model section

1 files changed, 23 insertions, 25 deletions

diff --git a/src/convex_optimization.py b/src/convex_optimization.py
index 1f34508..163b6d5 100644
--- a/src/convex_optimization.py
+++ b/src/convex_optimization.py
@@ -44,55 +44,52 @@ def sparse_recovery(M_val, w_val, lbda):
     return diff_and_opt(theta, theta_, M, M_val, w, lbda, y)
 
 
-@timeout.timeout(20)
-def type_lasso(M_val, w_val, lbda):
+def type_lasso(lbda):
     """
     Solves:
         min - sum_j theta_j + lbda*|e^{M*theta} - (1 - w)|_2
         s.t theta_j <= 0
     """
-    assert len(M_val) == len(w_val)
-
-    if M_val.dtype == bool:
-        M_val = M_val.astype('float32')
-
     if type(lbda) == int or type(lbda) == float:
         lbda = np.array(lbda)
 
+    lbda = theano.shared(lbda.astype(theano.config.floatX))
+
     theta = tensor.row().T
     theta_ = theta.flatten()
 
-    M = theano.shared(M_val.astype(theano.config.floatX))
-    w = theano.shared(w_val.astype(theano.config.floatX))
-    lbda = theano.shared(lbda.astype(theano.config.floatX))
+    M = tensor.matrix(name='M', dtype=theano.config.floatX)
+    w = tensor.vector(name='w', dtype=theano.config.floatX)
 
     y = lbda * (theta_).norm(1) + (
         tensor.exp(M.dot(theta_)) - (1 - w)).norm(2)
 
-    return diff_and_opt(theta, theta_, M, M_val, w, lbda, y)
-
-
-def diff_and_opt(theta, theta_, M, M_val, w, lbda, y):
     z = tensor.row().T
     z_ = z.flatten()
 
-    m, n = M_val.shape
-
     y_diff = tensor.grad(y, theta_)
     y_hess = z[0] * theano.gradient.hessian(y, theta_)
-    f_x = theano.function([theta], [y, y_diff], allow_input_downcast=True)
-    f_xz = theano.function([theta, z], [y, y_diff, y_hess],
-                           allow_input_downcast=True)
+    f_x = theano.function([theta, M, w], [y, y_diff],
+                        allow_input_downcast=True)
+    f_xz = theano.function([theta, z, M, w], [y, y_diff, y_hess],
+                        allow_input_downcast=True)
+
+    return f_x, f_xz
+
+@timeout.timeout(8)
+def diff_and_opt(M_val, w_val, f_x, f_xz):
+
+    m, n = M_val.shape
 
     def F(x=None, z=None):
         if x is None:
             return 0, cvxopt.matrix(-.001, (n,1))
         elif z is None:
-            y, y_diff = f_x(x)
+            y, y_diff = f_x(x, M_val, w_val)
             return cvxopt.matrix(float(y), (1, 1)),\
                    cvxopt.matrix(y_diff.astype("float64")).T
         else:
-            y, y_diff, y_hess = f_xz(x, z)
+            y, y_diff, y_hess = f_xz(x, z, M_val, w_val)
             return cvxopt.matrix(float(y), (1, 1)), \
                     cvxopt.matrix(y_diff.astype("float64")).T, \
                     cvxopt.matrix(y_hess.astype("float64"))
@@ -104,7 +101,7 @@ def diff_and_opt(theta, theta_, M, M_val, w, lbda, y):
     #cvxopt.solvers.options['feastol'] = 2e-5
     #cvxopt.solvers.options['abstol'] = 2e-5
     #cvxopt.solvers.options['maxiters'] = 100
-    cvxopt.solvers.options['show_progress'] = False
+    cvxopt.solvers.options['show_progress'] = True
     try:
         theta = cvxopt.solvers.cp(F, G, h)['x']
     except ArithmeticError:
@@ -128,13 +125,14 @@ def test():
     M_val, w_val = cascade_creation.icc_matrixvector_for_node(A, 0)
     
     #Type lasso
-    if 0:
-        p_vec, theta = type_lasso(M_val, w_val, lbda)
+    if 1:
+        f_x, f_xz = type_lasso(lbda)
+        p_vec, _ = diff_and_opt(M_val, w_val, f_x, f_xz)
         print(p_vec)
         print(G.mat)
 
     #Sparse recovery
-    if 1:
+    if 0:
         p_vec, theta = sparse_recovery(M_val, w_val, lbda)
         print(p_vec)
         print(G.mat)