Demo of the synthetic experiments.

Contents

Requires UGM at http://www.di.ens.fr/~mschmidt/Software/UGM_2009.zip

Requires TFOCS at http://tfocs.stanford.edu

Graph parameters

p=10; % number of cts variables
q=10; % number of discrete variables
n=2000; % sample size
e=ones(n,1);
L=2*ones(q,1); % levels in each categorical variable
Ltot=sum(L);

Create params

rhocts=.25;
thcts=eye(p);
for i=1:p-1
    thcts(i,i+1)=rhocts;
    thcts(i+1,i)=rhocts;
end

thdiscts=cell(p,q);
maskDisCts=sparse(p,q);
for i=1:min(p,q)
    rhocd=.5;
    maskDisCts(i,i)=1;
    thdiscts{i,i}=[rhocd; -rhocd];
end

thdis=cell(q,q);
maskDis = sparse(diag(ones(q-1,1),1));
[R J]=find(maskDis);
for e=1:length(R)
        thdis{R(e),J(e)}=.5*[1 -1; -1 1]; % attractive
end

sample

mixSample;

Init opt variables

theta=zeros(Ltot,p); % cts-dis params
beta=zeros(p,p); % negative of the precision matrix
betad=ones(p,1); % diagonal of the precision matrix
alpha1=zeros(p,1); % cts node potential param
alpha2=zeros(Ltot,1); % dis node potential param
phi=zeros(Ltot,Ltot); % dis edge potential params
Lsum=[0;cumsum(L)];
x=paramToVecv5(beta,betad,theta,phi,alpha1,alpha2,L,n,p,q);

call TFOCS

lam=5*sqrt(log(p+q)/n);
smoothF= @(x)lhoodTfocsv5(x,D,X,Y,L,n,p,q);
nonsmoothH=@(varargin) tfocsProxGroupv6(lam,L,n,p,q, varargin{:} ); % only returns value of nonsmooth
opts.alg='N83';  opts.maxIts=800; opts.printEvery=100; opts.saveHist=true;
opts.restart=-10^4;
opts.tol=1e-10;
[xopt out opts]=tfocs(smoothF, {}, nonsmoothH, x,opts);
[beta betad theta phi alpha1 alpha2]= vecToParamv5(xopt,L,n,p,q);

Nesterov's 1983 single-projection method
Iter    Objective   |dx|/|x|    step
----+----------------------------------
89  | +1.20234e+001  3.08e-013  2.83e-005*
Finished: Step size tolerance reached

Plot parameters

close all;
figure(1); imagesc(triu(thcts-diag(diag(thcts)))); title('cts truth'); colorbar;
figure(2); imagesc(-beta); title('cts recover'); colorbar;
figure(3); imagesc(maskDis); title('discrete truth');colorbar;
figure; imagesc(phi); title('dis recover');colorbar;
figure; imagesc(maskDisCts); title('cts-dis truth');colorbar;
figure; imagesc(theta'); title('cts-dis recover');colorbar;

Published with MATLAB® 7.11