hex.glm

Class LSMSolver.ADMMSolver

java.lang.Object

water.Iced

hex.glm.LSMSolver

hex.glm.LSMSolver.ADMMSolver

All Implemented Interfaces:

java.lang.Cloneable, Freezable

Enclosing class:

LSMSolver

public static final class LSMSolver.ADMMSolver
extends LSMSolver

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	LSMSolver.ADMMSolver.NonSPDMatrixException

Nested classes/interfaces inherited from class hex.glm.LSMSolver

LSMSolver.ADMMSolver, LSMSolver.GeneralizedGradientSolver, LSMSolver.LSMSolverException, LSMSolver.LSMSolverType

Field Summary

Fields

Modifier and Type	Field and Description
double	_orlx
double	_rho
static double	DEFAULT_ALPHA

Fields inherited from class hex.glm.LSMSolver

_alpha, _converged, _lambda

Constructor Summary

Constructors

Constructor and Description
LSMSolver.ADMMSolver(double lambda, double alpha)
LSMSolver.ADMMSolver(double lambda, double alpha, double rho)

Method Summary

Methods

Modifier and Type	Method and Description
protected double	g_beta(Gram gram, double[] xy, double yy, double[] beta) Compute least squares objective function value: g(beta) = 0.5*(y - X*b)'*(y - X*b) = 0.5*y'y - (X'y)'*b + 0.5*b'*X'X*b)
java.lang.String	name()
boolean	normalize()
boolean	solve(Gram gram, double[] xy, double yy, double[] z)
boolean	solve(Gram gram, double[] xy, double yy, double[] z, double objVal)
com.google.gson.JsonObject	toJson()

Methods inherited from class hex.glm.LSMSolver

converged, shrinkage

Methods inherited from class water.Iced

clone, frozenType, init, newInstance, read, toDocField, write, writeJSON, writeJSONFields

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT_ALPHA

public static final double DEFAULT_ALPHA

See Also:

Constant Field Values

_orlx

public double _orlx

_rho

public double _rho

Constructor Detail

LSMSolver.ADMMSolver

public LSMSolver.ADMMSolver(double lambda,
                    double alpha)

LSMSolver.ADMMSolver

public LSMSolver.ADMMSolver(double lambda,
                    double alpha,
                    double rho)

Method Detail

normalize

public boolean normalize()

toJson

public com.google.gson.JsonObject toJson()

Specified by:

toJson in class LSMSolver

solve

public boolean solve(Gram gram,
            double[] xy,
            double yy,
            double[] z)

Specified by:

solve in class LSMSolver

xy - - guassian: -X'y binomial: -(1/4)X'(XB + (y-p)/(p*1-p))

yy - - /2

z - - resulting vector of coefficients

Returns:

true if converged

g_beta

protected double g_beta(Gram gram,
            double[] xy,
            double yy,
            double[] beta)

Compute least squares objective function value: g(beta) = 0.5*(y - X*b)'*(y - X*b) = 0.5*y'y - (X'y)'*b + 0.5*b'*X'X*b)

Parameters:

xx: - X'X

xy: - -X'y

yy: - 0.5*y'y

beta: - b (vector of coefficients)

Returns:

0.5*(y - X*b)'*(y - X*b)

solve

public boolean solve(Gram gram,
            double[] xy,
            double yy,
            double[] z,
            double objVal)

name

public java.lang.String name()

Specified by:

name in class LSMSolver