/* * Copyright (c) 2000-2012 Chih-Chung Chang and Chih-Jen Lin * All rights reserved. * * Redistribution and use in source and binary forms, with or without * modification, are permitted provided that the following conditions * are met: * * 1. Redistributions of source code must retain the above copyright * notice, this list of conditions and the following disclaimer. * * 2. Redistributions in binary form must reproduce the above copyright * notice, this list of conditions and the following disclaimer in the * documentation and/or other materials provided with the distribution. * * 3. Neither name of copyright holders nor the names of its contributors * may be used to endorse or promote products derived from this software * without specific prior written permission. * * * THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS * ``AS IS'' AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT * LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR * A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE REGENTS OR * CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, * EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO, * PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR * PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF * LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING * NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS * SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE. * * C# port from the original java sources by Gabriel Kronberger (Sept. 2012) */ using System.Globalization; using System.IO; using System.Linq; using System.Threading; namespace LibSVM { // // Kernel Cache // // l is the number of total data items // size is the cache size limit in bytes // using System; class Cache { private readonly int l; private long size; private sealed class head_t { public head_t prev, next; // a cicular list public float[] data; public int len; // data[0,len) is cached in this entry } private readonly head_t[] head; private head_t lru_head; public Cache(int l_, long size_) { l = l_; size = size_; head = new head_t[l]; for (int i = 0; i < l; i++) head[i] = new head_t(); size /= 4; size -= l * (16 / 4); // sizeof(head_t) == 16 size = Math.Max(size, 2 * (long)l); // cache must be large enough for two columns lru_head = new head_t(); lru_head.next = lru_head.prev = lru_head; } private void lru_delete(head_t h) { // delete from current location h.prev.next = h.next; h.next.prev = h.prev; } private void lru_insert(head_t h) { // insert to last position h.next = lru_head; h.prev = lru_head.prev; h.prev.next = h; h.next.prev = h; } // request data [0,len) // return some position p where [p,len) need to be filled // (p >= len if nothing needs to be filled) // java: simulate pointer using single-element array public int get_data(int index, float[][] data, int len) { head_t h = head[index]; if (h.len > 0) lru_delete(h); int more = len - h.len; if (more > 0) { // free old space while (size < more) { head_t old = lru_head.next; lru_delete(old); size += old.len; old.data = null; old.len = 0; } // allocate new space float[] new_data = new float[len]; if (h.data != null) { Array.Copy(h.data, 0, new_data, 0, h.len); } h.data = new_data; size -= more; { int _ = h.len; h.len = len; len = _; } } lru_insert(h); data[0] = h.data; return len; } public void swap_index(int i, int j) { if (i == j) return; if (head[i].len > 0) lru_delete(head[i]); if (head[j].len > 0) lru_delete(head[j]); { float[] _ = head[i].data; head[i].data = head[j].data; head[j].data = _; } { int _ = head[i].len; head[i].len = head[j].len; head[j].len = _; } if (head[i].len > 0) lru_insert(head[i]); if (head[j].len > 0) lru_insert(head[j]); if (i > j) { int _ = i; i = j; j = _; } for (head_t h = lru_head.next; h != lru_head; h = h.next) { if (h.len > i) { if (h.len > j) { float _ = h.data[i]; h.data[i] = h.data[j]; h.data[j] = _; } else { // give up lru_delete(h); size += h.len; h.data = null; h.len = 0; } } } } } // // Kernel evaluation // // the static method k_function is for doing single kernel evaluation // the constructor of Kernel prepares to calculate the l*l kernel matrix // the member function get_Q is for getting one column from the Q Matrix // abstract class QMatrix { public abstract float[] get_Q(int column, int len); public abstract double[] get_QD(); public abstract void swap_index(int i, int j); }; abstract class Kernel : QMatrix { private svm_node[][] x; private readonly double[] x_square; // svm_parameter private readonly int kernel_type; private readonly int degree; private readonly double gamma; private readonly double coef0; public override abstract float[] get_Q(int column, int len); public override abstract double[] get_QD(); public override void swap_index(int i, int j) { { svm_node[] _ = x[i]; x[i] = x[j]; x[j] = _; } if (x_square != null) { double _ = x_square[i]; x_square[i] = x_square[j]; x_square[j] = _; } } private static double powi(double @base, int times) { double tmp = @base, ret = 1.0; for (int t = times; t > 0; t /= 2) { if (t % 2 == 1) ret *= tmp; tmp = tmp * tmp; } return ret; } protected virtual double kernel_function(int i, int j) { switch (kernel_type) { case svm_parameter.LINEAR: return dot(x[i], x[j]); case svm_parameter.POLY: return powi(gamma * dot(x[i], x[j]) + coef0, degree); case svm_parameter.RBF: return Math.Exp(-gamma * (x_square[i] + x_square[j] - 2 * dot(x[i], x[j]))); case svm_parameter.SIGMOID: return Math.Tanh(gamma * dot(x[i], x[j]) + coef0); case svm_parameter.PRECOMPUTED: return x[i][(int)(x[j][0].value)].value; default: return 0; // java } } public Kernel(int l, svm_node[][] x_, svm_parameter param) { this.kernel_type = param.kernel_type; this.degree = param.degree; this.gamma = param.gamma; this.coef0 = param.coef0; x = (svm_node[][])x_.Clone(); if (kernel_type == svm_parameter.RBF) { x_square = new double[l]; for (int i = 0; i < l; i++) x_square[i] = dot(x[i], x[i]); } else x_square = null; } static double dot(svm_node[] x, svm_node[] y) { double sum = 0; int xlen = x.Length; int ylen = y.Length; int i = 0; int j = 0; while (i < xlen && j < ylen) { if (x[i].index == y[j].index) sum += x[i++].value * y[j++].value; else { if (x[i].index > y[j].index) ++j; else ++i; } } return sum; } public static double k_function(svm_node[] x, svm_node[] y, svm_parameter param) { switch (param.kernel_type) { case svm_parameter.LINEAR: return dot(x, y); case svm_parameter.POLY: return powi(param.gamma * dot(x, y) + param.coef0, param.degree); case svm_parameter.RBF: { double sum = 0; int xlen = x.Length; int ylen = y.Length; int i = 0; int j = 0; while (i < xlen && j < ylen) { if (x[i].index == y[j].index) { double d = x[i++].value - y[j++].value; sum += d * d; } else if (x[i].index > y[j].index) { sum += y[j].value * y[j].value; ++j; } else { sum += x[i].value * x[i].value; ++i; } } while (i < xlen) { sum += x[i].value * x[i].value; ++i; } while (j < ylen) { sum += y[j].value * y[j].value; ++j; } return Math.Exp(-param.gamma * sum); } case svm_parameter.SIGMOID: return Math.Tanh(param.gamma * dot(x, y) + param.coef0); case svm_parameter.PRECOMPUTED: return x[(int)(y[0].value)].value; default: return 0; // java } } } // An SMO algorithm in Fan et al., JMLR 6(2005), p. 1889--1918 // Solves: // // min 0.5(\alpha^T Q \alpha) + p^T \alpha // // y^T \alpha = \delta // y_i = +1 or -1 // 0 <= alpha_i <= Cp for y_i = 1 // 0 <= alpha_i <= Cn for y_i = -1 // // Given: // // Q, p, y, Cp, Cn, and an initial feasible point \alpha // l is the size of vectors and matrices // eps is the stopping tolerance // // solution will be put in \alpha, objective value will be put in obj // class Solver { protected int active_size; protected short[] y; protected double[] G; // gradient of objective function protected const byte LOWER_BOUND = 0; protected const byte UPPER_BOUND = 1; protected const byte FREE = 2; protected byte[] alpha_status; // LOWER_BOUND, UPPER_BOUND, FREE protected double[] alpha; protected QMatrix Q; protected double[] QD; protected double eps; protected double Cp, Cn; protected double[] p; protected int[] active_set; protected double[] G_bar; // gradient, if we treat free variables as 0 protected int l; protected bool unshrink; // XXX protected const double INF = double.PositiveInfinity; protected virtual double get_C(int i) { return (y[i] > 0) ? Cp : Cn; } protected virtual void update_alpha_status(int i) { if (alpha[i] >= get_C(i)) alpha_status[i] = UPPER_BOUND; else if (alpha[i] <= 0) alpha_status[i] = LOWER_BOUND; else alpha_status[i] = FREE; } protected virtual bool is_upper_bound(int i) { return alpha_status[i] == UPPER_BOUND; } protected virtual bool is_lower_bound(int i) { return alpha_status[i] == LOWER_BOUND; } protected virtual bool is_free(int i) { return alpha_status[i] == FREE; } // java: information about solution except alpha, // because we cannot return multiple values otherwise... public class SolutionInfo { public double obj; public double rho; public double upper_bound_p; public double upper_bound_n; public double r; // for Solver_NU } protected virtual void swap_index(int i, int j) { Q.swap_index(i, j); { short _ = y[i]; y[i] = y[j]; y[j] = _; } { double _ = G[i]; G[i] = G[j]; G[j] = _; } { byte _ = alpha_status[i]; alpha_status[i] = alpha_status[j]; alpha_status[j] = _; } { double _ = alpha[i]; alpha[i] = alpha[j]; alpha[j] = _; } { double _ = p[i]; p[i] = p[j]; p[j] = _; } { int _ = active_set[i]; active_set[i] = active_set[j]; active_set[j] = _; } { double _ = G_bar[i]; G_bar[i] = G_bar[j]; G_bar[j] = _; } } protected virtual void reconstruct_gradient() { // reconstruct inactive elements of G from G_bar and free variables if (active_size == l) return; int i, j; int nr_free = 0; for (j = active_size; j < l; j++) G[j] = G_bar[j] + p[j]; for (j = 0; j < active_size; j++) if (is_free(j)) nr_free++; if (2 * nr_free < active_size) svm.info("WARNING: using -h 0 may be faster" + Environment.NewLine + Environment.NewLine); if (nr_free * l > 2 * active_size * (l - active_size)) { for (i = active_size; i < l; i++) { float[] Q_i = Q.get_Q(i, active_size); for (j = 0; j < active_size; j++) if (is_free(j)) G[i] += alpha[j] * Q_i[j]; } } else { for (i = 0; i < active_size; i++) if (is_free(i)) { float[] Q_i = Q.get_Q(i, l); double alpha_i = alpha[i]; for (j = active_size; j < l; j++) G[j] += alpha_i * Q_i[j]; } } } public virtual void Solve(int l, QMatrix Q, double[] p_, short[] y_, double[] alpha_, double Cp, double Cn, double eps, SolutionInfo si, int shrinking) { this.l = l; this.Q = Q; QD = Q.get_QD(); p = (double[])p_.Clone(); y = (short[])y_.Clone(); alpha = (double[])alpha_.Clone(); this.Cp = Cp; this.Cn = Cn; this.eps = eps; this.unshrink = false; // initialize alpha_status { alpha_status = new byte[l]; for (int i = 0; i < l; i++) update_alpha_status(i); } // initialize active set (for shrinking) { active_set = new int[l]; for (int i = 0; i < l; i++) active_set[i] = i; active_size = l; } // initialize gradient { G = new double[l]; G_bar = new double[l]; int i; for (i = 0; i < l; i++) { G[i] = p[i]; G_bar[i] = 0; } for (i = 0; i < l; i++) if (!is_lower_bound(i)) { float[] Q_i = Q.get_Q(i, l); double alpha_i = alpha[i]; int j; for (j = 0; j < l; j++) G[j] += alpha_i * Q_i[j]; if (is_upper_bound(i)) for (j = 0; j < l; j++) G_bar[j] += get_C(i) * Q_i[j]; } } // optimization step int iter = 0; int max_iter = Math.Max(10000000, l > int.MaxValue / 100 ? int.MaxValue : 100 * l); int counter = Math.Min(l, 1000) + 1; int[] working_set = new int[2]; while (iter < max_iter) { // show progress and do shrinking if (--counter == 0) { counter = Math.Min(l, 1000); if (shrinking != 0) do_shrinking(); svm.info("."); } if (select_working_set(working_set) != 0) { // reconstruct the whole gradient reconstruct_gradient(); // reset active set size and check active_size = l; svm.info("*"); if (select_working_set(working_set) != 0) break; else counter = 1; // do shrinking next iteration } int i = working_set[0]; int j = working_set[1]; ++iter; // update alpha[i] and alpha[j], handle bounds carefully float[] Q_i = Q.get_Q(i, active_size); float[] Q_j = Q.get_Q(j, active_size); double C_i = get_C(i); double C_j = get_C(j); double old_alpha_i = alpha[i]; double old_alpha_j = alpha[j]; if (y[i] != y[j]) { double quad_coef = QD[i] + QD[j] + 2 * Q_i[j]; if (quad_coef <= 0) quad_coef = 1e-12; double delta = (-G[i] - G[j]) / quad_coef; double diff = alpha[i] - alpha[j]; alpha[i] += delta; alpha[j] += delta; if (diff > 0) { if (alpha[j] < 0) { alpha[j] = 0; alpha[i] = diff; } } else { if (alpha[i] < 0) { alpha[i] = 0; alpha[j] = -diff; } } if (diff > C_i - C_j) { if (alpha[i] > C_i) { alpha[i] = C_i; alpha[j] = C_i - diff; } } else { if (alpha[j] > C_j) { alpha[j] = C_j; alpha[i] = C_j + diff; } } } else { double quad_coef = QD[i] + QD[j] - 2 * Q_i[j]; if (quad_coef <= 0) quad_coef = 1e-12; double delta = (G[i] - G[j]) / quad_coef; double sum = alpha[i] + alpha[j]; alpha[i] -= delta; alpha[j] += delta; if (sum > C_i) { if (alpha[i] > C_i) { alpha[i] = C_i; alpha[j] = sum - C_i; } } else { if (alpha[j] < 0) { alpha[j] = 0; alpha[i] = sum; } } if (sum > C_j) { if (alpha[j] > C_j) { alpha[j] = C_j; alpha[i] = sum - C_j; } } else { if (alpha[i] < 0) { alpha[i] = 0; alpha[j] = sum; } } } // update G double delta_alpha_i = alpha[i] - old_alpha_i; double delta_alpha_j = alpha[j] - old_alpha_j; for (int k = 0; k < active_size; k++) { G[k] += Q_i[k] * delta_alpha_i + Q_j[k] * delta_alpha_j; } // update alpha_status and G_bar { bool ui = is_upper_bound(i); bool uj = is_upper_bound(j); update_alpha_status(i); update_alpha_status(j); int k; if (ui != is_upper_bound(i)) { Q_i = Q.get_Q(i, l); if (ui) for (k = 0; k < l; k++) G_bar[k] -= C_i * Q_i[k]; else for (k = 0; k < l; k++) G_bar[k] += C_i * Q_i[k]; } if (uj != is_upper_bound(j)) { Q_j = Q.get_Q(j, l); if (uj) for (k = 0; k < l; k++) G_bar[k] -= C_j * Q_j[k]; else for (k = 0; k < l; k++) G_bar[k] += C_j * Q_j[k]; } } } if (iter >= max_iter) { if (active_size < l) { // reconstruct the whole gradient to calculate objective value reconstruct_gradient(); active_size = l; svm.info("*"); } svm.info("WARNING: reaching max number of iterations" + Environment.NewLine); } // calculate rho si.rho = calculate_rho(); // calculate objective value { double v = 0; int i; for (i = 0; i < l; i++) v += alpha[i] * (G[i] + p[i]); si.obj = v / 2; } // put back the solution { for (int i = 0; i < l; i++) alpha_[active_set[i]] = alpha[i]; } si.upper_bound_p = Cp; si.upper_bound_n = Cn; svm.info("optimization finished, #iter = " + iter + Environment.NewLine); } // return 1 if already optimal, return 0 otherwise protected virtual int select_working_set(int[] working_set) { // return i,j such that // i: maximizes -y_i * grad(f)_i, i in I_up(\alpha) // j: mimimizes the decrease of obj value // (if quadratic coefficeint <= 0, replace it with tau) // -y_j*grad(f)_j < -y_i*grad(f)_i, j in I_low(\alpha) double Gmax = -INF; double Gmax2 = -INF; int Gmax_idx = -1; int Gmin_idx = -1; double obj_diff_min = INF; for (int t = 0; t < active_size; t++) if (y[t] == +1) { if (!is_upper_bound(t)) if (-G[t] >= Gmax) { Gmax = -G[t]; Gmax_idx = t; } } else { if (!is_lower_bound(t)) if (G[t] >= Gmax) { Gmax = G[t]; Gmax_idx = t; } } int i = Gmax_idx; float[] Q_i = null; if (i != -1) // null Q_i not accessed: Gmax=-INF if i=-1 Q_i = Q.get_Q(i, active_size); for (int j = 0; j < active_size; j++) { if (y[j] == +1) { if (!is_lower_bound(j)) { double grad_diff = Gmax + G[j]; if (G[j] >= Gmax2) Gmax2 = G[j]; if (grad_diff > 0) { double obj_diff; double quad_coef = QD[i] + QD[j] - 2.0 * y[i] * Q_i[j]; if (quad_coef > 0) obj_diff = -(grad_diff * grad_diff) / quad_coef; else obj_diff = -(grad_diff * grad_diff) / 1e-12; if (obj_diff <= obj_diff_min) { Gmin_idx = j; obj_diff_min = obj_diff; } } } } else { if (!is_upper_bound(j)) { double grad_diff = Gmax - G[j]; if (-G[j] >= Gmax2) Gmax2 = -G[j]; if (grad_diff > 0) { double obj_diff; double quad_coef = QD[i] + QD[j] + 2.0 * y[i] * Q_i[j]; if (quad_coef > 0) obj_diff = -(grad_diff * grad_diff) / quad_coef; else obj_diff = -(grad_diff * grad_diff) / 1e-12; if (obj_diff <= obj_diff_min) { Gmin_idx = j; obj_diff_min = obj_diff; } } } } } if (Gmax + Gmax2 < eps) return 1; working_set[0] = Gmax_idx; working_set[1] = Gmin_idx; return 0; } private bool be_shrunk(int i, double Gmax1, double Gmax2) { if (is_upper_bound(i)) { if (y[i] == +1) return (-G[i] > Gmax1); else return (-G[i] > Gmax2); } else if (is_lower_bound(i)) { if (y[i] == +1) return (G[i] > Gmax2); else return (G[i] > Gmax1); } else return (false); } protected virtual void do_shrinking() { int i; double Gmax1 = -INF; // max { -y_i * grad(f)_i | i in I_up(\alpha) } double Gmax2 = -INF; // max { y_i * grad(f)_i | i in I_low(\alpha) } // find maximal violating pair first for (i = 0; i < active_size; i++) { if (y[i] == +1) { if (!is_upper_bound(i)) { if (-G[i] >= Gmax1) Gmax1 = -G[i]; } if (!is_lower_bound(i)) { if (G[i] >= Gmax2) Gmax2 = G[i]; } } else { if (!is_upper_bound(i)) { if (-G[i] >= Gmax2) Gmax2 = -G[i]; } if (!is_lower_bound(i)) { if (G[i] >= Gmax1) Gmax1 = G[i]; } } } if (unshrink == false && Gmax1 + Gmax2 <= eps * 10) { unshrink = true; reconstruct_gradient(); active_size = l; } for (i = 0; i < active_size; i++) if (be_shrunk(i, Gmax1, Gmax2)) { active_size--; while (active_size > i) { if (!be_shrunk(active_size, Gmax1, Gmax2)) { swap_index(i, active_size); break; } active_size--; } } } protected virtual double calculate_rho() { double r; int nr_free = 0; double ub = INF, lb = -INF, sum_free = 0; for (int i = 0; i < active_size; i++) { double yG = y[i] * G[i]; if (is_lower_bound(i)) { if (y[i] > 0) ub = Math.Min(ub, yG); else lb = Math.Max(lb, yG); } else if (is_upper_bound(i)) { if (y[i] < 0) ub = Math.Min(ub, yG); else lb = Math.Max(lb, yG); } else { ++nr_free; sum_free += yG; } } if (nr_free > 0) r = sum_free / nr_free; else r = (ub + lb) / 2; return r; } } // // Solver for nu-svm classification and regression // // additional constraint: e^T \alpha = constant // internal sealed class Solver_NU : Solver { private SolutionInfo si; public override void Solve(int l, QMatrix Q, double[] p, short[] y, double[] alpha, double Cp, double Cn, double eps, SolutionInfo si, int shrinking) { this.si = si; base.Solve(l, Q, p, y, alpha, Cp, Cn, eps, si, shrinking); } // return 1 if already optimal, return 0 otherwise protected override int select_working_set(int[] working_set) { // return i,j such that y_i = y_j and // i: maximizes -y_i * grad(f)_i, i in I_up(\alpha) // j: minimizes the decrease of obj value // (if quadratic coefficeint <= 0, replace it with tau) // -y_j*grad(f)_j < -y_i*grad(f)_i, j in I_low(\alpha) double Gmaxp = -INF; double Gmaxp2 = -INF; int Gmaxp_idx = -1; double Gmaxn = -INF; double Gmaxn2 = -INF; int Gmaxn_idx = -1; int Gmin_idx = -1; double obj_diff_min = INF; for (int t = 0; t < active_size; t++) if (y[t] == +1) { if (!is_upper_bound(t)) if (-G[t] >= Gmaxp) { Gmaxp = -G[t]; Gmaxp_idx = t; } } else { if (!is_lower_bound(t)) if (G[t] >= Gmaxn) { Gmaxn = G[t]; Gmaxn_idx = t; } } int ip = Gmaxp_idx; int @in = Gmaxn_idx; float[] Q_ip = null; float[] Q_in = null; if (ip != -1) // null Q_ip not accessed: Gmaxp=-INF if ip=-1 Q_ip = Q.get_Q(ip, active_size); if (@in != -1) Q_in = Q.get_Q(@in, active_size); for (int j = 0; j < active_size; j++) { if (y[j] == +1) { if (!is_lower_bound(j)) { double grad_diff = Gmaxp + G[j]; if (G[j] >= Gmaxp2) Gmaxp2 = G[j]; if (grad_diff > 0) { double obj_diff; double quad_coef = QD[ip] + QD[j] - 2 * Q_ip[j]; if (quad_coef > 0) obj_diff = -(grad_diff * grad_diff) / quad_coef; else obj_diff = -(grad_diff * grad_diff) / 1e-12; if (obj_diff <= obj_diff_min) { Gmin_idx = j; obj_diff_min = obj_diff; } } } } else { if (!is_upper_bound(j)) { double grad_diff = Gmaxn - G[j]; if (-G[j] >= Gmaxn2) Gmaxn2 = -G[j]; if (grad_diff > 0) { double obj_diff; double quad_coef = QD[@in] + QD[j] - 2 * Q_in[j]; if (quad_coef > 0) obj_diff = -(grad_diff * grad_diff) / quad_coef; else obj_diff = -(grad_diff * grad_diff) / 1e-12; if (obj_diff <= obj_diff_min) { Gmin_idx = j; obj_diff_min = obj_diff; } } } } } if (Math.Max(Gmaxp + Gmaxp2, Gmaxn + Gmaxn2) < eps) return 1; if (y[Gmin_idx] == +1) working_set[0] = Gmaxp_idx; else working_set[0] = Gmaxn_idx; working_set[1] = Gmin_idx; return 0; } private bool be_shrunk(int i, double Gmax1, double Gmax2, double Gmax3, double Gmax4) { if (is_upper_bound(i)) { if (y[i] == +1) return (-G[i] > Gmax1); else return (-G[i] > Gmax4); } else if (is_lower_bound(i)) { if (y[i] == +1) return (G[i] > Gmax2); else return (G[i] > Gmax3); } else return (false); } protected override void do_shrinking() { double Gmax1 = -INF; // max { -y_i * grad(f)_i | y_i = +1, i in I_up(\alpha) } double Gmax2 = -INF; // max { y_i * grad(f)_i | y_i = +1, i in I_low(\alpha) } double Gmax3 = -INF; // max { -y_i * grad(f)_i | y_i = -1, i in I_up(\alpha) } double Gmax4 = -INF; // max { y_i * grad(f)_i | y_i = -1, i in I_low(\alpha) } // find maximal violating pair first int i; for (i = 0; i < active_size; i++) { if (!is_upper_bound(i)) { if (y[i] == +1) { if (-G[i] > Gmax1) Gmax1 = -G[i]; } else if (-G[i] > Gmax4) Gmax4 = -G[i]; } if (!is_lower_bound(i)) { if (y[i] == +1) { if (G[i] > Gmax2) Gmax2 = G[i]; } else if (G[i] > Gmax3) Gmax3 = G[i]; } } if (unshrink == false && Math.Max(Gmax1 + Gmax2, Gmax3 + Gmax4) <= eps * 10) { unshrink = true; reconstruct_gradient(); active_size = l; } for (i = 0; i < active_size; i++) if (be_shrunk(i, Gmax1, Gmax2, Gmax3, Gmax4)) { active_size--; while (active_size > i) { if (!be_shrunk(active_size, Gmax1, Gmax2, Gmax3, Gmax4)) { swap_index(i, active_size); break; } active_size--; } } } protected override double calculate_rho() { int nr_free1 = 0, nr_free2 = 0; double ub1 = INF, ub2 = INF; double lb1 = -INF, lb2 = -INF; double sum_free1 = 0, sum_free2 = 0; for (int i = 0; i < active_size; i++) { if (y[i] == +1) { if (is_lower_bound(i)) ub1 = Math.Min(ub1, G[i]); else if (is_upper_bound(i)) lb1 = Math.Max(lb1, G[i]); else { ++nr_free1; sum_free1 += G[i]; } } else { if (is_lower_bound(i)) ub2 = Math.Min(ub2, G[i]); else if (is_upper_bound(i)) lb2 = Math.Max(lb2, G[i]); else { ++nr_free2; sum_free2 += G[i]; } } } double r1, r2; if (nr_free1 > 0) r1 = sum_free1 / nr_free1; else r1 = (ub1 + lb1) / 2; if (nr_free2 > 0) r2 = sum_free2 / nr_free2; else r2 = (ub2 + lb2) / 2; si.r = (r1 + r2) / 2; return (r1 - r2) / 2; } } // // Q matrices for various formulations // class SVC_Q : Kernel { private readonly short[] y; private readonly Cache cache; private readonly double[] QD; public SVC_Q(svm_problem prob, svm_parameter param, short[] y_) : base(prob.l, prob.x, param) { y = (short[])y_.Clone(); cache = new Cache(prob.l, (long)(param.cache_size * (1 << 20))); QD = new double[prob.l]; for (int i = 0; i < prob.l; i++) QD[i] = kernel_function(i, i); } public override float[] get_Q(int i, int len) { float[][] data = new float[1][]; int start, j; if ((start = cache.get_data(i, data, len)) < len) { for (j = start; j < len; j++) data[0][j] = (float)(y[i] * y[j] * kernel_function(i, j)); } return data[0]; } public override double[] get_QD() { return QD; } public override void swap_index(int i, int j) { cache.swap_index(i, j); base.swap_index(i, j); { short _ = y[i]; y[i] = y[j]; y[j] = _; } { double _ = QD[i]; QD[i] = QD[j]; QD[j] = _; } } } class ONE_CLASS_Q : Kernel { private readonly Cache cache; private readonly double[] QD; public ONE_CLASS_Q(svm_problem prob, svm_parameter param) : base(prob.l, prob.x, param) { cache = new Cache(prob.l, (long)(param.cache_size * (1 << 20))); QD = new double[prob.l]; for (int i = 0; i < prob.l; i++) QD[i] = kernel_function(i, i); } public override float[] get_Q(int i, int len) { float[][] data = new float[1][]; int start, j; if ((start = cache.get_data(i, data, len)) < len) { for (j = start; j < len; j++) data[0][j] = (float)kernel_function(i, j); } return data[0]; } public override double[] get_QD() { return QD; } public override void swap_index(int i, int j) { cache.swap_index(i, j); base.swap_index(i, j); { double _ = QD[i]; QD[i] = QD[j]; QD[j] = _; } } } class SVR_Q : Kernel { private int l; private Cache cache; private short[] sign; private int[] index; private int next_buffer; private float[][] buffer; private readonly double[] QD; public SVR_Q(svm_problem prob, svm_parameter param) : base(prob.l, prob.x, param) { l = prob.l; cache = new Cache(l, (long)(param.cache_size * (1 << 20))); QD = new double[2 * l]; sign = new short[2 * l]; index = new int[2 * l]; for (int k = 0; k < l; k++) { sign[k] = 1; sign[k + l] = -1; index[k] = k; index[k + l] = k; QD[k] = kernel_function(k, k); QD[k + l] = QD[k]; } buffer = new float[2][]; buffer[0] = new float[2 * l]; buffer[1] = new float[2 * l]; next_buffer = 0; } public override void swap_index(int i, int j) { { short _ = sign[i]; sign[i] = sign[j]; sign[j] = _; } { int _ = index[i]; index[i] = index[j]; index[j] = _; } { double _ = QD[i]; QD[i] = QD[j]; QD[j] = _; } } public override float[] get_Q(int i, int len) { float[][] data = new float[1][]; int j, real_i = index[i]; if (cache.get_data(real_i, data, l) < l) { for (j = 0; j < l; j++) data[0][j] = (float)kernel_function(real_i, j); } // reorder and copy float[] buf = buffer[next_buffer]; next_buffer = 1 - next_buffer; short si = sign[i]; for (j = 0; j < len; j++) buf[j] = (float)si * sign[j] * data[0][index[j]]; return buf; } public override double[] get_QD() { return QD; } } public class svm { // // construct and solve various formulations // public static readonly int LIBSVM_VERSION = 312; public static readonly Random rand = new Random(); private static Action svm_print_string = (s) => { Console.Out.Write(s); Console.Out.Flush(); }; public static void info(String s) { svm_print_string(s); } private static void solve_c_svc(svm_problem prob, svm_parameter param, double[] alpha, Solver.SolutionInfo si, double Cp, double Cn) { int l = prob.l; double[] minus_ones = new double[l]; short[] y = new short[l]; int i; for (i = 0; i < l; i++) { alpha[i] = 0; minus_ones[i] = -1; if (prob.y[i] > 0) y[i] = +1; else y[i] = -1; } Solver s = new Solver(); s.Solve(l, new SVC_Q(prob, param, y), minus_ones, y, alpha, Cp, Cn, param.eps, si, param.shrinking); double sum_alpha = 0; for (i = 0; i < l; i++) sum_alpha += alpha[i]; if (Cp == Cn) svm.info("nu = " + sum_alpha / (Cp * prob.l) + Environment.NewLine); for (i = 0; i < l; i++) alpha[i] *= y[i]; } private static void solve_nu_svc(svm_problem prob, svm_parameter param, double[] alpha, Solver.SolutionInfo si) { int i; int l = prob.l; double nu = param.nu; short[] y = new short[l]; for (i = 0; i < l; i++) if (prob.y[i] > 0) y[i] = +1; else y[i] = -1; double sum_pos = nu * l / 2; double sum_neg = nu * l / 2; for (i = 0; i < l; i++) if (y[i] == +1) { alpha[i] = Math.Min(1.0, sum_pos); sum_pos -= alpha[i]; } else { alpha[i] = Math.Min(1.0, sum_neg); sum_neg -= alpha[i]; } double[] zeros = new double[l]; for (i = 0; i < l; i++) zeros[i] = 0; Solver_NU s = new Solver_NU(); s.Solve(l, new SVC_Q(prob, param, y), zeros, y, alpha, 1.0, 1.0, param.eps, si, param.shrinking); double r = si.r; svm.info("C = " + 1 / r + Environment.NewLine); for (i = 0; i < l; i++) alpha[i] *= y[i] / r; si.rho /= r; si.obj /= (r * r); si.upper_bound_p = 1 / r; si.upper_bound_n = 1 / r; } private static void solve_one_class(svm_problem prob, svm_parameter param, double[] alpha, Solver.SolutionInfo si) { int l = prob.l; double[] zeros = new double[l]; short[] ones = new short[l]; int i; int n = (int)(param.nu * prob.l); // # of alpha's at upper bound for (i = 0; i < n; i++) alpha[i] = 1; if (n < prob.l) alpha[n] = param.nu * prob.l - n; for (i = n + 1; i < l; i++) alpha[i] = 0; for (i = 0; i < l; i++) { zeros[i] = 0; ones[i] = 1; } Solver s = new Solver(); s.Solve(l, new ONE_CLASS_Q(prob, param), zeros, ones, alpha, 1.0, 1.0, param.eps, si, param.shrinking); } private static void solve_epsilon_svr(svm_problem prob, svm_parameter param, double[] alpha, Solver.SolutionInfo si) { int l = prob.l; double[] alpha2 = new double[2 * l]; double[] linear_term = new double[2 * l]; short[] y = new short[2 * l]; int i; for (i = 0; i < l; i++) { alpha2[i] = 0; linear_term[i] = param.p - prob.y[i]; y[i] = 1; alpha2[i + l] = 0; linear_term[i + l] = param.p + prob.y[i]; y[i + l] = -1; } Solver s = new Solver(); s.Solve(2 * l, new SVR_Q(prob, param), linear_term, y, alpha2, param.C, param.C, param.eps, si, param.shrinking); double sum_alpha = 0; for (i = 0; i < l; i++) { alpha[i] = alpha2[i] - alpha2[i + l]; sum_alpha += Math.Abs(alpha[i]); } svm.info("nu = " + sum_alpha / (param.C * l) + Environment.NewLine); } private static void solve_nu_svr(svm_problem prob, svm_parameter param, double[] alpha, Solver.SolutionInfo si) { int l = prob.l; double C = param.C; double[] alpha2 = new double[2 * l]; double[] linear_term = new double[2 * l]; short[] y = new short[2 * l]; int i; double sum = C * param.nu * l / 2; for (i = 0; i < l; i++) { alpha2[i] = alpha2[i + l] = Math.Min(sum, C); sum -= alpha2[i]; linear_term[i] = -prob.y[i]; y[i] = 1; linear_term[i + l] = prob.y[i]; y[i + l] = -1; } Solver_NU s = new Solver_NU(); s.Solve(2 * l, new SVR_Q(prob, param), linear_term, y, alpha2, C, C, param.eps, si, param.shrinking); svm.info("epsilon = " + (-si.r) + Environment.NewLine); for (i = 0; i < l; i++) alpha[i] = alpha2[i] - alpha2[i + l]; } // // decision_function // private sealed class decision_function { public double[] alpha; public double rho; }; private static decision_function svm_train_one( svm_problem prob, svm_parameter param, double Cp, double Cn) { double[] alpha = new double[prob.l]; Solver.SolutionInfo si = new Solver.SolutionInfo(); switch (param.svm_type) { case svm_parameter.C_SVC: solve_c_svc(prob, param, alpha, si, Cp, Cn); break; case svm_parameter.NU_SVC: solve_nu_svc(prob, param, alpha, si); break; case svm_parameter.ONE_CLASS: solve_one_class(prob, param, alpha, si); break; case svm_parameter.EPSILON_SVR: solve_epsilon_svr(prob, param, alpha, si); break; case svm_parameter.NU_SVR: solve_nu_svr(prob, param, alpha, si); break; } svm.info("obj = " + si.obj + ", rho = " + si.rho + Environment.NewLine); // output SVs int nSV = 0; int nBSV = 0; for (int i = 0; i < prob.l; i++) { if (Math.Abs(alpha[i]) > 0) { ++nSV; if (prob.y[i] > 0) { if (Math.Abs(alpha[i]) >= si.upper_bound_p) ++nBSV; } else { if (Math.Abs(alpha[i]) >= si.upper_bound_n) ++nBSV; } } } svm.info("nSV = " + nSV + ", nBSV = " + nBSV + Environment.NewLine); decision_function f = new decision_function(); f.alpha = alpha; f.rho = si.rho; return f; } // Platt's binary SVM Probablistic Output: an improvement from Lin et al. private static void sigmoid_train(int l, double[] dec_values, double[] labels, double[] probAB) { double A, B; double prior1 = 0, prior0 = 0; int i; for (i = 0; i < l; i++) if (labels[i] > 0) prior1 += 1; else prior0 += 1; int max_iter = 100; // Maximal number of iterations double min_step = 1e-10; // Minimal step taken in line search double sigma = 1e-12; // For numerically strict PD of Hessian double eps = 1e-5; double hiTarget = (prior1 + 1.0) / (prior1 + 2.0); double loTarget = 1 / (prior0 + 2.0); double[] t = new double[l]; double fApB, p, q, h11, h22, h21, g1, g2, det, dA, dB, gd, stepsize; double newA, newB, newf, d1, d2; int iter; // Initial Point and Initial Fun Value A = 0.0; B = Math.Log((prior0 + 1.0) / (prior1 + 1.0)); double fval = 0.0; for (i = 0; i < l; i++) { if (labels[i] > 0) t[i] = hiTarget; else t[i] = loTarget; fApB = dec_values[i] * A + B; if (fApB >= 0) fval += t[i] * fApB + Math.Log(1 + Math.Exp(-fApB)); else fval += (t[i] - 1) * fApB + Math.Log(1 + Math.Exp(fApB)); } for (iter = 0; iter < max_iter; iter++) { // Update Gradient and Hessian (use H' = H + sigma I) h11 = sigma; // numerically ensures strict PD h22 = sigma; h21 = 0.0; g1 = 0.0; g2 = 0.0; for (i = 0; i < l; i++) { fApB = dec_values[i] * A + B; if (fApB >= 0) { p = Math.Exp(-fApB) / (1.0 + Math.Exp(-fApB)); q = 1.0 / (1.0 + Math.Exp(-fApB)); } else { p = 1.0 / (1.0 + Math.Exp(fApB)); q = Math.Exp(fApB) / (1.0 + Math.Exp(fApB)); } d2 = p * q; h11 += dec_values[i] * dec_values[i] * d2; h22 += d2; h21 += dec_values[i] * d2; d1 = t[i] - p; g1 += dec_values[i] * d1; g2 += d1; } // Stopping Criteria if (Math.Abs(g1) < eps && Math.Abs(g2) < eps) break; // Finding Newton direction: -inv(H') * g det = h11 * h22 - h21 * h21; dA = -(h22 * g1 - h21 * g2) / det; dB = -(-h21 * g1 + h11 * g2) / det; gd = g1 * dA + g2 * dB; stepsize = 1; // Line Search while (stepsize >= min_step) { newA = A + stepsize * dA; newB = B + stepsize * dB; // New function value newf = 0.0; for (i = 0; i < l; i++) { fApB = dec_values[i] * newA + newB; if (fApB >= 0) newf += t[i] * fApB + Math.Log(1 + Math.Exp(-fApB)); else newf += (t[i] - 1) * fApB + Math.Log(1 + Math.Exp(fApB)); } // Check sufficient decrease if (newf < fval + 0.0001 * stepsize * gd) { A = newA; B = newB; fval = newf; break; } else stepsize = stepsize / 2.0; } if (stepsize < min_step) { svm.info("Line search fails in two-class probability estimates" + Environment.NewLine); break; } } if (iter >= max_iter) svm.info("Reaching maximal iterations in two-class probability estimates" + Environment.NewLine); probAB[0] = A; probAB[1] = B; } private static double sigmoid_predict(double decision_value, double A, double B) { double fApB = decision_value * A + B; if (fApB >= 0) return Math.Exp(-fApB) / (1.0 + Math.Exp(-fApB)); else return 1.0 / (1 + Math.Exp(fApB)); } // Method 2 from the multiclass_prob paper by Wu, Lin, and Weng private static void multiclass_probability(int k, double[][] r, double[] p) { int t, j; int iter = 0, max_iter = Math.Max(100, k); double[][] Q = new double[k][]; double[] Qp = new double[k]; double pQp, eps = 0.005 / k; for (t = 0; t < k; t++) { Q[t] = new double[k]; p[t] = 1.0 / k; // Valid if k = 1 Q[t][t] = 0; for (j = 0; j < t; j++) { Q[t][t] += r[j][t] * r[j][t]; Q[t][j] = Q[j][t]; } for (j = t + 1; j < k; j++) { Q[t][t] += r[j][t] * r[j][t]; Q[t][j] = -r[j][t] * r[t][j]; } } for (iter = 0; iter < max_iter; iter++) { // stopping condition, recalculate QP,pQP for numerical accuracy pQp = 0; for (t = 0; t < k; t++) { Qp[t] = 0; for (j = 0; j < k; j++) Qp[t] += Q[t][j] * p[j]; pQp += p[t] * Qp[t]; } double max_error = 0; for (t = 0; t < k; t++) { double error = Math.Abs(Qp[t] - pQp); if (error > max_error) max_error = error; } if (max_error < eps) break; for (t = 0; t < k; t++) { double diff = (-Qp[t] + pQp) / Q[t][t]; p[t] += diff; pQp = (pQp + diff * (diff * Q[t][t] + 2 * Qp[t])) / (1 + diff) / (1 + diff); for (j = 0; j < k; j++) { Qp[j] = (Qp[j] + diff * Q[t][j]) / (1 + diff); p[j] /= (1 + diff); } } } if (iter >= max_iter) svm.info("Exceeds max_iter in multiclass_prob" + Environment.NewLine); } // Cross-validation decision values for probability estimates private static void svm_binary_svc_probability(svm_problem prob, svm_parameter param, double Cp, double Cn, double[] probAB) { int i; int nr_fold = 5; int[] perm = new int[prob.l]; double[] dec_values = new double[prob.l]; // random shuffle for (i = 0; i < prob.l; i++) perm[i] = i; for (i = 0; i < prob.l; i++) { int j = i + rand.Next(prob.l - i); { int _ = perm[i]; perm[i] = perm[j]; perm[j] = _; } } for (i = 0; i < nr_fold; i++) { int begin = i * prob.l / nr_fold; int end = (i + 1) * prob.l / nr_fold; int j, k; svm_problem subprob = new svm_problem(); subprob.l = prob.l - (end - begin); subprob.x = new svm_node[subprob.l][]; subprob.y = new double[subprob.l]; k = 0; for (j = 0; j < begin; j++) { subprob.x[k] = prob.x[perm[j]]; subprob.y[k] = prob.y[perm[j]]; ++k; } for (j = end; j < prob.l; j++) { subprob.x[k] = prob.x[perm[j]]; subprob.y[k] = prob.y[perm[j]]; ++k; } int p_count = 0, n_count = 0; for (j = 0; j < k; j++) if (subprob.y[j] > 0) p_count++; else n_count++; if (p_count == 0 && n_count == 0) for (j = begin; j < end; j++) dec_values[perm[j]] = 0; else if (p_count > 0 && n_count == 0) for (j = begin; j < end; j++) dec_values[perm[j]] = 1; else if (p_count == 0 && n_count > 0) for (j = begin; j < end; j++) dec_values[perm[j]] = -1; else { svm_parameter subparam = (svm_parameter)param.Clone(); subparam.probability = 0; subparam.C = 1.0; subparam.nr_weight = 2; subparam.weight_label = new int[2]; subparam.weight = new double[2]; subparam.weight_label[0] = +1; subparam.weight_label[1] = -1; subparam.weight[0] = Cp; subparam.weight[1] = Cn; svm_model submodel = svm_train(subprob, subparam); for (j = begin; j < end; j++) { double[] dec_value = new double[1]; svm_predict_values(submodel, prob.x[perm[j]], dec_value); dec_values[perm[j]] = dec_value[0]; // ensure +1 -1 order; reason not using CV subroutine dec_values[perm[j]] *= submodel.label[0]; } } } sigmoid_train(prob.l, dec_values, prob.y, probAB); } // Return parameter of a Laplace distribution private static double svm_svr_probability(svm_problem prob, svm_parameter param) { int i; int nr_fold = 5; double[] ymv = new double[prob.l]; double mae = 0; svm_parameter newparam = (svm_parameter)param.Clone(); newparam.probability = 0; svm_cross_validation(prob, newparam, nr_fold, ymv); for (i = 0; i < prob.l; i++) { ymv[i] = prob.y[i] - ymv[i]; mae += Math.Abs(ymv[i]); } mae /= prob.l; double std = Math.Sqrt(2 * mae * mae); int count = 0; mae = 0; for (i = 0; i < prob.l; i++) if (Math.Abs(ymv[i]) > 5 * std) count = count + 1; else mae += Math.Abs(ymv[i]); mae /= (prob.l - count); svm.info("Prob. model for test data: target value = predicted value + z, " + Environment.NewLine + "z: Laplace distribution e^(-|z|/sigma)/(2sigma),sigma=" + mae + Environment.NewLine); return mae; } // label: label name, start: begin of each class, count: #data of classes, perm: indices to the original data // perm, length l, must be allocated before calling this subroutine private static void svm_group_classes(svm_problem prob, int[] nr_class_ret, int[][] label_ret, int[][] start_ret, int[][] count_ret, int[] perm) { int l = prob.l; int max_nr_class = 16; int nr_class = 0; int[] label = new int[max_nr_class]; int[] count = new int[max_nr_class]; int[] data_label = new int[l]; int i; for (i = 0; i < l; i++) { int this_label = (int)(prob.y[i]); int j; for (j = 0; j < nr_class; j++) { if (this_label == label[j]) { ++count[j]; break; } } data_label[i] = j; if (j == nr_class) { if (nr_class == max_nr_class) { max_nr_class *= 2; int[] new_data = new int[max_nr_class]; Array.Copy(label, 0, new_data, 0, label.Length); label = new_data; new_data = new int[max_nr_class]; Array.Copy(count, 0, new_data, 0, count.Length); count = new_data; } label[nr_class] = this_label; count[nr_class] = 1; ++nr_class; } } int[] start = new int[nr_class]; start[0] = 0; for (i = 1; i < nr_class; i++) start[i] = start[i - 1] + count[i - 1]; for (i = 0; i < l; i++) { perm[start[data_label[i]]] = i; ++start[data_label[i]]; } start[0] = 0; for (i = 1; i < nr_class; i++) start[i] = start[i - 1] + count[i - 1]; nr_class_ret[0] = nr_class; label_ret[0] = label; start_ret[0] = start; count_ret[0] = count; } // // Interface functions // public static svm_model svm_train(svm_problem prob, svm_parameter param) { svm_model model = new svm_model(); model.param = param; if (param.svm_type == svm_parameter.ONE_CLASS || param.svm_type == svm_parameter.EPSILON_SVR || param.svm_type == svm_parameter.NU_SVR) { // regression or one-class-svm model.nr_class = 2; model.label = null; model.nSV = null; model.probA = null; model.probB = null; model.sv_coef = new double[1][]; if (param.probability == 1 && (param.svm_type == svm_parameter.EPSILON_SVR || param.svm_type == svm_parameter.NU_SVR)) { model.probA = new double[1]; model.probA[0] = svm_svr_probability(prob, param); } decision_function f = svm_train_one(prob, param, 0, 0); model.rho = new double[1]; model.rho[0] = f.rho; int nSV = 0; int i; for (i = 0; i < prob.l; i++) if (Math.Abs(f.alpha[i]) > 0) ++nSV; model.l = nSV; model.SV = new svm_node[nSV][]; model.sv_coef[0] = new double[nSV]; int j = 0; for (i = 0; i < prob.l; i++) if (Math.Abs(f.alpha[i]) > 0) { model.SV[j] = prob.x[i]; model.sv_coef[0][j] = f.alpha[i]; ++j; } } else { // classification int l = prob.l; int[] tmp_nr_class = new int[1]; int[][] tmp_label = new int[1][]; int[][] tmp_start = new int[1][]; int[][] tmp_count = new int[1][]; int[] perm = new int[l]; // group training data of the same class svm_group_classes(prob, tmp_nr_class, tmp_label, tmp_start, tmp_count, perm); int nr_class = tmp_nr_class[0]; int[] label = tmp_label[0]; int[] start = tmp_start[0]; int[] count = tmp_count[0]; if (nr_class == 1) svm.info("WARNING: training data in only one class. See README for details." + Environment.NewLine); svm_node[][] x = new svm_node[l][]; int i; for (i = 0; i < l; i++) x[i] = prob.x[perm[i]]; // calculate weighted C double[] weighted_C = new double[nr_class]; for (i = 0; i < nr_class; i++) weighted_C[i] = param.C; for (i = 0; i < param.nr_weight; i++) { int j; for (j = 0; j < nr_class; j++) if (param.weight_label[i] == label[j]) break; if (j == nr_class) Console.Error.WriteLine("WARNING: class label " + param.weight_label[i] + " specified in weight is not found"); else weighted_C[j] *= param.weight[i]; } // train k*(k-1)/2 models bool[] nonzero = new bool[l]; for (i = 0; i < l; i++) nonzero[i] = false; decision_function[] f = new decision_function[nr_class * (nr_class - 1) / 2]; double[] probA = null, probB = null; if (param.probability == 1) { probA = new double[nr_class * (nr_class - 1) / 2]; probB = new double[nr_class * (nr_class - 1) / 2]; } int p = 0; for (i = 0; i < nr_class; i++) for (int j = i + 1; j < nr_class; j++) { svm_problem sub_prob = new svm_problem(); int si = start[i], sj = start[j]; int ci = count[i], cj = count[j]; sub_prob.l = ci + cj; sub_prob.x = new svm_node[sub_prob.l][]; sub_prob.y = new double[sub_prob.l]; int k; for (k = 0; k < ci; k++) { sub_prob.x[k] = x[si + k]; sub_prob.y[k] = +1; } for (k = 0; k < cj; k++) { sub_prob.x[ci + k] = x[sj + k]; sub_prob.y[ci + k] = -1; } if (param.probability == 1) { double[] probAB = new double[2]; svm_binary_svc_probability(sub_prob, param, weighted_C[i], weighted_C[j], probAB); probA[p] = probAB[0]; probB[p] = probAB[1]; } f[p] = svm_train_one(sub_prob, param, weighted_C[i], weighted_C[j]); for (k = 0; k < ci; k++) if (!nonzero[si + k] && Math.Abs(f[p].alpha[k]) > 0) nonzero[si + k] = true; for (k = 0; k < cj; k++) if (!nonzero[sj + k] && Math.Abs(f[p].alpha[ci + k]) > 0) nonzero[sj + k] = true; ++p; } // build output model.nr_class = nr_class; model.label = new int[nr_class]; for (i = 0; i < nr_class; i++) model.label[i] = label[i]; model.rho = new double[nr_class * (nr_class - 1) / 2]; for (i = 0; i < nr_class * (nr_class - 1) / 2; i++) model.rho[i] = f[i].rho; if (param.probability == 1) { model.probA = new double[nr_class * (nr_class - 1) / 2]; model.probB = new double[nr_class * (nr_class - 1) / 2]; for (i = 0; i < nr_class * (nr_class - 1) / 2; i++) { model.probA[i] = probA[i]; model.probB[i] = probB[i]; } } else { model.probA = null; model.probB = null; } int nnz = 0; int[] nz_count = new int[nr_class]; model.nSV = new int[nr_class]; for (i = 0; i < nr_class; i++) { int nSV = 0; for (int j = 0; j < count[i]; j++) if (nonzero[start[i] + j]) { ++nSV; ++nnz; } model.nSV[i] = nSV; nz_count[i] = nSV; } svm.info("Total nSV = " + nnz + Environment.NewLine); model.l = nnz; model.SV = new svm_node[nnz][]; p = 0; for (i = 0; i < l; i++) if (nonzero[i]) model.SV[p++] = x[i]; int[] nz_start = new int[nr_class]; nz_start[0] = 0; for (i = 1; i < nr_class; i++) nz_start[i] = nz_start[i - 1] + nz_count[i - 1]; model.sv_coef = new double[nr_class - 1][]; for (i = 0; i < nr_class - 1; i++) model.sv_coef[i] = new double[nnz]; p = 0; for (i = 0; i < nr_class; i++) for (int j = i + 1; j < nr_class; j++) { // classifier (i,j): coefficients with // i are in sv_coef[j-1][nz_start[i]...], // j are in sv_coef[i][nz_start[j]...] int si = start[i]; int sj = start[j]; int ci = count[i]; int cj = count[j]; int q = nz_start[i]; int k; for (k = 0; k < ci; k++) if (nonzero[si + k]) model.sv_coef[j - 1][q++] = f[p].alpha[k]; q = nz_start[j]; for (k = 0; k < cj; k++) if (nonzero[sj + k]) model.sv_coef[i][q++] = f[p].alpha[ci + k]; ++p; } } return model; } // Stratified cross validation public static void svm_cross_validation(svm_problem prob, svm_parameter param, int nr_fold, double[] target) { int i; int[] fold_start = new int[nr_fold + 1]; int l = prob.l; int[] perm = new int[l]; // stratified cv may not give leave-one-out rate // Each class to l folds -> some folds may have zero elements if ((param.svm_type == svm_parameter.C_SVC || param.svm_type == svm_parameter.NU_SVC) && nr_fold < l) { int[] tmp_nr_class = new int[1]; int[][] tmp_label = new int[1][]; int[][] tmp_start = new int[1][]; int[][] tmp_count = new int[1][]; svm_group_classes(prob, tmp_nr_class, tmp_label, tmp_start, tmp_count, perm); int nr_class = tmp_nr_class[0]; int[] start = tmp_start[0]; int[] count = tmp_count[0]; // random shuffle and then data grouped by fold using the array perm int[] fold_count = new int[nr_fold]; int c; int[] index = new int[l]; for (i = 0; i < l; i++) index[i] = perm[i]; for (c = 0; c < nr_class; c++) for (i = 0; i < count[c]; i++) { int j = i + rand.Next(count[c] - i); { int _ = index[start[c] + j]; index[start[c] + j] = index[start[c] + i]; index[start[c] + i] = _; } } for (i = 0; i < nr_fold; i++) { fold_count[i] = 0; for (c = 0; c < nr_class; c++) fold_count[i] += (i + 1) * count[c] / nr_fold - i * count[c] / nr_fold; } fold_start[0] = 0; for (i = 1; i <= nr_fold; i++) fold_start[i] = fold_start[i - 1] + fold_count[i - 1]; for (c = 0; c < nr_class; c++) for (i = 0; i < nr_fold; i++) { int begin = start[c] + i * count[c] / nr_fold; int end = start[c] + (i + 1) * count[c] / nr_fold; for (int j = begin; j < end; j++) { perm[fold_start[i]] = index[j]; fold_start[i]++; } } fold_start[0] = 0; for (i = 1; i <= nr_fold; i++) fold_start[i] = fold_start[i - 1] + fold_count[i - 1]; } else { for (i = 0; i < l; i++) perm[i] = i; for (i = 0; i < l; i++) { int j = i + rand.Next(l - i); { int _ = perm[i]; perm[i] = perm[j]; perm[j] = _; } } for (i = 0; i <= nr_fold; i++) fold_start[i] = i * l / nr_fold; } for (i = 0; i < nr_fold; i++) { int begin = fold_start[i]; int end = fold_start[i + 1]; int j, k; svm_problem subprob = new svm_problem(); subprob.l = l - (end - begin); subprob.x = new svm_node[subprob.l][]; subprob.y = new double[subprob.l]; k = 0; for (j = 0; j < begin; j++) { subprob.x[k] = prob.x[perm[j]]; subprob.y[k] = prob.y[perm[j]]; ++k; } for (j = end; j < l; j++) { subprob.x[k] = prob.x[perm[j]]; subprob.y[k] = prob.y[perm[j]]; ++k; } svm_model submodel = svm_train(subprob, param); if (param.probability == 1 && (param.svm_type == svm_parameter.C_SVC || param.svm_type == svm_parameter.NU_SVC)) { double[] prob_estimates = new double[svm_get_nr_class(submodel)]; for (j = begin; j < end; j++) target[perm[j]] = svm_predict_probability(submodel, prob.x[perm[j]], prob_estimates); } else for (j = begin; j < end; j++) target[perm[j]] = svm_predict(submodel, prob.x[perm[j]]); } } public static int svm_get_svm_type(svm_model model) { return model.param.svm_type; } public static int svm_get_nr_class(svm_model model) { return model.nr_class; } public static void svm_get_labels(svm_model model, int[] label) { if (model.label != null) for (int i = 0; i < model.nr_class; i++) label[i] = model.label[i]; } public static double svm_get_svr_probability(svm_model model) { if ((model.param.svm_type == svm_parameter.EPSILON_SVR || model.param.svm_type == svm_parameter.NU_SVR) && model.probA != null) return model.probA[0]; else { Console.Error.WriteLine("Model doesn't contain information for SVR probability inference"); return 0; } } public static double svm_predict_values(svm_model model, svm_node[] x, double[] dec_values) { int i; if (model.param.svm_type == svm_parameter.ONE_CLASS || model.param.svm_type == svm_parameter.EPSILON_SVR || model.param.svm_type == svm_parameter.NU_SVR) { double[] sv_coef = model.sv_coef[0]; double sum = 0; for (i = 0; i < model.l; i++) sum += sv_coef[i] * Kernel.k_function(x, model.SV[i], model.param); sum -= model.rho[0]; dec_values[0] = sum; if (model.param.svm_type == svm_parameter.ONE_CLASS) return (sum > 0) ? 1 : -1; else return sum; } else { int nr_class = model.nr_class; int l = model.l; double[] kvalue = new double[l]; for (i = 0; i < l; i++) kvalue[i] = Kernel.k_function(x, model.SV[i], model.param); int[] start = new int[nr_class]; start[0] = 0; for (i = 1; i < nr_class; i++) start[i] = start[i - 1] + model.nSV[i - 1]; int[] vote = new int[nr_class]; for (i = 0; i < nr_class; i++) vote[i] = 0; int p = 0; for (i = 0; i < nr_class; i++) for (int j = i + 1; j < nr_class; j++) { double sum = 0; int si = start[i]; int sj = start[j]; int ci = model.nSV[i]; int cj = model.nSV[j]; int k; double[] coef1 = model.sv_coef[j - 1]; double[] coef2 = model.sv_coef[i]; for (k = 0; k < ci; k++) sum += coef1[si + k] * kvalue[si + k]; for (k = 0; k < cj; k++) sum += coef2[sj + k] * kvalue[sj + k]; sum -= model.rho[p]; dec_values[p] = sum; if (dec_values[p] > 0) ++vote[i]; else ++vote[j]; p++; } int vote_max_idx = 0; for (i = 1; i < nr_class; i++) if (vote[i] > vote[vote_max_idx]) vote_max_idx = i; return model.label[vote_max_idx]; } } public static double svm_predict(svm_model model, svm_node[] x) { int nr_class = model.nr_class; double[] dec_values; if (model.param.svm_type == svm_parameter.ONE_CLASS || model.param.svm_type == svm_parameter.EPSILON_SVR || model.param.svm_type == svm_parameter.NU_SVR) dec_values = new double[1]; else dec_values = new double[nr_class * (nr_class - 1) / 2]; double pred_result = svm_predict_values(model, x, dec_values); return pred_result; } public static double svm_predict_probability(svm_model model, svm_node[] x, double[] prob_estimates) { if ((model.param.svm_type == svm_parameter.C_SVC || model.param.svm_type == svm_parameter.NU_SVC) && model.probA != null && model.probB != null) { int i; int nr_class = model.nr_class; double[] dec_values = new double[nr_class * (nr_class - 1) / 2]; svm_predict_values(model, x, dec_values); double min_prob = 1e-7; double[][] pairwise_prob = new double[nr_class][]; int k = 0; for (i = 0; i < nr_class; i++) pairwise_prob[i] = new double[nr_class]; for (int j = i + 1; j < nr_class; j++) { pairwise_prob[i][j] = Math.Min(Math.Max(sigmoid_predict(dec_values[k], model.probA[k], model.probB[k]), min_prob), 1 - min_prob); pairwise_prob[j][i] = 1 - pairwise_prob[i][j]; k++; } multiclass_probability(nr_class, pairwise_prob, prob_estimates); int prob_max_idx = 0; for (i = 1; i < nr_class; i++) if (prob_estimates[i] > prob_estimates[prob_max_idx]) prob_max_idx = i; return model.label[prob_max_idx]; } else return svm_predict(model, x); } private static readonly string[] svm_type_table = new string[] { "c_svc", "nu_svc", "one_class", "epsilon_svr", "nu_svr", }; private static readonly string[] kernel_type_table = new string[] { "linear", "polynomial", "rbf", "sigmoid", "precomputed" }; public static void svm_save_model(string model_file_name, svm_model model) { //DataOutputStream fp = new DataOutputStream(new BufferedOutputStream(new FileOutputStream(model_file_name))); var writer = new StreamWriter(model_file_name); svm_save_model(writer, model); } public static void svm_save_model(StreamWriter writer, svm_model model) { var savedCulture = Thread.CurrentThread.CurrentCulture; Thread.CurrentThread.CurrentCulture = CultureInfo.InvariantCulture; svm_parameter param = model.param; writer.Write("svm_type " + svm_type_table[param.svm_type] + Environment.NewLine); writer.Write("kernel_type " + kernel_type_table[param.kernel_type] + Environment.NewLine); if (param.kernel_type == svm_parameter.POLY) writer.Write("degree " + param.degree + Environment.NewLine); if (param.kernel_type == svm_parameter.POLY || param.kernel_type == svm_parameter.RBF || param.kernel_type == svm_parameter.SIGMOID) writer.Write("gamma " + param.gamma.ToString("r") + Environment.NewLine); if (param.kernel_type == svm_parameter.POLY || param.kernel_type == svm_parameter.SIGMOID) writer.Write("coef0 " + param.coef0.ToString("r") + Environment.NewLine); int nr_class = model.nr_class; int l = model.l; writer.Write("nr_class " + nr_class + Environment.NewLine); writer.Write("total_sv " + l + Environment.NewLine); { writer.Write("rho"); for (int i = 0; i < nr_class * (nr_class - 1) / 2; i++) writer.Write(" " + model.rho[i].ToString("r")); writer.Write(Environment.NewLine); } if (model.label != null) { writer.Write("label"); for (int i = 0; i < nr_class; i++) writer.Write(" " + model.label[i]); writer.Write(Environment.NewLine); } if (model.probA != null) // regression has probA only { writer.Write("probA"); for (int i = 0; i < nr_class * (nr_class - 1) / 2; i++) writer.Write(" " + model.probA[i].ToString("r")); writer.Write(Environment.NewLine); } if (model.probB != null) { writer.Write("probB"); for (int i = 0; i < nr_class * (nr_class - 1) / 2; i++) writer.Write(" " + model.probB[i].ToString("r")); writer.Write(Environment.NewLine); } if (model.nSV != null) { writer.Write("nr_sv"); for (int i = 0; i < nr_class; i++) writer.Write(" " + model.nSV[i]); writer.Write(Environment.NewLine); } writer.WriteLine("SV"); double[][] sv_coef = model.sv_coef; svm_node[][] SV = model.SV; for (int i = 0; i < l; i++) { for (int j = 0; j < nr_class - 1; j++) writer.Write(sv_coef[j][i].ToString("r") + " "); svm_node[] p = SV[i]; if (param.kernel_type == svm_parameter.PRECOMPUTED) writer.Write("0:" + (int)(p[0].value)); else for (int j = 0; j < p.Length; j++) writer.Write(p[j].index + ":" + p[j].value.ToString("r") + " "); writer.Write(Environment.NewLine); } writer.Flush(); Thread.CurrentThread.CurrentCulture = savedCulture; } private static double atof(String s) { return double.Parse(s); } private static int atoi(String s) { return int.Parse(s); } public static svm_model svm_load_model(String model_file_name) { return svm_load_model(new StreamReader(model_file_name)); } public static svm_model svm_load_model(StreamReader reader) { var savedCulture = Thread.CurrentThread.CurrentCulture; Thread.CurrentThread.CurrentCulture = CultureInfo.InvariantCulture; // read parameters svm_model model = new svm_model(); svm_parameter param = new svm_parameter(); model.param = param; model.rho = null; model.probA = null; model.probB = null; model.label = null; model.nSV = null; while (true) { String cmd = reader.ReadLine(); String arg = cmd.Substring(cmd.IndexOf(' ') + 1); if (cmd.StartsWith("svm_type")) { int i; for (i = 0; i < svm_type_table.Length; i++) { if (arg.IndexOf(svm_type_table[i], StringComparison.InvariantCultureIgnoreCase) != -1) { param.svm_type = i; break; } } if (i == svm_type_table.Length) { Console.Error.WriteLine("unknown svm type."); return null; } } else if (cmd.StartsWith("kernel_type")) { int i; for (i = 0; i < kernel_type_table.Length; i++) { if (arg.IndexOf(kernel_type_table[i], StringComparison.InvariantCultureIgnoreCase) != -1) { param.kernel_type = i; break; } } if (i == kernel_type_table.Length) { Console.Error.WriteLine("unknown kernel function."); return null; } } else if (cmd.StartsWith("degree")) param.degree = atoi(arg); else if (cmd.StartsWith("gamma")) param.gamma = atof(arg); else if (cmd.StartsWith("coef0")) param.coef0 = atof(arg); else if (cmd.StartsWith("nr_class")) model.nr_class = atoi(arg); else if (cmd.StartsWith("total_sv")) model.l = atoi(arg); else if (cmd.StartsWith("rho")) { int n = model.nr_class * (model.nr_class - 1) / 2; model.rho = new double[n]; var st = arg.Split(' ', '\t', '\n', '\r', '\f'); for (int i = 0; i < n; i++) model.rho[i] = atof(st[i]); } else if (cmd.StartsWith("label")) { int n = model.nr_class; model.label = new int[n]; var st = arg.Split(' ', '\t', '\n', '\r', '\f'); for (int i = 0; i < n; i++) model.label[i] = atoi(st[i]); } else if (cmd.StartsWith("probA")) { int n = model.nr_class * (model.nr_class - 1) / 2; model.probA = new double[n]; var st = arg.Split(' ', '\t', '\n', '\r', '\f'); for (int i = 0; i < n; i++) model.probA[i] = atof(st[i]); } else if (cmd.StartsWith("probB")) { int n = model.nr_class * (model.nr_class - 1) / 2; model.probB = new double[n]; var st = arg.Split(' ', '\t', '\n', '\r', '\f'); for (int i = 0; i < n; i++) model.probB[i] = atof(st[i]); } else if (cmd.StartsWith("nr_sv")) { int n = model.nr_class; model.nSV = new int[n]; var st = arg.Split(' ', '\t', '\n', '\r', '\f'); for (int i = 0; i < n; i++) model.nSV[i] = atoi(st[i]); } else if (cmd.StartsWith("SV")) { break; } else { Console.Error.WriteLine("unknown text in model file: [" + cmd + "]"); return null; } } // read sv_coef and SV int m = model.nr_class - 1; int l = model.l; model.sv_coef = new double[m][]; for (int k = 0; k < m; k++) model.sv_coef[k] = new double[l]; model.SV = new svm_node[l][]; for (int i = 0; i < l; i++) { String line = reader.ReadLine(); var st = line.Split(' ', '\t', '\n', '\r', '\f', ':'); for (int k = 0; k < m; k++) { model.sv_coef[k][i] = atof(st[k]); } // skip y value st = st.Skip(1).ToArray(); int n = st.Length / 2; model.SV[i] = new svm_node[n]; for (int j = 0; j < n; j++) { model.SV[i][j] = new svm_node(); model.SV[i][j].index = atoi(st[2 * j]); model.SV[i][j].value = atof(st[2 * j + 1]); } } Thread.CurrentThread.CurrentCulture = savedCulture; return model; } public static string svm_check_parameter(svm_problem prob, svm_parameter param) { // svm_type int svm_type = param.svm_type; if (svm_type != svm_parameter.C_SVC && svm_type != svm_parameter.NU_SVC && svm_type != svm_parameter.ONE_CLASS && svm_type != svm_parameter.EPSILON_SVR && svm_type != svm_parameter.NU_SVR) return "unknown svm type"; // kernel_type, degree int kernel_type = param.kernel_type; if (kernel_type != svm_parameter.LINEAR && kernel_type != svm_parameter.POLY && kernel_type != svm_parameter.RBF && kernel_type != svm_parameter.SIGMOID && kernel_type != svm_parameter.PRECOMPUTED) return "unknown kernel type"; if (param.gamma < 0) return "gamma < 0"; if (param.degree < 0) return "degree of polynomial kernel < 0"; // cache_size,eps,C,nu,p,shrinking if (param.cache_size <= 0) return "cache_size <= 0"; if (param.eps <= 0) return "eps <= 0"; if (svm_type == svm_parameter.C_SVC || svm_type == svm_parameter.EPSILON_SVR || svm_type == svm_parameter.NU_SVR) if (param.C <= 0) return "C <= 0"; if (svm_type == svm_parameter.NU_SVC || svm_type == svm_parameter.ONE_CLASS || svm_type == svm_parameter.NU_SVR) if (param.nu <= 0 || param.nu > 1) return "nu <= 0 or nu > 1"; if (svm_type == svm_parameter.EPSILON_SVR) if (param.p < 0) return "p < 0"; if (param.shrinking != 0 && param.shrinking != 1) return "shrinking != 0 and shrinking != 1"; if (param.probability != 0 && param.probability != 1) return "probability != 0 and probability != 1"; if (param.probability == 1 && svm_type == svm_parameter.ONE_CLASS) return "one-class SVM probability output not supported yet"; // check whether nu-svc is feasible if (svm_type == svm_parameter.NU_SVC) { int l = prob.l; int max_nr_class = 16; int nr_class = 0; int[] label = new int[max_nr_class]; int[] count = new int[max_nr_class]; int i; for (i = 0; i < l; i++) { int this_label = (int)prob.y[i]; int j; for (j = 0; j < nr_class; j++) if (this_label == label[j]) { ++count[j]; break; } if (j == nr_class) { if (nr_class == max_nr_class) { max_nr_class *= 2; int[] new_data = new int[max_nr_class]; Array.Copy(label, 0, new_data, 0, label.Length); label = new_data; new_data = new int[max_nr_class]; Array.Copy(count, 0, new_data, 0, count.Length); count = new_data; } label[nr_class] = this_label; count[nr_class] = 1; ++nr_class; } } for (i = 0; i < nr_class; i++) { int n1 = count[i]; for (int j = i + 1; j < nr_class; j++) { int n2 = count[j]; if (param.nu * (n1 + n2) / 2 > Math.Min(n1, n2)) return "specified nu is infeasible"; } } } return null; } public static int svm_check_probability_model(svm_model model) { if (((model.param.svm_type == svm_parameter.C_SVC || model.param.svm_type == svm_parameter.NU_SVC) && model.probA != null && model.probB != null) || ((model.param.svm_type == svm_parameter.EPSILON_SVR || model.param.svm_type == svm_parameter.NU_SVR) && model.probA != null)) return 1; else return 0; } public static void svm_set_print_string_function(Action print_func) { /*if (print_func == null) svm_print_string = svm_print_stdout; else svm_print_string = print_func; */ if (print_func != null) svm_print_string = print_func; } } public class svm_node : ICloneable { public int index; public double value; public object Clone() { var clone = new svm_node(); clone.index = index; clone.value = value; return clone; } } public class svm_model { public svm_parameter param; // parameter public int nr_class; // number of classes, = 2 in regression/one class svm public int l; // total #SV public svm_node[][] SV; // SVs (SV[l]) public double[][] sv_coef; // coefficients for SVs in decision functions (sv_coef[k-1][l]) public double[] rho; // constants in decision functions (rho[k*(k-1)/2]) public double[] probA; // pariwise probability information public double[] probB; // for classification only public int[] label; // label of each class (label[k]) public int[] nSV; // number of SVs for each class (nSV[k]) // nSV[0] + nSV[1] + ... + nSV[k-1] = l }; public class svm_problem { public int l; public double[] y; public svm_node[][] x; } public interface svm_print_interface { void print(String s); } public class svm_parameter : ICloneable { /* svm_type */ public const int C_SVC = 0; public const int NU_SVC = 1; public const int ONE_CLASS = 2; public const int EPSILON_SVR = 3; public const int NU_SVR = 4; /* kernel_type */ public const int LINEAR = 0; public const int POLY = 1; public const int RBF = 2; public const int SIGMOID = 3; public const int PRECOMPUTED = 4; public int svm_type; public int kernel_type; public int degree; // for poly public double gamma; // for poly/rbf/sigmoid public double coef0; // for poly/sigmoid // these are for training only public double cache_size; // in MB public double eps; // stopping criteria public double C; // for C_SVC, EPSILON_SVR and NU_SVR public int nr_weight; // for C_SVC public int[] weight_label; // for C_SVC public double[] weight; // for C_SVC public double nu; // for NU_SVC, ONE_CLASS, and NU_SVR public double p; // for EPSILON_SVR public int shrinking; // use the shrinking heuristics public int probability; // do probability estimates public virtual object Clone() { var clone = new svm_parameter(); clone.svm_type = svm_type; clone.kernel_type = kernel_type; clone.degree = degree; clone.gamma = gamma; clone.coef0 = coef0; clone.cache_size = cache_size; clone.eps = eps; clone.C = C; clone.nr_weight = nr_weight; clone.weight_label = new int[weight_label.Length]; Array.Copy(weight_label, clone.weight_label, weight_label.Length); clone.weight = new double[weight.Length]; Array.Copy(weight, clone.weight, weight.Length); clone.nu = nu; clone.p = p; clone.shrinking = shrinking; clone.probability = probability; return clone; } } }