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authoralex-sh <alex-sh@yandex-team.ru>2022-02-10 16:50:03 +0300
committerDaniil Cherednik <dcherednik@yandex-team.ru>2022-02-10 16:50:03 +0300
commit3196904c9f5bf7aff7374eeadcb0671589581f61 (patch)
treed13114a178799aeb203a4b3b43dd7fb0c4f6975f /library/cpp/linear_regression/linear_regression.cpp
parentd154d11651ea533127249184148c3f023e2c6d0a (diff)
downloadydb-3196904c9f5bf7aff7374eeadcb0671589581f61.tar.gz
Restoring authorship annotation for <alex-sh@yandex-team.ru>. Commit 1 of 2.
Diffstat (limited to 'library/cpp/linear_regression/linear_regression.cpp')
-rw-r--r--library/cpp/linear_regression/linear_regression.cpp714
1 files changed, 357 insertions, 357 deletions
diff --git a/library/cpp/linear_regression/linear_regression.cpp b/library/cpp/linear_regression/linear_regression.cpp
index 150f9d214e..fa4c55aae5 100644
--- a/library/cpp/linear_regression/linear_regression.cpp
+++ b/library/cpp/linear_regression/linear_regression.cpp
@@ -1,440 +1,440 @@
-#include "linear_model.h"
-#include "linear_regression.h"
-
-#include <util/generic/ymath.h>
-
-#ifdef _sse2_
+#include "linear_model.h"
+#include "linear_regression.h"
+
+#include <util/generic/ymath.h>
+
+#ifdef _sse2_
#include <emmintrin.h>
#include <xmmintrin.h>
-#endif
-
-#include <algorithm>
+#endif
+
+#include <algorithm>
#include <functional>
-namespace {
+namespace {
inline void AddFeaturesProduct(const double weight, const TVector<double>& features, TVector<double>& linearizedOLSTriangleMatrix);
-
+
TVector<double> Solve(const TVector<double>& olsMatrix, const TVector<double>& olsVector);
-
+
double SumSquaredErrors(const TVector<double>& olsMatrix,
const TVector<double>& olsVector,
const TVector<double>& solution,
- const double goalsDeviation);
-}
-
+ const double goalsDeviation);
+}
+
bool TFastLinearRegressionSolver::Add(const TVector<double>& features, const double goal, const double weight) {
- const size_t featuresCount = features.size();
-
- if (LinearizedOLSMatrix.empty()) {
- LinearizedOLSMatrix.resize((featuresCount + 1) * (featuresCount + 2) / 2);
- OLSVector.resize(featuresCount + 1);
- }
-
- AddFeaturesProduct(weight, features, LinearizedOLSMatrix);
-
- const double weightedGoal = goal * weight;
+ const size_t featuresCount = features.size();
+
+ if (LinearizedOLSMatrix.empty()) {
+ LinearizedOLSMatrix.resize((featuresCount + 1) * (featuresCount + 2) / 2);
+ OLSVector.resize(featuresCount + 1);
+ }
+
+ AddFeaturesProduct(weight, features, LinearizedOLSMatrix);
+
+ const double weightedGoal = goal * weight;
double* olsVectorElement = OLSVector.data();
- for (const double feature : features) {
- *olsVectorElement += feature * weightedGoal;
- ++olsVectorElement;
- }
- *olsVectorElement += weightedGoal;
-
- SumSquaredGoals += goal * goal * weight;
+ for (const double feature : features) {
+ *olsVectorElement += feature * weightedGoal;
+ ++olsVectorElement;
+ }
+ *olsVectorElement += weightedGoal;
+
+ SumSquaredGoals += goal * goal * weight;
return true;
-}
-
+}
+
bool TLinearRegressionSolver::Add(const TVector<double>& features, const double goal, const double weight) {
- const size_t featuresCount = features.size();
-
- if (FeatureMeans.empty()) {
- FeatureMeans.resize(featuresCount);
- LastMeans.resize(featuresCount);
- NewMeans.resize(featuresCount);
-
- LinearizedOLSMatrix.resize(featuresCount * (featuresCount + 1) / 2);
- OLSVector.resize(featuresCount);
- }
-
- SumWeights += weight;
- if (!SumWeights.Get()) {
+ const size_t featuresCount = features.size();
+
+ if (FeatureMeans.empty()) {
+ FeatureMeans.resize(featuresCount);
+ LastMeans.resize(featuresCount);
+ NewMeans.resize(featuresCount);
+
+ LinearizedOLSMatrix.resize(featuresCount * (featuresCount + 1) / 2);
+ OLSVector.resize(featuresCount);
+ }
+
+ SumWeights += weight;
+ if (!SumWeights.Get()) {
return false;
- }
-
- for (size_t featureNumber = 0; featureNumber < featuresCount; ++featureNumber) {
- const double feature = features[featureNumber];
- double& featureMean = FeatureMeans[featureNumber];
-
- LastMeans[featureNumber] = weight * (feature - featureMean);
- featureMean += weight * (feature - featureMean) / SumWeights.Get();
+ }
+
+ for (size_t featureNumber = 0; featureNumber < featuresCount; ++featureNumber) {
+ const double feature = features[featureNumber];
+ double& featureMean = FeatureMeans[featureNumber];
+
+ LastMeans[featureNumber] = weight * (feature - featureMean);
+ featureMean += weight * (feature - featureMean) / SumWeights.Get();
NewMeans[featureNumber] = feature - featureMean;
;
- }
-
+ }
+
double* olsMatrixElement = LinearizedOLSMatrix.data();
-
+
const double* lastMean = LastMeans.data();
const double* newMean = NewMeans.data();
const double* lastMeansEnd = lastMean + LastMeans.size();
const double* newMeansEnd = newMean + NewMeans.size();
-
-#ifdef _sse2_
+
+#ifdef _sse2_
for (; lastMean != lastMeansEnd; ++lastMean, ++newMean) {
- __m128d factor = _mm_set_pd(*lastMean, *lastMean);
- const double* secondFeatureMean = newMean;
+ __m128d factor = _mm_set_pd(*lastMean, *lastMean);
+ const double* secondFeatureMean = newMean;
for (; secondFeatureMean + 1 < newMeansEnd; secondFeatureMean += 2, olsMatrixElement += 2) {
- __m128d matrixElem = _mm_loadu_pd(olsMatrixElement);
- __m128d secondFeatureMeanElem = _mm_loadu_pd(secondFeatureMean);
- __m128d product = _mm_mul_pd(factor, secondFeatureMeanElem);
- __m128d addition = _mm_add_pd(matrixElem, product);
- _mm_storeu_pd(olsMatrixElement, addition);
- }
+ __m128d matrixElem = _mm_loadu_pd(olsMatrixElement);
+ __m128d secondFeatureMeanElem = _mm_loadu_pd(secondFeatureMean);
+ __m128d product = _mm_mul_pd(factor, secondFeatureMeanElem);
+ __m128d addition = _mm_add_pd(matrixElem, product);
+ _mm_storeu_pd(olsMatrixElement, addition);
+ }
for (; secondFeatureMean < newMeansEnd; ++secondFeatureMean) {
- *olsMatrixElement++ += *lastMean * *secondFeatureMean;
- }
- }
-#else
+ *olsMatrixElement++ += *lastMean * *secondFeatureMean;
+ }
+ }
+#else
for (; lastMean != lastMeansEnd; ++lastMean, ++newMean) {
for (const double* secondFeatureMean = newMean; secondFeatureMean < newMeansEnd; ++secondFeatureMean) {
- *olsMatrixElement++ += *lastMean * *secondFeatureMean;
- }
- }
-#endif
-
- for (size_t firstFeatureNumber = 0; firstFeatureNumber < features.size(); ++firstFeatureNumber) {
- OLSVector[firstFeatureNumber] += weight * (features[firstFeatureNumber] - FeatureMeans[firstFeatureNumber]) * (goal - GoalsMean);
- }
-
- const double oldGoalsMean = GoalsMean;
- GoalsMean += weight * (goal - GoalsMean) / SumWeights.Get();
- GoalsDeviation += weight * (goal - oldGoalsMean) * (goal - GoalsMean);
+ *olsMatrixElement++ += *lastMean * *secondFeatureMean;
+ }
+ }
+#endif
+
+ for (size_t firstFeatureNumber = 0; firstFeatureNumber < features.size(); ++firstFeatureNumber) {
+ OLSVector[firstFeatureNumber] += weight * (features[firstFeatureNumber] - FeatureMeans[firstFeatureNumber]) * (goal - GoalsMean);
+ }
+
+ const double oldGoalsMean = GoalsMean;
+ GoalsMean += weight * (goal - GoalsMean) / SumWeights.Get();
+ GoalsDeviation += weight * (goal - oldGoalsMean) * (goal - GoalsMean);
return true;
-}
-
-TLinearModel TFastLinearRegressionSolver::Solve() const {
+}
+
+TLinearModel TFastLinearRegressionSolver::Solve() const {
TVector<double> coefficients = ::Solve(LinearizedOLSMatrix, OLSVector);
- double intercept = 0.;
-
- if (!coefficients.empty()) {
- intercept = coefficients.back();
- coefficients.pop_back();
- }
-
+ double intercept = 0.;
+
+ if (!coefficients.empty()) {
+ intercept = coefficients.back();
+ coefficients.pop_back();
+ }
+
return TLinearModel(std::move(coefficients), intercept);
-}
-
-TLinearModel TLinearRegressionSolver::Solve() const {
+}
+
+TLinearModel TLinearRegressionSolver::Solve() const {
TVector<double> coefficients = ::Solve(LinearizedOLSMatrix, OLSVector);
- double intercept = GoalsMean;
-
- const size_t featuresCount = OLSVector.size();
- for (size_t featureNumber = 0; featureNumber < featuresCount; ++featureNumber) {
- intercept -= FeatureMeans[featureNumber] * coefficients[featureNumber];
- }
-
+ double intercept = GoalsMean;
+
+ const size_t featuresCount = OLSVector.size();
+ for (size_t featureNumber = 0; featureNumber < featuresCount; ++featureNumber) {
+ intercept -= FeatureMeans[featureNumber] * coefficients[featureNumber];
+ }
+
return TLinearModel(std::move(coefficients), intercept);
-}
-
-double TFastLinearRegressionSolver::SumSquaredErrors() const {
+}
+
+double TFastLinearRegressionSolver::SumSquaredErrors() const {
const TVector<double> coefficients = ::Solve(LinearizedOLSMatrix, OLSVector);
- return ::SumSquaredErrors(LinearizedOLSMatrix, OLSVector, coefficients, SumSquaredGoals.Get());
-}
-
-double TLinearRegressionSolver::SumSquaredErrors() const {
+ return ::SumSquaredErrors(LinearizedOLSMatrix, OLSVector, coefficients, SumSquaredGoals.Get());
+}
+
+double TLinearRegressionSolver::SumSquaredErrors() const {
const TVector<double> coefficients = ::Solve(LinearizedOLSMatrix, OLSVector);
- return ::SumSquaredErrors(LinearizedOLSMatrix, OLSVector, coefficients, GoalsDeviation);
-}
-
+ return ::SumSquaredErrors(LinearizedOLSMatrix, OLSVector, coefficients, GoalsDeviation);
+}
+
bool TSLRSolver::Add(const double feature, const double goal, const double weight) {
- SumWeights += weight;
- if (!SumWeights.Get()) {
+ SumWeights += weight;
+ if (!SumWeights.Get()) {
return false;
- }
-
- const double weightedFeatureDiff = weight * (feature - FeaturesMean);
- const double weightedGoalDiff = weight * (goal - GoalsMean);
-
- FeaturesMean += weightedFeatureDiff / SumWeights.Get();
- FeaturesDeviation += weightedFeatureDiff * (feature - FeaturesMean);
-
- GoalsMean += weightedGoalDiff / SumWeights.Get();
- GoalsDeviation += weightedGoalDiff * (goal - GoalsMean);
-
- Covariation += weightedFeatureDiff * (goal - GoalsMean);
+ }
+
+ const double weightedFeatureDiff = weight * (feature - FeaturesMean);
+ const double weightedGoalDiff = weight * (goal - GoalsMean);
+
+ FeaturesMean += weightedFeatureDiff / SumWeights.Get();
+ FeaturesDeviation += weightedFeatureDiff * (feature - FeaturesMean);
+
+ GoalsMean += weightedGoalDiff / SumWeights.Get();
+ GoalsDeviation += weightedGoalDiff * (goal - GoalsMean);
+
+ Covariation += weightedFeatureDiff * (goal - GoalsMean);
return true;
-}
-
-bool TSLRSolver::Add(const double* featuresBegin,
- const double* featuresEnd,
+}
+
+bool TSLRSolver::Add(const double* featuresBegin,
+ const double* featuresEnd,
const double* goalsBegin) {
- for (; featuresBegin != featuresEnd; ++featuresBegin, ++goalsBegin) {
- Add(*featuresBegin, *goalsBegin);
- }
- return true;
-}
-bool TSLRSolver::Add(const double* featuresBegin,
- const double* featuresEnd,
- const double* goalsBegin,
+ for (; featuresBegin != featuresEnd; ++featuresBegin, ++goalsBegin) {
+ Add(*featuresBegin, *goalsBegin);
+ }
+ return true;
+}
+bool TSLRSolver::Add(const double* featuresBegin,
+ const double* featuresEnd,
+ const double* goalsBegin,
const double* weightsBegin) {
- for (; featuresBegin != featuresEnd; ++featuresBegin, ++goalsBegin, ++weightsBegin) {
- Add(*featuresBegin, *goalsBegin, *weightsBegin);
- }
- return true;
-}
-
-double TSLRSolver::SumSquaredErrors(const double regularizationParameter) const {
- double factor, offset;
- Solve(factor, offset, regularizationParameter);
-
- return factor * factor * FeaturesDeviation - 2 * factor * Covariation + GoalsDeviation;
-}
-
-namespace {
- // LDL matrix decomposition, see http://en.wikipedia.org/wiki/Cholesky_decomposition#LDL_decomposition_2
+ for (; featuresBegin != featuresEnd; ++featuresBegin, ++goalsBegin, ++weightsBegin) {
+ Add(*featuresBegin, *goalsBegin, *weightsBegin);
+ }
+ return true;
+}
+
+double TSLRSolver::SumSquaredErrors(const double regularizationParameter) const {
+ double factor, offset;
+ Solve(factor, offset, regularizationParameter);
+
+ return factor * factor * FeaturesDeviation - 2 * factor * Covariation + GoalsDeviation;
+}
+
+namespace {
+ // LDL matrix decomposition, see http://en.wikipedia.org/wiki/Cholesky_decomposition#LDL_decomposition_2
bool LDLDecomposition(const TVector<double>& linearizedOLSMatrix,
- const double regularizationThreshold,
- const double regularizationParameter,
+ const double regularizationThreshold,
+ const double regularizationParameter,
TVector<double>& decompositionTrace,
TVector<TVector<double>>& decompositionMatrix) {
- const size_t featuresCount = decompositionTrace.size();
-
- size_t olsMatrixElementIdx = 0;
- for (size_t rowNumber = 0; rowNumber < featuresCount; ++rowNumber) {
- double& decompositionTraceElement = decompositionTrace[rowNumber];
- decompositionTraceElement = linearizedOLSMatrix[olsMatrixElementIdx] + regularizationParameter;
-
+ const size_t featuresCount = decompositionTrace.size();
+
+ size_t olsMatrixElementIdx = 0;
+ for (size_t rowNumber = 0; rowNumber < featuresCount; ++rowNumber) {
+ double& decompositionTraceElement = decompositionTrace[rowNumber];
+ decompositionTraceElement = linearizedOLSMatrix[olsMatrixElementIdx] + regularizationParameter;
+
TVector<double>& decompositionRow = decompositionMatrix[rowNumber];
- for (size_t i = 0; i < rowNumber; ++i) {
- decompositionTraceElement -= decompositionRow[i] * decompositionRow[i] * decompositionTrace[i];
- }
-
- if (fabs(decompositionTraceElement) < regularizationThreshold) {
- return false;
- }
-
- ++olsMatrixElementIdx;
- decompositionRow[rowNumber] = 1.;
- for (size_t columnNumber = rowNumber + 1; columnNumber < featuresCount; ++columnNumber) {
+ for (size_t i = 0; i < rowNumber; ++i) {
+ decompositionTraceElement -= decompositionRow[i] * decompositionRow[i] * decompositionTrace[i];
+ }
+
+ if (fabs(decompositionTraceElement) < regularizationThreshold) {
+ return false;
+ }
+
+ ++olsMatrixElementIdx;
+ decompositionRow[rowNumber] = 1.;
+ for (size_t columnNumber = rowNumber + 1; columnNumber < featuresCount; ++columnNumber) {
TVector<double>& secondDecompositionRow = decompositionMatrix[columnNumber];
- double& decompositionMatrixElement = secondDecompositionRow[rowNumber];
-
- decompositionMatrixElement = linearizedOLSMatrix[olsMatrixElementIdx];
-
- for (size_t j = 0; j < rowNumber; ++j) {
- decompositionMatrixElement -= decompositionRow[j] * secondDecompositionRow[j] * decompositionTrace[j];
- }
-
- decompositionMatrixElement /= decompositionTraceElement;
-
- decompositionRow[columnNumber] = decompositionMatrixElement;
- ++olsMatrixElementIdx;
- }
- }
-
- return true;
- }
-
+ double& decompositionMatrixElement = secondDecompositionRow[rowNumber];
+
+ decompositionMatrixElement = linearizedOLSMatrix[olsMatrixElementIdx];
+
+ for (size_t j = 0; j < rowNumber; ++j) {
+ decompositionMatrixElement -= decompositionRow[j] * secondDecompositionRow[j] * decompositionTrace[j];
+ }
+
+ decompositionMatrixElement /= decompositionTraceElement;
+
+ decompositionRow[columnNumber] = decompositionMatrixElement;
+ ++olsMatrixElementIdx;
+ }
+ }
+
+ return true;
+ }
+
void LDLDecomposition(const TVector<double>& linearizedOLSMatrix,
TVector<double>& decompositionTrace,
TVector<TVector<double>>& decompositionMatrix) {
- const double regularizationThreshold = 1e-5;
- double regularizationParameter = 0.;
-
- while (!LDLDecomposition(linearizedOLSMatrix,
- regularizationThreshold,
- regularizationParameter,
- decompositionTrace,
+ const double regularizationThreshold = 1e-5;
+ double regularizationParameter = 0.;
+
+ while (!LDLDecomposition(linearizedOLSMatrix,
+ regularizationThreshold,
+ regularizationParameter,
+ decompositionTrace,
decompositionMatrix)) {
- regularizationParameter = regularizationParameter ? 2 * regularizationParameter : 1e-5;
- }
- }
-
+ regularizationParameter = regularizationParameter ? 2 * regularizationParameter : 1e-5;
+ }
+ }
+
TVector<double> SolveLower(const TVector<TVector<double>>& decompositionMatrix,
const TVector<double>& decompositionTrace,
const TVector<double>& olsVector) {
- const size_t featuresCount = olsVector.size();
-
+ const size_t featuresCount = olsVector.size();
+
TVector<double> solution(featuresCount);
- for (size_t featureNumber = 0; featureNumber < featuresCount; ++featureNumber) {
- double& solutionElement = solution[featureNumber];
- solutionElement = olsVector[featureNumber];
-
+ for (size_t featureNumber = 0; featureNumber < featuresCount; ++featureNumber) {
+ double& solutionElement = solution[featureNumber];
+ solutionElement = olsVector[featureNumber];
+
const TVector<double>& decompositionRow = decompositionMatrix[featureNumber];
- for (size_t i = 0; i < featureNumber; ++i) {
- solutionElement -= solution[i] * decompositionRow[i];
- }
- }
-
- for (size_t featureNumber = 0; featureNumber < featuresCount; ++featureNumber) {
- solution[featureNumber] /= decompositionTrace[featureNumber];
- }
-
- return solution;
- }
-
+ for (size_t i = 0; i < featureNumber; ++i) {
+ solutionElement -= solution[i] * decompositionRow[i];
+ }
+ }
+
+ for (size_t featureNumber = 0; featureNumber < featuresCount; ++featureNumber) {
+ solution[featureNumber] /= decompositionTrace[featureNumber];
+ }
+
+ return solution;
+ }
+
TVector<double> SolveUpper(const TVector<TVector<double>>& decompositionMatrix,
const TVector<double>& lowerSolution) {
- const size_t featuresCount = lowerSolution.size();
-
+ const size_t featuresCount = lowerSolution.size();
+
TVector<double> solution(featuresCount);
- for (size_t featureNumber = featuresCount; featureNumber > 0; --featureNumber) {
- double& solutionElement = solution[featureNumber - 1];
- solutionElement = lowerSolution[featureNumber - 1];
-
+ for (size_t featureNumber = featuresCount; featureNumber > 0; --featureNumber) {
+ double& solutionElement = solution[featureNumber - 1];
+ solutionElement = lowerSolution[featureNumber - 1];
+
const TVector<double>& decompositionRow = decompositionMatrix[featureNumber - 1];
- for (size_t i = featureNumber; i < featuresCount; ++i) {
- solutionElement -= solution[i] * decompositionRow[i];
- }
- }
-
- return solution;
- }
-
+ for (size_t i = featureNumber; i < featuresCount; ++i) {
+ solutionElement -= solution[i] * decompositionRow[i];
+ }
+ }
+
+ return solution;
+ }
+
TVector<double> Solve(const TVector<double>& olsMatrix, const TVector<double>& olsVector) {
- const size_t featuresCount = olsVector.size();
-
+ const size_t featuresCount = olsVector.size();
+
TVector<double> decompositionTrace(featuresCount);
TVector<TVector<double>> decompositionMatrix(featuresCount, TVector<double>(featuresCount));
-
- LDLDecomposition(olsMatrix, decompositionTrace, decompositionMatrix);
-
- return SolveUpper(decompositionMatrix, SolveLower(decompositionMatrix, decompositionTrace, olsVector));
- }
-
+
+ LDLDecomposition(olsMatrix, decompositionTrace, decompositionMatrix);
+
+ return SolveUpper(decompositionMatrix, SolveLower(decompositionMatrix, decompositionTrace, olsVector));
+ }
+
double SumSquaredErrors(const TVector<double>& olsMatrix,
const TVector<double>& olsVector,
const TVector<double>& solution,
const double goalsDeviation) {
- const size_t featuresCount = olsVector.size();
-
- double sumSquaredErrors = goalsDeviation;
- size_t olsMatrixElementIdx = 0;
- for (size_t i = 0; i < featuresCount; ++i) {
- sumSquaredErrors += olsMatrix[olsMatrixElementIdx] * solution[i] * solution[i];
- ++olsMatrixElementIdx;
- for (size_t j = i + 1; j < featuresCount; ++j) {
- sumSquaredErrors += 2 * olsMatrix[olsMatrixElementIdx] * solution[i] * solution[j];
- ++olsMatrixElementIdx;
- }
- sumSquaredErrors -= 2 * solution[i] * olsVector[i];
- }
- return sumSquaredErrors;
- }
-
-#ifdef _sse2_
+ const size_t featuresCount = olsVector.size();
+
+ double sumSquaredErrors = goalsDeviation;
+ size_t olsMatrixElementIdx = 0;
+ for (size_t i = 0; i < featuresCount; ++i) {
+ sumSquaredErrors += olsMatrix[olsMatrixElementIdx] * solution[i] * solution[i];
+ ++olsMatrixElementIdx;
+ for (size_t j = i + 1; j < featuresCount; ++j) {
+ sumSquaredErrors += 2 * olsMatrix[olsMatrixElementIdx] * solution[i] * solution[j];
+ ++olsMatrixElementIdx;
+ }
+ sumSquaredErrors -= 2 * solution[i] * olsVector[i];
+ }
+ return sumSquaredErrors;
+ }
+
+#ifdef _sse2_
inline void AddFeaturesProduct(const double weight, const TVector<double>& features, TVector<double>& linearizedOLSTriangleMatrix) {
const double* leftFeature = features.data();
const double* featuresEnd = features.data() + features.size();
double* matrixElement = linearizedOLSTriangleMatrix.data();
-
- size_t unaligned = features.size() & 0x1;
-
+
+ size_t unaligned = features.size() & 0x1;
+
for (; leftFeature != featuresEnd; ++leftFeature, ++matrixElement) {
- const double weightedFeature = weight * *leftFeature;
- const double* rightFeature = leftFeature;
+ const double weightedFeature = weight * *leftFeature;
+ const double* rightFeature = leftFeature;
__m128d wf = {weightedFeature, weightedFeature};
- for (size_t i = 0; i < unaligned; ++i, ++rightFeature, ++matrixElement) {
- *matrixElement += weightedFeature * *rightFeature;
- }
- unaligned = (unaligned + 1) & 0x1;
+ for (size_t i = 0; i < unaligned; ++i, ++rightFeature, ++matrixElement) {
+ *matrixElement += weightedFeature * *rightFeature;
+ }
+ unaligned = (unaligned + 1) & 0x1;
for (; rightFeature != featuresEnd; rightFeature += 2, matrixElement += 2) {
- __m128d rf = _mm_loadu_pd(rightFeature);
- __m128d matrixRow = _mm_loadu_pd(matrixElement);
- __m128d rowAdd = _mm_mul_pd(rf, wf);
- _mm_storeu_pd(matrixElement, _mm_add_pd(rowAdd, matrixRow));
- }
- *matrixElement += weightedFeature;
- }
- linearizedOLSTriangleMatrix.back() += weight;
- }
-#else
+ __m128d rf = _mm_loadu_pd(rightFeature);
+ __m128d matrixRow = _mm_loadu_pd(matrixElement);
+ __m128d rowAdd = _mm_mul_pd(rf, wf);
+ _mm_storeu_pd(matrixElement, _mm_add_pd(rowAdd, matrixRow));
+ }
+ *matrixElement += weightedFeature;
+ }
+ linearizedOLSTriangleMatrix.back() += weight;
+ }
+#else
inline void AddFeaturesProduct(const double weight, const TVector<double>& features, TVector<double>& linearizedTriangleMatrix) {
const double* leftFeature = features.data();
const double* featuresEnd = features.data() + features.size();
double* matrixElement = linearizedTriangleMatrix.data();
for (; leftFeature != featuresEnd; ++leftFeature, ++matrixElement) {
- const double weightedFeature = weight * *leftFeature;
- const double* rightFeature = leftFeature;
+ const double weightedFeature = weight * *leftFeature;
+ const double* rightFeature = leftFeature;
for (; rightFeature != featuresEnd; ++rightFeature, ++matrixElement) {
- *matrixElement += weightedFeature * *rightFeature;
- }
- *matrixElement += weightedFeature;
- }
- linearizedTriangleMatrix.back() += weight;
- }
-#endif
-}
-
-namespace {
+ *matrixElement += weightedFeature * *rightFeature;
+ }
+ *matrixElement += weightedFeature;
+ }
+ linearizedTriangleMatrix.back() += weight;
+ }
+#endif
+}
+
+namespace {
inline double ArgMinPrecise(std::function<double(double)> func, double left, double right) {
- const size_t intervalsCount = 20;
- double points[intervalsCount + 1];
- double values[intervalsCount + 1];
- while (right > left + 1e-5) {
- for (size_t pointNumber = 0; pointNumber <= intervalsCount; ++pointNumber) {
- points[pointNumber] = left + pointNumber * (right - left) / intervalsCount;
- values[pointNumber] = func(points[pointNumber]);
- }
- size_t bestPointNumber = MinElement(values, values + intervalsCount + 1) - values;
- if (bestPointNumber == 0) {
- right = points[bestPointNumber + 1];
- continue;
- }
- if (bestPointNumber == intervalsCount) {
- left = points[bestPointNumber - 1];
- continue;
- }
- right = points[bestPointNumber + 1];
- left = points[bestPointNumber - 1];
- }
- return func(left) < func(right) ? left : right;
- }
-}
-
-TFeaturesTransformer TFeaturesTransformerLearner::Solve(const size_t iterationsCount /* = 100 */) {
- TTransformationParameters transformationParameters;
-
+ const size_t intervalsCount = 20;
+ double points[intervalsCount + 1];
+ double values[intervalsCount + 1];
+ while (right > left + 1e-5) {
+ for (size_t pointNumber = 0; pointNumber <= intervalsCount; ++pointNumber) {
+ points[pointNumber] = left + pointNumber * (right - left) / intervalsCount;
+ values[pointNumber] = func(points[pointNumber]);
+ }
+ size_t bestPointNumber = MinElement(values, values + intervalsCount + 1) - values;
+ if (bestPointNumber == 0) {
+ right = points[bestPointNumber + 1];
+ continue;
+ }
+ if (bestPointNumber == intervalsCount) {
+ left = points[bestPointNumber - 1];
+ continue;
+ }
+ right = points[bestPointNumber + 1];
+ left = points[bestPointNumber - 1];
+ }
+ return func(left) < func(right) ? left : right;
+ }
+}
+
+TFeaturesTransformer TFeaturesTransformerLearner::Solve(const size_t iterationsCount /* = 100 */) {
+ TTransformationParameters transformationParameters;
+
auto updateParameter = [this, &transformationParameters](double TTransformationParameters::*parameter,
- const double left,
+ const double left,
const double right) {
auto evalParameter = [this, &transformationParameters, parameter](double parameterValue) {
- transformationParameters.*parameter = parameterValue;
- TFeaturesTransformer transformer(TransformationType, transformationParameters);
-
- double sse = 0.;
- for (const TPoint& point : Points) {
- const double error = transformer.Transformation(point.Argument) - point.Target;
- sse += error * error;
- }
- return sse;
- };
- transformationParameters.*parameter = ArgMinPrecise(evalParameter, left, right);
- };
-
- auto updateRegressionParameters = [this, &transformationParameters]() {
- TFeaturesTransformer transformer(TransformationType, transformationParameters);
-
- TSLRSolver slrSolver;
- for (const TPoint& point : Points) {
- slrSolver.Add(transformer.Transformation(point.Argument), point.Target);
- }
-
- double factor, intercept;
- slrSolver.Solve(factor, intercept);
-
- transformationParameters.RegressionFactor *= factor;
- transformationParameters.RegressionIntercept *= factor;
- transformationParameters.RegressionIntercept += intercept;
- };
-
- for (size_t iterationNumber = 0; iterationNumber < iterationsCount; ++iterationNumber) {
- updateParameter(&TTransformationParameters::FeatureOffset, MinimalArgument, MaximalArgument);
- updateParameter(&TTransformationParameters::FeatureNormalizer, 0., MaximalArgument - MinimalArgument);
- updateRegressionParameters();
- }
-
- return TFeaturesTransformer(TransformationType, transformationParameters);
-}
+ transformationParameters.*parameter = parameterValue;
+ TFeaturesTransformer transformer(TransformationType, transformationParameters);
+
+ double sse = 0.;
+ for (const TPoint& point : Points) {
+ const double error = transformer.Transformation(point.Argument) - point.Target;
+ sse += error * error;
+ }
+ return sse;
+ };
+ transformationParameters.*parameter = ArgMinPrecise(evalParameter, left, right);
+ };
+
+ auto updateRegressionParameters = [this, &transformationParameters]() {
+ TFeaturesTransformer transformer(TransformationType, transformationParameters);
+
+ TSLRSolver slrSolver;
+ for (const TPoint& point : Points) {
+ slrSolver.Add(transformer.Transformation(point.Argument), point.Target);
+ }
+
+ double factor, intercept;
+ slrSolver.Solve(factor, intercept);
+
+ transformationParameters.RegressionFactor *= factor;
+ transformationParameters.RegressionIntercept *= factor;
+ transformationParameters.RegressionIntercept += intercept;
+ };
+
+ for (size_t iterationNumber = 0; iterationNumber < iterationsCount; ++iterationNumber) {
+ updateParameter(&TTransformationParameters::FeatureOffset, MinimalArgument, MaximalArgument);
+ updateParameter(&TTransformationParameters::FeatureNormalizer, 0., MaximalArgument - MinimalArgument);
+ updateRegressionParameters();
+ }
+
+ return TFeaturesTransformer(TransformationType, transformationParameters);
+}