PLearn 0.1
OnlineGramNaturalGradientOptimizer.h
Go to the documentation of this file.
00001 // -*- C++ -*-
00002 
00003 // OnlineGramNaturalGradientOptimizer.h
00004 //
00005 // Copyright (C) 2007 Pierre-Antoine Manzagol
00006 //
00007 // Redistribution and use in source and binary forms, with or without
00008 // modification, are permitted provided that the following conditions are met:
00009 //
00010 //  1. Redistributions of source code must retain the above copyright
00011 //     notice, this list of conditions and the following disclaimer.
00012 //
00013 //  2. Redistributions in binary form must reproduce the above copyright
00014 //     notice, this list of conditions and the following disclaimer in the
00015 //     documentation and/or other materials provided with the distribution.
00016 //
00017 //  3. The name of the authors may not be used to endorse or promote
00018 //     products derived from this software without specific prior written
00019 //     permission.
00020 //
00021 // THIS SOFTWARE IS PROVIDED BY THE AUTHORS ``AS IS'' AND ANY EXPRESS OR
00022 // IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED WARRANTIES
00023 // OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE DISCLAIMED. IN
00024 // NO EVENT SHALL THE AUTHORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
00025 // SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED
00026 // TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR
00027 // PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF
00028 // LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING
00029 // NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS
00030 // SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
00031 //
00032 // This file is part of the PLearn library. For more information on the PLearn
00033 // library, go to the PLearn Web site at www.plearn.org
00034 
00035 // Authors: Pierre-Antoine Manzagol
00036 
00040 #ifndef ONLINEGRAMNATURALGRADIENTOPTIMIZER_INC
00041 #define ONLINEGRAMNATURALGRADIENTOPTIMIZER_INC
00042 
00043 #include <plearn/opt/Optimizer.h>
00044 
00045 #include <ctime>
00046 
00047 namespace PLearn {
00048 using namespace std;
00049 
00059 class OnlineGramNaturalGradientOptimizer : public Optimizer
00060 {
00061     typedef Optimizer inherited;
00062       
00063 public:
00064     //#####  Public Build Options  ############################################
00065 
00066     real learning_rate;
00067     real gamma;
00068     real reg;
00069     int opt_batch_size;
00070     int n_eigen;
00071 
00072 
00073 public:
00074     //#####  Public Member Functions  #########################################    
00075 
00076     OnlineGramNaturalGradientOptimizer();
00077 
00078     void gramEigenNaturalGradient();
00079 
00080     //#####  Optimizer Member Functions  #######################################
00081 
00082     virtual bool optimizeN(VecStatsCollector& stats_coll);
00083 
00084     //#####  PLearn::Object Protocol  #########################################
00085     PLEARN_DECLARE_OBJECT(OnlineGramNaturalGradientOptimizer);
00086 
00087     virtual void makeDeepCopyFromShallowCopy(CopiesMap& copies);
00088 
00089     virtual void build()
00090     {
00091         inherited::build();
00092         build_();
00093     }
00094 
00095 protected:
00096     //#####  Protected Options  ###############################################
00097 
00098     // ### Declare protected option fields (such as learned parameters) here
00099 
00100 
00101 protected:
00102     //#####  Protected Member Functions  ######################################
00103 
00105     // (PLEASE IMPLEMENT IN .cc)
00106     static void declareOptions(OptionList& ol);
00107 
00108 private:
00109     //#####  Private Member Functions  ########################################
00110 
00112     // (PLEASE IMPLEMENT IN .cc)
00113     void build_();
00114 
00115 private:
00116     //#####  Private Data Members  ############################################
00117 
00118     int n_optimizeN_calls;
00119 
00120     // The batch index
00121     int bi;
00122     int n_eigen_cur;
00123     int n_eigen_old;
00124 
00125     // Holds the gradients and their mean
00126     Mat gradients;
00127     Vec mu;
00128 
00129     real total_variance, variance_percentage;
00130 
00131     // the gram matrix - G = UDU' or in our case U'DU
00132     Mat gram;
00133     Mat U;
00134     Vec D;
00135 
00136     // The covariance matrix is C = VDV' (with the eigen vectors in V's columns)
00137     // or in our case cov_eigen_vectors' diag(cov_eigen_values) cov_eigen_vectors
00138     Mat cov_eigen_vec;
00139     Mat old_cov_eigen_vec;
00140     Mat swap;
00141     Vec cov_eigen_val;
00142 
00143     Mat cov_norm_eigen_vec;
00144 
00145     // 
00146     Vec dot_prod;
00147     Vec scaled_dot_prod;
00148 
00149     // The natural gradient, ie C^{-1} mu
00150     Vec naturalg;
00151 
00152     clock_t t0, t1, t2, t3;
00153 
00154 };
00155 
00156 DECLARE_OBJECT_PTR(OnlineGramNaturalGradientOptimizer);
00157 
00158 
00159 } // end of namespace PLearn
00160 
00161 #endif
00162 
00163 
00164 /*
00165   Local Variables:
00166   mode:c++
00167   c-basic-offset:4
00168   c-file-style:"stroustrup"
00169   c-file-offsets:((innamespace . 0)(inline-open . 0))
00170   indent-tabs-mode:nil
00171   fill-column:79
00172   End:
00173 */
00174 // vim: filetype=cpp:expandtab:shiftwidth=4:tabstop=8:softtabstop=4:encoding=utf-8:textwidth=79 :
 All Classes Namespaces Files Functions Variables Typedefs Enumerations Enumerator Friends Defines