use of org.apache.commons.math3.linear.Array2DRowRealMatrix in project incubator-systemml by apache.
the class LibCommonsMath method computeQR.
/**
* Function to perform QR decomposition on a given matrix.
*
* @param in matrix object
* @return array of matrix blocks
*/
private static MatrixBlock[] computeQR(MatrixObject in) {
Array2DRowRealMatrix matrixInput = DataConverter.convertToArray2DRowRealMatrix(in);
// Perform QR decomposition
QRDecomposition qrdecompose = new QRDecomposition(matrixInput);
RealMatrix H = qrdecompose.getH();
RealMatrix R = qrdecompose.getR();
// Read the results into native format
MatrixBlock mbH = DataConverter.convertToMatrixBlock(H.getData());
MatrixBlock mbR = DataConverter.convertToMatrixBlock(R.getData());
return new MatrixBlock[] { mbH, mbR };
}
use of org.apache.commons.math3.linear.Array2DRowRealMatrix in project knime-core by knime.
the class Learner method likelihood.
/**
* Compute the likelihood at given beta.
*
* @param iter iterator over trainings data.
* @param beta parameter vector
* @param rC regressors count
* @param tcC target category count
* @throws CanceledExecutionException when method is cancelled
*/
private double likelihood(final Iterator<RegressionTrainingRow> iter, final RealMatrix beta, final int rC, final int tcC, final ExecutionContext exec) throws CanceledExecutionException {
double loglike = 0;
RealMatrix x = new Array2DRowRealMatrix(1, rC + 1);
while (iter.hasNext()) {
exec.checkCanceled();
RegressionTrainingRow row = iter.next();
x.setEntry(0, 0, 1);
x.setSubMatrix(row.getParameter().getData(), 0, 1);
double sumEBetaTx = 0;
for (int i = 0; i < tcC - 1; i++) {
RealMatrix betaITx = x.multiply(beta.getSubMatrix(0, 0, i * (rC + 1), (i + 1) * (rC + 1) - 1).transpose());
sumEBetaTx += Math.exp(betaITx.getEntry(0, 0));
}
int y = (int) row.getTarget();
double yBetaTx = 0;
if (y < tcC - 1) {
yBetaTx = x.multiply(beta.getSubMatrix(0, 0, y * (rC + 1), (y + 1) * (rC + 1) - 1).transpose()).getEntry(0, 0);
}
loglike += yBetaTx - Math.log(1 + sumEBetaTx);
}
return loglike;
}
use of org.apache.commons.math3.linear.Array2DRowRealMatrix in project knime-core by knime.
the class Learner method perform.
/**
* @param data The data table.
* @param exec The execution context used for reporting progress.
* @return An object which holds the results.
* @throws CanceledExecutionException when method is cancelled
* @throws InvalidSettingsException When settings are inconsistent with the data
*/
public LogisticRegressionContent perform(final BufferedDataTable data, final ExecutionContext exec) throws CanceledExecutionException, InvalidSettingsException {
exec.checkCanceled();
int iter = 0;
boolean converged = false;
final RegressionTrainingData trainingData = new RegressionTrainingData(data, m_outSpec, m_specialColumns, true, m_targetReferenceCategory, m_sortTargetCategories, m_sortFactorsCategories);
int targetIndex = data.getDataTableSpec().findColumnIndex(m_outSpec.getTargetCols().get(0).getName());
final int tcC = trainingData.getDomainValues().get(targetIndex).size();
final int rC = trainingData.getRegressorCount();
final RealMatrix beta = new Array2DRowRealMatrix(1, (tcC - 1) * (rC + 1));
Double loglike = 0.0;
Double loglikeOld = 0.0;
exec.setMessage("Iterative optimization. Processing iteration 1.");
// main loop
while (iter < m_maxIter && !converged) {
RealMatrix betaOld = beta.copy();
loglikeOld = loglike;
// Do heavy work in a separate thread which allows to interrupt it
// note the queue may block if no more threads are available (e.g. thread count = 1)
// as soon as we stall in 'get' this thread reduces the number of running thread
Future<Double> future = ThreadPool.currentPool().enqueue(new Callable<Double>() {
@Override
public Double call() throws Exception {
final ExecutionMonitor progMon = exec.createSubProgress(1.0 / m_maxIter);
irlsRls(trainingData, beta, rC, tcC, progMon);
progMon.setProgress(1.0);
return likelihood(trainingData.iterator(), beta, rC, tcC, exec);
}
});
try {
loglike = future.get();
} catch (InterruptedException e) {
future.cancel(true);
exec.checkCanceled();
throw new RuntimeException(e);
} catch (ExecutionException e) {
if (e.getCause() instanceof RuntimeException) {
throw (RuntimeException) e.getCause();
} else {
throw new RuntimeException(e.getCause());
}
}
if (Double.isInfinite(loglike) || Double.isNaN(loglike)) {
throw new RuntimeException(FAILING_MSG);
}
exec.checkCanceled();
// test for decreasing likelihood
while ((Double.isInfinite(loglike) || Double.isNaN(loglike) || loglike < loglikeOld) && iter > 0) {
converged = true;
for (int k = 0; k < beta.getRowDimension(); k++) {
if (abs(beta.getEntry(k, 0) - betaOld.getEntry(k, 0)) > m_eps * abs(betaOld.getEntry(k, 0))) {
converged = false;
break;
}
}
if (converged) {
break;
}
// half the step size of beta
beta.setSubMatrix((beta.add(betaOld)).scalarMultiply(0.5).getData(), 0, 0);
exec.checkCanceled();
loglike = likelihood(trainingData.iterator(), beta, rC, tcC, exec);
exec.checkCanceled();
}
// test for convergence
converged = true;
for (int k = 0; k < beta.getRowDimension(); k++) {
if (abs(beta.getEntry(k, 0) - betaOld.getEntry(k, 0)) > m_eps * abs(betaOld.getEntry(k, 0))) {
converged = false;
break;
}
}
iter++;
LOGGER.debug("#Iterations: " + iter);
LOGGER.debug("Log Likelihood: " + loglike);
StringBuilder betaBuilder = new StringBuilder();
for (int i = 0; i < beta.getRowDimension() - 1; i++) {
betaBuilder.append(Double.toString(beta.getEntry(i, 0)));
betaBuilder.append(", ");
}
if (beta.getRowDimension() > 0) {
betaBuilder.append(Double.toString(beta.getEntry(beta.getRowDimension() - 1, 0)));
}
LOGGER.debug("beta: " + betaBuilder.toString());
exec.checkCanceled();
exec.setMessage("Iterative optimization. #Iterations: " + iter + " | Log-likelihood: " + DoubleFormat.formatDouble(loglike) + ". Processing iteration " + (iter + 1) + ".");
}
// The covariance matrix
RealMatrix covMat = new QRDecomposition(A).getSolver().getInverse().scalarMultiply(-1);
List<String> factorList = new ArrayList<String>();
List<String> covariateList = new ArrayList<String>();
Map<String, List<DataCell>> factorDomainValues = new HashMap<String, List<DataCell>>();
for (int i : trainingData.getActiveCols()) {
DataColumnSpec columnSpec = data.getDataTableSpec().getColumnSpec(i);
if (trainingData.getIsNominal().get(i)) {
String factor = columnSpec.getName();
factorList.add(factor);
List<DataCell> values = trainingData.getDomainValues().get(i);
factorDomainValues.put(factor, values);
} else {
if (columnSpec.getType().isCompatible(BitVectorValue.class) || columnSpec.getType().isCompatible(ByteVectorValue.class)) {
int length = trainingData.getVectorLengths().getOrDefault(i, 0).intValue();
for (int j = 0; j < length; ++j) {
covariateList.add(columnSpec.getName() + "[" + j + "]");
}
} else {
covariateList.add(columnSpec.getName());
}
}
}
final Map<? extends Integer, Integer> vectorIndexLengths = trainingData.getVectorLengths();
final Map<String, Integer> vectorLengths = new LinkedHashMap<String, Integer>();
for (DataColumnSpec spec : m_specialColumns) {
int colIndex = data.getSpec().findColumnIndex(spec.getName());
if (colIndex >= 0) {
vectorLengths.put(spec.getName(), vectorIndexLengths.get(colIndex));
}
}
// create content
LogisticRegressionContent content = new LogisticRegressionContent(m_outSpec, factorList, covariateList, vectorLengths, m_targetReferenceCategory, m_sortTargetCategories, m_sortFactorsCategories, beta, loglike, covMat, iter);
return content;
}
use of org.apache.commons.math3.linear.Array2DRowRealMatrix in project systemml by apache.
the class DataConverter method convertToArray2DRowRealMatrix.
/**
* Helper method that converts SystemML matrix variable (<code>varname</code>) into a Array2DRowRealMatrix format,
* which is useful in invoking Apache CommonsMath.
*
* @param mo matrix object
* @return matrix as a commons-math3 Array2DRowRealMatrix
*/
public static Array2DRowRealMatrix convertToArray2DRowRealMatrix(MatrixObject mo) {
MatrixBlock mb = mo.acquireRead();
double[][] data = DataConverter.convertToDoubleMatrix(mb);
mo.release();
return new Array2DRowRealMatrix(data, false);
}
use of org.apache.commons.math3.linear.Array2DRowRealMatrix in project systemml by apache.
the class LibCommonsMath method computeMatrixInverse.
/**
* Function to compute matrix inverse via matrix decomposition.
*
* @param in commons-math3 Array2DRowRealMatrix
* @return matrix block
*/
private static MatrixBlock computeMatrixInverse(Array2DRowRealMatrix in) {
if (!in.isSquare())
throw new DMLRuntimeException("Input to inv() must be square matrix -- given: a " + in.getRowDimension() + "x" + in.getColumnDimension() + " matrix.");
QRDecomposition qrdecompose = new QRDecomposition(in);
DecompositionSolver solver = qrdecompose.getSolver();
RealMatrix inverseMatrix = solver.getInverse();
return DataConverter.convertToMatrixBlock(inverseMatrix.getData());
}
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