import theano import cascade_creation from theano import tensor, function import numpy as np import timeout import cvxopt @timeout.timeout(10) def l1obj_l2constraint(M_val, w_val): """ Solves: min - sum_j theta_j s.t theta_j <= 0 |e^{M*theta} - (1 - w)|_2 <= 1 """ assert len(M_val) == len(w_val) if M_val.dtype == bool: M_val = M_val.astype('float32') 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(.0001, (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)) cvxopt.solvers.options['show_progress'] = False try: theta = cvxopt.solvers.cpl(c,F, G, h)['x'] except ArithmeticError: print "ArithmeticError thrown, change initial point"+\ " given to the solver" return 1 - np.exp(theta), theta def test(): """ unit test """ G = cascade_creation.InfluenceGraph(max_proba=.5) G.erdos_init(n=100, p = .8) A = cascade_creation.generate_cascades(G, .1, 20) M_val, w_val = cascade_creation.icc_matrixvector_for_node(A, 0) assert len(M_val) == len(w_val) print np.linalg.matrix_rank(M_val) p_vec, theta = l1obj_l2constraint(M_val, w_val) print len(p_vec) if __name__=="__main__": test()