add cddual_shrinking svm model

src/cddual_shrinking.jl

@@ -0,0 +1,119 @@
+function cddual_shrinking(X::Matrix,
+	            Y::Vector;
+	            C::Real = 1.0,
+	            norm::Integer = 2,
+	            randomized::Bool = true,
+	            maxpasses::Integer = 2,
+	            error::Real = 0.001)
+	# l: # of samples
+	# n: # of features
+	n, l = size(X)
+	alpha = zeros(l)
+	w = zeros(n)
+
+	# Set U and D
+	#  * L1-SVM: U = C, D[i] = 0
+	#  * L2-SVM: U = Inf, D[i] = 1 / (2C)
+	U = 0.0
+	D = Array(Float64, l)
+	if norm == 1
+		U = C
+		for i in 1:l
+			D[i] = 0.0
+		end
+	elseif norm	== 2
+		U = Inf
+		for i in 1:l
+			D[i] = 1.0 / (2.0 * C)
+		end
+	else
+		DomainError("Only L1-SVM and L2-SVM are supported")
+	end
+
+	# Set Qbar
+	Qbar = Array(Float64, l)
+	for i in 1:l
+		Qbar[i] = D[i] + dot(X[:, i], X[:, i])
+	end
+
+	# Loop over examples
+	converged = false
+	pass = 0
+
+	# set M_bar and m_bar
+	M_bar = Inf
+	m_bar = -Inf
+	A = 1:l
+
+	while !converged
+		# Assess convergence
+		pass += 1
+		if pass == maxpasses
+			converged = true
+		end
+
+		# Choose order of observations to process
+		if randomized
+			A = randperm(l)
+		else
+			A = 1:l
+		end
+
+		M = -Inf
+		m = Inf
+
+		# Process all observations
+		for i in A
+			g = Y[i] * dot(w, X[:, i]) - 1.0 + D[i] * alpha[i]
+			pg = 0
+
+			if alpha[i] <= 0.0
+				if g > M_bar
+					pop!(A, i)
+				if g < 0.0
+					pg = g
+			elseif alpha[i] >= U
+				if g < m_bar
+					pop!(A, i)
+				if g > 0.0
+					pg = g
+			else
+				pg = g
+			end
+
+			M = max(M, pg)
+			m = min(m, pg)
+
+			if abs(pg) > 0.0
+				alphabar = alpha[i]
+				alpha[i] = min(max(alpha[i] - g / Qbar[i], 0.0), U)
+				for j in 1:n
+					w[j] = w[j] + (alpha[i] - alphabar) * Y[i] * X[j, i]
+				end
+			end
+		end
+
+		if abs(M-m) < error
+			if A == 1:l
+				break
+			else
+				A = 1:l
+				M_bar = Inf
+				m_bar = -Inf
+			end
+		end
+
+		if M <= 0
+			M_bar = Inf
+		else
+			M_bar = M
+		end
+
+		if m >= 0
+			m_bar = - Inf
+		else
+			m_bar = m
+		end
+	end
+	return SVMFit(w, pass, converged)
+end