Added sparse inverse covariance estimator

shogun-toolbox · Jun 10, 2012 · bc2cf3e · bc2cf3e
1 parent b979aae
commit bc2cf3e
Show file tree

Hide file tree

Showing 6 changed files with 190 additions and 6 deletions.
diff --git a/src/interfaces/modular/Mathematics.i b/src/interfaces/modular/Mathematics.i
@@ -12,3 +12,5 @@
 %include <shogun/mathematics/Math.h>
 %rename(Statistics) CStatistics;
 %include <shogun/mathematics/Statistics.h>
+%rename(SparseInverseCovariance) CSparseInverseCovariance;
+%include <shogun/mathematics/SparseInverseCovariance.h>
diff --git a/src/interfaces/modular/Mathematics_includes.i b/src/interfaces/modular/Mathematics_includes.i
@@ -1,5 +1,6 @@
 %{
 #include <shogun/mathematics/Math.h>
 #include <shogun/mathematics/Statistics.h>
+#include <shogun/mathematics/SparseInverseCovariance.h>
 %}
 
diff --git a/src/shogun/lib/slep/SpInvCoVa/invCov.cpp b/src/shogun/lib/slep/SpInvCoVa/invCov.cpp
@@ -158,7 +158,7 @@ int lassoCD(double *Theta, double *W, double *S, double lambda, int n, int ith,
 }
 
 
-void invConv(double *Theta, double *W, double *S, double lambda, double sum_S, int n,  
+void invCov(double *Theta, double *W, double *S, double lambda, double sum_S, int n,  
 		int LassoMaxIter, double fGap, double xGap, /*for the Lasso (inner iteration)*/
 		int maxIter, double xtol)  /*for the outer iteration*/
 {

diff --git a/src/shogun/lib/slep/SpInvCoVa/invCov.h b/src/shogun/lib/slep/SpInvCoVa/invCov.h
@@ -36,10 +36,10 @@ void m_Ax(double *Ax, double  *A, double *x, int n, int ith);
 int lassoCD(double *Theta, double *W, double *S, double lambda, int n, 
             int ith, int flag, int maxIter, double fGap, double xGap);
 
-void invConv(double *Theta, double *W, double *S, double lambda, 
-             double sum_S, int n,
-             int LassoMaxIter, double fGap, 
-             double xGap, /*for the Lasso (inner iteration)*/
-             int maxIter, double xtol);  /*for the outer iteration*/
+void invCov(double *Theta, double *W, double *S, double lambda, 
+            double sum_S, int n,
+            int LassoMaxIter, double fGap, 
+            double xGap, /*for the Lasso (inner iteration)*/
+            int maxIter, double xtol);  /*for the outer iteration*/
 
 #endif   /* ----- #ifndef INVCOV_SLEP  ----- */
diff --git a/src/shogun/mathematics/SparseInverseCovariance.cpp b/src/shogun/mathematics/SparseInverseCovariance.cpp
@@ -0,0 +1,57 @@
+/*
+ * This program is free software; you can redistribute it and/or modify
+ * it under the terms of the GNU General Public License as published by
+ * the Free Software Foundation; either version 3 of the License, or
+ * (at your option) any later version.
+ *
+ * Copyright (C) 2009-2011 Jun Liu, Jieping Ye
+ * Copyright (C) 2012 Sergey Lisitsyn
+ */
+
+#include <shogun/mathematics/SparseInverseCovariance.h>
+#include <shogun/base/Parameter.h>
+#include <shogun/lib/slep/SpInvCoVa/invCov.h>
+
+using namespace shogun;
+
+CSparseInverseCovariance::CSparseInverseCovariance() :
+	CSGObject(), m_lasso_max_iter(1000),
+	m_max_iter(1000), m_f_gap(1e-6), m_x_gap(1e-4),
+	m_xtol(1e-4)
+{
+	register_parameters();
+}
+
+CSparseInverseCovariance::~CSparseInverseCovariance()
+{
+}
+
+void CSparseInverseCovariance::register_parameters()
+{
+	SG_ADD(&m_lasso_max_iter,"lasso_max_iter",
+	       "maximum iteration of LASSO step",MS_NOT_AVAILABLE);
+	SG_ADD(&m_max_iter,"max_iter","maximum total iteration",
+	       MS_NOT_AVAILABLE);
+	SG_ADD(&m_f_gap,"f_gap","f gap",MS_NOT_AVAILABLE);
+	SG_ADD(&m_x_gap,"x_gap","x gap",MS_NOT_AVAILABLE);
+	SG_ADD(&m_xtol,"xtol","xtol",MS_NOT_AVAILABLE);
+}
+
+SGMatrix<float64_t> CSparseInverseCovariance::estimate(SGMatrix<float64_t> S, float64_t lambda_c)
+{
+	ASSERT(S.num_cols==S.num_rows);
+
+	int32_t n = S.num_cols;
+	float64_t sum_S = 0.0;
+	for (int32_t i=0; i<n; i++)
+		sum_S += S(i,i);
+
+	float64_t* Theta = SG_CALLOC(float64_t, n*n);
+	float64_t* W = SG_CALLOC(float64_t, n*n);
+
+	invCov(Theta, W, S.matrix, lambda_c, sum_S, n, m_lasso_max_iter,
+	       m_f_gap, m_x_gap, m_max_iter, m_xtol);
+
+	SG_FREE(W);
+	return SGMatrix<float64_t>(Theta,n,n);
+}
diff --git a/src/shogun/mathematics/SparseInverseCovariance.h b/src/shogun/mathematics/SparseInverseCovariance.h
@@ -0,0 +1,124 @@
+/*
+ * This program is free software; you can redistribute it and/or modify
+ * it under the terms of the GNU General Public License as published by
+ * the Free Software Foundation; either version 3 of the License, or
+ * (at your option) any later version.
+ *
+ * Copyright (C) 2012 Sergey Lisitsyn
+ */
+
+#ifndef SPINVCOV_H_
+#define SPINVCOV_H_
+#include <shogun/base/SGObject.h>
+#include <shogun/lib/SGMatrix.h>
+
+namespace shogun 
+{
+
+/** @brief used to estimate inverse covariance matrix using graphical lasso
+ *
+ * implementation is based on SLEP library's code
+ */
+class CSparseInverseCovariance : public CSGObject
+{
+public:
+
+	/** constructor */
+	CSparseInverseCovariance();
+
+	/** destructor */
+	virtual ~CSparseInverseCovariance();
+
+	/** estimate inverse covariance matrix 
+	 *
+	 * @param S empirical covariance matrix
+	 * @param lambda_C regularization constant
+	 */
+	SGMatrix<float64_t> estimate(SGMatrix<float64_t> S, float64_t lambda_c);
+
+	/** get name */
+	const char* get_name() const { return "SparseInverseCovariance"; };
+
+
+	/** get lasso max iter
+	 * @return lasso max iter
+	 */
+	int32_t get_lasso_max_iter() const { return m_lasso_max_iter; }
+	/** get max iter
+	 * @return max iter
+	 */
+	int32_t get_max_iter() const { return m_max_iter; }
+	/** get lasso max iter
+	 * @return lasso max iter
+	 */
+	float64_t get_f_gap() const { return m_f_gap; }
+	/** get lasso max iter
+	 * @return lasso max iter
+	 */
+	float64_t get_x_gap() const { return m_x_gap; }
+	/** get lasso max iter
+	 * @return lasso max iter
+	 */
+	float64_t get_xtol() const { return m_xtol; }
+
+	/** set lasso max iter
+	 * @param lasso_max_iter lasso max iter
+	 */
+	void set_lasso_max_iter(int32_t lasso_max_iter) 
+	{ 
+		m_lasso_max_iter = lasso_max_iter;
+	}
+	/** set max iter
+	 * @param max_iter max iter
+	 */
+	void set_max_iter(int32_t max_iter) 
+	{ 
+		m_max_iter = max_iter;
+	}
+	/** set f gap
+	 * @param f_gap f gap
+	 */
+	void set_f_gap(int32_t f_gap) 
+	{ 
+		m_f_gap = f_gap;
+	}
+	/** set x gap
+	 * @param x_gap x gap
+	 */
+	void set_x_gap(int32_t x_gap) 
+	{ 
+		m_x_gap = x_gap;
+	}
+	/** set xtol
+	 * @param xtol xtol
+	 */
+	void set_xtol(int32_t xtol) 
+	{ 
+		m_xtol = xtol;
+	}
+
+private:
+
+	/** register parameters */
+	void register_parameters();
+
+protected:
+
+	/** LASSO max iter */
+	int32_t m_lasso_max_iter;
+
+	/** max iter */
+	int32_t m_max_iter;
+
+	/** fGap */
+	float64_t m_f_gap;
+
+	/** xGap */
+	float64_t m_x_gap;
+
+	/** xtol */
+	float64_t m_xtol;
+};
+
+}
+#endif