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[classification] correcting cost functions in SGD and FTRL for use in parameter sweeps

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Al
2017-04-05 14:08:51 -04:00
parent 6219cc6378
commit caebf4e2c9
7 changed files with 169 additions and 87 deletions
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22
src/ftrl.c
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@@ -178,22 +178,33 @@ bool ftrl_update_gradient(ftrl_trainer_t *self, double_matrix_t *gradient, doubl
return true;
}
double ftrl_reg_cost(ftrl_trainer_t *self, double_matrix_t *theta, uint32_array *indices, size_t batch_size) {
double ftrl_reg_cost(ftrl_trainer_t *self, double_matrix_t *theta, uint32_array *update_indices, size_t batch_size) {
double cost = 0.0;
size_t m = theta->m;
size_t n = theta->n;
uint32_t *indices = NULL;
size_t num_indices = m;
if (update_indices != NULL) {
uint32_t *indices = update_indices->a;
size_t num_indices = update_indices->n;
}
size_t i_start = self->fit_intercept ? 1 : 0;
double lambda1 = self->lambda1;
double lambda2 = self->lambda2;
size_t i_start = self->fit_intercept ? 1 : 0;
double l2_cost = 0.0;
double l1_cost = 0.0;
for (size_t i = 0; i < m; i++) {
uint32_t row_idx = indices->a[i];
uint32_t row_idx = i;
if (indices != NULL) {
row_idx = indices[i];
}
if (row_idx >= i_start) {
double *theta_i = double_matrix_get_row(theta, i);
@@ -205,9 +216,10 @@ double ftrl_reg_cost(ftrl_trainer_t *self, double_matrix_t *theta, uint32_array
cost += lambda2 / 2.0 * l2_cost;
cost += lambda1 * l1_cost;
return cost;
return cost * 1.0 / (double)batch_size;
}
double_matrix_t *ftrl_weights_finalize(ftrl_trainer_t *self) {
if (!ftrl_set_weights(self, self->z, NULL)) {
return NULL;