def cholesky(A, sparse=True, verbose=True):
"""
Choose the best possible cholesky factorizor.
if possible, import the Scikit-Sparse sparse Cholesky method.
Permutes the output L to ensure A = L.H . L
otherwise defaults to numpy's non-sparse version
Parameters
----------
A : array-like
array to decompose
sparse : boolean, default: True
whether to return a sparse array
verbose : bool, default: True
whether to print warnings
"""
if SKSPIMPORT:
A = sp.sparse.csc_matrix(A)
try:
F = spcholesky(A)
# permutation matrix P
P = sp.sparse.lil_matrix(A.shape)
p = F.P()
P[np.arange(len(p)), p] = 1
# permute
L = F.L()
L = P.T.dot(L)
except CholmodNotPositiveDefiniteError as e:
raise NotPositiveDefiniteError('Matrix is not positive definite')
if sparse:
return L.T # upper triangular factorization
return L.T.A # upper triangular factorization
else:
msg = 'Could not import Scikit-Sparse or Suite-Sparse.\n'\
'This will slow down optimization for models with '\
'monotonicity/convexity penalties and many splines.\n'\
'See installation instructions for installing '\
'Scikit-Sparse and Suite-Sparse via Conda.'
if verbose:
warnings.warn(msg)
if sp.sparse.issparse(A):
A = A.A
try:
L = sp.linalg.cholesky(A, lower=False)
except LinAlgError as e:
raise NotPositiveDefiniteError('Matrix is not positive definite')
if sparse:
return sp.sparse.csc_matrix(L)
return L
def cholesky(A, sparse=True):
"""
Choose the best possible cholesky factorizor.
if possible, import the Scikit-Sparse sparse Cholesky method.
Permutes the output L to ensure A = L . L.H
otherwise defaults to numpy's non-sparse version
Parameters
----------
A : array-like
array to decompose
sparse : boolean, default: True
whether to return a sparse array
"""
if SKSPIMPORT:
A = sp.sparse.csc_matrix(A)
F = spcholesky(A)
# permutation matrix P
P = sp.sparse.lil_matrix(A.shape)
p = F.P()
P[np.arange(len(p)), p] = 1
# permute
try:
L = F.L()
L = P.T.dot(L)
except CholmodNotPositiveDefiniteError as e:
raise NotPositiveDefiniteError('Matrix is not positive definite')
if sparse:
return L
return L.todense()
else:
msg = 'Could not import Scikit-Sparse or Suite-Sparse.\n'\
'This will slow down optimization for models with '\
'monotonicity/convexity penalties and many splines.\n'\
'See installation instructions for installing '\
'Scikit-Sparse and Suite-Sparse via Conda.'
warnings.warn(msg)
if sp.sparse.issparse(A):
A = A.todense()
try:
L = np.linalg.cholesky(A)
except LinAlgError as e:
raise NotPositiveDefiniteError('Matrix is not positive definite')
if sparse:
return sp.sparse.csc_matrix(L)
return L
def fit(self, X, y, w=None):
"""
Run Forest!
Args:
X (m x n): dataset
y (n, 1): labels (real)
Returns:
w (n): estimated parameters
t (float): elapsed time
"""
assert X.shape[0] == y.shape[0]
y.reshape(len(y), )
# initializing
if w is None:
w = np.zeros((X.shape[1]))
z_1 = np.zeros((X.shape[1], 1))
z_2 = np.zeros((X.shape[1], 1))
u_1 = np.zeros((X.shape[1], 1)) # w - z_1
u_2 = np.zeros((X.shape[1], 1)) # w - z_2
# ADMM loop
keep_going = True
n_iter = 0
hist = list()
prim_res = list()
start = time.time()
# cache factorization and other pre-computable terms
if self.cache:
if self.sparse:
temp = scipy.sparse.csc_matrix(np.dot(X.T, X))
L = spcholesky(temp, beta=self.rho)
else:
L = cholesky(np.dot(X.T, X) + self.rho * np.eye(X.shape[1]),
lower=True)
q = np.dot(X.T, y)
q.shape = (q.size, 1)
while keep_going and (n_iter <= self.max_iter):
n_iter += 1
# w-update step
if self.cache:
g = 0.5 * self.rho * (z_1 + z_2 - u_1 - u_2) + q
# back-solving
if self.sparse:
w = L.solve_Lt(L.solve_A(g))
else:
w = scipy.linalg.solve(L.T, scipy.linalg.solve(L, g))
else:
def fun(var):
temp_1 = (0.5 * self.rho) * np.linalg.norm(w - z_1 + u_1)
temp_2 = (0.5 * self.rho) * np.linalg.norm(w - z_2 + u_2)
return f(X, y, var) + temp_1 + temp_2
opt_resul = minimize(fun, w, method='bfgs')
w = opt_resul.x
w.shape = (w.shape[0], 1)
# z_i update step - these sub-steps can be done in parallel
z_1_old = z_1.copy()
z_2_old = z_2.copy()
x1_hat = self.alpha * w + (1 - self.alpha) * z_1_old
z_1 = prxopt.shrinkage(x1_hat + u_1, self.lamb / self.rho)
x2_hat = self.alpha * w + (1 - self.alpha) * z_2_old
z_2 = prxopt.proximal_constrained(x2_hat + u_2) # proj em C
# dual variables update step
u_1 = u_1 + (x1_hat - z_1) # dual variable for the 1st constraint
u_2 = u_2 + (x2_hat - z_2) # dual variable for the 2nd constraint
# monitor costs over time
if PLOT_COST:
hist.append(((np.dot(X, w) - y)**2).sum() + self.lamb *
(abs(w).sum()))
# critério de parada
primal_res = 0.5 * ((w - z_1) + (w - z_2))
primal_res_norm = np.linalg.norm(primal_res)
# monitor primal residual over time
prim_res.append(primal_res_norm)
dual_res = 0.5 * ((z_1 - z_1_old) + (z_2 - z_2_old))
dual_res_norm = np.linalg.norm(self.rho * dual_res)
eps_pri = np.sqrt(X.shape[1]) * ABS_TOL + REL_TOL * \
max(np.linalg.norm(w),
0.5*(np.linalg.norm(-z_1)+np.linalg.norm(-z_2)))
eps_dual = np.sqrt(X.shape[1]) * ABS_TOL + REL_TOL * 0.5 * \
(np.linalg.norm(u_1) + np.linalg.norm(u_2))
# variação de rho, baseado em Boyd, 2011, ADMM, pg. 20
if self.vary:
if primal_res_norm > self.mu * dual_res_norm:
self.rho *= self.tau_incr
u_1 = u_1 / self.tau_incr
u_2 = u_2 / self.tau_incr
elif dual_res_norm > self.mu * primal_res_norm:
self.rho *= (1 / self.tau_decr)
u_1 = u_1 * self.tau_decr
u_2 = u_2 * self.tau_decr
# print informações de convergência?
if VERBOSE:
message = """|ADMM it.{} |r_norm: {:8.3f} |eps_pri: {:1.3f}
|s_norm: {:8.3f} |eps_dual: {:1.3f} |obj: {:8.3f}"""
value = ((1/2) * np.linalg.norm(np.dot(X, w) - y) ** 2 +\
self.lamb * np.sum(abs(w)))
print(
message.format(n_iter, primal_res_norm, eps_pri,
dual_res_norm, eps_dual, value))
if primal_res_norm <= eps_pri and dual_res_norm <= eps_dual:
keep_going = False
if VERBOSE:
print('Primal dual stopping criterion met.')
# make sure it's feasible (w_i >= 0, i=1,...,d)
# verify whether the constraint satisfiability is required when doing
# early stop (few max_iters). If not, maybe is better to comment it out
# as this project might be to harsh for early-stage solutions
self.hist = hist
# w_final = prxopt.proximal_constrained(w)
w_final = z_2.copy()
if PLOT_COST:
# cost function
plt.subplot(2, 1, 1)
plt.plot(hist)
plt.xlabel('iterations')
plt.ylabel('Cost function')
# primal residual: average of both residuals (one for constraint)
plt.subplot(2, 1, 2)
plt.semilogy(prim_res)
plt.xlabel('iterations')
plt.ylabel('Primal residual - Avg')
plt.show(block=False)
return w_final.flatten(), time.time() - start
