PLearn 0.1
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00001 // -*- C++ -*- 00002 00003 // PLearn (A C++ Machine Learning Library) 00004 // Copyright (C) 1998 Pascal Vincent 00005 // Copyright (C) 1999-2002 Pascal Vincent, Yoshua Bengio and University of 00006 // Montreal, all rights reserved 00007 // Copyright (C) 2006 Olivier Delalleau 00008 // 00009 00010 // Redistribution and use in source and binary forms, with or without 00011 // modification, are permitted provided that the following conditions are met: 00012 // 00013 // 1. Redistributions of source code must retain the above copyright 00014 // notice, this list of conditions and the following disclaimer. 00015 // 00016 // 2. Redistributions in binary form must reproduce the above copyright 00017 // notice, this list of conditions and the following disclaimer in the 00018 // documentation and/or other materials provided with the distribution. 00019 // 00020 // 3. The name of the authors may not be used to endorse or promote 00021 // products derived from this software without specific prior written 00022 // permission. 00023 // 00024 // THIS SOFTWARE IS PROVIDED BY THE AUTHORS ``AS IS'' AND ANY EXPRESS OR 00025 // IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED WARRANTIES 00026 // OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE DISCLAIMED. IN 00027 // NO EVENT SHALL THE AUTHORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, 00028 // SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED 00029 // TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR 00030 // PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF 00031 // LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING 00032 // NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS 00033 // SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE. 00034 // 00035 // This file is part of the PLearn library. For more information on the PLearn 00036 // library, go to the PLearn Web site at www.plearn.org 00037 00038 00039 #ifndef Cholesky_utils_INC 00040 #define Cholesky_utils_INC 00041 00042 #include <plearn/math/Mat.h> 00043 00044 namespace PLearn { 00045 00055 void choleskyAppendDimension(Mat& L, const Vec& new_row); 00056 00059 void choleskyRemoveDimension(Mat& L, int i); 00060 00061 // L (n_active x n_active) is lower-diagonal and is such that A = L L' = lambda I + sum_t phi_t(x_t) phi_t(x_t)' 00062 // where the sum runs until 'now' and phi_t is the 'current' active basis set. 00063 // In this function we update L so as to incorporate a new basis, i.e. n_active is incremented, 00064 // using a new basis whose outputs on all the examples up to 'now' are given in new_basis_outputs. 00065 // The dimensions of L are changed as a result. Note that L must have been pre-allocated 00066 // with dimensions max_n_active x max_n_active. The matrix active_bases_outputs (n_active x n_examples) 00067 // contains the outputs of the active bases that are in phi up to now. 00068 // Computational cost is O(n_active * n_examples). 00069 void choleskyInsertBasis(Mat& L, Mat active_bases_outputs, Vec new_basis_outputs, real lambda, real min_Lii=1e-10); 00070 00071 // Given a current Cholesky decomposition of A = L L' = sum_t v_t v_t' 00072 // add an extra v_t v_t' term to the matrix A (i.e. upgrade lower-diagonal L accordingly). 00073 // computational cost: O(n^2) 00074 void choleskyUpgrade(Mat& L, Vec v); 00075 00076 /****** Utility functions ******/ 00077 00079 void chol_dxch(Mat& R, int l, int m); 00080 void chol_rotapp(real c, real s, const Vec& x, const Vec& y); 00081 void chol_rotgen(real& a, real& b, real& c, real& s); 00082 00087 void chol_dxch_tr(Mat& R_t, int l, int m); 00088 void chol_rotapp_tr(real c, real s, const Mat& x, const Mat& y); 00089 00092 void chol_rotapp_tr_opt(real c, real s, const Mat& R, 00093 int i, int j, int k, int m); 00094 00095 // debugging / test program for the above functions 00096 void testCholeskyRoutines(); 00097 00098 00099 } // end of namespace PLearn 00100 00101 #endif 00102 00103 00104 /* 00105 Local Variables: 00106 mode:c++ 00107 c-basic-offset:4 00108 c-file-style:"stroustrup" 00109 c-file-offsets:((innamespace . 0)(inline-open . 0)) 00110 indent-tabs-mode:nil 00111 fill-column:79 00112 End: 00113 */ 00114 // vim: filetype=cpp:expandtab:shiftwidth=4:tabstop=8:softtabstop=4:encoding=utf-8:textwidth=79 :