src/test/scripts/functions/lineage/LineageReuseAlg5.dml

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#hyperparameter(lambda, intercept) grid search for l2svm

l2norm = function(Matrix[Double] X, Matrix[Double] y, Matrix[Double] B, Boolean icpt)
return (Matrix[Double] loss) {
  if (icpt)
    X = cbind(X, matrix(1, nrow(X), 1));
  loss = as.matrix(sum((y - X%*%B)^2));
}

N = 1000;
no_lamda = 10;
stp = (0.1 - 0.0001)/no_lamda;
lamda = 0.0001;
Rbeta = matrix(0, rows=N+1, cols=no_lamda*2);
Rloss = matrix(0, rows=no_lamda*2, cols=1);
i = 1;

X = rand(rows=1000, cols=N, sparsity=1.0, seed=42);
y = rand(rows=1000, cols=1, min=0, max=2, seed=42);
y = ceil(y);

for (l in 1:no_lamda)
{
  beta = l2svm(X=X, Y=y, intercept=FALSE, epsilon=1e-12,
      lambda = lamda, verbose=FALSE);
  Rbeta[1:nrow(beta),i] = beta;
  Rloss[i,] = l2norm(X, y, beta, FALSE);
  i = i + 1;

  beta = l2svm(X=X, Y=y, intercept=TRUE, epsilon=1e-12,
      lambda = lamda, verbose=FALSE);
  Rbeta[1:nrow(beta),i] = beta;
  Rloss[i,] = l2norm(X, y, beta, TRUE);
  i = i + 1;

  lamda = lamda + stp;
}

leastLoss = rowIndexMin(t(Rloss));
bestModel = Rbeta[,as.scalar(leastLoss)];

write(bestModel, $1, format="text");