float(l[-3])/1e6
icount = int(l[-2])
occurences = int(l[-1])
# cut away the time and icount values
l = l[0:-3]
activeStates = []
for s in l:
if s == '-':
s = '0'
#continue
activeStates.append(int(s))
# add the constant power state
activeStates.append(1)
if len(activeStates) > maxEntries:
maxEntries = len(activeStates)
if time <= 0 or icount <= 0:
# FIXME: this is a wrong line at the end of the quanto files. I
# don't know why this happens!!!
continue
E = n.get_power(icount, time)
if E == -1:
raise CalibrationError, "Node with IP %s is not calibrated! \
Did you forget to load the calibration file?"%(n.ip,)
if E < 0:
raise CalibrationError, "Node with IP %s returned a \
negative Energy value %f for icount %d, time %f!"%(n.ip, E, icount, time)
continue
X.append(activeStates)
Y.append(E)
W.append(numpy.sqrt(E*time))
totalTime += time
totalEnergy += E*time
# filter out the incomplete datasets
Xnew = []
Ynew = []
Wnew = []
for i in range(len(Y)):
if len(X[i]) == maxEntries:
Xnew.append(X[i])
Ynew.append(Y[i])
Wnew.append(W[i])
X = numpy.matrix(Xnew)
Y = numpy.matrix(Ynew)
W = numpy.matrix(numpy.diag(Wnew))
# filter states with all 0's
states.append('const')
deletedLines = 0
deletedStates = []
alwaysOnStates = []
# iterate through all the states, except the 'const' state
for i in range(len(states)-1):
correctedI = i - deletedLines
if numpy.sum(X.T[correctedI]) == 0:
deletedStates.append(states[correctedI])
X = numpy.delete(X, numpy.s_[correctedI:correctedI+1], axis=1)
states = numpy.delete(states, correctedI)
deletedLines += 1
elif numpy.sum(X.T[correctedI]) == len(X):
# this state is always active. W have to remove them and
# put them into the "const" category!
alwaysOnStates.append(states[correctedI])
X = numpy.delete(X, numpy.s_[correctedI:correctedI+1], axis=1)
states = numpy.delete(states, correctedI)
deletedLines += 1
# search for linear dependent lines
#for i in range(len(X)):
# #print X[i]
# for j in range(i+1, len(X)):
# #if numpy.sum(X[i]) == numpy.sum(X[j]):
# # print X[i], X[j]
# equal = True
# for m in range(X[i].shape[1]):
# if X[i,m] != X[j,m]:
# equal = False
# break
# if equal:
# print X[i], X[j]
# maxEntries includes the const state, which is not in the states
# variable yet
#states = states[:maxEntries - 1]
#xtwx = X.T*X
#for i in range(len(xtwx)):
# print xtwx[i]
#print states
#(x, resids, rank, s) = numpy.linalg.lstsq(W*X, W*Y.T)
#(x, resids, rank, s) = numpy.linalg.lstsq(X, Y.T)
if cvxAvailable and convexOpt:
A = cvxmod.matrix(W*X)
b = cvxmod.matrix(W*Y.T)
x = cvxmod.optvar('x', cvxmod.size(A)[1])
print A
print b
p = cvxmod.problem(cvxmod.minimize(norm2(A*x - b)), [x >= 0])
#p.constr.append(x |In| probsimp(5))
p.solve()
print "Optimal problem value is %.4f." % p.value
cvxmod.printval(x)
x = x.value
else:
try:
x = numpy.linalg.inv(X.T*W*X)*X.T*W*Y.T
except numpy.linalg.LinAlgError, e:
sys.stderr.write("State Matrix X for node with IP %s is singular. We did not \
collect enough energy and state information. Please run the application for \
longer!\n"%(n.ip,))
sys.stderr.write(repr(e))
sys.stderr.write("\n")
sys.stderr.flush()
n.statePower = {}
n.alwaysOffStates = []
n.alwaysOnStates = []
continue
n.statePower = {}
for i in range(len(states)):
# the entries in x are matrices. convert them back into a
# number
n.statePower[states[i]] = float(x[i])
n.alwaysOffStates = deletedStates
n.alwaysOnStates = alwaysOnStates
n.averagePower = totalEnergy / totalTime
def initialize_LQP(self):
self._Fopti = 0.0
self._p = problem(minimize(self._Fopti))
def solve_boosting(out, labels, nu, solver):
'''
solve boosting formulation used by gelher and novozin
@param out: matrix (N,F) of predictions (for each f_i) for all examples
@param y: vector (N,1) label for each example
@param p: regularization constant
'''
N = out.size[0]
F = out.size[1]
assert(N==len(labels))
norm_fact = 1.0 / (nu * float(N))
print norm_fact
label_matrix = cvxmod.zeros((N,N))
# avoid point-wise product
for i in xrange(N):
label_matrix[i,i] = labels[i]
#### parameters
f = cvxmod.param("f", N, F)
y = cvxmod.param("y", N, N, symm=True)
norm = cvxmod.param("norm", 1)
#### varibales
# rho
rho = cvxmod.optvar("rho", 1)
# dim = (N x 1)
chi = cvxmod.optvar("chi", N)
# dim = (F x 1)
beta = cvxmod.optvar("beta", F)
#objective = -rho + cvxmod.sum(chi) * norm_fact + square(norm2(beta))
objective = -rho + cvxmod.sum(chi) * norm_fact
print objective
# create problem
p = cvxmod.problem(cvxmod.minimize(objective))
# create contraint for probability simplex
#p.constr.append(beta |cvxmod.In| probsimp(F))
p.constr.append(cvxmod.sum(beta)==1.0)
#p.constr.append(square(norm2(beta)) <= 1.0)
p.constr.append(beta >= 0.0)
# y f beta y f*beta y*f*beta
# (N x N) (N x F) (F x 1) --> (N x N) (N x 1) --> (N x 1)
p.constr.append(y * (f * beta) + chi >= rho)
###### set values
f.value = out
y.value = label_matrix
norm.value = norm_fact
p.solve(lpsolver=solver)
weights = numpy.array(cvxmod.value(beta))
#print weights
cvxmod.printval(chi)
cvxmod.printval(beta)
cvxmod.printval(rho)
return p
def solve_plain_l1_cvxmod(A, y):
x = optvar('x', A.size[1])
p = problem(minimize(norm1(x)), [A*x == y])
p.solve(quiet=True, solver='glpk')
return x.value
def fit_ellipse_eps_insensitive(x, y):
"""
fit ellipse using epsilon-insensitive loss
"""
x = numpy.array(x)
y = numpy.array(y)
print "shapes", x.shape, y.shape
assert len(x) == len(y)
N = len(x)
D = 5
dat = numpy.zeros((N, D))
dat[:,0] = x*x
dat[:,1] = y*y
#dat[:,2] = y*x
dat[:,2] = x
dat[:,3] = y
dat[:,4] = numpy.ones(N)
print dat.shape
dat = cvxmod.matrix(dat)
#### parameters
# data
X = cvxmod.param("X", N, D)
# parameter for eps-insensitive loss
eps = cvxmod.param("eps", 1)
#### varibales
# parameter vector
theta = cvxmod.optvar("theta", D)
# dim = (N x 1)
s = cvxmod.optvar("s", N)
t = cvxmod.optvar("t", N)
# simple objective
objective = cvxmod.sum(t)
# create problem
p = cvxmod.problem(cvxmod.minimize(objective))
# add constraints
# (N x D) * (D X 1) = (N X 1)
p.constr.append(X*theta <= s)
p.constr.append(-X*theta <= s)
p.constr.append(s - eps <= t)
p.constr.append(0 <= t)
#p.constr.append(theta[4] == 1)
# trace constraint
p.constr.append(theta[0] + theta[1] == 1)
###### set values
X.value = dat
eps.value = 0.0
#solver = "mosek"
#p.solve(lpsolver=solver)
p.solve()
cvxmod.printval(theta)
theta_ = numpy.array(cvxmod.value(theta))
ellipse = conic_to_ellipse(theta_)
return ellipse
def solve_plain_l1_cvxmod(A, y):
x = optvar('x', A.size[1])
p = problem(minimize(norm1(x)), [A * x == y])
p.solve(quiet=True, solver='glpk')
return x.value
def solve_svm(out, labels, nu, solver):
'''
solve boosting formulation used by gelher and nowozin
@param out: matrix (N,F) of predictions (for each f_i) for all examples
@param labels: vector (N,1) label for each example
@param nu: regularization constant
@param solver: which solver to use. options: 'mosek', 'glpk'
'''
# get dimension
N = out.size[0]
F = out.size[1]
assert N == len(labels), str(N) + " " + str(len(labels))
norm_fact = 1.0 / (nu * float(N))
print "normalization factor %f" % (norm_fact)
# avoid point-wise product
label_matrix = cvxmod.zeros((N, N))
for i in xrange(N):
label_matrix[i, i] = labels[i]
#### parameters
f = cvxmod.param("f", N, F)
y = cvxmod.param("y", N, N, symm=True)
norm = cvxmod.param("norm", 1)
#### varibales
# rho
rho = cvxmod.optvar("rho", 1)
# dim = (N x 1)
chi = cvxmod.optvar("chi", N)
# dim = (F x 1)
beta = cvxmod.optvar("beta", F)
#objective = -rho + cvxmod.sum(chi) * norm_fact + square(norm2(beta))
objective = -rho + cvxmod.sum(chi) * norm_fact
print objective
# create problem
p = cvxmod.problem(cvxmod.minimize(objective))
# create contraints for probability simplex
#p.constr.append(beta |cvxmod.In| probsimp(F))
p.constr.append(cvxmod.sum(beta) == 1.0)
p.constr.append(beta >= 0.0)
p.constr.append(chi >= 0.0)
# attempt to perform non-sparse boosting
#p.constr.append(square(norm2(beta)) <= 1.0)
# y f beta y f*beta y*f*beta
# (N x N) (N x F) (F x 1) --> (N x N) (N x 1) --> (N x 1)
p.constr.append(y * (f * beta) + chi >= rho)
# set values for parameters
f.value = out
y.value = label_matrix
norm.value = norm_fact
print "solving problem"
print "============================================="
print p
print "============================================="
# start solver
p.solve(lpsolver=solver)
# print variables
cvxmod.printval(chi)
cvxmod.printval(beta)
cvxmod.printval(rho)
return numpy.array(cvxmod.value(beta))