/* * ****************************************************************************** * * * * * * This program and the accompanying materials are made available under the * * terms of the Apache License, Version 2.0 which is available at * * https://www.apache.org/licenses/LICENSE-2.0. * * * * See the NOTICE file distributed with this work for additional * * information regarding copyright ownership. * * Unless required by applicable law or agreed to in writing, software * * distributed under the License is distributed on an "AS IS" BASIS, WITHOUT * * WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. See the * * License for the specific language governing permissions and limitations * * under the License. * * * * SPDX-License-Identifier: Apache-2.0 * ***************************************************************************** */ // // @author GS // #include #include #include #include #include #include #include #include #include #if NOT_EXCLUDED(OP_lstsq) namespace sd { namespace ops { namespace helpers { template static void fillRegularizer(NDArray* ioMatrix, double const value) { auto lastDims = ioMatrix->allTensorsAlongDimension({-2, -1}); auto rows = ioMatrix->sizeAt(-2); for (auto x = 0; x < lastDims.size(); x++) { for (auto r = 0; r < rows; r++) { lastDims[x]->r(r, r) = (T)value; } } } template sd::Status leastSquaresSolveFunctor_(sd::LaunchContext* context, NDArray* leftInput, NDArray* rightInput, double const l2Regularizer, bool const fast, NDArray* output) { NDArray::preparePrimaryUse({output}, {leftInput, rightInput}); if (fast) { // Cholesky decomposition approach // Equation for solve A^T * Ax = A^T * b, so // 1. Computing A2: auto tAtShape = ShapeUtils::evalShapeForMatmul(leftInput->shapeInfo(), leftInput->shapeInfo(), true, false); // tAtShape[tAtShape.size() - 2] = output->sizeAt(-2); NDArray leftOutput('c', tAtShape, output->dataType(), context); MmulHelper::matmul(leftInput, leftInput, &leftOutput, true, false, 0, 0, &leftOutput); // Computing A2 = A^T * A // 2. Computing B' = A^T * b auto rightOutput = output->ulike(); MmulHelper::matmul(leftInput, rightInput, rightOutput, true, false, 0, 0, rightOutput); // Computing B' = A^T * b // 3. due l2Regularizer = 0, skip regularization ( indeed A' = A2 - l2Regularizer * I) auto regularizer = leftOutput.ulike(); fillRegularizer(regularizer, l2Regularizer); leftOutput += *regularizer; // 4. Cholesky decomposition -- output matrix is square and lower triangular // auto leftOutputT = leftOutput.ulike(); auto status = helpers::cholesky(context, &leftOutput, &leftOutput, true); // inplace decomposition if (status != sd::Status::OK) return status; // alternate moment: inverse lower triangular matrix to solve equation A'x = b' => L^Tx = L^-1 * b' // solve one upper triangular system (to avoid float problems) // 5. Solve two triangular systems: auto rightB = rightOutput->ulike(); helpers::triangularSolveFunctor(context, &leftOutput, rightOutput, true, false, rightB); helpers::adjointMatrix(context, &leftOutput, true, &leftOutput); helpers::triangularSolveFunctor(context, &leftOutput, rightB, false, false, output); // All done } else { // QR decomposition approach // Equation for solve Rx = Q^T * b, where A = Q * R, where Q - orthogonal matrix, and R - upper triangular // 1. QR decomposition std::vector *qShapePtr = leftInput->getShapeAsVector(); std::vector qShape = *qShapePtr; delete qShapePtr; std::vector *rShapePtr = leftInput->getShapeAsVector(); std::vector rShape = *rShapePtr; delete rShapePtr; qShape[leftInput->rankOf() - 1] = leftInput->sizeAt(-2); NDArray Q(leftInput->ordering(), qShape, leftInput->dataType(), context); // = leftInput->ulike(); NDArray R(leftInput->ordering(), rShape, leftInput->dataType(), context); // = rightInput->ulike(); helpers::qr(context, leftInput, &Q, &R, true); // 2. b` = Q^t * b: auto rightOutput = rightInput->ulike(); MmulHelper::matmul(&Q, rightInput, rightOutput, true, false, 0, 0, rightOutput); // 3. Solve triangular system helpers::triangularSolveFunctor(context, &R, rightOutput, false, false, output); } NDArray::registerPrimaryUse({output}, {leftInput, rightInput}); return sd::Status::OK; } sd::Status leastSquaresSolveFunctor(sd::LaunchContext* context, NDArray* leftInput, NDArray* rightInput, double const l2Regularizer, bool const fast, NDArray* output) { BUILD_SINGLE_SELECTOR(leftInput->dataType(), return leastSquaresSolveFunctor_, (context, leftInput, rightInput, l2Regularizer, fast, output), SD_FLOAT_TYPES); } } // namespace helpers } // namespace ops } // namespace sd #endif