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StochasticGradientDescent.py
54 lines (28 loc) · 1.47 KB
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StochasticGradientDescent.py
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import numpy as np
from melpy.optimization.GradientDescent import GradientDescent
import sys
class StochasticGradientDescent(GradientDescent):
def __init__(self,learningrate, func, dfunc, Xinit, args, maxiter,outfilename):
GradientDescent.__init__(self,learningrate, func, dfunc, Xinit, args, maxiter,outfilename)
def minimize(self):
X = self.Xinit
tau = 1.
kappa = 0.5
for ii in range(self.maxiter):
indices=np.unique(self.args[1]).astype(np.uint32)
chosen_point = np.random.randint(indices.shape[0])
lrate_ii = self.lrate*pow(ii+tau,-kappa)
dX = self.dfunc(X,chosen_point,*self.args)
X -= lrate_ii * dX
if self.outfilename == 'none':
xxx=0
elif self.outfilename == sys.stdout:
f = self.outfilename
else:
f = open(self.outfilename,'w')
loss = self.func(X,chosen_point,*self.args)
if self.outfilename != 'none':
f.write(' Loss %6i; Value %.3f\r' % (ii, loss))
if self.outfilename != 'none' and self.outfilename != sys.stdout:
f.close()
return X