I have been a bit busy for the last few weeks with some projects. But fortunately I found some time on the last weekend to implement a recommandation engine for myself based on what we have done in ml-class.org lessons in octave and translate it to a Java version.

If you attended ml-class you might be familiar that you need to minimize a rather complex cost function based on what the user likes in terms of movies.

However I haven't found a

**simple and not ancient**Java library containing a fully working conjugate gradient method. Shorthand I decided to translate it from Octave to Java. It took me 5-6 hours to build a Octave-like vector library arround it to translate it quite 1:1. But it was really worth it.

And here it is:

https://github.com/thomasjungblut/thomasjungblut-common/blob/master/src/de/jungblut/math/minimize/Fmincg.java

Fmincg btw stands for

**F**unction

**mi**nimize

**n**onlinear

**c**onjugant

**g**radient. It wasn't clear for me in the first place and I really started to understand the algorithm when I translated it.

It works quite like the version in octave, you pass an input vector (which is used as a starting point) and a costfunction along with a number of iterations to do.

Since I'm a hacker by heart, I want to give you a sample code to try it out for yourself.

**Example**

I have prepared a simple quadratic function for you

f(x) = (4-x)^2+10

Obviously since this is quadratic this has a global minimum which is easy to spot because I used the binomial version of the function, we will see if fmincg finds it.

For the algorithm we constantly need to calculate the gradients of the input in our cost function. Therefore we need the derivative which is for our function

f(x)' = 2x-8

If you're a math crack then you know that the f(x) hits (int our case) the minimum where the derivative cut's the x-axis or y=0.

Since this is quite hard to visualize, I have made a picture for you:

Function f(x) and its derivative |

**How do we code this?**

This is quite simple, I show you the code first:

int startPoint = -5; // start at x=-5 DenseDoubleVector start = new DenseDoubleVector(new double[] { startPoint }); CostFunction inlineFunction = new CostFunction() { @Override public Tuple<Double, DenseDoubleVector> evaluateCost( DenseDoubleVector input) { // our function is f(x) = (4-x)^2+10, so we can calculate the cost double cost = Math.pow(4-input.get(0),2)+10; // the derivative is f(x)' = 2x-8 which is our gradient value DenseDoubleVector gradient = new DenseDoubleVector(new double[] {2*input.get(0)-8}); return new Tuple<Double, DenseDoubleVector>(cost, gradient); } }; DenseDoubleVector minimizeFunction = Fmincg.minimizeFunction(inlineFunction, start, 100, true); // should return 4 System.out.println("Found a minimum at: " + minimizeFunction);

As you can see we have to allocate the vector which is containing our start "point". You can set this arbitrary randomly, but you have know that it might not hit the global minimum but rather a local minimum. So different random starting points can yield to different results.

But not in our case. Now you can implement the cost function the algorithm needs the cost of your function at the given point of the input and the value of the derivative at this point.

So we return this after we put the input "x" in our two equations as a tuple.

The whole application prints:

Interation 1 | Cost: 10,000000 Interation 2 | Cost: 10,000000 [4.0]

Works! And it outputs the x-value of our minima and the cost is 10, which should be the y-value. Very cool!

You can find this example on Github as well.

Please use it if you need it, I have already implemented the collaborative filtering algorithm with it and I guess a backprop neural network will follow soon.

I really have to admit that I am not a math crack although I am studying computer sciences, but math really makes many things easier and if you take a deeper look behind what you've learned in school, it is really beautiful.

Thanks and bye!

Good post that I think our core audience of Java developers would really like to read. Would you be interested in having this featured in Javalobby at DZone.com? If so, contact me at egenesky@dzone.com

ReplyDeleteHave you considered rewriting the fmincg.m function in C++ so that it could be used as a compiled .oct function in Octave. I, for one, would be really interested in this.

ReplyDeleteInteresting idea, however I think that you can do this much more efficiently with specialized libraries than I would do in plain c++.

ReplyDeleteAlso I have no experience in compiling native code for octave, so this would be much more of a research project and not really usable.

The code in Octave's optim module (http://octave.sourceforge.net/optim/function/cg_min.html) is also interpreted.

Very Nice.

ReplyDeleteI have some octave code I need to port to Java and need fmincg like functionality. I'll check out your version. just out of curiosity what package are you using for general linear algebra support? I need basic stuff like multiply, transpose, member wise operations like octave .*, .+

random initialization, ...

Hey Andy,

ReplyDeleteI used my own math library (https://github.com/thomasjungblut/tjungblut-math). FminCG uses only the "de.jungblut.math.DoubleVector" interface- so you can implement it with practically every existing math library you have at hand.

Thomas Jungblut, I have some problem with your code. Can you send me work java progect with f(x) = (4-x)^2+10 on mail?

ReplyDeleteMy mail: krekota@yandex.ru

Hi Thomas,

ReplyDeleteI've stumbled on your blog while looking for some sort of implementation for Fmincg function, since matlab code looked all confusing to me. I'm using your code, just adapted for C# . Thanks for sharing it :)

I'm just a bit confused about keyword 'final' for your tuples. My implementation is a bit different, and I don't use tuple of any kind, but I wonder why is tuple variable final ? I tried understanding it, but I'm not familiar with Java enough to understand this. Actually, I don't see why is that variable final, is it about Java itself or you purposely wanted to make that tuple constant?

I'm sorry if the question is silly one. I hope you see this. My fmincg doesn't lower J cost function by much even tho it should on say 100 epochs.

All help appreciated. :)

final is only there to not accidentally change the reference (because there are multiple of the same kind, so easy to screw up). Similar to const in c#. I'd be eager to see the C# implementation (if you want to share obviously).

ReplyDeleteI see, maybe that's where my code is making some problems. I'll def. have to keep eye on that. The fmincg in itself is very similar, except that I use Mathnet Numerics library for matrix/vector operations and you use your own library. :) I'm still looking for anything I've accidentally changed in the fmincg, rest of the code is same as exercise 4 from machine learning course..but i don't exclude the possibility that I've made some other mistake there. I'll def.share if this works. [can't share if it's wonky :D ] Thank you so much for your help. :)

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