Description Usage Arguments Details Value Warning Note Author(s) References See Also Examples

View source: R/GrassmannOptim.R

Maximizing a function `F(U)`

, where `U`

is a semi-orthogonal matrix and the function is
invariant under an orthogonal transformation of `U`

. An explicit expression of the gradient is
not required and the hessian is not used. It includes a global search option using simulated annealing.

1 2 3 4 | ```
GrassmannOptim(objfun, W, sim_anneal = FALSE, temp_init = 20,
cooling_rate = 2, max_iter_sa = 100, eps_conv = 1e-05,
max_iter = 100, eps_grad = 1e-05, eps_f = .Machine$double.eps,
verbose = FALSE)
``` |

`objfun` |
a required R function that evaluates |

`W` |
a list object of arguments to be passed to |

`sim_anneal` |
If |

`temp_init` |
a positive scalar that is the initial temperature for simulated annealing if |

`cooling_rate` |
a positive scalar greater than |

`max_iter_sa` |
a positive integer specifying the maximum number of iterations to be performed at a fixed temperature before cooling. |

`eps_conv` |
a small positive scalar. The program terminates when the norm of the gradient gets smaller or equal to |

`max_iter` |
a positive integer specifying the maximum number of iterations to be performed before the program is terminated. |

`eps_grad` |
is a small positive scalar. If |

`eps_f` |
small positive scalar giving the tolerance at which the difference between the current objective function value and the preceding is considered small enough to terminate the program. |

`verbose` |
if TRUE, steps are printed. Otherwise, nothing is printed. |

The algorithm was adapted from Liu, Srivastava and Gallivan (2004) who discussed the geometry of Grassmann manifolds. See also Edelman, Arias and Smith (1998) for more expositions.

This is a non-linear optimization program. We describe a basic gradient algorithm for Grassmann manifolds.

Let *G_{p,d}* be the set of all `d-`

dimensional subspaces
of *\mathrm{R}^n*. It is a compact, connected manifold of
dimension `d(p-d)`

. An element of this manifold is a subspace.
It can be represented by a basis or by a projection matrix.
Here, the computations are carried in terms of the bases.

Let *U* such that *\texttt{Span}(U)* *\in G_{p,d}*.
We consider an objective function *F(U)* to be optimized.

Let *D(U)* be the gradient of the objective function *F*
at the point *U*. The algorithm starts with an initial value
*U_i* of *U*. For step size *δ* in *\mathrm{R}^1*,
a single step of the gradient algorithm is

*Q_{t+1} = \exp(-δ A) Q_t*

where *Q_t=[U_t,V_t]* and *V_t* is the orthogonal completion of
*U_t* so that *Q_t* is orthogonal. The matrix *A* is computed
using the directional derivatives of *F*. The new value of the
objective function is *F(U_t)*.

The matrix *A* is skewed-symmetric and *\exp(-δ \bold{A})*
is orthogonal. The algorithm works by rotating the starting orthonormal
basis *Q_t* to a new basis by left multiplication by an orthogonal matrix.

The iterations continues until a stopping criterion is met. Ideally, convergence is met when the norm of the gradient is sufficiently small. But stopping can be set at a fixed number of iterations.

An explicit expression of the gradient may not be provided; finite difference
approximations are used instead. However, deriving the gradient expression
may pay off in terms of the efficiency and reliability of the algorithm.
But a differentiable function *F* that maps *G_{p,d}*
to *\mathrm{R}^1* is necessary.

The choice of the initial starting value *U_i* of *U* is important.
We recommend not to use random start for the optimization to avoid a local maximum.
Liu et al. (2004) suggested a simulated annealing method to attain a global optimum.

A list containing the following components

`Qt` |
optimal orthogonal matrix such that |

`norm_grads ` |
a vector of successive norms of the directional derivative throughout all iterations.
The last scalar is the norm of the gradient at the optimal |

`fvalues ` |
a vector of successive values of the objective function throughout all iterations.
The last scalar is the value of the objective function at the optimal |

`converged` |
if |

This program may search for a global maximizer using a simulated annealing stochastic gradient. The choice of the initial temperature, cooling rate and also of the maximum allowable number of iterations within the simulated annealing process affect the success of reaching that global maximum.

This program uses the objective function `objfun`

provided by the user.
An expression of the objective function needs to follow the format illustrated in the example.

Kofi Placid Adragni <[email protected]> and Seongho Wu

Liu, X.; Srivastava, A,; Gallivan, K. (2004) Optimal linear representations of images for object recognition. IEEE Transactions on Pattern Analysis and Machine Intelligence. Vol 26, No. 5, pp 662-666

Edelman, A.; Arias, T. A.; Smith, S. T. (1998) The Geometry of Algorithms with Orthogonality Constraints. SIAM J. Matrix Anal. Appl. Vol. 20, No. 2, pp 303-353

`nlm`

, `nlminb`

, `optim`

,
`optimize`

, `constrOptim`

for other optimization functions.

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 | ```
objfun <- function(W){value <- f(W); gradient <- Grad(W);
return(list(value=value, gradient=gradient))}
f <- function(W){d <- W$dim[1]; Y<-matrix(W$Qt[,1:d], ncol=d);
return(0.5*sum(diag(t(Y)%*%W$A%*%Y)))}
Grad <- function(W){
Qt <- W$Qt; d <- W$dim[1]; p <- nrow(Qt); grad <- matrix (0, p, p);
Y <- matrix(Qt[,1:d], ncol=d); Y0 <- matrix(Qt[,(d+1):p], ncol=(p-d));
return(t(Y) %*% W$A %*% Y0)}
p=5; d=2; set.seed(234);
a <- matrix(rnorm(p**2), ncol=p); A <- t(a)%*%a;
# Exact Solution
W <- list(Qt=eigen(A)$vectors[,1:p], dim=c(d,p), A=A);
ans <- GrassmannOptim(objfun, W, eps_conv=1e-5, verbose=TRUE);
ans$converged
# Random starting matrix
m<-matrix(rnorm(p**2), ncol=p); m<-t(m)%*%m;
W <- list(Qt=eigen(m)$vectors, dim=c(d,p), A=A);
ans <- GrassmannOptim(objfun, W, eps_conv=1e-5, verbose=TRUE);
plot(ans$fvalues)
# Simulated Annealing
W <- list(dim=c(d,p), A=A);
ans <- GrassmannOptim(objfun, W, sim_anneal=TRUE, max_iter_sa=35,
verbose=TRUE);
########
set.seed(13); p=8; nobs=200; d=3; sigma=1.5; sigma0=2;
rmvnorm <- function (n, mean = rep(0, nrow(sigma)), sigma = diag(length(mean)))
{ # This function generates random numbers from the multivariate normal -
# see library "mvtnorm"
ev <- eigen(sigma, symmetric = TRUE)
retval <- ev$vectors %*% diag(sqrt(ev$values), length(ev$values)) %*%
t(ev$vectors)
retval <- matrix(rnorm(n * ncol(sigma)), nrow = n) %*% retval;
retval <- sweep(retval, 2, mean, "+");
colnames(retval) <- names(mean);
retval
}
objfun <- function(W){return(list(value=f(W), gradient=Gradient(W)))}
f <- function(W){
Qt <- W$Qt; d <- W$dim[1]; p <- ncol(Qt); Sigmas <- W$sigmas;
U <- matrix(Qt[,1:d], ncol=d); V <- matrix(Qt[,(d+1):p], ncol=(p-d));
return(-log(det(t(V)%*%Sigmas$S%*%V))-log(det(t(U)%*%Sigmas$S_res%*%U)))}
Gradient <- function(W)
{Qt <- W$Qt; d <- W$dim[1]; p <- ncol(Qt); Sigmas <- W$sigmas;
U <- matrix(Qt[,1:d], ncol=d); V <- matrix(Qt[,(d+1):p], ncol=(p-d));
terme1 <- solve(t(U)%*%Sigmas$S_res%*%U)%*% t(U)%*%Sigmas$S_res%*%V;
terme2 <- t(U)%*%Sigmas$S%*%V%*%solve(t(V)%*%Sigmas$S%*%V);
return(2*(terme1 - terme2))}
y<-array(runif(n=nobs, min=-2, max=2), c(nobs, 1));
fy<-scale(cbind(y, y^2, y^3),TRUE,FALSE);
#Structured error PFC model;
Gamma<-diag(p)[,c(1:3)]; Gamma0<-diag(p)[,-c(1:3)];
Omega <-sigma^2*matrix(0.5, ncol=3, nrow=3); diag(Omega)<-sigma^2;
Delta<- Gamma%*%Omega%*%t(Gamma) + sigma0^2*Gamma0%*%t(Gamma0);
Err <- t(rmvnorm(n=nobs, mean = rep(0, p), sigma = Delta))
beta <- diag(3*c(1, 0.4, 0.4));
X <- t(Gamma%*%beta%*%t(fy) + Err);
Xc <- scale(X, TRUE, FALSE);
P_F <- fy%*%solve(t(fy)%*%fy)%*%t(fy);
S <- t(Xc)%*%Xc/nobs; S_fit <- t(Xc)%*%P_F%*%Xc/nobs; S_res <- S-S_fit;
sigmas <- list(S=S, S_fit=S_fit, S_res=S_res, p=p, nobs=nobs);
# Random starting matrix;
Qt <- svd(matrix(rnorm(p^2), ncol=p))$u;
W <- list(Qt=Qt, dim=c(d, p), sigmas=sigmas)
ans <- GrassmannOptim(objfun, W, eps_conv=1e-4);
ans$converged;
ans$fvalues;
ans$Qt[,1:3];
# Good starting matrix;
Qt <- svd(S_fit)$u;
W <- list(Qt=Qt, dim=c(d, p), sigmas=sigmas)
ans <- GrassmannOptim(objfun, W, eps_conv=1e-4, verbose=TRUE);
ans$converged;
``` |

GrassmannOptim documentation built on May 30, 2017, 7:41 a.m.

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