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pcr.cpp
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#include "util.h"
#include "pmf.h"
#define kind dynamic,500
double objective(double* m, const mat_t& U, const mat_t& V, SparseMat* X, double lambda) {
double res = 0;
double norm_U = norm(U);
double norm_V = norm(V);
long d1 = X->d1;
double* vals = X->vals;
long* index = X->index;
#pragma omp parallel for schedule(kind) reduction(+:res)
for (long i = 0; i < d1; ++i) {
long start = *(index + i);
long end = *(index + i + 1) - 1;
// cout << i << " " << start << " " << end << endl;
for (long j = start; j <= end - 1; ++j) {
double val_j = *(vals + j);
for (long k = j + 1; k <= end; ++k) {
//cout << j << "," << k << endl;
double val_k = *(vals + k);
if (val_j == val_k) {
continue;
} /*else if (val_j > val_k) {
y_ijk = 1.0;
} else {
y_ijk = -1.0;
}*/
double mask = *(m + j) - *(m + k);
// mask *= y_ijk;
if ( val_j < val_k )
mask =-mask;
if (mask < 1.0) {
res += (1.0 - mask) * (1.0 - mask);
}
}
}
}
res += lambda * (norm_U + norm_V) / 2.0;
return res;
}
double* comp_m(const mat_t& U, const mat_t& V, SparseMat* X, int r) {
long d1 = (*X).d1;
long d2 = (*X).d2;
long nnz = (*X).nnz;
double* m = new double[nnz];
fill(m, m + nnz, 0.0);
#pragma omp parallel for schedule(kind)
for (long i = 0; i < nnz; ++i) {
long usr_id = (*X).cols[i];
long item_id = (*X).rows[i];
double dot_res = 0;
for (int j = 0; j < r; ++j) {
dot_res = dot_res + U[usr_id][j] * V[item_id][j];
}
*(m + i) = dot_res;
}
return m; // remember to free memory of pointer m
}
void update_m(long i, const vec_t& ui, const mat_t& V, SparseMat* X, int r, double* m) {
long* rows = X->rows;
long* index = X->index;
long start = *(index + i);
long end = *(index + i + 1) - 1;
long len = end - start + 1;
for (long j = start; j <= end; ++j) {
long item_id = *(rows + j);
double dot_res = dot(ui, V[item_id]);
*(m + j) = dot_res;
}
return;
}
double* compute_mm(long i, const vec_t& ui_new, const mat_t& V, SparseMat* X, int r) {
long* rows = X->rows;
long* index = X->index;
long start = *(index + i);
long end = *(index + i + 1);
long len = end - start;
double* mm = new double[len];
for (long j = start; j < end; ++j) {
long item_id = *(rows + j);
double res = 0.0;
for (int k = 0; k < r; ++k) {
res += ui_new[k] * V[item_id][k];
}
*(mm + j - start) = res;
}
return mm;
}
mat_t obtain_g(const mat_t& U, const mat_t& V, SparseMat* X, double* m, double lambda) {
// g is d2 by r, same as V
// seems faster to move it outside and then pass by reference
mat_t g = copy_mat_t(V, lambda); // g=lambda*V
long d1 = X->d1;
double* vals = X->vals;
long* index = X->index;
long* rows = X->rows;
int r = g[0].size();
long d2 = g.size();
int num_threads = omp_get_max_threads();
// vector<mat_t> g_list(num_threads, mat_t(d2, vec_t(r, 0)));
#pragma omp parallel for schedule(kind)
for (long i = 0; i < d1; ++i) {
int rank = omp_get_thread_num();
long start = *(index + i);
long end = *(index + i + 1) - 1;
long len = end - start + 1;
double *t = new double[len]; // t is pointer to array length of len
fill(t, t + len, 0.0);
for (long j = start; j <= end - 1; ++j) {
double val_j = *(vals + j);
for (long k = j + 1; k <= end; ++k) {
double val_k = *(vals + k);
double y_ijk = 1.0;
if (val_j == val_k) {
continue;
} else if (val_j < val_k) {
y_ijk = -1.0;
}
double mask = *(m + j) - *(m + k);
mask *= y_ijk;
if (mask < 1.0) {
double s_jk = 2.0 * (mask - 1);
*(t + j - start) += s_jk*y_ijk;
*(t + k - start) -= s_jk*y_ijk;
}
}
}
for (long k = 0; k < len; ++k) {
long j = *(rows + start + k);
double c = *(t + k);
// we want g[j,:] += c * U[i,:]
// update_mat_add_vec(U[i], c, j, g);
for ( int k=0 ; k<r ; k++ )
#pragma omp atomic
g[j][k] += c*U[i][k];
// update_mat_add_vec(U[i], c, j, g_list[rank]);
}
delete[] t;
}
/* for ( int i=0 ; i<d2 ; i++ )
for ( int k=0 ; k<r ; k++ )
for ( int ii=0 ; ii<num_threads ; ii++)
g[i][k]+= g_list[ii][i][k];
*/
// t = nullptr;
return g;
}
vec_t compute_Ha(const vec_t& a, double* m, const mat_t& U, SparseMat* X,
int r, double lambda) {
// compute Hessian vector product without explicitly calcualte Hessian H
// Ha = lambda * a already
vec_t Ha = copy_vec_t(a, lambda);
long d1 = X->d1;
double* vals = X->vals;
long* rows = X->rows;
long* index = X->index;
// long start, end, len; // start, end, denotes starting/ending index in indexs array for i-th user
// a_start, a_end denotes starting/ending index in array 'a' for i-th user, a is size of d2*r
// long a_start, a_end;
// long Ha_start, Ha_end;
// double val_j, val_k;
// double mask, ddd;
// int y_ijk;
// double* b;
// double* cpvals;
r = static_cast<long>(r);
#pragma omp parallel for schedule(kind)
for (long i = 0; i < d1; ++i) {
long start = *(index + i);
long end = *(index + i + 1) - 1;
long len = end - start + 1;
double *b = new double[len]; // to precompute ui*a
long cc = 0;
for (long k = 0; k < len; ++k) {
long q = *(rows + start + k);
long a_start = q * r;
long a_end = (q + 1) * r - 1;
b[cc++] = vec_prod_array(U[i], a, a_start, a_end);
}
double *cpvals = new double[len];
fill(cpvals, cpvals + len, 0.0);
for (long j = start; j < end; ++j) {
double val_j = *(vals + j);
for (long k = j + 1; k <= end; ++k) {
double val_k = *(vals + k);
if (val_j == val_k) {
continue;
}
double mask = *(m + j) - *(m + k);
if ( val_k > val_j )
mask = -mask;
if (mask < 1.0) {
double ddd = *(b + j - start) - *(b + k - start);
ddd *= 2;
*(cpvals + j - start) += ddd;
*(cpvals + k - start) -= ddd;
}
}
}
for (long k = 0; k < len; ++k) {
long p = *(rows + start + k);
double c = *(cpvals + k);
long Ha_start = p * r;
long Ha_end = (p + 1) * r - 1;
//
//update_vec_subrange(U[i], c, Ha, Ha_start, Ha_end);
//
for ( long j=0 ; j<U[i].size(); j++)
#pragma omp atomic
Ha[Ha_start+j] += c*U[i][j];
}
delete[] b;
delete[] cpvals;
b = nullptr;
cpvals = nullptr;
}
return Ha;
}
vec_t solve_delta(const vec_t& g, double* m, const mat_t& U, SparseMat* X, int r,
double lambda) {
vec_t delta = vec_t(g.size(), 0.0);
vec_t rr = copy_vec_t(g, -1.0);
vec_t p = copy_vec_t(g);
// vec_t p = copy_vec_t(rr, -1.0);
double err = sqrt(norm(rr)) * 0.01;
// cout << "break condition " << err << endl;
double ttt = omp_get_wtime();
for (int k = 1; k <= 10; ++k) {
//vec_t Hp = copy_vec_t(p, lambda);
double ttaa = omp_get_wtime();
vec_t Hp = compute_Ha(p, m, U, X, r, lambda);
double prod_p_Hp = dot(p, Hp);
double alpha = -1.0 * dot(rr, p) / prod_p_Hp;
delta = add_vec_vec(delta, p, 1.0, alpha);
rr = add_vec_vec(rr, Hp, 1.0, alpha);
// cout << "In CG, iteration " << k << " rr value:" << sqrt(norm(rr)) << endl;
if (sqrt(norm(rr)) < err) {
break;
}
double b = dot(rr, Hp) / prod_p_Hp;
p = add_vec_vec(rr, p, -1.0, b);
}
// printf("AAA Time: %lf\n", omp_get_wtime()-ttt);
return delta;
}
double* update_V(SparseMat* X, double lambda, double stepsize, int r, const mat_t& U,
mat_t& V, double& now_obj) {
// update V while fixing U fixed
double ttt = omp_get_wtime();
double* m = comp_m(U, V, X, r);
// printf("M time: %lf\n", omp_get_wtime()-ttt);
double time = omp_get_wtime();
//mat_t g = copy_mat_t(V, lambda);
mat_t g = obtain_g(U, V, X, m, lambda);
// printf("obtain_g_time %lf\n", omp_get_wtime()-time);
// cout << "norm of g " << norm(g) << endl;
// cout << "time for obtain_g function takes " << omp_get_wtime() - time << endl;
// cout << "g is succesfully computed " << g.size() << "," << g[0].size() << endl;
// vectorize_mat function to convert g from mat_t into vec_t
vec_t g_vec;
vectorize_mat(g, g_vec);
// cout << norm(g) - norm(g_vec) << endl;
//assert(norm(g) == norm(g_vec));
//cout << "vectorization is successful, now size is " << g_vec.size() << endl;
// solve_delta function to implement conjugate gradient algorithm
vec_t delta = solve_delta(g_vec, m, U, X, r, lambda);
// reshape function (not needed if implement mat_t substract vec_t function)
// cout << "solve_delta is okay" << endl;
//cout << "delta norm is " << norm(delta) << endl;
double aatt = omp_get_wtime();
double prev_obj = objective(m, U, V, X, lambda);
mat_t V_new;
// cout << "stepsize is " << stepsize << endl;
// cout << "norm of delta is " << norm(delta) << endl;
// truncated newton till convergence
for (int iter = 0; iter < 20; ++iter) {
V_new = copy_mat_t(V, 1.0);
mat_substract_vec(delta, stepsize, V_new);
delete[] m;
m = comp_m(U, V_new, X, r);
now_obj = objective(m, U, V_new, X, lambda);
// cout << "Line Search Iter " << iter << " Prev Obj " << prev_obj
// << " New Obj" << now_obj << " stepsize " << stepsize << endl;
if (now_obj < prev_obj) {
V = copy_mat_t(V_new, 1.0);
break;
} else {
stepsize /= 2.0;
}
}
//printf("LINETIME: %lf\n", omp_get_wtime()-aatt);
// printf("ALLALL time: %lf\n", omp_get_wtime()-ttt);
return m;
}
double* obtain_g_u(long i, const mat_t& V, SparseMat* X, double* m, int r, double lambda,
double* D, vec_t& g, long& cc) {
// cc is the number of pariwise comparisons for items of different ratings
// should be upper bounded by num_pairs (or D.size())
//cout << "entering obtain_g_u" << endl;
double* vals = X->vals;
long* rows = X->rows;
long* index = X->index;
long start = *(index + i);
long end = *(index + i + 1) - 1;
//cout << start << " " << end << endl;
long len = end - start + 1;
double val_j, val_k;
double y_ijk, mask, s_jk;
double* t;
t = new double[len]; // t is pointer to array length of len
fill(t, t + len, 0.0);
for (long j = start; j <= end - 1; ++j) {
val_j = *(vals + j);
for (long k = j + 1; k <= end; ++k) {
val_k = *(vals + k);
if (val_j == val_k) {
continue;
}
/*else if (val_j > val_k) {
y_ijk = 1.0;
} else {
y_ijk = -1.0;
}*/
mask = *(m + j) - *(m + k);
// mask *= y_ijk;
if ( val_k > val_j )
mask = -mask;
if (mask < 1.0) {
D[cc] = 1.0;
// s_jk = 2*(1-mask)*y_ijk;
s_jk = 2*(1-mask);
if ( val_k > val_j )
s_jk = -s_jk;
*(t + j - start) -= s_jk;
*(t + k - start) += s_jk;
// s_jk = 2.0 * (mask - 1);
// *(t + j - start) += s_jk;
// *(t + k - start) -= s_jk;
}
cc++;
}
}
//cout << "first part finished" << endl;
for (long k = 0; k < len; ++k) {
long j = *(rows + start + k);
double c = *(t + k);
// we want g += c * V[:,j];
g = add_vec_vec(g, V[j], 1.0, c);
}
delete[] t;
t = nullptr;
return D;
}
double objective_u(long i, double* mm, const vec_t& ui, SparseMat* X, double lambda) {
double res = 0.0;
res += lambda / 2.0 * norm(ui);
double* vals = X->vals;
long* index = X->index;
long start, end;
double y_ijk, mask;
start = *(index + i);
end = *(index + i + 1) - 1;
for (long j = start; j <= end - 1; ++j) {
double val_j = *(vals + j);
for (long k = j + 1; k <= end; ++k) {
double val_k = *(vals + k);
if (val_j == val_k) {
continue;
} /*else if (val_j > val_k) {
y_ijk = 1.0;
} else {
y_ijk = -1.0;
}*/
mask = *(mm + j - start) - *(mm + k - start);
//mask *= y_ijk;
if ( val_j < val_k )
mask =-mask;
if (mask < 1.0) {
res += (1.0 - mask) * (1.0 - mask);
}
}
}
return res;
}
// unlike compute_Ha(), we don't need m, since no product of ui, vj will be used
vec_t obtain_Hs(long i, const vec_t& s, double* D, const mat_t& V, SparseMat* X,
double* m, int r, double lambda) {
vec_t Hs = copy_vec_t(s, lambda);
double* vals = X->vals;
long* rows = X->rows;
long* index = X->index;
long start = *(index + i);
long end = *(index + i + 1) - 1;
long len = end - start + 1;
double val_j, val_k;
double ddd;
double* b;
double* cpvals;
b = new double[len]; // to precompute ui*a
for (long k = 0; k < len; ++k) {
long j = *(rows + start + k);
double res = 0.0;
for (int k = 0; k < r; ++k) {
res += s[k] * V[j][k];
}
*(b + k) = res;
}
cpvals = new double[len];
fill(cpvals, cpvals + len, 0.0);
long cc = 0;
for (long j = start; j < end; ++j) {
val_j = *(vals + j);
for (long k = j + 1; k <= end; ++k) {
val_k = *(vals + k);
double y_ijk;
if (val_j == val_k) {
continue;
} /*else if (val_j > val_k) {
y_ijk = 1.0;
} else {
y_ijk = -1.0;
}*/
double mask = *(m + j) - *(m + k);
// mask *= y_ijk;
if ( val_j < val_k)
mask = -mask;
//if (mask < 1.0) {
if (D[cc] > 0.0) {
ddd = *(b + j - start) - *(b + k - start);
ddd *= 2.0;
*(cpvals + j - start) += ddd;
*(cpvals + k - start) -= ddd;
}
cc++;
}
}
for (long k = 0; k < len; ++k) {
long j = *(rows + start + k);
double c = *(cpvals + k);
Hs = add_vec_vec(Hs, V[j], 1.0, c);
}
delete[] b;
delete[] cpvals;
b = nullptr;
cpvals = nullptr;
return Hs;
}
vec_t solve_delta_u(long i, vec_t& g, double* D, const mat_t& V, SparseMat* X,
double* m, int r, double lambda) {
vec_t delta(g.size(), 0.0);
vec_t rr = copy_vec_t(g, -1.0);
vec_t p = copy_vec_t(rr, -1.0);
double err = sqrt(norm(rr)) * 0.01;
// cout << "break condition " << err << endl;
for (int k = 1; k <= 10; ++k) {
vec_t Hp = obtain_Hs(i, p, D, V, X, m, r, lambda);
//vec_t Hp = compute_Ha(p, m, U, X, r, lambda);
double prod_p_Hp = dot(p, Hp);
double alpha = -1.0 * dot(rr, p) / prod_p_Hp;
delta = add_vec_vec(delta, p, 1.0, alpha);
rr = add_vec_vec(rr, Hp, 1.0, alpha);
// cout << "In CG, iteration " << k << " rr value:" << sqrt(norm(rr)) << endl;
if (sqrt(norm(rr)) < err) {
break;
}
double b = dot(rr, Hp) / prod_p_Hp;
p = add_vec_vec(rr, p, -1.0, b);
}
return delta;
}
vec_t update_u(long i, const mat_t& V, SparseMat* X, double* m, int r,
double lambda, double stepsize, const vec_t& ui, double& obj_u_new) {
//cout << "enter update_u " << i << endl;
long* index = X->index;
long start = *(index + i);
long end = *(index + i + 1) - 1;
long len = end - start + 1;
// cout << "User " << i << " has rated " << len << " items " << endl;
size_t num_pairs = static_cast<size_t>(len * (len - 1) / 2);
//cout << "num_pairs " << num_pairs << endl;
// use D to store mask results of pairwise comparison to save time
// bad allocator error, could be too large for stack space
// vec_t D = vec_t(num_pairs, 0.0);
double* D = new double[num_pairs];
fill(D, D + num_pairs, -1.0);
//cout << "initializing D is okay" <<endl;
// cc is the number of pariwise comparisons for items of different ratings
// should be upper bounded by num_pairs (or D.size())
long cc = 0;
vec_t g = copy_vec_t(ui, lambda);
D = obtain_g_u(i, V, X, m, r, lambda, D, g, cc);
// cout << "norm of g for u0 is " << norm(g) << endl;
// printf("g: ");
// for ( int i=0 ; i<g.size() ; i++)
// printf("%lf ", g[i]);
// printf("\n");
double* mm = compute_mm(i, ui, V, X, r);
double prev_obj = objective_u(i, mm, ui, X, lambda);
// cout << "prev obj is " << prev_obj << endl;
if (cc == 0 || norm(g) < 0.0001) {
obj_u_new = prev_obj;
delete[] D;
delete[] mm;
mm = nullptr;
D = nullptr;
return ui;
}
vec_t delta = solve_delta_u(i, g, D, V, X, m, r, lambda);
vec_t ui_new = copy_vec_t(ui, 1.0);
for (int iter = 0; iter < 20; ++iter) {
ui_new = add_vec_vec(ui, delta, 1.0, -stepsize);
//update_m(i, ui_new, V, X, r, m);
// cout << "ui_new norm is " <<norm(ui_new) << endl;
delete[] mm;
mm = compute_mm(i, ui_new, V, X, r);
obj_u_new = objective_u(i, mm, ui_new, X, lambda);
// cout << "Line Search Iter " << iter << " Prev Obj " << prev_obj
// << " New Obj" << obj_u_new << " stepsize " << stepsize << endl;
if (obj_u_new < prev_obj) {
break;
} else {
stepsize /= 2.0;
}
}
delete[] D;
D = nullptr;
mm = nullptr;
return ui_new;
}
mat_t update_U(SparseMat* X, double* m, double lambda, double stepsize, int r, const mat_t& V,
const mat_t& U, double& now_obj) {
// update U while fixing V
//cout << "entering update_U" <<endl;
double total_obj_new = 0.0;
double obj_u_new = 0.0;
long d1 = X->d1;
mat_t U_new = copy_mat_t(U, 1.0);
// for (long i = 0; i < 1; ++i) {
#pragma omp parallel for schedule(kind) reduction(+:total_obj_new)
for (long i = 0; i < d1; ++i) {
// modify U[i], obj_u_new inside update_u()
vec_t ui_new = update_u(i, V, X, m, r, lambda, stepsize, U[i], obj_u_new);
for (int k = 0; k < r; ++k) {
U_new[i][k] = ui_new[k];
// printf("k: %lf\n", ui_new[k]);
}
total_obj_new += obj_u_new;
}
total_obj_new += lambda / 2.0 * norm(V);
now_obj = total_obj_new;
return U_new;
}
// Primal-CR Algorithm
void pcr(smat_t& R, mat_t& U, mat_t& V, testset_t& T, parameter& param) {
//cout<<"enter pcr"<<endl;
int r = param.k;
double lambda = param.lambda;
double stepsize = param.stepsize;
int ndcg_k = param.ndcg_k;
double now_obj;
double totaltime = 0.0;
cout << "running PrimalCR ndcg_k is " << ndcg_k << endl;
// X: d1 by d2 sparse matrix, ratings
// U: r by d1 dense
// V: r by d2 dense
// X ~ U^T * V
omp_set_num_threads(param.threads);
cout << "using " << omp_get_max_threads() << " threads. " << endl;
SparseMat* X = convert(R); // remember to free memory X in the end by delete X; set X = NULL;
SparseMat* XT = convert(T, X->d1, X->d2);
long nnz = (*X).nnz;
double ttt = omp_get_wtime();
double* m = comp_m(U, V, X, r);
// printf("aaa time %lf\n", omp_get_wtime()-ttt);
// printf("m[5]: %lf\n", m[4]);
double time = omp_get_wtime();
now_obj = objective(m, U, V, X, lambda);
// printf("time for obj %lf\n", omp_get_wtime()-time);
// printf("Iter 0 time 0 obj %lf\n", now_obj);
cout << "Iter 0 time 0 obj " << now_obj << endl;
if (param.do_predict) {
pair<double, double> eval_res = compute_pairwise_error_ndcg(U, V, X, ndcg_k);
cout << "(Training) pairwise error is " << eval_res.first << " and ndcg is " << eval_res.second << endl;
}
if ( T.nnz !=0 and param.do_predict) {
pair<double,double> eval_res = compute_pairwise_error_ndcg(U, V, XT, ndcg_k);
cout << "(Testing) pairwise error is " << eval_res.first << " and ndcg is " << eval_res.second << endl;
}
//int num_iter = 10;
int num_iter = param.maxiter;
/*
mat_t g = copy_mat_t(V);
cout << g.size() << ", g, " << g[0].size() << endl;
for (long i = 0; i < X->d2; ++i) {
cout << g[i][0] << endl;
}
*/
double total_time = 0.0;
for (int iter = 1; iter <= num_iter; ++iter) {
time = omp_get_wtime();
// need to free space pointer m points to before pointing it to another memory
delete[] m;
m = update_V(X, lambda, stepsize, r, U, V, now_obj);
// printf("update_V_time %lf\n", omp_get_wtime()-time);
//cout << "Iter " << iter << " update_V " << "Time " << omp_get_wtime() - time << " Objective is " << now_obj << endl;
//m = comp_m(U, V, X, r);
U = update_U(X, m, lambda, stepsize, r, V, U, now_obj);
//m = comp_m(U, V, X, r);
//cout << (now_obj - objective(m, U, V, X, lambda)) << endl;
//cout << "Iter " << iter << " update_U " << "Time " << omp_get_wtime() - time << " Obj " << now_obj << endl;
total_time += omp_get_wtime() - time;
cout << "Iter " << iter << " time " << total_time << " obj " << now_obj << endl;
// cout << "Iter " << iter << ": Total Time " << total_time << " Obj " << now_obj << endl;
if (param.do_predict) {
pair<double, double> eval_res = compute_pairwise_error_ndcg(U, V, X, ndcg_k);
cout << "(Training) pairwise error is " << eval_res.first << " and ndcg is " << eval_res.second << endl;
}
if ( T.nnz!=0 and param.do_predict) {
pair<double, double> eval_res = compute_pairwise_error_ndcg(U, V, XT, ndcg_k);
cout << "(Testing) pairwise error is " << eval_res.first << " and ndcg is " << eval_res.second << endl;
}
}
delete[] m;
delete X;
//m = NULL;
//X = NULL;
m = nullptr;
X = nullptr;
return;
}