Updated Branches: refs/heads/master 73dfd42fb -> fe8a3546f
Correct L2 regularized weight update with canonical form Project: http://git-wip-us.apache.org/repos/asf/incubator-spark/repo Commit: http://git-wip-us.apache.org/repos/asf/incubator-spark/commit/e91ad3f1 Tree: http://git-wip-us.apache.org/repos/asf/incubator-spark/tree/e91ad3f1 Diff: http://git-wip-us.apache.org/repos/asf/incubator-spark/diff/e91ad3f1 Branch: refs/heads/master Commit: e91ad3f164b64e727f41ced6ae20d70ca4c92521 Parents: d749d47 Author: Sean Owen <so...@cloudera.com> Authored: Sat Jan 18 12:53:01 2014 +0000 Committer: Sean Owen <so...@cloudera.com> Committed: Sat Jan 18 12:53:01 2014 +0000 ---------------------------------------------------------------------- .../scala/org/apache/spark/mllib/optimization/Updater.scala | 6 +++++- 1 file changed, 5 insertions(+), 1 deletion(-) ---------------------------------------------------------------------- http://git-wip-us.apache.org/repos/asf/incubator-spark/blob/e91ad3f1/mllib/src/main/scala/org/apache/spark/mllib/optimization/Updater.scala ---------------------------------------------------------------------- diff --git a/mllib/src/main/scala/org/apache/spark/mllib/optimization/Updater.scala b/mllib/src/main/scala/org/apache/spark/mllib/optimization/Updater.scala index 4c51f4f..37124f2 100644 --- a/mllib/src/main/scala/org/apache/spark/mllib/optimization/Updater.scala +++ b/mllib/src/main/scala/org/apache/spark/mllib/optimization/Updater.scala @@ -86,13 +86,17 @@ class L1Updater extends Updater { /** * Updater that adjusts the learning rate and performs L2 regularization + * + * See, for example, explanation of gradient and loss with L2 regularization on slide 21-22 + * of <a href="http://people.cs.umass.edu/~sheldon/teaching/2012fa/ml/files/lec7-annotated.pdf";> + * these slides</a>. */ class SquaredL2Updater extends Updater { override def compute(weightsOld: DoubleMatrix, gradient: DoubleMatrix, stepSize: Double, iter: Int, regParam: Double): (DoubleMatrix, Double) = { val thisIterStepSize = stepSize / math.sqrt(iter) val normGradient = gradient.mul(thisIterStepSize) - val newWeights = weightsOld.sub(normGradient).div(2.0 * thisIterStepSize * regParam + 1.0) + val newWeights = weightsOld.mul(1.0 - 2.0 * thisIterStepSize * regParam).sub(normGradient) (newWeights, pow(newWeights.norm2, 2.0) * regParam) } }
