org.apache.spark.mllib.optimization

Class GradientDescent

Object

org.apache.spark.mllib.optimization.GradientDescent

All Implemented Interfaces:

java.io.Serializable, Logging, Optimizer

public class GradientDescent
extends Object
implements Optimizer, Logging

Class used to solve an optimization problem using Gradient Descent.

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor and Description
GradientDescent(Gradient gradient, Updater updater)

Method Summary

Methods

Modifier and Type	Method and Description
Vector	optimize(RDD<scala.Tuple2<Object,Vector>> data, Vector initialWeights) :: DeveloperApi :: Runs gradient descent on the given training data.
static scala.Tuple2<Vector,double[]>	runMiniBatchSGD(RDD<scala.Tuple2<Object,Vector>> data, Gradient gradient, Updater updater, double stepSize, int numIterations, double regParam, double miniBatchFraction, Vector initialWeights) Run stochastic gradient descent (SGD) in parallel using mini batches.
GradientDescent	setGradient(Gradient gradient) Set the gradient function (of the loss function of one single data example) to be used for SGD.
GradientDescent	setMiniBatchFraction(double fraction) :: Experimental :: Set fraction of data to be used for each SGD iteration.
GradientDescent	setNumIterations(int iters) Set the number of iterations for SGD.
GradientDescent	setRegParam(double regParam) Set the regularization parameter.
GradientDescent	setStepSize(double step) Set the initial step size of SGD for the first step.
GradientDescent	setUpdater(Updater updater) Set the updater function to actually perform a gradient step in a given direction.

Methods inherited from class Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface org.apache.spark.Logging

initializeIfNecessary, initializeLogging, isTraceEnabled, log_, log, logDebug, logDebug, logError, logError, logInfo, logInfo, logName, logTrace, logTrace, logWarning, logWarning

Constructor Detail

GradientDescent

public GradientDescent(Gradient gradient,
               Updater updater)

Method Detail

runMiniBatchSGD

public static scala.Tuple2<Vector,double[]> runMiniBatchSGD(RDD<scala.Tuple2<Object,Vector>> data,
                                            Gradient gradient,
                                            Updater updater,
                                            double stepSize,
                                            int numIterations,
                                            double regParam,
                                            double miniBatchFraction,
                                            Vector initialWeights)

Run stochastic gradient descent (SGD) in parallel using mini batches. In each iteration, we sample a subset (fraction miniBatchFraction) of the total data in order to compute a gradient estimate. Sampling, and averaging the subgradients over this subset is performed using one standard spark map-reduce in each iteration.

Parameters:

data - - Input data for SGD. RDD of the set of data examples, each of the form (label, [feature values]).

gradient - - Gradient object (used to compute the gradient of the loss function of one single data example)

updater - - Updater function to actually perform a gradient step in a given direction.

stepSize - - initial step size for the first step

numIterations - - number of iterations that SGD should be run.

regParam - - regularization parameter

miniBatchFraction - - fraction of the input data set that should be used for one iteration of SGD. Default value 1.0.

Returns:

A tuple containing two elements. The first element is a column matrix containing weights for every feature, and the second element is an array containing the stochastic loss computed for every iteration.

setStepSize

public GradientDescent setStepSize(double step)

Set the initial step size of SGD for the first step. Default 1.0. In subsequent steps, the step size will decrease with stepSize/sqrt(t)

setMiniBatchFraction

public GradientDescent setMiniBatchFraction(double fraction)

:: Experimental :: Set fraction of data to be used for each SGD iteration. Default 1.0 (corresponding to deterministic/classical gradient descent)

setNumIterations

public GradientDescent setNumIterations(int iters)

Set the number of iterations for SGD. Default 100.

setRegParam

public GradientDescent setRegParam(double regParam)

Set the regularization parameter. Default 0.0.

setGradient

public GradientDescent setGradient(Gradient gradient)

Set the gradient function (of the loss function of one single data example) to be used for SGD.

setUpdater

public GradientDescent setUpdater(Updater updater)

Set the updater function to actually perform a gradient step in a given direction. The updater is responsible to perform the update from the regularization term as well, and therefore determines what kind or regularization is used, if any.

optimize

public Vector optimize(RDD<scala.Tuple2<Object,Vector>> data,
              Vector initialWeights)

:: DeveloperApi :: Runs gradient descent on the given training data.

Specified by:

optimize in interface Optimizer

Parameters:

data - training data

initialWeights - initial weights

Returns:

solution vector