src/test/scripts/functions/builtin/multisvm.R

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args <- commandArgs(TRUE)

library("Matrix")

X = as.matrix(readMM(paste(args[1], "X.mtx", sep="")))

check_X = sum(X)
if(check_X == 0){
	print("X has no non-zeros")
}else{
	Y = as.matrix(readMM(paste(args[1], "Y.mtx", sep="")))
	intercept = as.logical(args[2])
	num_classes = max(Y)
	epsilon = as.double(args[3])
	lambda = as.double(args[4])
	max_iterations = as.integer(args[5])
 
	num_samples = nrow(X)
	num_features = ncol(X)

	if (intercept == TRUE) {
 		ones  = matrix(1, num_samples, 1);
 		X = cbind(X, ones);
	}

	num_rows_in_w = num_features
	if(intercept == TRUE){
		num_rows_in_w = num_rows_in_w + 1
	}
	w = matrix(0, num_rows_in_w, num_classes)

	for(iter_class in 1:num_classes){		  
		Y_local = 2 * (Y == iter_class) - 1
		w_class = matrix(0, num_features, 1)
		if (intercept == TRUE) {
			zero_matrix = matrix(0, 1, 1);
 			w_class = t(cbind(t(w_class), zero_matrix));
 		}
 
		g_old = t(X) %*% Y_local
 		s = g_old

		Xw = matrix(0, nrow(X), 1)
		iter = 0
 		continue = 1
 		while(continue == 1)  {
  			# minimizing primal obj along direction s
  			step_sz = 0
  			Xd = X %*% s
  			wd = lambda * sum(w_class * s)
  			dd = lambda * sum(s * s)
  			continue1 = 1
  			while(continue1 == 1){
   				tmp_Xw = Xw + step_sz*Xd
   				out = 1 - Y_local * (tmp_Xw)
   				sv = (out > 0)
   				out = out * sv
   				g = wd + step_sz*dd - sum(out * Y_local * Xd)
   				h = dd + sum(Xd * sv * Xd)
   				step_sz = step_sz - g/h
   				if (g*g/h < 0.0000000001){
    				continue1 = 0
   				}
  			}
 
  			#update weights
  			w_class = w_class + step_sz*s
 			Xw = Xw + step_sz*Xd
			#print(Xw)
  			out = 1 - Y_local * Xw
  			sv = (out > 0)
  			out = sv * out
  			obj = 0.5 * sum(out * out) + lambda/2 * sum(w_class * w_class)
  			g_new = t(X) %*% (out * Y_local) - lambda * w_class

  			tmp = sum(s * g_old)
  
  			train_acc = sum(Y_local*(X%*%w_class) >= 0)/num_samples*100
  			#print(paste("For class ", iter_class, " iteration ", iter, " training accuracy: ", train_acc, sep=""))
   
  			if((step_sz*tmp < epsilon*obj) | (iter >= max_iterations-1)){
   				continue = 0
  			}
 
  			#non-linear CG step
  			be = sum(g_new * g_new)/sum(g_old * g_old)
  			s = be * s + g_new
  			g_old = g_new

  			iter = iter + 1
 		}

		w[,iter_class] = w_class
	}
	#print("R model "); print(w)
	
	writeMM(as(w, "CsparseMatrix"), paste(args[6], "model", sep=""))
}