@Override
public void train(List<TrainingSample<T>> l) {
long tim = System.currentTimeMillis();
debug.println(
2, "training on " + listOfKernels.size() + " kernels and " + l.size() + " examples");
// 1. init kernels
ArrayList<SimpleCacheKernel<T>> kernels = new ArrayList<SimpleCacheKernel<T>>();
ArrayList<Double> weights = new ArrayList<Double>();
// normalize to cst trace and init weights to 1/N
for (int i = 0; i < listOfKernels.size(); i++) {
SimpleCacheKernel<T> sck = new SimpleCacheKernel<T>(listOfKernels.get(i), l);
sck.setName(listOfKernels.get(i).toString());
double[][] matrix = sck.getKernelMatrix(l);
// compute trace
double trace = 0.;
for (int x = 0; x < matrix.length; x++) {
trace += matrix[x][x];
}
// divide by trace
for (int x = 0; x < matrix.length; x++)
for (int y = x; y < matrix.length; y++) {
matrix[x][y] *= matrix.length / (double) trace;
matrix[y][x] = matrix[x][y];
}
kernels.add(sck);
weights.add(Math.pow(1 / (double) listOfKernels.size(), 1 / (double) p_norm));
debug.println(3, "kernel : " + sck + " weight : " + weights.get(i));
}
// 1 train first svm
ThreadedSumKernel<T> tsk = new ThreadedSumKernel<T>();
for (int i = 0; i < kernels.size(); i++) tsk.addKernel(kernels.get(i), weights.get(i));
if (svm == null) svm = new SMOSVM<T>(null);
svm.setKernel(tsk);
svm.setC(C);
svm.train(l);
// 2. big loop
double gap = 0;
long max = 100000; // less than 10k iterations
do {
debug.println(3, "weights : " + weights);
// compute sum kernel
tsk = new ThreadedSumKernel<T>();
for (int i = 0; i < kernels.size(); i++) tsk.addKernel(kernels.get(i), weights.get(i));
// train svm
svm.setKernel(tsk);
svm.train(l);
// compute sum of example weights and gradient direction
double suma = computeSumAlpha();
double[] grad = computeGradBeta(kernels, l);
// perform one step
double objEvol = performMKLStep(suma, grad, kernels, weights, l);
if (objEvol < 0) {
debug.println(1, "Error, performMKLStep return wrong value");
System.exit(0);
;
}
gap = 1 - objEvol;
// compute norm
double norm = 0;
for (int i = 0; i < weights.size(); i++) norm += Math.pow(weights.get(i), p_norm);
norm = Math.pow(norm, -1 / (double) p_norm);
debug.println(1, "objective_gap : " + gap + " norm : " + norm);
max--;
} while (gap >= stopGap && max > 0);
// 3. save weights
listOfKernelWeights.clear();
listOfKernelWeights.addAll(weights);
// 4. retrain svm
// compute sum kernel
tsk = new ThreadedSumKernel<T>();
for (int i = 0; i < kernels.size(); i++)
tsk.addKernel(listOfKernels.get(i), listOfKernelWeights.get(i));
// train svm
svm.setKernel(tsk);
svm.train(l);
// 5. save examples weights
listOfExamples = new ArrayList<TrainingSample<T>>();
listOfExamples.addAll(l);
listOfExampleWeights.clear();
for (double d : svm.getAlphas()) listOfExampleWeights.add(d);
debug.println(1, "MKL trained in " + (System.currentTimeMillis() - tim) + " milis.");
}
