Examples with GLMGradientSolver hex.glm.GLM.GLMGradientSolver used on opensource projects

Example 6 with GLMGradientSolver

use of hex.glm.GLM.GLMGradientSolver in project h2o-3 by h2oai.

the class L_BFGS_Test method testArcene.

// Test LSM on arcene - wide dataset with ~10k columns
// test warm start and max #iteratoions
@Test
public void testArcene() {
    Key parsedKey = Key.make("arcene_parsed");
    DataInfo dinfo = null;
    try {
        Frame source = parse_test_file(parsedKey, "smalldata/glm_test/arcene.csv");
        Frame valid = new Frame(source._names.clone(), source.vecs().clone());
        GLMParameters glmp = new GLMParameters(Family.gaussian);
        glmp._lambda = new double[] { 1e-5 };
        glmp._alpha = new double[] { 0 };
        glmp._obj_reg = 0.01;
        dinfo = new DataInfo(source, valid, 1, false, DataInfo.TransformType.STANDARDIZE, DataInfo.TransformType.NONE, true, false, false, /* weights */
        false, /* offset */
        false, /* fold */
        false);
        DKV.put(dinfo._key, dinfo);
        GradientSolver solver = new GLMGradientSolver(null, glmp, dinfo, 1e-5, null);
        L_BFGS lbfgs = new L_BFGS().setMaxIter(20);
        double[] beta = MemoryManager.malloc8d(dinfo.fullN() + 1);
        beta[beta.length - 1] = new GLMWeightsFun(glmp).link(source.lastVec().mean());
        L_BFGS.Result r1 = lbfgs.solve(solver, beta.clone(), solver.getGradient(beta), new L_BFGS.ProgressMonitor() {

            int _i = 0;

            public boolean progress(double[] beta, GradientInfo ginfo) {
                System.out.println(++_i + ":" + ginfo._objVal);
                return true;
            }
        });
        lbfgs.setMaxIter(50);
        final int iter = r1.iter;
        L_BFGS.Result r2 = lbfgs.solve(solver, r1.coefs, r1.ginfo, new L_BFGS.ProgressMonitor() {

            int _i = 0;

            public boolean progress(double[] beta, GradientInfo ginfo) {
                System.out.println(iter + " + " + ++_i + ":" + ginfo._objVal);
                return true;
            }
        });
        System.out.println();
        lbfgs = new L_BFGS().setMaxIter(100);
        L_BFGS.Result r3 = lbfgs.solve(solver, beta.clone(), solver.getGradient(beta), new L_BFGS.ProgressMonitor() {

            int _i = 0;

            public boolean progress(double[] beta, GradientInfo ginfo) {
                System.out.println(++_i + ":" + ginfo._objVal + ", " + ArrayUtils.l2norm2(ginfo._gradient, false));
                return true;
            }
        });
        assertEquals(r1.iter, 20);
        //      assertEquals (r1.iter + r2.iter,r3.iter); // should be equal? got mismatch by 2
        assertEquals(r2.ginfo._objVal, r3.ginfo._objVal, 1e-8);
        assertEquals(.5 * glmp._lambda[0] * ArrayUtils.l2norm(r3.coefs, true) + r3.ginfo._objVal, 1e-4, 5e-4);
        assertTrue("iter# expected < 100, got " + r3.iter, r3.iter < 100);
    } finally {
        if (dinfo != null)
            DKV.remove(dinfo._key);
        Value v = DKV.get(parsedKey);
        if (v != null) {
            v.<Frame>get().delete();
        }
    }
}