add sgd algo

Author: ling.fang

admm/conf/sgd.conf

@@ -0,0 +1,11 @@
+#admm
+rho = 1
+admm_max_iter = 20
+num_fea = 10000007
+l1_reg = 0
+l2_reg = 0.1
+
+#optimizer
+learner = sgd
+epochs = 1
+alpha = 0.1

admm/include/sgd.h

@@ -0,0 +1,81 @@
+#include <cmath>
+#include "learner.h"
+
+namespace adPredictAlgo {
+
+class SGD : public Learner {
+  public:
+    SGD() {
+      num_fea = 0;
+      epochs = 1;
+      alpha = 0.1;
+    }
+
+    virtual ~SGD() {
+    }
+
+    void Configure(const std::vector<std::pair<std::string,std::string> > &cfg) 
+    {
+      for(const auto &kv : cfg)
+        cfg_[kv.first] = kv.second;
+
+      if(cfg_.count("num_fea"))
+        num_fea = static_cast<uint32_t>(atoi(cfg_["num_fea"].c_str()));
+      if(cfg_.count("alpha"))
+        alpha = static_cast<float>(atof(cfg_["alpha"].c_str()));
+        std::cout << alpha << std::endl;
+      if(cfg_.count("epochs"))
+        epochs = static_cast<int>(atoi(cfg_["epochs"].c_str()));
+    }
+
+    void Train(float *primal,
+               float *dual,
+               float *cons,
+               float rho,
+               dmlc::RowBlockIter<unsigned> *dtrain)
+    {
+      memset(primal,0.1,sizeof(float)*num_fea);
+      for(int iter = 0; iter < epochs;iter++){
+        dtrain->BeforeFirst();
+        while(dtrain->Next())  {
+          const dmlc::RowBlock<unsigned> &batch = dtrain->Value();
+          for(size_t i = 0;i < batch.size;i++)
+          {
+            dmlc::Row<unsigned> v = batch[i];
+            float grad = PredIns(v,primal) - v.get_label();
+            float grad_tmp = grad;
+
+            for(unsigned j = 0;j < v.length;j++) {
+              unsigned fea_index = v.index[j]; 
+              grad_tmp += dual[fea_index] + rho * (primal[fea_index] - cons[fea_index]);
+              primal[fea_index] -= alpha * grad_tmp;
+//              std::cout << primal[fea_index] << " " << alpha * grad_tmp << std::endl;
+              grad_tmp = grad;
+            }
+          }
+        }
+      }
+    }
+
+    float PredIns(const dmlc::Row<unsigned> &v,
+                         const float *w) {
+      float inner = 0.0f;
+      for(unsigned i = 0;i < v.length;i++) {
+        inner += w[v.index[i]];
+      }
+      return Sigmoid(inner);
+    }
+
+    inline float Sigmoid(const float &inx) {
+      return 1.0f / (1.0f + std::exp(-inx));
+    }
+
+  private:
+    float alpha;
+    uint32_t num_fea;
+    int epochs;
+
+    std::map<std::string,std::string> cfg_;
+};
+
+}