1 files changed, 43 insertions, 2 deletions
diff --git a/jpa_test/convex_optimization.py b/jpa_test/convex_optimization.py
index e83c605..dd93b05 100644
--- a/jpa_test/convex_optimization.py
+++ b/jpa_test/convex_optimization.py
@@ -5,7 +5,7 @@ import cvxopt
 
 
 
-def l1regls(M_val, w_val):
+def l1obj_l2constraint(M_val, w_val):
     """
     Solves:
         min - sum_j theta_j
@@ -46,13 +46,54 @@ def l1regls(M_val, w_val):
     return cvxopt.solvers.cpl(c,F, G, h)['x']
 
 
+def l1obj_l2regl(M_val, w_val, lbda):
+    """
+    Solves:
+        min - sum_j theta_j + lbda * |e^{M*theta} - (1 - w)|_2
+        s.t theta_j <= 0
+    """
+    #TODO!!!!!!!
+    m, n = M_val.shape
+    c = cvxopt.matrix(-1.0, (n,1))
+
+    theta = tensor.row().T
+    z = tensor.row().T
+    theta_ = theta.flatten()
+    z_ = z.flatten()
+    M = theano.shared(M_val.astype(theano.config.floatX))
+    w = theano.shared(w_val.astype(theano.config.floatX))
+    y = (tensor.exp(M.dot(theta_)) - (1 - w)).norm(2) - 1
+    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)
+
+    def F(x=None, z=None):
+        if x is None:
+            return 1, cvxopt.matrix(1.0, (n,1))
+        elif z is None:
+            y, y_diff = f_x(x)
+            return cvxopt.matrix(float(y), (1, 1)),\
+                    cvxopt.matrix(y_diff.astype("float64")).T
+        else:
+            y, y_diff, y_hess = f_xz(x, z)
+            return cvxopt.matrix(float(y), (1, 1)), \
+                    cvxopt.matrix(y_diff.astype("float64")).T, \
+                    cvxopt.matrix(y_hess.astype("float64"))
+
+    G = cvxopt.spdiag([1 for i in xrange(n)])
+    h = cvxopt.matrix(0.0, (n,1))
+
+    return cvxopt.solvers.cpl(c,F, G, h)['x']
+
+
 def test():
     """
     unit test
     """
     M_val = np.random.rand(100, 20)
     w_val = np.random.rand(100)
-    print l1regls(M_val, w_val)
+    print l1obj_l2regl(M_val, w_val, 1)
 
 if __name__=="__main__":
     test()