WireCell::LassoModel Class Reference

#include <LassoModel.h>

Inheritance diagram for WireCell::LassoModel:

Public Member Functions
	LassoModel (double lambda=1., int max_iter=100000, double TOL=1e-3, bool non_negtive=true)
	~LassoModel ()
void	Fit ()
void	Set_init_values (std::vector< double > values)
double	chi2_l1 ()
Public Member Functions inherited from WireCell::ElasticNetModel
	ElasticNetModel (double lambda=1., double alpha=1., int max_iter=100000, double TOL=1e-3, bool non_negtive=true)
	~ElasticNetModel ()
void	SetLambdaWeight (Eigen::VectorXd w)
void	SetLambdaWeight (int i, double weight)
void	SetX (Eigen::MatrixXd X)
Public Member Functions inherited from WireCell::LinearModel
	LinearModel ()
virtual	~LinearModel ()
Eigen::VectorXd &	Gety ()
Eigen::MatrixXd &	GetX ()
Eigen::VectorXd &	Getbeta ()
virtual void	SetData (Eigen::MatrixXd X, Eigen::VectorXd y)
virtual void	Sety (Eigen::VectorXd y)
virtual void	Setbeta (Eigen::VectorXd beta)
Eigen::VectorXd	Predict ()
double	chi2_base ()
double	MeanResidual ()

Additional Inherited Members
Public Attributes inherited from WireCell::ElasticNetModel
double	lambda
double	alpha
int	max_iter
double	TOL
bool	non_negtive
Eigen::VectorXd	lambda_weight
Public Attributes inherited from WireCell::LinearModel
std::string	name
Protected Member Functions inherited from WireCell::ElasticNetModel
double	_soft_thresholding (double x, double lambda_)
Protected Attributes inherited from WireCell::ElasticNetModel
std::vector< bool >	_active_beta
Protected Attributes inherited from WireCell::LinearModel
Eigen::VectorXd	_y
Eigen::MatrixXd	_X
Eigen::VectorXd	_beta

Detailed Description

Definition at line 8 of file LassoModel.h.

Constructor & Destructor Documentation

WireCell::LassoModel::LassoModel	(	double	lambda = 1.,
		int	max_iter = 100000,
		double	TOL = 1e-3,
		bool	non_negtive = true
	)

Definition at line 14 of file LassoModel.cxx.

: ElasticNetModel(lambda, 1., max_iter, TOL, non_negtive)
{
    name = "Lasso";
}

WireCell::LassoModel::~LassoModel

(

)

Definition at line 20 of file LassoModel.cxx.

{}

Member Function Documentation

double WireCell::LassoModel::chi2_l1

(

)

Definition at line 125 of file LassoModel.cxx.

{
  return 2 * lambda * Getbeta().lpNorm<1>() * Gety().size() ;
}

void WireCell::LassoModel::Fit ( )

virtual

Reimplemented from WireCell::ElasticNetModel.

Definition at line 32 of file LassoModel.cxx.

{
  // initialize solution to zero unless user set beta already
  Eigen::VectorXd beta = _beta;
  if (0 == beta.size()) {
    beta = VectorXd::Zero(_X.cols());
  }
  
  // initialize active_beta to true
  int nbeta = beta.size();
  _active_beta = vector<bool>(nbeta, true);

  Eigen::VectorXd y = Gety();
  Eigen::MatrixXd X = GetX();
  
  // cooridate decsent
  //int N = y.size();
  VectorXd norm(nbeta);
  for (int j=0; j<nbeta; j++) {
    norm(j) = X.col(j).squaredNorm();
    if (norm(j) < 1e-6) {
      cerr << "warning: the " << j << "th variable is not used, please consider removing it." << endl;
      norm(j) = 1;
    }
  }
  double tol2 = TOL*TOL*nbeta;
  
  // calculate the inner product
  Eigen::VectorXd ydX(nbeta);
  Eigen::SparseMatrix<double> XdX(nbeta,nbeta);
  for (int i=0;i!=nbeta;i++){
    ydX(i) = y.dot(X.col(i));
    //beta(i) = ydX(i) / norm(i); // first time result saved here ...
    for (int j=0;j!=nbeta;j++){
      double value = X.col(i).dot(X.col(j));
      if (value!=0)
        XdX.insert(i,j) = value;
      //std::cout << i << " " << j << " " << value << " " << XdX.coeffRef(i,j) << std::endl;
    }
    //std::cout << ydX(i) << " " << norm(i) << std::endl;
  }
  //  std::cout << "Xin " << nbeta << std::endl;

  
  // start interation ...
  int double_check  = 0;
  for (int i =0; i< max_iter; i++){
    VectorXd betalast = beta;
    
    //loop through sparse matrix ...
    for (int j=0;j!=nbeta;j++){
      if (!_active_beta[j]) {continue;}
      beta(j) = ydX(j);
      for (SparseMatrix<double>::InnerIterator it(XdX,j); it; ++it){
        //if (it.row()!=j && beta(it.row())!=0)
        if (it.row()!=j)
          beta(j) -= it.value() * beta(it.row());
      }
      beta(j) = _soft_thresholding( beta(j)/norm(j), lambda * lambda_weight(j));

      if(fabs(beta(j)) < 1e-6) { _active_beta[j] = false; }
     // VectorXd X_j = X.col(j);
     // VectorXd beta_tmp = betalast;
     // beta_tmp(j) = 0;
     // VectorXd r_j = (y - X * beta_tmp);
     // double delta_j = X_j.dot(r_j);
      //std::cout << i << " " << j << " " << beta(j) << " " << betalast(j) << std::endl;
     
    }
    double_check++;
    // cout << endl;
    VectorXd diff = beta - betalast;

    // std::cout << i << " " << diff.squaredNorm() << " " << tol2 << std::endl;
    
    if (diff.squaredNorm()<tol2) {
      if (double_check!=1) {
        double_check = 0;
        for (int k=0; k<nbeta; k++) {
          _active_beta[k] = true;
        }
      }else {
        //cout << "found minimum at iteration: " << i << " " << flag_initial_values << endl;
        break;
      }
    }
  }
  
  
  // save results in the model
  Setbeta(beta);
}

void WireCell::LassoModel::Set_init_values

(

std::vector< double >

values

)

Definition at line 23 of file LassoModel.cxx.

{
    const size_t nvals = values.size();
    _beta = VectorXd::Zero(nvals);
    for (size_t i=0; i != nvals; ++i) {
        _beta(i) = values.at(i);
    }
}

---

The documentation for this class was generated from the following files:

• wire-cell-build/ress/inc/WireCellRess/LassoModel.h
• wire-cell-build/ress/src/LassoModel.cxx