# R/KLIEP_optimize_alpha.R In densratio: Density Ratio Estimation

#### Defines functions compute_next_alphaKLIEP_optimize_alpha

```KLIEP_optimize_alpha <- function(phi_x, phi_y, mean_phi_y) {
A <- phi_x
if(missing(phi_y)) {
if(is.matrix(mean_phi_y)) {
b <- mean_phi_y
} else {
b <- matrix(mean_phi_y)
}
} else {
b <- matrix(colMeans(phi_y))
}
c <- b / crossprod(b)[1,1]

kernel_num <- ncol(phi_x)
max_iteration <- 100

alpha <- matrix(rep(1, kernel_num))
alpha <- compute_next_alpha(alpha, b, c)
score <- KLIEP_compute_score(phi_x, alpha)

eplilon_list <- 10 ^ (3:-3)
for (epsilon in eplilon_list) {
for (i in seq_len(max_iteration)) {
alpha_new <- alpha + (epsilon * t(A)) %*% (1 / (A %*% alpha))
alpha_new <- compute_next_alpha(alpha_new, b, c)
score_new <- KLIEP_compute_score(phi_x, alpha_new)
if(score_new <= score) {
break
}
alpha <- alpha_new
score <- score_new
}
}
alpha
}

compute_next_alpha <- function(alpha, b, c = b / crossprod(b)[1,1]) {
alpha <- alpha + (1 - (t(b) %*% alpha)[1,1]) * c
alpha[alpha < 0, ] <- 0
alpha <- alpha / (t(b) %*% alpha)[1,1]
alpha
}
```

## Try the densratio package in your browser

Any scripts or data that you put into this service are public.

densratio documentation built on May 29, 2017, 11 a.m.