# -*- coding: utf-8 -*- """ Domain adaptation with optimal transport with GPU implementation """ import numpy as np from ..utils import unif from ..da import OTDA from .bregman import sinkhorn import cudamat def pairwiseEuclideanGPU(a, b, returnAsGPU=False, squared=False): """ Compute the pairwise euclidean distance between matrices a and b. Parameters ---------- a : np.ndarray (n, f) first matrice b : np.ndarray (m, f) second matrice returnAsGPU : boolean, optional (default False) if True, returns cudamat matrix still on GPU, else return np.ndarray squared : boolean, optional (default False) if True, return squared euclidean distance matrice Returns ------- c : (n x m) np.ndarray or cudamat.CUDAMatrix pairwise euclidean distance distance matrix """ # a is shape (n, f) and b shape (m, f). Return matrix c of shape (n, m). # First compute in c_GPU the squared euclidean distance. And return its # square root. At each cell [i,j] of c, we want to have # sum{k in range(f)} ( (a[i,k] - b[j,k])^2 ). We know that # (a-b)^2 = a^2 -2ab +b^2. Thus we want to have in each cell of c: # sum{k in range(f)} ( a[i,k]^2 -2a[i,k]b[j,k] +b[j,k]^2). a_GPU = cudamat.CUDAMatrix(a) b_GPU = cudamat.CUDAMatrix(b) # Multiply a by b transpose to obtain in each cell [i,j] of c the # value sum{k in range(f)} ( a[i,k]b[j,k] ) c_GPU = cudamat.dot(a_GPU, b_GPU.transpose()) # multiply by -2 to have sum{k in range(f)} ( -2a[i,k]b[j,k] ) c_GPU.mult(-2) # Compute the vectors of the sum of squared elements. a_GPU = cudamat.pow(a_GPU, 2).sum(axis=1) b_GPU = cudamat.pow(b_GPU, 2).sum(axis=1) # Add the vectors in each columns (respectivly rows) of c. # sum{k in range(f)} ( a[i,k]^2 -2a[i,k]b[j,k] ) c_GPU.add_col_vec(a_GPU) # sum{k in range(f)} ( a[i,k]^2 -2a[i,k]b[j,k] +b[j,k]^2) c_GPU.add_row_vec(b_GPU.transpose()) if not squared: c_GPU = cudamat.sqrt(c_GPU) if returnAsGPU: return c_GPU else: return c_GPU.asarray() def sinkhorn_lpl1_mm(a, labels_a, b, M_GPU, reg, eta=0.1, numItermax=10, numInnerItermax=200, stopInnerThr=1e-9, verbose=False, log=False): """ Solve the entropic regularization optimal transport problem with nonconvex group lasso regularization The function solves the following optimization problem: .. math:: \gamma = arg\min_\gamma <\gamma,M>_F + reg\cdot\Omega_e(\gamma)+ \eta \Omega_g(\gamma) s.t. \gamma 1 = a \gamma^T 1= b \gamma\geq 0 where : - M is the (ns,nt) metric cost matrix - :math:`\Omega_e` is the entropic regularization term :math:`\Omega_e(\gamma)=\sum_{i,j} \gamma_{i,j}\log(\gamma_{i,j})` - :math:`\Omega_g` is the group lasso regulaization term :math:`\Omega_g(\gamma)=\sum_{i,c} \|\gamma_{i,\mathcal{I}_c}\|^{1/2}_1` where :math:`\mathcal{I}_c` are the index of samples from class c in the source domain. - a and b are source and target weights (sum to 1) The algorithm used for solving the problem is the generalised conditional gradient as proposed in [5]_ [7]_ Parameters ---------- a : np.ndarray (ns,) samples weights in the source domain labels_a : np.ndarray (ns,) labels of samples in the source domain b : np.ndarray (nt,) samples weights in the target domain M_GPU : cudamat.CUDAMatrix (ns,nt) loss matrix reg : float Regularization term for entropic regularization >0 eta : float, optional Regularization term for group lasso regularization >0 numItermax : int, optional Max number of iterations numInnerItermax : int, optional Max number of iterations (inner sinkhorn solver) stopInnerThr : float, optional Stop threshold on error (inner sinkhorn solver) (>0) verbose : bool, optional Print information along iterations log : bool, optional record log if True Returns ------- gamma : (ns x nt) ndarray Optimal transportation matrix for the given parameters log : dict log dictionary return only if log==True in parameters References ---------- .. [5] N. Courty; R. Flamary; D. Tuia; A. Rakotomamonjy, "Optimal Transport for Domain Adaptation," in IEEE Transactions on Pattern Analysis and Machine Intelligence , vol.PP, no.99, pp.1-1 .. [7] Rakotomamonjy, A., Flamary, R., & Courty, N. (2015). Generalized conditional gradient: analysis of convergence and applications. arXiv preprint arXiv:1510.06567. See Also -------- ot.lp.emd : Unregularized OT ot.bregman.sinkhorn : Entropic regularized OT ot.optim.cg : General regularized OT """ p = 0.5 epsilon = 1e-3 Nfin = len(b) indices_labels = [] classes = np.unique(labels_a) for c in classes: idxc, = np.where(labels_a == c) indices_labels.append(cudamat.CUDAMatrix(idxc.reshape(1, -1))) Mreg_GPU = cudamat.empty(M_GPU.shape) W_GPU = cudamat.empty(M_GPU.shape).assign(0) for cpt in range(numItermax): Mreg_GPU.assign(M_GPU) Mreg_GPU.add_mult(W_GPU, eta) transp_GPU = sinkhorn(a, b, Mreg_GPU, reg, numItermax=numInnerItermax, stopThr=stopInnerThr, returnAsGPU=True) # the transport has been computed. Check if classes are really # separated W_GPU.assign(1) W_GPU = W_GPU.transpose() for (i, c) in enumerate(classes): (_, nbRow) = indices_labels[i].shape tmpC_GPU = cudamat.empty((Nfin, nbRow)).assign(0) transp_GPU.transpose().select_columns(indices_labels[i], tmpC_GPU) majs_GPU = tmpC_GPU.sum(axis=1).add(epsilon) cudamat.pow(majs_GPU, (p-1)) majs_GPU.mult(p) tmpC_GPU.assign(0) tmpC_GPU.add_col_vec(majs_GPU) W_GPU.set_selected_columns(indices_labels[i], tmpC_GPU) W_GPU = W_GPU.transpose() return transp_GPU.asarray() class OTDA_GPU(OTDA): def normalizeM(self, norm): if norm == "median": self.M_GPU.divide(float(np.median(self.M_GPU.asarray()))) elif norm == "max": self.M_GPU.divide(float(np.max(self.M_GPU.asarray()))) elif norm == "log": self.M_GPU.add(1) cudamat.log(self.M_GPU) elif norm == "loglog": self.M_GPU.add(1) cudamat.log(self.M_GPU) self.M_GPU.add(1) cudamat.log(self.M_GPU) class OTDA_sinkhorn(OTDA_GPU): def fit(self, xs, xt, reg=1, ws=None, wt=None, norm=None, **kwargs): cudamat.init() xs = np.asarray(xs, dtype=np.float64) xt = np.asarray(xt, dtype=np.float64) self.xs = xs self.xt = xt if wt is None: wt = unif(xt.shape[0]) if ws is None: ws = unif(xs.shape[0]) self.ws = ws self.wt = wt self.M_GPU = pairwiseEuclideanGPU(xs, xt, returnAsGPU=True, squared=True) self.normalizeM(norm) self.G = sinkhorn(ws, wt, self.M_GPU, reg, **kwargs) self.computed = True class OTDA_lpl1(OTDA_GPU): def fit(self, xs, ys, xt, reg=1, eta=1, ws=None, wt=None, norm=None, **kwargs): cudamat.init() xs = np.asarray(xs, dtype=np.float64) xt = np.asarray(xt, dtype=np.float64) self.xs = xs self.xt = xt if wt is None: wt = unif(xt.shape[0]) if ws is None: ws = unif(xs.shape[0]) self.ws = ws self.wt = wt self.M_GPU = pairwiseEuclideanGPU(xs, xt, returnAsGPU=True, squared=True) self.normalizeM(norm) self.G = sinkhorn_lpl1_mm(ws, ys, wt, self.M_GPU, reg, eta, **kwargs) self.computed = True