Mercurial > hg > camir-aes2014

annotate toolboxes/distance_learning/mlr/thresh/threshFull_admmMixed.m @ 0:e9a9cd732c1e tip

Find changesets by keywords (author, files, the commit message), revision number or hash, or revset expression.
first hg version after svn
author wolffd
date Tue, 10 Feb 2015 15:05:51 +0000
parents
children
rev   line source
wolffd@0 1 function result = threshFull_admmMixed(R,lam);
wolffd@0 2 % return argmin_V lam*||V||_2,1 + 0.5 ||V - A||_F^2
wolffd@0 3 % symmetry constraint on V
wolffd@0 4
wolffd@0 5
wolffd@0 6
wolffd@0 7 W = R;
wolffd@0 8 V = eye(length(R));
wolffd@0 9 U = zeros(size(R));
wolffd@0 10 q = 1;
wolffd@0 11 mu = 100;
wolffd@0 12 mult = 2;
wolffd@0 13
wolffd@0 14 p = numel(R);
wolffd@0 15 n = numel(U);
wolffd@0 16 tol = 1e-4;
wolffd@0 17 ptol = tol * sqrt(p);
wolffd@0 18 dtol = tol * sqrt(n);
wolffd@0 19
wolffd@0 20 iter = 0;
wolffd@0 21 while 1
wolffd@0 22 iter = iter + 1;
wolffd@0 23 Vold = V;
wolffd@0 24 W = threshFull_mixed(((1*R+q*(V-U))/(1+q)),lam/(1+q));
wolffd@0 25 V = feasible_symm(W+U);
wolffd@0 26 U = U + W - V;
wolffd@0 27
wolffd@0 28 pr = q * norm( V(:)-Vold(:));
wolffd@0 29 dr = norm((W(:) - V(:)));
wolffd@0 30
wolffd@0 31 if pr < ptol && dr < dtol,break,end
wolffd@0 32
wolffd@0 33 if pr/dr > mu
wolffd@0 34 q = 1/mult * q;
wolffd@0 35 U = mult * U;
wolffd@0 36 % disp(['q = ' num2str(q)]);
wolffd@0 37 elseif dr/pr > mu
wolffd@0 38 q = mult * q;
wolffd@0 39 U = 1/mult * U;
wolffd@0 40 % disp(['q = ' num2str(q)]);
wolffd@0 41
wolffd@0 42 end
wolffd@0 43 end
wolffd@0 44 %disp(['Iterations: ' num2str(iter)]);
wolffd@0 45 %disp(['PR: ' num2str(pr) 'DR: ' num2str(dr)])
wolffd@0 46 result = V;
wolffd@0 47 end
wolffd@0 48
wolffd@0 49
wolffd@0 50
wolffd@0 51 function result = feasible_symm(A)
wolffd@0 52 result = 0.5*(A+A');
wolffd@0 53 end
wolffd@0 54
wolffd@0 55