MultiChainApproximator.h

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/*!
 * 
 *
 * \brief       -
 *
 * \author      -
 * \date        -
 *
 *
 * \par Copyright 1995-2017 Shark Development Team
 * 
 * <BR><HR>
 * This file is part of Shark.
 * <http://shark-ml.org/>
 * 
 * Shark is free software: you can redistribute it and/or modify
 * it under the terms of the GNU Lesser General Public License as published 
 * by the Free Software Foundation, either version 3 of the License, or
 * (at your option) any later version.
 * 
 * Shark is distributed in the hope that it will be useful,
 * but WITHOUT ANY WARRANTY; without even the implied warranty of
 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
 * GNU Lesser General Public License for more details.
 * 
 * You should have received a copy of the GNU Lesser General Public License
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#ifndef SHARK_UNSUPERVISED_RBM_GRADIENTAPPROXIMATIONS_MULTICHAINAPPROXIMATOR_H
#define SHARK_UNSUPERVISED_RBM_GRADIENTAPPROXIMATIONS_MULTICHAINAPPROXIMATOR_H

#include <shark/ObjectiveFunctions/AbstractObjectiveFunction.h>
#include "Impl/DataEvaluator.h"
#include <vector>

namespace shark{
///\brief Approximates the gradient by taking samples from an ensemble of Markov chains running in parallel.
///
///The advantage is, that every chain can produce samples of a different mode of the distribution.
///The disadvantage is however, that mixing is slower and a higher value of sampling steps between subsequent samples
///need to be chosen. 
template<class MarkovChainType> 
class MultiChainApproximator: public SingleObjectiveFunction{
public:
    typedef typename MarkovChainType::RBM RBM;
    
    MultiChainApproximator(RBM* rbm)
    : mpe_rbm(rbm),m_chainOperator(rbm),m_k(1),m_samples(0),m_numBatches(0),m_regularizer(0){
        SHARK_ASSERT(rbm != NULL);
        setBatchSize(500);

        m_features.reset(HAS_VALUE);
        m_features |=HAS_FIRST_DERIVATIVE;
        m_features |=CAN_PROPOSE_STARTING_POINT;
    }

    /// \brief From INameable: return the class name.
    std::string name() const
    { return "MultiChainApproximator"; }
    
    void setK(unsigned int k){
        m_k = k;
    }
    void setNumberOfSamples(std::size_t samples){
        m_samples = samples;
    }
    void setBatchSize(std::size_t batchSize){
        m_batchSize = batchSize;
        if(!MarkovChainType::computesBatch)
            m_batchSize=1;
    }
    
    MarkovChainType& chain(){
        return m_chainOperator;
    }
    MarkovChainType const& chain() const{
        return m_chainOperator;
    }
    
    /// \brief Returns the number of batches of the dataset that are used in every iteration.
    ///
    /// If it is less than all batches, the batches are chosen at random. if it is 0, all batches are used
    std::size_t numBatches()const{
        return m_numBatches;
    }
    
    /// \brief Returns a reference to the number of batches of the dataset that are used in every iteration.
    ///
    /// If it is less than all batches, the batches are chosen at random.if it is 0, all batches are used.
    std::size_t& numBatches(){
        return m_numBatches;
    }
    
    void setData(UnlabeledData<RealVector> const& data){
        m_data = data;
        
        //construct a gradient object to get the information about which values of the samples are needed
        typename RBM::GradientType grad(mpe_rbm);
        
        //if the number of samples is 0 = unset, set it to the number of points in the data set
        if(!m_samples){
            setNumberOfSamples(m_data.numberOfElements());
        }
        
        //calculate the number of batches
        std::size_t batches = m_samples / m_batchSize; 
        if(m_samples - batches*m_batchSize != 0){
            ++batches;
        }
        m_chains.resize(batches);
        
        //swap every sample batch from the vector into the operator, initialize it and shift it back out.
        for(std::size_t i = 0; i != batches;++i){
            swap(m_chains[i],m_chainOperator.samples());
            std::size_t currentBatchSize = std::min(m_samples-i*m_batchSize, m_batchSize);
            m_chainOperator.setBatchSize(currentBatchSize);
            m_chainOperator.initializeChain(m_data);
            swap(m_chains[i],m_chainOperator.samples());
        }
    }
    
    SearchPointType proposeStartingPoint() const{
        return  mpe_rbm->parameterVector();
    }
    
    std::size_t numberOfVariables()const{
        return mpe_rbm->numberOfParameters();
    }
    
    void setRegularizer(double factor, SingleObjectiveFunction* regularizer){
        m_regularizer = regularizer;
        m_regularizationStrength = factor;
    }
    
    double evalDerivative( SearchPointType const & parameter, FirstOrderDerivative & derivative ) const {
        mpe_rbm->setParameterVector(parameter);
        
        typename RBM::GradientType modelAverage(mpe_rbm);
        RealVector empiricalAverage = detail::evaluateData(m_data,*mpe_rbm,m_numBatches);
        
        //approximate the expectation of the energy gradient with respect to the model distribution
        //using samples from the Markov chain
        for(std::size_t i = 0; i != m_chains.size();++i){
            swap(m_chains[i],m_chainOperator.samples());//set the current GibbsChain
            m_chainOperator.step(m_k);//do the next step along the gibbs chain
            modelAverage.addVH(m_chainOperator.samples().hidden, m_chainOperator.samples().visible);//update gradient
            swap(m_chains[i],m_chainOperator.samples());//save the GibbsChain.
        }
        
        derivative.resize(mpe_rbm->numberOfParameters());
        noalias(derivative) = modelAverage.result() - empiricalAverage;
        
        if(m_regularizer){
            FirstOrderDerivative regularizerDerivative;
            m_regularizer->evalDerivative(parameter,regularizerDerivative);
            noalias(derivative) += m_regularizationStrength*regularizerDerivative;
        }
        
        return std::numeric_limits<double>::quiet_NaN();
    }
private:
    RBM* mpe_rbm;
    mutable MarkovChainType m_chainOperator;
    mutable std::vector<typename MarkovChainType::SampleBatch> m_chains;
    UnlabeledData<RealVector> m_data;

    unsigned int m_k;
    std::size_t m_samples;
    std::size_t m_batchSize;
    std::size_t m_numBatches;

    SingleObjectiveFunction* m_regularizer;
    double m_regularizationStrength;
};  
}

#endif