Merge 9257acc into d15d406

NAMESPACE

@@ -2,6 +2,7 @@
 
 S3method(print,densratio)
 export(KLIEP)
+export(RuLSIF)
 export(densratio)
 export(uLSIF)
 importFrom(utils,str)

R/RuLSIF.R

@@ -0,0 +1,67 @@
+#' Estimate alpha-Relative Density Ratio p(x)/(alpha p(x) + (1-alpha) q(x))
+#' by RuLSIF (Relative unconstrained Least-Square Importance Fitting)
+#'
+#' @param x1 numeric vector or matrix. Data from a numerator distribution p(x).
+#' @param x2 numeric vector or matrix. Data from a denominator distribution q(x).
+#' @param sigma positive numeric vector. Search range of Gaussian kernel bandwidth.
+#' @param lambda positive numeric vector. Search range of regularization parameter.
+#' @param alpha numeric value from 0.0 to 1.0. Relative parameter. Default 0.1.
+#' @param kernel_num positive integer. Number of kernels.
+#' @param verbose logical. Default TRUE.
+#'
+#' @return RuLSIF object which has `compute_density_ratio()`.
+#'
+#' @export
+RuLSIF <- function(x1, x2,
+                  sigma = 10 ^ seq(-3, 1, length.out = 9),
+                  lambda = 10 ^ seq(-3, 1, length.out = 9),
+                  alpha = 0.1, kernel_num = 100, verbose = TRUE) {
+
+  if(verbose) message("################## Start RuLSIF ##################")
+  if(is.vector(x1)) x1 <- matrix(x1)
+  if(is.vector(x2)) x2 <- matrix(x2)
+  if(ncol(x1) != ncol(x2)) stop("x1 and x2 must be same dimensions.")
+
+  nx1 <- nrow(x1)
+  nx2 <- nrow(x2)
+
+  kernel_num <- min(kernel_num, nx1)
+  centers <- x1[sample(nx1, size = kernel_num), , drop = FALSE]
+
+  if(length(sigma) != 1 || length(lambda) != 1) {
+    if(verbose) message("Searching optimal sigma and lambda...")
+    opt_params <- RuLSIF_search_sigma_and_lambda(x1, x2, centers, sigma, lambda, alpha, verbose)
+    sigma <- opt_params$sigma
+    lambda <- opt_params$lambda
+    if(verbose) message(sprintf("Found optimal sigma = %.3f, lambda = %.3f.", sigma, lambda))
+  }
+
+  if(verbose) message("Optimizing kernel weights...")
+  phi_x1 <- compute_kernel_Gaussian(x1, centers, sigma)
+  phi_x2 <- compute_kernel_Gaussian(x2, centers, sigma)
+  H <- alpha * crossprod(phi_x1) / nx1 + (1 - alpha) * crossprod(phi_x2) / nx2
+  h <- colMeans(phi_x1)
+  kernel_weights <- solve(H + diag(lambda, kernel_num, kernel_num)) %*% h
+  kernel_weights[kernel_weights < 0] <- 0
+  if(verbose) message("End.")
+
+  result <- list(kernel_weights = as.vector(kernel_weights),
+                 lambda = lambda,
+                 alpha = alpha,
+                 kernel_info = list(
+                   kernel = "Gaussian",
+                   kernel_num = kernel_num,
+                   sigma = sigma,
+                   centers = centers
+                 ),
+                 compute_density_ratio = function(x) {
+                   if(is.vector(x)) x <- matrix(x)
+                   phi_x <- compute_kernel_Gaussian(x, centers, sigma)
+                   density_ratio <- as.vector(phi_x %*% kernel_weights)
+                   density_ratio
+                 }
+  )
+  class(result) <- c("RuLSIF", class(result))
+  if(verbose) message("################## Finished RuLSIF ###############")
+  result
+}

R/RuLSIF_search_sigma_and_lambda.R

@@ -0,0 +1,45 @@
+RuLSIF_search_sigma_and_lambda <- function(x, y, centers, sigma_list, lambda_list, alpha, verbose) {
+  nx <- nrow(x)
+  ny <- nrow(y)
+  n_min <- min(nx, ny)
+  kernel_num <- nrow(centers)
+
+  score_new <- Inf
+  sigma_new <- 0
+  lambda_new <- 0
+  for (sigma in sigma_list) {
+    phi_x <- compute_kernel_Gaussian(x, centers, sigma)
+    phi_y <- compute_kernel_Gaussian(y, centers, sigma)
+    H <- alpha * crossprod(phi_x) / nx + (1 - alpha) * crossprod(phi_y) / ny
+    h <- colMeans(phi_x)
+    phi_x <- t(phi_x[seq_len(n_min), , drop = FALSE])
+    phi_y <- t(phi_y[seq_len(n_min), , drop = FALSE])
+    for (lambda in lambda_list) {
+      B <- H + diag(lambda * (ny - 1) / ny, nrow = kernel_num, ncol = kernel_num)
+      B_inv <- solve(B)
+      B_inv_X <- B_inv %*% phi_y
+      X_B_inv_X <- phi_y * B_inv_X
+      denom <- ones(n_min, value = ny) - ones(kernel_num) %*% X_B_inv_X
+      B0 <- B_inv %*% (h %*% ones(n_min)) +
+        B_inv_X %*% diag(as.vector((t(h) %*% B_inv_X) / denom))
+      B1 <- B_inv %*% phi_x +
+        B_inv_X %*% diag(as.vector((ones(kernel_num) %*% (phi_x * B_inv_X)) / denom))
+      B2 <- (ny-1) * (nx * B0 - B1) / (ny * (nx - 1))
+      B2[B2 < 0] <- 0
+      r_y <- t(ones(kernel_num) %*% (phi_y * B2))
+      r_x <- t(ones(kernel_num) %*% (phi_x * B2))
+      score <- (crossprod(r_y) / 2 - ones(n_min) %*% r_x) / n_min
+      if(score < score_new) {
+        if(verbose) message(sprintf("  sigma = %.3f, lambda = %.3f, score = %.3f", sigma, lambda, score))
+        score_new <- score
+        sigma_new <- sigma
+        lambda_new <- lambda
+      }
+    }
+  }
+  list(sigma = sigma_new, lambda = lambda_new)
+}
+
+ones <- function(size, value=1) {
+  t(rep(value, size))
+}

R/densratio.R

@@ -2,12 +2,13 @@
 #'
 #' @param x numeric vector or matrix. Data from a numerator distribution p(x).
 #' @param y numeric vector or matrix. Data from a denominator distribution q(y).
-#' @param method "uLSIF"(default) or "KLIEP".
+#' @param method "uLSIF" (default), "KLIEP", or "RuLSIF".
 #' @param sigma positive numeric vector. Search range of Gaussian kernel bandwidth.
-#' @param lambda positive numeric vector. Search range of regularization parameter for uLSIF.
+#' @param lambda positive numeric vector. Search range of regularization parameter for uLSIF and RuLSIF.
+#' @param alpha numeric in [0, 1]. Relative parameter for RuLSIF. Default 0.1.
 #' @param kernel_num positive integer. Number of kernels.
 #' @param fold positive integer. Numer of the folds of cross validation for KLIEP.
-#' @param verbose logical(default TRUE).
+#' @param verbose logical (default TRUE).
 #'
 #' @return densratio object that contains a function to compute estimated density ratio.
 #'
@@ -23,22 +24,28 @@
 #' plot(new_x, estimated_density_ratio, pch=19)
 #'
 #' @export
-densratio <- function(x, y, method = c("uLSIF", "KLIEP"),
-                      sigma = "auto", lambda = "auto",
+densratio <- function(x, y, method = c("uLSIF", "RuLSIF", "KLIEP"),
+                      sigma = "auto", lambda = "auto", alpha = 0.1,
                       kernel_num = 100, fold = 5, verbose = TRUE) {
   # Prepare Arguments -------------------------------------------------------
   method <- match.arg(method)
 
   # To Retain Default Arguments in Functions of Methods ---------------------
   params <- alist(x = x, y = y, kernel_num = kernel_num, verbose = verbose)
-  if(!identical(sigma, "auto")) {
+  if (!identical(sigma, "auto")) {
     params <- c(params, alist(sigma = sigma))
   }
 
   # Run ---------------------------------------------------------------------
-  if(method == "uLSIF") {
-    if(!identical(lambda, "auto")) params <- c(params, alist(lambda = lambda))
+  if (method == "uLSIF") {
+    if (!identical(lambda, "auto")) params <- c(params, alist(lambda = lambda))
     result <- do.call(uLSIF, params)
+  } else if (method == "RuLSIF") {
+    params <- alist(x1 = x, x2 = y, kernel_num = kernel_num, verbose = verbose)
+    if (!identical(sigma, "auto"))  params <- c(params, alist(sigma = sigma))
+    if (!identical(lambda, "auto")) params <- c(params, alist(lambda = lambda))
+    params <- c(params, alist(alpha = alpha))
+    result <- do.call(RuLSIF, params)
   } else {
     params <- c(params, alist(fold = fold))
     result <- do.call(KLIEP, params)
@@ -52,5 +59,3 @@ densratio <- function(x, y, method = c("uLSIF", "KLIEP"),
   class(result) <- c("densratio", class(result))
   result
 }
-
-

R/print.R

@@ -13,15 +13,26 @@ print.densratio <- function(x, digits = 3L, ...) {
   str(info$centers, digits.d = digits, give.attr = FALSE)
   cat("\n")
 
-  cat("Kernel Weights(alpha):\n ")
-  str(x$alpha, digits.d = digits, give.attr = FALSE)
-  cat("\n")
 
   if("uLSIF" %in% class(x)) {
+    cat("Kernel Weights:\n ")
+    str(x$alpha, digits.d = digits, give.attr = FALSE)
+    cat("\n")
     cat("Regularization Parameter(lambda): ", x$lambda, "\n\n")
   }
 
+  if("RuLSIF" %in% class(x)) {
+    cat("Kernel Weights:\n ")
+    str(x$kernel_weights, digits.d = digits, give.attr = FALSE)
+    cat("\n")
+    cat("Regularization Parameter (lambda): ", x$lambda, "\n\n")
+    cat("Relative Parameter (alpha): ", x$alpha, "\n\n")
+  }
+
   if("KLIEP" %in% class(x)) {
+    cat("Kernel Weights:\n ")
+    str(x$alpha, digits.d = digits, give.attr = FALSE)
+    cat("\n")
     cat("Number of the Folds: ", x$fold, "\n\n")
   }