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Posted to commits@mxnet.apache.org by GitBox <gi...@apache.org> on 2019/05/18 08:11:23 UTC
[GitHub] [incubator-mxnet] canerturkmen commented on a change in pull
request #14683: Adding loss operator of a Hawkes self-exciting process
canerturkmen commented on a change in pull request #14683: Adding loss operator of a Hawkes self-exciting process
URL: https://github.com/apache/incubator-mxnet/pull/14683#discussion_r285333621
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File path: src/operator/contrib/hawkes_ll-inl.h
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@@ -0,0 +1,493 @@
+/*
+ * Licensed to the Apache Software Foundation (ASF) under one
+ * or more contributor license agreements. See the NOTICE file
+ * distributed with this work for additional information
+ * regarding copyright ownership. The ASF licenses this file
+ * to you under the Apache License, Version 2.0 (the
+ * "License"); you may not use this file except in compliance
+ * with the License. You may obtain a copy of the License at
+ *
+ * http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * 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.
+ */
+
+/*!
+ * Copyright (c) 2018 by Contributors
+ * \file hawkes_ll-inl.h
+ * \brief Log likelihood of a marked self-exciting Hawkes process
+ * \author Caner Turkmen <tu...@gmail.com>
+ */
+#ifndef MXNET_OPERATOR_CONTRIB_HAWKES_LL_INL_H_
+#define MXNET_OPERATOR_CONTRIB_HAWKES_LL_INL_H_
+
+#include <mxnet/operator.h>
+#include <vector>
+
+#include "../operator_common.h"
+#include "../mshadow_op.h"
+#include "../mxnet_op.h"
+
+namespace mxnet {
+namespace op {
+
+namespace hawkesll {
+ enum HawkesLLOpInputs {kMu, kAlpha, kBeta, kState, kIATimes, kMarks,
+ kValidLength, kMaxTime};
+ enum HawkesLLGradInputs {kOutGradLL, kOutGradStates, kGradMu, kGradAlpha,
+ kGradBeta, kGradState, kGradIATimes, kGradMarks,
+ kGradValidLength, kGradMaxTime};
+ enum HawkesLLOpOutputs {kOutLL, kOutStates};
+ enum HawkesLLOpResource {kTempSpace};
+} // namespace hawkesll
+
+inline bool HawkesLLOpType(const nnvm::NodeAttrs& attrs,
+ std::vector<int>* in_attrs,
+ std::vector<int>* out_attrs) {
+ // check dimensions of the type vectors
+ CHECK_EQ(in_attrs->size(), 8U);
+ CHECK_EQ(out_attrs->size(), 2U);
+
+ TYPE_ASSIGN_CHECK(*out_attrs, hawkesll::kOutLL, in_attrs->at(0))
+ TYPE_ASSIGN_CHECK(*out_attrs, hawkesll::kOutStates, in_attrs->at(0))
+
+ for (index_t j = 0; j < 8; ++j) {
+ if (j != hawkesll::kMarks) {
+ TYPE_ASSIGN_CHECK(*in_attrs, j, out_attrs->at(0))
+ }
+ }
+ TYPE_ASSIGN_CHECK(*in_attrs, hawkesll::kMarks, 4) // int32
+
+ return out_attrs->at(hawkesll::kOutLL) != -1;
+}
+
+inline bool HawkesLLOpShape(const nnvm::NodeAttrs& attrs,
+ std::vector<TShape>* in_attrs,
+ std::vector<TShape>* out_attrs) {
+ using namespace mshadow;
+ int N, T, K;
+
+ CHECK_EQ(in_attrs->size(), 8U);
+ CHECK_EQ(out_attrs->size(), 2U);
+
+ // check ndims
+ CHECK_EQ(in_attrs->at(hawkesll::kMu).ndim(), 2); // mu (N, K)
+ CHECK_EQ(in_attrs->at(hawkesll::kAlpha).ndim(), 1); // branching ratio (K,)
+ CHECK_EQ(in_attrs->at(hawkesll::kBeta).ndim(), 1); // decay exponent (K,)
+ CHECK_EQ(in_attrs->at(hawkesll::kState).ndim(), 2); // Hawkes states (N, K)
+ CHECK_EQ(in_attrs->at(hawkesll::kIATimes).ndim(), 2); // i.a. times (N, T)
+ CHECK_EQ(in_attrs->at(hawkesll::kMarks).ndim(), 2); // marks (N, T)
+ CHECK_EQ(in_attrs->at(hawkesll::kValidLength).ndim(), 1); // valid len (N,)
+ CHECK_EQ(in_attrs->at(hawkesll::kMaxTime).ndim(), 1); // max_time (N,)
+
+ N = in_attrs->at(hawkesll::kIATimes)[0]; // number of samples in batch
+ T = in_attrs->at(hawkesll::kIATimes)[1]; // time length
+ K = in_attrs->at(hawkesll::kMu)[1]; // number of marks
+
+ // check inputs consistent
+ CHECK_EQ(in_attrs->at(hawkesll::kMu)[0], N);
+ CHECK_EQ(in_attrs->at(hawkesll::kMu)[1], K);
+ CHECK_EQ(in_attrs->at(hawkesll::kAlpha)[0], K);
+ CHECK_EQ(in_attrs->at(hawkesll::kBeta)[0], K);
+ CHECK_EQ(in_attrs->at(hawkesll::kState)[0], N);
+ CHECK_EQ(in_attrs->at(hawkesll::kState)[1], K);
+ CHECK_EQ(in_attrs->at(hawkesll::kMarks)[0], N);
+ CHECK_EQ(in_attrs->at(hawkesll::kMarks)[1], T);
+ CHECK_EQ(in_attrs->at(hawkesll::kValidLength)[0], N);
+ CHECK_EQ(in_attrs->at(hawkesll::kMaxTime)[0], N);
+
+ // infer output type
+ SHAPE_ASSIGN_CHECK(*out_attrs, hawkesll::kOutLL, Shape1(N))
+ SHAPE_ASSIGN_CHECK(*out_attrs, hawkesll::kOutStates, Shape2(N, K))
+
+ return out_attrs->at(hawkesll::kOutLL).ndim() != 0U &&
+ out_attrs->at(hawkesll::kOutStates).Size() != 0U;
+}
+
+template<int req>
+struct hawkesll_forward {
+ template<typename DType>
+ MSHADOW_XINLINE static void Map(int i,
+ DType* out_loglike,
+ DType* out_state,
+ const DType* mu,
+ const DType* alpha,
+ const DType* beta,
+ DType* state,
+ const DType* lags,
+ const int32_t* marks,
+ DType* valid_length,
+ DType* max_time,
+ int K,
+ int T,
+ DType* temp_register
+ ) {
+ int32_t ci; // current mark
+ DType ll = 0; // log likelihood
+ DType t = 0; // current time
+ DType d, lda, comp; //
+ DType *last_ = &temp_register[i * K];
+ const DType *lag_ = &lags[i * T];
+ const int32_t *mark_ = &marks[i * T];
+ DType *state_ = &out_state[i * K];
+
+ // iterate over points in sequence
+ for (index_t j = 0; j < valid_length[i]; ++j) {
+ ci = mark_[j];
+ t += lag_[j];
+ d = t - last_[ci];
+
Review comment:
Thank you for pointing them out! I think this current version gets rid of those redundancies.
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