hex.glm

Class ConstrainedGLMUtils

java.lang.Object

hex.glm.ConstrainedGLMUtils

public class ConstrainedGLMUtils
extends java.lang.Object

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	ConstrainedGLMUtils.CoefIndices
static class	ConstrainedGLMUtils.ConstraintGLMStates
static class	ConstrainedGLMUtils.ConstraintsDerivatives
static class	ConstrainedGLMUtils.ConstraintsGram
static class	ConstrainedGLMUtils.LinearConstraintConditions
static class	ConstrainedGLMUtils.LinearConstraints

Field Summary

Fields

Modifier and Type	Field and Description
static double	EPS
static double	EPS2

Constructor Summary

Constructors

Constructor and Description
ConstrainedGLMUtils()

Method Summary

Modifier and Type	Method and Description
static boolean	activeConstraints(ConstrainedGLMUtils.LinearConstraints[] equalityC, ConstrainedGLMUtils.LinearConstraints[] lessThanEqualToC)
static void	addBCEqualityConstraint(java.util.List<ConstrainedGLMUtils.LinearConstraints> equalityC, GLM.BetaConstraint betaC, java.lang.String[] coefNames, int index) This method will extract the equality constraint and add to equalityC from beta constraint by doing the following transformation: val <= beta <= val: transformed to beta-val == 0, add to equalTo constraint.
static void	addBCGreaterThanConstraint(java.util.List<ConstrainedGLMUtils.LinearConstraints> lessThanC, GLM.BetaConstraint betaC, java.lang.String[] coefNames, int index) This method will extract the greater than constraint and add to lessThanC from beta constraint by doing the following transformation: low_val <= beta <= Infinity: transformed to low_val - beta <= 0.
static void	addBCLessThanConstraint(java.util.List<ConstrainedGLMUtils.LinearConstraints> lessThanC, GLM.BetaConstraint betaC, java.lang.String[] coefNames, int index) This method will extract the less than constraint and add to lessThanC from beta constraint by doing the following transformation: -Infinity <= beta <= high_val: transformed to beta - high_val <= 0.
static void	addConstraintGradient(double[] lambda, ConstrainedGLMUtils.ConstraintsDerivatives[] constraintD, GLM.GLMGradientInfo gradientInfo) Add contribution of constraints to objective/likelihood/gradient.
static void	addPenaltyGradient(ConstrainedGLMUtils.ConstraintsDerivatives[] constraintDeriv, ConstrainedGLMUtils.LinearConstraints[] constraintD, GLM.GLMGradientInfo gradientInfo, double ck) This method adds the contribution to the gradient from the penalty term ck/2*transpose(h(beta))*h(beta)
static void	calculateConstraintSquare(ComputationState state, ConstrainedGLMUtils.LinearConstraints[] equalConst, ConstrainedGLMUtils.LinearConstraints[] lessThanConst)
static GLM.GLMGradientInfo	calGradient(double[] betaCnd, ComputationState state, GLM.GLMGradientSolver ginfo, double[] lambdaE, double[] lambdaL, ConstrainedGLMUtils.LinearConstraints[] constraintE, ConstrainedGLMUtils.LinearConstraints[] constraintL) This method calls getGradient to calculate the gradient, likelhood and objective function values.
static java.lang.String[]	collinearInConstraints(java.lang.String[] collinear_cols, java.lang.String[] constraintNames)
static ConstrainedGLMUtils.LinearConstraints[]	combineConstraints(ConstrainedGLMUtils.LinearConstraints[] const1, ConstrainedGLMUtils.LinearConstraints[] const2)
static java.lang.String	constraint2Str(ConstrainedGLMUtils.LinearConstraints oneConst, java.lang.String startStr, ComputationState state)
static boolean	constraintsStop(GLM.GLMGradientInfo gradientInfo, ComputationState state) This method will check if the stopping conditions for constraint GLM are met and they are namely: 1.
static int	countNumConst(ComputationState state)
static void	evalOneConstraint(ConstrainedGLMUtils.LinearConstraints constraint, double[] beta, java.util.List<java.lang.String> coefNames) This method will evaluate the value of a constraint given the GLM coefficients and the coefficicent name list.
static boolean	evaluateConstraint(ComputationState state, ConstrainedGLMUtils.LinearConstraints[] constraints, boolean equalityConstr, double[] beta, java.util.List<java.lang.String> coefNames, java.lang.String startStr, java.util.List<java.lang.String> constraintCond, java.util.List<java.lang.String> cSatisfied, java.util.List<java.lang.Double> cValues, java.util.List<java.lang.String> cConditions, java.util.List<java.lang.String> constraintsStrings) Print constraints without any standardization applied so that people can see the setting in their original form without standardization.
static int[]	extractBetaConstraints(ComputationState state, java.lang.String[] coefNames) This method will extract the constraints specified in beta constraint and combine it with the linear constraints later.
static boolean	extractCoeffNames(java.util.List<java.lang.String> coeffList, ConstrainedGLMUtils.LinearConstraints[] constraints)
static void	extractConstraint(water.fvec.Frame constraintF, java.util.List<java.lang.Integer> rowIndices, java.util.List<ConstrainedGLMUtils.LinearConstraints> equalC, DataInfo dinfo, java.util.List<java.lang.String> coefNames, java.util.List<java.lang.String> colNames)
static java.util.List<java.lang.String>	extractConstraintCoeffs(ComputationState state)
static int	extractConstraintValues(ConstrainedGLMUtils.LinearConstraints[] constraints, java.util.List<java.lang.String> constraintNamesList, double[][] initCMatrix, int rowIndex, int[] betaLessThan)
static void	extractLinearConstraints(ComputationState state, water.Key<water.fvec.Frame> linearConstraintFrameKey, DataInfo dinfo) This method will extract the constraints specified in the Frame with key linearConstraintFrameKey.
static void	fillConstraintValues(ComputationState state, java.util.List<java.lang.String> constraintNamesList, double[][] initCMatrix, int[] betaLessThan)
static double[][]	formConstraintMatrix(ComputationState state, java.util.List<java.lang.String> constraintNamesList, int[] betaEqualLessThanInd)
static java.util.List<java.lang.String>	foundRedundantConstraints(ComputationState state, double[][] initConstraintMatrix)
static void	genInitialLambda(java.util.Random randObj, ConstrainedGLMUtils.LinearConstraints[] constraints, double[] lambda) The initial value of lambda values really do not matter that much.
static java.util.List<java.lang.String>	genRedundantConstraint(ComputationState state, java.util.List<java.lang.Integer> duplicatedEleIndics)
static ConstrainedGLMUtils.LinearConstraints	getConstraintFromIndex(ComputationState state, java.lang.Integer constraintIndex)
static java.lang.String	grabRedundantConstraintMessage(ComputationState state, java.lang.Integer constraintIndex)
static void	makeConstraintSummaryTable(GLMModel model, ConstrainedGLMUtils.LinearConstraintConditions cCond)
static ConstrainedGLMUtils.LinearConstraintConditions	printConstraintSummary(ComputationState state, java.lang.String[] coefNames)
static void	printConstraintSummary(GLMModel model, ComputationState state, java.lang.String[] coefNames)
static double[][]	sumGramConstribution(ConstrainedGLMUtils.ConstraintsGram[] gramConstraints, int numCoefs)
static void	updateConstraintParameters(ComputationState state, double[] lambdaEqual, double[] lambdaLessThan, ConstrainedGLMUtils.LinearConstraints[] equalConst, ConstrainedGLMUtils.LinearConstraints[] lessThanConst, GLMModel.GLMParameters parms) This method will update the constraint parameter values cKCS, epsilonkCS, etakCS.
static void	updateConstraintValues(double[] betaCnd, java.util.List<java.lang.String> coefNames, ConstrainedGLMUtils.LinearConstraints[] equalityConstraints, ConstrainedGLMUtils.LinearConstraints[] lessThanEqualToConstraints) Simple method to all linear constraints given the coefficient values.
static void	updateLambda(double[] lambda, double ckCS, ConstrainedGLMUtils.LinearConstraints[] constraints)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

EPS

public static final double EPS

See Also:

Constant Field Values

EPS2

public static final double EPS2

See Also:

Constant Field Values

Constructor Detail

ConstrainedGLMUtils

public ConstrainedGLMUtils()

Method Detail

combineConstraints

public static ConstrainedGLMUtils.LinearConstraints[] combineConstraints(ConstrainedGLMUtils.LinearConstraints[] const1,
                                                                         ConstrainedGLMUtils.LinearConstraints[] const2)

extractBetaConstraints

public static int[] extractBetaConstraints(ComputationState state,
                                           java.lang.String[] coefNames)

This method will extract the constraints specified in beta constraint and combine it with the linear constraints later. Note that the linear constraints are only accepted in standard form, meaning we only accept the following constraint forms: 2*beta_1-3*beta_4-3 == 0 or 2*beta_1-3*beta_4-3 <= 0. The beta constraints on the other hand is specified in several forms: 1): -Infinity <= beta <= Infinity: ignored, no constrain here; 2): -Infinity <= beta <= high_val: transformed to beta - high_val <= 0, add to lessThanEqualTo constraint; 3): low_val <= beta <= Infinity: transformed to low_val - beta <= 0, add to lessThanEqualTo constraint; 4): low_val <= beta <= high_val: transformed to two constraints, low_val-beta <= 0, beta-high_val <= 0, add to lessThanEqualTo constraint. 5): val <= beta <= val: transformed to beta-val == 0, add to equalTo constraint. The newly extracted constraints will be added to fields in state.

addBCEqualityConstraint

public static void addBCEqualityConstraint(java.util.List<ConstrainedGLMUtils.LinearConstraints> equalityC,
                                           GLM.BetaConstraint betaC,
                                           java.lang.String[] coefNames,
                                           int index)

This method will extract the equality constraint and add to equalityC from beta constraint by doing the following transformation: val <= beta <= val: transformed to beta-val == 0, add to equalTo constraint.

addBCGreaterThanConstraint

public static void addBCGreaterThanConstraint(java.util.List<ConstrainedGLMUtils.LinearConstraints> lessThanC,
                                              GLM.BetaConstraint betaC,
                                              java.lang.String[] coefNames,
                                              int index)

This method will extract the greater than constraint and add to lessThanC from beta constraint by doing the following transformation: low_val <= beta <= Infinity: transformed to low_val - beta <= 0.

addBCLessThanConstraint

public static void addBCLessThanConstraint(java.util.List<ConstrainedGLMUtils.LinearConstraints> lessThanC,
                                           GLM.BetaConstraint betaC,
                                           java.lang.String[] coefNames,
                                           int index)

This method will extract the less than constraint and add to lessThanC from beta constraint by doing the following transformation: -Infinity <= beta <= high_val: transformed to beta - high_val <= 0.

extractLinearConstraints

public static void extractLinearConstraints(ComputationState state,
                                            water.Key<water.fvec.Frame> linearConstraintFrameKey,
                                            DataInfo dinfo)

This method will extract the constraints specified in the Frame with key linearConstraintFrameKey. For example, the following constraints a*beta_1+b*beta_2-c*beta_5 == 0, d*beta_2+e*beta_6-f <= 0 can be specified as the following rows: names values Type constraint_numbers beta_1 a Equal 0 beta_2 b Equal 0 beta_5 -c Equal 0 beta_2 d LessThanEqual 1 beta_6 e LessThanEqual 1 constant -f LessThanEqual 1

extractConstraint

public static void extractConstraint(water.fvec.Frame constraintF,
                                     java.util.List<java.lang.Integer> rowIndices,
                                     java.util.List<ConstrainedGLMUtils.LinearConstraints> equalC,
                                     DataInfo dinfo,
                                     java.util.List<java.lang.String> coefNames,
                                     java.util.List<java.lang.String> colNames)

formConstraintMatrix

public static double[][] formConstraintMatrix(ComputationState state,
                                              java.util.List<java.lang.String> constraintNamesList,
                                              int[] betaEqualLessThanInd)

fillConstraintValues

public static void fillConstraintValues(ComputationState state,
                                        java.util.List<java.lang.String> constraintNamesList,
                                        double[][] initCMatrix,
                                        int[] betaLessThan)

extractConstraintValues

public static int extractConstraintValues(ConstrainedGLMUtils.LinearConstraints[] constraints,
                                          java.util.List<java.lang.String> constraintNamesList,
                                          double[][] initCMatrix,
                                          int rowIndex,
                                          int[] betaLessThan)

printConstraintSummary

public static void printConstraintSummary(GLMModel model,
                                          ComputationState state,
                                          java.lang.String[] coefNames)

makeConstraintSummaryTable

public static void makeConstraintSummaryTable(GLMModel model,
                                              ConstrainedGLMUtils.LinearConstraintConditions cCond)

printConstraintSummary

public static ConstrainedGLMUtils.LinearConstraintConditions printConstraintSummary(ComputationState state,
                                                                                    java.lang.String[] coefNames)

evaluateConstraint

public static boolean evaluateConstraint(ComputationState state,
                                         ConstrainedGLMUtils.LinearConstraints[] constraints,
                                         boolean equalityConstr,
                                         double[] beta,
                                         java.util.List<java.lang.String> coefNames,
                                         java.lang.String startStr,
                                         java.util.List<java.lang.String> constraintCond,
                                         java.util.List<java.lang.String> cSatisfied,
                                         java.util.List<java.lang.Double> cValues,
                                         java.util.List<java.lang.String> cConditions,
                                         java.util.List<java.lang.String> constraintsStrings)

Print constraints without any standardization applied so that people can see the setting in their original form without standardization. The beta coefficients are non-standardized. However, if standardized, the constraint values are changed to accommodate the standardized coefficients.

constraint2Str

public static java.lang.String constraint2Str(ConstrainedGLMUtils.LinearConstraints oneConst,
                                              java.lang.String startStr,
                                              ComputationState state)

extractConstraintCoeffs

public static java.util.List<java.lang.String> extractConstraintCoeffs(ComputationState state)

extractCoeffNames

public static boolean extractCoeffNames(java.util.List<java.lang.String> coeffList,
                                        ConstrainedGLMUtils.LinearConstraints[] constraints)

foundRedundantConstraints

public static java.util.List<java.lang.String> foundRedundantConstraints(ComputationState state,
                                                                         double[][] initConstraintMatrix)

genRedundantConstraint

public static java.util.List<java.lang.String> genRedundantConstraint(ComputationState state,
                                                                      java.util.List<java.lang.Integer> duplicatedEleIndics)

grabRedundantConstraintMessage

public static java.lang.String grabRedundantConstraintMessage(ComputationState state,
                                                              java.lang.Integer constraintIndex)

getConstraintFromIndex

public static ConstrainedGLMUtils.LinearConstraints getConstraintFromIndex(ComputationState state,
                                                                           java.lang.Integer constraintIndex)

evalOneConstraint

public static void evalOneConstraint(ConstrainedGLMUtils.LinearConstraints constraint,
                                     double[] beta,
                                     java.util.List<java.lang.String> coefNames)

This method will evaluate the value of a constraint given the GLM coefficients and the coefficicent name list. Note that the beta should be the normalized beta if standardize = true and the coefficients to the coefficients are set correctly for the standardized coefficients.

genInitialLambda

public static void genInitialLambda(java.util.Random randObj,
                                    ConstrainedGLMUtils.LinearConstraints[] constraints,
                                    double[] lambda)

The initial value of lambda values really do not matter that much. The lambda update will take care of making sure it is the right sign at the end of the iteration.

sumGramConstribution

public static double[][] sumGramConstribution(ConstrainedGLMUtils.ConstraintsGram[] gramConstraints,
                                              int numCoefs)

addConstraintGradient

public static void addConstraintGradient(double[] lambda,
                                         ConstrainedGLMUtils.ConstraintsDerivatives[] constraintD,
                                         GLM.GLMGradientInfo gradientInfo)

Add contribution of constraints to objective/likelihood/gradient.

addPenaltyGradient

public static void addPenaltyGradient(ConstrainedGLMUtils.ConstraintsDerivatives[] constraintDeriv,
                                      ConstrainedGLMUtils.LinearConstraints[] constraintD,
                                      GLM.GLMGradientInfo gradientInfo,
                                      double ck)

This method adds the contribution to the gradient from the penalty term ck/2*transpose(h(beta))*h(beta)

updateConstraintParameters

public static void updateConstraintParameters(ComputationState state,
                                              double[] lambdaEqual,
                                              double[] lambdaLessThan,
                                              ConstrainedGLMUtils.LinearConstraints[] equalConst,
                                              ConstrainedGLMUtils.LinearConstraints[] lessThanConst,
                                              GLMModel.GLMParameters parms)

This method will update the constraint parameter values cKCS, epsilonkCS, etakCS. Refer to the doc, Algorithm 19.1

calculateConstraintSquare

public static void calculateConstraintSquare(ComputationState state,
                                             ConstrainedGLMUtils.LinearConstraints[] equalConst,
                                             ConstrainedGLMUtils.LinearConstraints[] lessThanConst)

updateLambda

public static void updateLambda(double[] lambda,
                                double ckCS,
                                ConstrainedGLMUtils.LinearConstraints[] constraints)

constraintsStop

public static boolean constraintsStop(GLM.GLMGradientInfo gradientInfo,
                                      ComputationState state)

This method will check if the stopping conditions for constraint GLM are met and they are namely: 1. ||gradient of L with respect to beta and with respect to lambda|| <= epsilon 2. ||h(beta)|| square <= epsilon if satisfied is false and ||h(beta)|| square == 0 if satisfied is true If the stopping conditions are met, it will return true, else it will return false. See the doc, Algorithm 19.1, line 36.

activeConstraints

public static boolean activeConstraints(ConstrainedGLMUtils.LinearConstraints[] equalityC,
                                        ConstrainedGLMUtils.LinearConstraints[] lessThanEqualToC)

calGradient

public static GLM.GLMGradientInfo calGradient(double[] betaCnd,
                                              ComputationState state,
                                              GLM.GLMGradientSolver ginfo,
                                              double[] lambdaE,
                                              double[] lambdaL,
                                              ConstrainedGLMUtils.LinearConstraints[] constraintE,
                                              ConstrainedGLMUtils.LinearConstraints[] constraintL)

This method calls getGradient to calculate the gradient, likelhood and objective function values. In addition, it will add to the gradient and objective function the contribution from the linear constraints.

updateConstraintValues

public static void updateConstraintValues(double[] betaCnd,
                                          java.util.List<java.lang.String> coefNames,
                                          ConstrainedGLMUtils.LinearConstraints[] equalityConstraints,
                                          ConstrainedGLMUtils.LinearConstraints[] lessThanEqualToConstraints)

Simple method to all linear constraints given the coefficient values. In addition, it will determine if a linear constraint is active. Only active constraints are included in the objective function calculations. For an equality constraint, any constraint value not equal to zero is active. For a less than or equality constraint, any constraint value that exceed zero is active.

collinearInConstraints

public static java.lang.String[] collinearInConstraints(java.lang.String[] collinear_cols,
                                                        java.lang.String[] constraintNames)

countNumConst

public static int countNumConst(ComputationState state)