def mp_static_gl((theta, z0, u0, emp_cov_mat, rho, lambd, eta, dimension,
max_iter)):
# Multiprocessing worker computing the
# Static Graphical Lasso for given subset
# of blocks
try:
iteration = 0
stopping_criteria = False
theta_pre = []
while iteration < max_iter and stopping_criteria is False:
""" Theta update """
a = z0 - u0
at = a.transpose()
m = eta * (a + at) / 2 - emp_cov_mat
d, q = np.linalg.eig(m)
qt = q.transpose()
sqrt_matrix = np.sqrt(d**2 + 4 / eta * np.ones(dimension))
diagonal = np.diag(d) + np.diag(sqrt_matrix)
theta = np.real(eta / 2 * np.dot(np.dot(q, diagonal), qt))
""" Z-update """
z0 = pf.soft_threshold_odd(theta + u0, lambd, rho)
""" U-update """
u0 += theta - z0
""" Check stopping criteria """
if iteration > 0:
dif = theta - theta_pre
fro_norm = np.linalg.norm(dif)
if fro_norm < 1e-5:
stopping_criteria = True
theta_pre = list(theta)
iteration += 1
except Exception as e:
traceback.print_exc()
raise e
return theta
def z0_update(self):
self.z0s = [
pf.soft_threshold_odd(self.thetas[i] + self.u0s[i], self.lambd,
self.rho) for i in range(self.blocks)
]
sqrt_matrix = np.sqrt(d**2 + 4 / eta * np.ones(dimension))
diagonal = np.diag(d) + np.diag(sqrt_matrix)
thetas[i] = np.real(eta / 2 * np.dot(np.dot(q, diagonal), qt))
final_thetas[j] = thetas[i]
""" Send first Theta value to previous process,
Receive last Theta value from next process """
if prev_pipe is not None:
prev_pipe.send(thetas[0])
if next_pipe is not None:
received = next_pipe.recv()
if received is None:
break
thetas[-1] = received
""" Z0 Update """
for i in range(nn):
z0s[i] = pf.soft_threshold_odd(thetas[i] + u0s[i], lambd, rho)
""" Z1-Z2 Update """
if pen_func == "perturbed_node":
for i in range(1, n):
z1s[i - 1], z2s[i] = pf.perturbed_node(
thetas[i - 1], thetas[i], u1s[i - 1], u2s[i], beta,
rho, ct, cc)
else:
for i in range(1, n):
a = thetas[i] - thetas[i - 1] + u2s[i] - u1s[i - 1]
e = getattr(pf, pen_func)(a, beta, rho)
summ = thetas[i] + thetas[i - 1] + u2s[i] + u1s[i - 1]
z1s[i - 1] = 0.5 * (summ - e)
z2s[i] = 0.5 * (summ + e)
""" U0 Update """
for i in range(nn):