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authorChris Dyer <cdyer@cs.cmu.edu>2012-05-13 16:18:43 -0700
committerChris Dyer <cdyer@cs.cmu.edu>2012-05-13 16:18:43 -0700
commitb56da6f08c4f59b562a102671ac3deb135b0538a (patch)
treee97badb0a2e8c4ceff9468bcbc0d9458f935381c /training
parent5d2fba19f7989b8a2c55834a5735f5fd5b60197c (diff)
fast creg training code for univariate linear and logistic regression
Diffstat (limited to 'training')
-rw-r--r--training/Makefile.am4
-rw-r--r--training/creg.cc334
-rw-r--r--training/liblbfgs/lbfgs++.h29
-rw-r--r--training/liblbfgs/ll_test.cc4
4 files changed, 358 insertions, 13 deletions
diff --git a/training/Makefile.am b/training/Makefile.am
index 991ac210..4b69ea94 100644
--- a/training/Makefile.am
+++ b/training/Makefile.am
@@ -1,5 +1,6 @@
bin_PROGRAMS = \
model1 \
+ creg \
lbl_model \
test_ngram \
mr_em_map_adapter \
@@ -23,6 +24,9 @@ noinst_PROGRAMS = \
TESTS = lbfgs_test optimize_test
+creg_SOURCES = creg.cc
+creg_LDADD = ./liblbfgs/liblbfgs.a $(top_srcdir)/utils/libutils.a -lz
+
mpi_online_optimize_SOURCES = mpi_online_optimize.cc online_optimizer.cc
mpi_online_optimize_LDADD = $(top_srcdir)/decoder/libcdec.a $(top_srcdir)/mteval/libmteval.a $(top_srcdir)/utils/libutils.a ../klm/lm/libklm.a ../klm/util/libklm_util.a -lz
diff --git a/training/creg.cc b/training/creg.cc
new file mode 100644
index 00000000..58adea00
--- /dev/null
+++ b/training/creg.cc
@@ -0,0 +1,334 @@
+#include <cstdlib>
+#include <iostream>
+#include <vector>
+#include <tr1/unordered_map>
+
+#include <boost/program_options.hpp>
+#include <boost/program_options/variables_map.hpp>
+
+#include "json_feature_map_lexer.h"
+#include "prob.h"
+#include "filelib.h"
+#include "weights.h"
+#include "sparse_vector.h"
+#include "liblbfgs/lbfgs++.h"
+
+using namespace std;
+using namespace std::tr1;
+namespace po = boost::program_options;
+
+void InitCommandLine(int argc, char** argv, po::variables_map* conf) {
+ po::options_description opts("Configuration options");
+ opts.add_options()
+ ("training_features,x", po::value<string>(), "File containing training instance features (ARKRegression format)")
+ ("training_responses,y", po::value<string>(), "File containing training response features (ARKRegression format)")
+ ("linear,n", "Linear (rather than logistic) regression")
+ ("l1",po::value<double>()->default_value(0.0), "l_1 regularization strength")
+ ("l2",po::value<double>()->default_value(0.0), "l_2 regularization strength")
+ ("weights,w", po::value<string>(), "Initial weights")
+ ("epsilon,e", po::value<double>()->default_value(1e-4), "Epsilon for convergence test. Terminates when ||g|| < epsilon * max(1, ||x||)")
+ ("memory_buffers,m",po::value<unsigned>()->default_value(40), "Number of memory buffers for LBFGS")
+ ("help,h", "Help");
+ po::options_description dcmdline_options;
+ dcmdline_options.add(opts);
+ po::store(parse_command_line(argc, argv, dcmdline_options), *conf);
+ if (conf->count("help") || !conf->count("training_features") || !conf->count("training_responses")) {
+ cerr << dcmdline_options << endl;
+ exit(1);
+ }
+}
+
+struct TrainingInstance {
+ SparseVector<float> x;
+ union {
+ unsigned label; // for categorical predictions
+ float value; // for continuous predictions
+ } y;
+};
+
+struct ReaderHelper {
+ explicit ReaderHelper(vector<TrainingInstance>* xyp) : xy_pairs(xyp), lc(), flag() {}
+ unordered_map<string, unsigned> id2ind;
+ vector<TrainingInstance>* xy_pairs;
+ int lc;
+ bool flag;
+};
+
+void ReaderCB(const string& id, const SparseVector<float>& fmap, void* extra) {
+ ReaderHelper& rh = *reinterpret_cast<ReaderHelper*>(extra);
+ ++rh.lc;
+ if (rh.lc % 1000 == 0) { cerr << '.'; rh.flag = true; }
+ if (rh.lc % 40000 == 0) { cerr << " [" << rh.lc << "]\n"; rh.flag = false; }
+ const unordered_map<string, unsigned>::iterator it = rh.id2ind.find(id);
+ if (it == rh.id2ind.end()) {
+ cerr << "Unlabeled example in line " << rh.lc << endl;
+ abort();
+ }
+ (*rh.xy_pairs)[it->second - 1].x = fmap;
+}
+
+void ReadLabeledInstances(const string& ffeats,
+ const string& fresp,
+ const bool is_continuous,
+ vector<TrainingInstance>* xy_pairs,
+ vector<string>* labels) {
+ bool flag = false;
+ xy_pairs->clear();
+ int lc = 0;
+ ReaderHelper rh(xy_pairs);
+ unordered_map<string, unsigned> label2id;
+ cerr << "Reading training responses from " << fresp << " ..." << endl;
+ ReadFile fr(fresp);
+ for (unsigned i = 0; i < labels->size(); ++i)
+ label2id[(*labels)[i]] = i;
+ istream& in = *fr.stream();
+ string line;
+ while(getline(in, line)) {
+ ++lc;
+ if (lc % 1000 == 0) { cerr << '.'; flag = true; }
+ if (lc % 40000 == 0) { cerr << " [" << lc << "]\n"; flag = false; }
+ if (line.size() == 0) continue;
+ if (line[0] == '#') continue;
+ unsigned p = 0;
+ while (p < line.size() && line[p] != ' ' && line[p] != '\t') { ++p; }
+ unsigned& ind = rh.id2ind[line.substr(0, p)];
+ if (ind != 0) { cerr << "ID " << line.substr(0, p) << " duplicated in line " << lc << endl; abort(); }
+ while (p < line.size() && (line[p] == ' ' || line[p] == '\t')) { ++p; }
+ assert(p < line.size());
+ xy_pairs->push_back(TrainingInstance());
+ ind = xy_pairs->size();
+ if (is_continuous) {
+ xy_pairs->back().y.value = strtof(&line[p], 0);
+ } else { // categorical predictions
+ unordered_map<string, unsigned>::iterator it = label2id.find(line.substr(p));
+ if (it == label2id.end()) {
+ const string label = line.substr(p);
+ it = label2id.insert(make_pair(label, labels->size())).first;
+ labels->push_back(label);
+ }
+ xy_pairs->back().y.label = it->second; // label id
+ }
+ }
+ if (flag) cerr << endl;
+ if (!is_continuous) {
+ cerr << "LABELS:";
+ for (unsigned j = 0; j < labels->size(); ++j)
+ cerr << " " << (*labels)[j];
+ cerr << endl;
+ }
+ cerr << "Reading training features from " << ffeats << " ..." << endl;
+ ReadFile ff(ffeats);
+ JSONFeatureMapLexer::ReadRules(ff.stream(), ReaderCB, &rh);
+ if (rh.flag) cerr << endl;
+}
+
+// helper base class (not polymorphic- just a container and some helper functions) for loss functions
+// real loss functions should implement double operator()(const vector<double>& x, double* g),
+// which should evaluate f(x) and g = f'(x)
+struct BaseLoss {
+ // dimp1 = number of categorial outputs possible for logistic regression
+ // for linear regression, it should be 1 more than the dimension of the response variable
+ BaseLoss(
+ const vector<TrainingInstance>& tr,
+ unsigned dimp1,
+ unsigned numfeats,
+ unsigned ll2) : training(tr), K(dimp1), p(numfeats), l2(ll2) {}
+
+ // weight vector layout for K classes, with p features
+ // w[0 : K-1] = bias weights
+ // w[y*p + K : y*p + K + p - 1] = feature weights for y^th class
+ // this representation is used in ComputeDotProducts and GradAdd
+ void ComputeDotProducts(const SparseVector<float>& fx, // feature vector of x
+ const vector<double>& w, // full weight vector
+ vector<double>* pdotprods) const {
+ vector<double>& dotprods = *pdotprods;
+ const unsigned km1 = K - 1;
+ dotprods.resize(km1);
+ for (unsigned y = 0; y < km1; ++y)
+ dotprods[y] = w[y]; // bias terms
+ for (SparseVector<float>::const_iterator it = fx.begin(); it != fx.end(); ++it) {
+ const float fval = it->second;
+ const unsigned fid = it->first;
+ for (unsigned y = 0; y < km1; ++y)
+ dotprods[y] += w[fid + y * p + km1] * fval;
+ }
+ }
+
+ double ApplyRegularizationTerms(const vector<double>& weights,
+ double* g) const {
+ double reg = 0;
+ for (size_t i = K - 1; i < weights.size(); ++i) {
+ const double& w_i = weights[i];
+ reg += l2 * w_i * w_i;
+ g[i] += 2 * l2 * w_i;
+ }
+ return reg;
+ }
+
+ void GradAdd(const SparseVector<float>& fx,
+ const unsigned y,
+ const double scale,
+ double* acc) const {
+ acc[y] += scale; // class bias
+ for (SparseVector<float>::const_iterator it = fx.begin();
+ it != fx.end(); ++it)
+ acc[it->first + y * p + K - 1] += it->second * scale;
+ }
+
+ const vector<TrainingInstance>& training;
+ const unsigned K, p;
+ const double l2;
+};
+
+struct UnivariateSquaredLoss : public BaseLoss {
+ UnivariateSquaredLoss(
+ const vector<TrainingInstance>& tr,
+ unsigned numfeats,
+ const double l2) : BaseLoss(tr, 2, numfeats, l2) {}
+
+ // evaluate squared loss and gradient
+ double operator()(const vector<double>& x, double* g) const {
+ fill(g, g + x.size(), 0.0);
+ double cll = 0;
+ vector<double> dotprods(1); // univariate prediction
+ for (int i = 0; i < training.size(); ++i) {
+ const SparseVector<float>& fmapx = training[i].x;
+ const double refy = training[i].y.value;
+ ComputeDotProducts(fmapx, x, &dotprods);
+ double diff = dotprods[0] - refy;
+ cll += diff * diff;
+
+ double scale = 2 * diff;
+ GradAdd(fmapx, 0, scale, g);
+ }
+ double reg = ApplyRegularizationTerms(x, g);
+ return cll + reg;
+ }
+};
+
+struct MulticlassLogLoss : public BaseLoss {
+ MulticlassLogLoss(
+ const vector<TrainingInstance>& tr,
+ unsigned k,
+ unsigned numfeats,
+ const double l2) : BaseLoss(tr, k, numfeats, l2) {}
+
+ // evaluate log loss and gradient
+ double operator()(const vector<double>& x, double* g) const {
+ fill(g, g + x.size(), 0.0);
+ vector<double> dotprods(K - 1); // K-1 degrees of freedom
+ vector<prob_t> probs(K);
+ double cll = 0;
+ for (int i = 0; i < training.size(); ++i) {
+ const SparseVector<float>& fmapx = training[i].x;
+ const unsigned refy = training[i].y.label;
+ //cerr << "FMAP: " << fmapx << endl;
+ ComputeDotProducts(fmapx, x, &dotprods);
+ prob_t z;
+ for (unsigned j = 0; j < dotprods.size(); ++j)
+ z += (probs[j] = prob_t(dotprods[j], init_lnx()));
+ z += (probs.back() = prob_t::One());
+ for (unsigned y = 0; y < probs.size(); ++y) {
+ probs[y] /= z;
+ //cerr << " p(y=" << y << ")=" << probs[y].as_float() << "\tz=" << z << endl;
+ }
+ cll -= log(probs[refy]); // log p(y | x)
+
+ for (unsigned y = 0; y < dotprods.size(); ++y) {
+ double scale = probs[y].as_float();
+ if (y == refy) { scale -= 1.0; }
+ GradAdd(fmapx, y, scale, g);
+ }
+ }
+ double reg = ApplyRegularizationTerms(x, g);
+ return cll + reg;
+ }
+};
+
+template <class LossFunction>
+double LearnParameters(LossFunction& loss,
+ const double l1,
+ const unsigned l1_start,
+ const unsigned memory_buffers,
+ const double eps,
+ vector<double>* px) {
+ LBFGS<LossFunction> lbfgs(px, loss, memory_buffers, l1, l1_start, eps);
+ lbfgs.MinimizeFunction();
+ return 0;
+}
+
+int main(int argc, char** argv) {
+ po::variables_map conf;
+ InitCommandLine(argc, argv, &conf);
+ string line;
+ vector<TrainingInstance> training;
+ const string xfile = conf["training_features"].as<string>();
+ const string yfile = conf["training_responses"].as<string>();
+ double l1 = conf["l1"].as<double>();
+ double l2 = conf["l2"].as<double>();
+ const unsigned memory_buffers = conf["memory_buffers"].as<unsigned>();
+ const double epsilon = conf["epsilon"].as<double>();
+ if (l1 < 0.0) {
+ cerr << "L1 strength must be >= 0\n";
+ return 1;
+ }
+ if (l2 < 0.0) {
+ cerr << "L2 strength must be >= 0\n";
+ return 2;
+ }
+
+ const bool is_continuous = conf.count("linear");
+ vector<string> labels; // only populated for non-continuous models
+ ReadLabeledInstances(xfile, yfile, is_continuous, &training, &labels);
+
+ if (conf.count("weights")) {
+ cerr << "Initial weights are not implemented, please implement." << endl;
+ // TODO read weights for categorical and continuous predictions
+ // can't use normal cdec weight framework
+ abort();
+ }
+
+ cerr << " Number of features: " << FD::NumFeats() << endl;
+ cerr << "Number of training examples: " << training.size() << endl;
+ const unsigned p = FD::NumFeats();
+ cout.precision(15);
+
+ if (conf.count("linear")) { // linear regression
+ vector<double> weights(1 + FD::NumFeats(), 0.0);
+ cerr << " Number of parameters: " << weights.size() << endl;
+ UnivariateSquaredLoss loss(training, p, l2);
+ LearnParameters(loss, l1, 1, memory_buffers, epsilon, &weights);
+ cout << p << "\t***CONTINUOUS***" << endl;
+ cout << "***BIAS***\t" << weights[0] << endl;
+ for (unsigned f = 0; f < p; ++f) {
+ const double w = weights[1 + f];
+ if (w)
+ cout << FD::Convert(f) << "\t" << w << endl;
+ }
+ } else { // logistic regression
+ vector<double> weights((1 + FD::NumFeats()) * (labels.size() - 1), 0.0);
+ cerr << " Number of parameters: " << weights.size() << endl;
+ cerr << " Number of labels: " << labels.size() << endl;
+ const unsigned K = labels.size();
+ const unsigned km1 = K - 1;
+ MulticlassLogLoss loss(training, K, p, l2);
+ LearnParameters(loss, l1, km1, memory_buffers, epsilon, &weights);
+
+ cout << p << "\t***CATEGORICAL***";
+ for (unsigned y = 0; y < K; ++y)
+ cout << '\t' << labels[y];
+ cout << endl;
+ for (unsigned y = 0; y < km1; ++y)
+ cout << labels[y] << "\t***BIAS***\t" << weights[y] << endl;
+ for (unsigned y = 0; y < km1; ++y) {
+ for (unsigned f = 0; f < p; ++f) {
+ const double w = weights[km1 + y * p + f];
+ if (w)
+ cout << labels[y] << "\t" << FD::Convert(f) << "\t" << w << endl;
+ }
+ }
+ }
+
+ return 0;
+}
+
diff --git a/training/liblbfgs/lbfgs++.h b/training/liblbfgs/lbfgs++.h
index 342f9b0e..92ead955 100644
--- a/training/liblbfgs/lbfgs++.h
+++ b/training/liblbfgs/lbfgs++.h
@@ -16,28 +16,33 @@
template <typename Function>
class LBFGS {
public:
- LBFGS(size_t n, // number of variables
- const Function& f, // function to optimize
- double l1_c = 0.0, // l1 penalty strength
- size_t m = 10 // number of memory buffers
- // TODO should use custom allocator here:
+ LBFGS(size_t n, // number of variables
+ const Function& f, // function to optimize
+ size_t m = 10, // number of memory buffers
+ double l1_c = 0.0, // l1 penalty strength
+ unsigned l1_start = 0, // l1 penalty starting index
+ double eps = 1e-5 // convergence epsilon
+ // TODO should use custom allocator here:
) : p_x(new std::vector<lbfgsfloatval_t>(n, 0.0)),
owned(true),
m_x(*p_x),
func(f) {
- Init(m, l1_c);
+ Init(m, l1_c, l1_start, eps);
}
// constructor where external vector storage for variables is used
LBFGS(std::vector<lbfgsfloatval_t>* px,
const Function& f,
- double l1_c = 0.0, // l1 penalty strength
- size_t m = 10
+ size_t m = 10, // number of memory buffers
+ double l1_c = 0.0, // l1 penalty strength
+ unsigned l1_start = 0, // l1 penalty starting index
+ double eps = 1e-5 // convergence epsilon
+ // TODO should use custom allocator here:
) : p_x(px),
owned(false),
m_x(*p_x),
func(f) {
- Init(m, l1_c);
+ Init(m, l1_c, l1_start, eps);
}
~LBFGS() {
@@ -60,12 +65,14 @@ class LBFGS {
}
private:
- void Init(size_t m, double l1_c) {
+ void Init(size_t m, double l1_c, unsigned l1_start, double eps) {
lbfgs_parameter_init(&param);
param.m = m;
+ param.epsilon = eps;
if (l1_c > 0.0) {
param.linesearch = LBFGS_LINESEARCH_BACKTRACKING;
- param.orthantwise_c = 1.0;
+ param.orthantwise_c = l1_c;
+ param.orthantwise_start = l1_start;
}
silence = false;
}
diff --git a/training/liblbfgs/ll_test.cc b/training/liblbfgs/ll_test.cc
index 43c0f214..48bc0366 100644
--- a/training/liblbfgs/ll_test.cc
+++ b/training/liblbfgs/ll_test.cc
@@ -5,7 +5,7 @@ using namespace std;
// Function must be lbfgsfloatval_t f(x.begin, x.end, g.begin)
lbfgsfloatval_t func(const vector<lbfgsfloatval_t>& x, lbfgsfloatval_t* g) {
- int i;
+ unsigned i;
lbfgsfloatval_t fx = 0.0;
for (i = 0;i < x.size();i += 2) {
@@ -24,7 +24,7 @@ void Opt(F& f) {
lbfgs.MinimizeFunction();
}
-int main(int argc, char** argv) {
+int main() {
Opt(func);
return 0;
}