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e9f95b0 Jun 15, 2017
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@youngsuk0723 @davidhallac
101 lines (86 sloc) 3.35 KB
import numpy as np
import numpy.linalg as alg
def TVGL(data, lengthOfSlice, lamb, beta, indexOfPenalty, verbose = False, eps = 3e-3, epsAbs = 1e-3, epsRel = 1e-3):
if indexOfPenalty == 1:
print 'Use l-1 penalty function'
from inferGraphL1 import *
elif indexOfPenalty == 2:
print 'Use l-2 penalty function'
from inferGraphL2 import *
elif indexOfPenalty == 3:
print 'Use laplacian penalty function'
from inferGraphLaplacian import *
elif indexOfPenalty == 4:
print 'Use l-inf penalty function'
from inferGraphLinf import *
else:
print 'Use perturbation node penalty function'
from inferGraphPN import *
numberOfTotalSamples = data.shape[0]
timestamps = int(numberOfTotalSamples/lengthOfSlice)
size = data.shape[1]
# Generate empirical covariance matrices
sampleSet = [] # list of array
k = 0
empCovSet = [] # list of array
for i in range(timestamps):
# Generate the slice of samples for each timestamp from data
k_next = min(k + lengthOfSlice, numberOfTotalSamples)
samples = data[k : k_next, :]
k = k_next
sampleSet.append(samples)
empCov = GenEmpCov(sampleSet[i].T)
empCovSet.append(empCov)
# delete: for checking
print sampleSet.__len__() #
# print empCovSet
print 'lambda = %s, beta = %s'%(lamb, beta)
# Define a graph representation to solve
gvx = TGraphVX()
for i in range(timestamps):
n_id = i
S = semidefinite(size, name='S')
obj = -log_det(S) + trace(empCovSet[i] * S) #+ alpha*norm(S,1)
gvx.AddNode(n_id, obj)
if (i > 0): #Add edge to previous timestamp
prev_Nid = n_id - 1
currVar = gvx.GetNodeVariables(n_id)
prevVar = gvx.GetNodeVariables(prev_Nid)
edge_obj = beta * norm(currVar['S'] - prevVar['S'], indexOfPenalty)
gvx.AddEdge(n_id, prev_Nid, Objective = edge_obj)
#Add rake nodes, edges
gvx.AddNode(n_id + timestamps)
gvx.AddEdge(n_id, n_id + timestamps, Objective= lamb * norm(S,1))
# need to write the parameters of ADMM
# gvx.Solve()
gvx.Solve(EpsAbs=epsAbs, EpsRel=epsRel, Verbose = verbose)
# gvx.Solve(MaxIters = 700, Verbose = True, EpsAbs=eps_abs, EpsRel=eps_rel)
# gvx.Solve( NumProcessors = 1, MaxIters = 3)
# Extract the set of estimated theta
thetaSet = []
for nodeID in range(timestamps):
val = gvx.GetNodeValue(nodeID,'S')
thetaEst = upper2FullTVGL(val, eps)
thetaSet.append(thetaEst)
return thetaSet
def GenEmpCov(samples, useKnownMean = False, m = 0):
# samples should be array
size, samplesPerStep = samples.shape
if useKnownMean == False:
m = np.mean(samples, axis = 1)
empCov = 0
for i in range(samplesPerStep):
sample = samples[:,i]
empCov = empCov + np.outer(sample - m, sample -m)
empCov = empCov/samplesPerStep
return empCov
def upper2FullTVGL(a, eps = 0):
# a should be array
ind = (a < eps) & (a > -eps)
a[ind] = 0
n = int((-1 + np.sqrt(1+ 8*a.shape[0]))/2)
A = np.zeros([n,n])
A[np.triu_indices(n)] = a
d = A.diagonal()
A = np.asarray((A + A.T) - np.diag(d))
return A