protected void nextLambda(final GLMIterationTask glmt, GLMValidation val) {
currentLambdaIter = 0;
boolean improved = _model.setAndTestValidation(_lambdaIdx, val);
_model.clone().update(self());
boolean done = false; // _iter < max_iter && (improved || _runAllLambdas) && _lambdaIdx <
// (lambda.length-1);
if (_iter == max_iter) {
Log.info("GLM2 reached max #iterations.");
done = true;
} else if (!improved && !_runAllLambdas) {
Log.info("GLM2 converged as solution stopped improving with decreasing lambda.");
done = true;
} else if (_lambdaIdx == lambda.length - 1) {
Log.info("GLM2 done with all given lambdas.");
done = true;
} else if (_activeCols != null && _activeCols.length + 1 >= MAX_PREDICTORS) {
Log.info(
"GLM2 reached maximum allowed number of predictors at lambda = " + lambda[_lambdaIdx]);
done = true;
}
if (!done) { // continue with next lambda value?
++_lambdaIdx;
glmt._val = null;
if (glmt._gram == null) { // assume we had lambda search with strong rules
// we use strong rules so we can't really used this gram for the next lambda computation
// (different sets of coefficients)
// I expect that:
// 1) beta has been expanded to match current set of active cols
// 2) it is new GLMIteration ready to be launched
// caller (nextLambda(glmt,beta)) is expected to ensure this...
assert _activeCols == null || (glmt._beta.length == _activeCols.length + 1);
assert !glmt.isDone();
glmt.asyncExec(_activeData._adaptedFrame);
} else // we have the right gram, just solve with with next lambda
new Iteration().callback(glmt);
} else // nope, we're done
GLM2.this.complete(); // signal we're done to anyone waiting for the job
}
@Override
public void callback(final GLMIterationTask glmt) {
_model.stop_training();
Log.info(
"GLM2 iteration("
+ _iter
+ ") done in "
+ (System.currentTimeMillis() - _iterationStartTime)
+ "ms");
if (!isRunning(self())) throw new JobCancelledException();
currentLambdaIter++;
if (glmt._val != null) {
if (!(glmt._val.residual_deviance
< glmt._val
.null_deviance)) { // complete fail, look if we can restart with higher_accuracy on
if (!highAccuracy()) {
Log.info(
"GLM2 reached negative explained deviance without line-search, rerunning with high accuracy settings.");
setHighAccuracy();
if (_lastResult != null)
new GLMIterationTask(
GLM2.this,
_activeData,
glmt._glm,
true,
true,
true,
_lastResult._glmt._beta,
_ymu,
_reg,
new Iteration())
.asyncExec(_activeData._adaptedFrame);
else if (_lambdaIdx > 2) // > 2 because 0 is null model, we don't wan to run with that
new GLMIterationTask(
GLM2.this,
_activeData,
glmt._glm,
true,
true,
true,
_model.submodels[_lambdaIdx - 1].norm_beta,
_ymu,
_reg,
new Iteration())
.asyncExec(_activeData._adaptedFrame);
else // no sane solution to go back to, start from scratch!
new GLMIterationTask(
GLM2.this,
_activeData,
glmt._glm,
true,
false,
false,
null,
_ymu,
_reg,
new Iteration())
.asyncExec(_activeData._adaptedFrame);
_lastResult = null;
return;
}
}
_model.setAndTestValidation(_lambdaIdx, glmt._val);
_model.clone().update(self());
}
if (glmt._val != null && glmt._computeGradient) { // check gradient
final double[] grad = glmt.gradient(l2pen());
ADMMSolver.subgrad(alpha[0], lambda[_lambdaIdx], glmt._beta, grad);
double err = 0;
for (double d : grad)
if (d > err) err = d;
else if (d < -err) err = -d;
Log.info("GLM2 gradient after " + _iter + " iterations = " + err);
if (err <= GLM_GRAD_EPS) {
Log.info(
"GLM2 converged by reaching small enough gradient, with max |subgradient| = " + err);
setNewBeta(glmt._beta);
nextLambda(glmt, glmt._beta);
return;
}
}
if (glmt._beta != null
&& glmt._val != null
&& glmt._computeGradient
&& _glm.family != Family.tweedie) {
if (_lastResult != null && needLineSearch(glmt._beta, objval(glmt), 1)) {
if (!highAccuracy()) {
setHighAccuracy();
if (_lastResult._iter
< (_iter - 2)) { // there is a gap form last result...return to it and start again
final double[] prevBeta =
_lastResult._activeCols != _activeCols
? resizeVec(_lastResult._glmt._beta, _activeCols, _lastResult._activeCols)
: _lastResult._glmt._beta;
new GLMIterationTask(
GLM2.this,
_activeData,
glmt._glm,
true,
true,
true,
prevBeta,
_ymu,
_reg,
new Iteration())
.asyncExec(_activeData._adaptedFrame);
return;
}
}
final double[] b =
resizeVec(_lastResult._glmt._beta, _activeCols, _lastResult._activeCols);
assert (b.length == glmt._beta.length)
: b.length + " != " + glmt._beta.length + ", activeCols = " + _activeCols.length;
new GLMTask.GLMLineSearchTask(
GLM2.this,
_activeData,
_glm,
resizeVec(_lastResult._glmt._beta, _activeCols, _lastResult._activeCols),
glmt._beta,
1e-4,
glmt._nobs,
alpha[0],
lambda[_lambdaIdx],
new LineSearchIteration())
.asyncExec(_activeData._adaptedFrame);
return;
}
_lastResult = new IterationInfo(GLM2.this._iter - 1, glmt, _activeCols);
}
final double[] newBeta = MemoryManager.malloc8d(glmt._xy.length);
ADMMSolver slvr = new ADMMSolver(lambda[_lambdaIdx], alpha[0], ADMM_GRAD_EPS, _addedL2);
slvr.solve(glmt._gram, glmt._xy, glmt._yy, newBeta);
_addedL2 = slvr._addedL2;
if (Utils.hasNaNsOrInfs(newBeta)) {
Log.info("GLM2 forcibly converged by getting NaNs and/or Infs in beta");
nextLambda(glmt, glmt._beta);
} else {
setNewBeta(newBeta);
final double bdiff = beta_diff(glmt._beta, newBeta);
if (_glm.family == Family.gaussian
|| bdiff < beta_epsilon
|| _iter
== max_iter) { // Gaussian is non-iterative and gradient is ADMMSolver's gradient =>
// just validate and move on to the next lambda
int diff = (int) Math.log10(bdiff);
int nzs = 0;
for (int i = 0; i < newBeta.length; ++i) if (newBeta[i] != 0) ++nzs;
if (newBeta.length < 20) System.out.println("beta = " + Arrays.toString(newBeta));
Log.info(
"GLM2 (lambda_"
+ _lambdaIdx
+ "="
+ lambda[_lambdaIdx]
+ ") converged (reached a fixed point with ~ 1e"
+ diff
+ " precision) after "
+ _iter
+ "iterations, got "
+ nzs
+ " nzs");
nextLambda(glmt, newBeta);
} else { // not done yet, launch next iteration
final boolean validate = higher_accuracy || (currentLambdaIter % 5) == 0;
++_iter;
System.out.println("Iter = " + _iter);
new GLMIterationTask(
GLM2.this,
_activeData,
glmt._glm,
true,
validate,
validate,
newBeta,
_ymu,
_reg,
new Iteration())
.asyncExec(_activeData._adaptedFrame);
}
}
}
public IterationInfo(int i, GLMIterationTask glmt, final int[] activeCols) {
_iter = i;
_glmt = glmt.clone();
_activeCols = activeCols;
assert _glmt._beta != null && _glmt._val != null;
}
