[mlpack-svn] r16261 - mlpack/trunk/src/mlpack/core/optimizers/lrsdp

[fastlab-svn at coffeetalk-1.cc.gatech.edu]

Author: rcurtin
Date: Mon Feb 10 09:40:16 2014
New Revision: 16261

Log:
Move things around so LRSDP can actually be included in stuff.


Removed:
   mlpack/trunk/src/mlpack/core/optimizers/lrsdp/lrsdp_impl.hpp
Modified:
   mlpack/trunk/src/mlpack/core/optimizers/lrsdp/CMakeLists.txt
   mlpack/trunk/src/mlpack/core/optimizers/lrsdp/lrsdp.cpp
   mlpack/trunk/src/mlpack/core/optimizers/lrsdp/lrsdp.hpp

Modified: mlpack/trunk/src/mlpack/core/optimizers/lrsdp/CMakeLists.txt
==============================================================================
--- mlpack/trunk/src/mlpack/core/optimizers/lrsdp/CMakeLists.txt	(original)
+++ mlpack/trunk/src/mlpack/core/optimizers/lrsdp/CMakeLists.txt	Mon Feb 10 09:40:16 2014
@@ -1,7 +1,6 @@
 set(SOURCES
   lrsdp.hpp
   lrsdp.cpp
-  lrsdp_impl.hpp
 )
 
 set(DIR_SRCS)

Modified: mlpack/trunk/src/mlpack/core/optimizers/lrsdp/lrsdp.cpp
==============================================================================
--- mlpack/trunk/src/mlpack/core/optimizers/lrsdp/lrsdp.cpp	(original)
+++ mlpack/trunk/src/mlpack/core/optimizers/lrsdp/lrsdp.cpp	Mon Feb 10 09:40:16 2014
@@ -78,3 +78,111 @@
 {
   return initialPoint;
 }
+
+// Convert the object to a string.
+std::string LRSDP::ToString() const
+{
+  std::ostringstream convert;
+  convert << "LRSDP [" << this << "]" << std::endl;
+  convert << "Matrix Size: " << c.n_rows << "x" << c.n_cols << std::endl;
+  convert << "Initial point Size : " << initialPoint.n_rows << "x"
+      << initialPoint.n_cols << std::endl;
+  //convert << "AugLagrangian Info: " << std::endl << augLag;
+  return convert.str();
+}
+
+namespace mlpack {
+namespace optimization {
+
+// Custom specializations of the AugmentedLagrangianFunction for the LRSDP case.
+template<>
+double AugLagrangianFunction<LRSDP>::Evaluate(
+    const arma::mat& coordinates) const
+{
+  // We can calculate the entire objective in a smart way.
+  // L(R, y, s) = Tr(C * (R R^T)) -
+  //     sum_{i = 1}^{m} (y_i (Tr(A_i * (R R^T)) - b_i)) +
+  //     (sigma / 2) * sum_{i = 1}^{m} (Tr(A_i * (R R^T)) - b_i)^2
+
+  // Let's start with the objective: Tr(C * (R R^T)).
+  // Simple, possibly slow solution.
+  arma::mat rrt = coordinates * trans(coordinates);
+  double objective = trace(function.C() * rrt);
+
+  // Now each constraint.
+  for (size_t i = 0; i < function.B().n_elem; ++i)
+  {
+    // Take the trace subtracted by the b_i.
+    double constraint = -function.B()[i];
+
+    if (function.AModes()[i] == 0)
+    {
+      constraint += trace(function.A()[i] * rrt);
+    }
+    else
+    {
+      for (size_t j = 0; j < function.A()[i].n_cols; ++j)
+      {
+        constraint += function.A()[i](2, j) *
+            rrt(function.A()[i](0, j), function.A()[i](1, j));
+      }
+    }
+
+    objective -= (lambda[i] * constraint);
+    objective += (sigma / 2) * std::pow(constraint, 2.0);
+  }
+
+  return objective;
+}
+
+template<>
+void AugLagrangianFunction<LRSDP>::Gradient(
+    const arma::mat& coordinates,
+    arma::mat& gradient) const
+{
+  // We can calculate the gradient in a smart way.
+  // L'(R, y, s) = 2 * S' * R
+  //   with
+  // S' = C - sum_{i = 1}^{m} y'_i A_i
+  // y'_i = y_i - sigma * (Trace(A_i * (R R^T)) - b_i)
+  arma::mat rrt = coordinates * trans(coordinates);
+  arma::mat s = function.C();
+
+  for (size_t i = 0; i < function.B().n_elem; ++i)
+  {
+    double constraint = -function.B()[i];
+
+    if (function.AModes()[i] == 0)
+    {
+      constraint += trace(function.A()[i] * rrt);
+    }
+    else
+    {
+      for (size_t j = 0; j < function.A()[i].n_cols; ++j)
+      {
+        constraint += function.A()[i](2, j) *
+            rrt(function.A()[i](0, j), function.A()[i](1, j));
+      }
+    }
+
+    double y = lambda[i] - sigma * constraint;
+
+    if (function.AModes()[i] == 0)
+    {
+      s -= (y * function.A()[i]);
+    }
+    else
+    {
+      // We only need to subtract the entries which could be modified.
+      for (size_t j = 0; j < function.A()[i].n_cols; ++j)
+      {
+        s(function.A()[i](0, j), function.A()[i](1, j)) -= y;
+      }
+    }
+  }
+
+  gradient = 2 * s * coordinates;
+}
+
+}; // namespace optimization
+}; // namespace mlpack

Modified: mlpack/trunk/src/mlpack/core/optimizers/lrsdp/lrsdp.hpp
==============================================================================
--- mlpack/trunk/src/mlpack/core/optimizers/lrsdp/lrsdp.hpp	(original)
+++ mlpack/trunk/src/mlpack/core/optimizers/lrsdp/lrsdp.hpp	Mon Feb 10 09:40:16 2014
@@ -145,9 +145,4 @@
 }; // namespace optimization
 }; // namespace mlpack
 
-// Include implementation (template specializations for the augmented Lagrangian
-// function).
-#include "lrsdp_impl.hpp"
-
 #endif
-