add gamma in lbfgs learner

dmlc · Mar 3, 2016 · db44e42 · db44e42
1 parent 2e81057
commit db44e42
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Showing 2 changed files with 6 additions and 0 deletions.
diff --git a/src/lbfgs/lbfgs_learner.cc b/src/lbfgs/lbfgs_learner.cc
@@ -284,6 +284,9 @@ real_t LBFGSLearner::CalcGrad(const SArray<real_t>& w_val,
   }
   prog_.auc = auc[0];
   *grad = grads[0];
+  if (param_.gamma != 1) {
+    for (real_t& g : *grad) g = (g > 0 ? 1 : -1) * pow(fabs(g), param_.gamma);
+  }
   return objv[0];
 }
 

diff --git a/src/lbfgs/lbfgs_param.h b/src/lbfgs/lbfgs_param.h
@@ -42,6 +42,8 @@ struct LBFGSLearnerParam : public dmlc::Parameter<LBFGSLearnerParam> {
   real_t c1;
   real_t c2;
   real_t rho;
+
+  real_t gamma;
   int max_num_linesearchs;
 
   int num_threads;
@@ -61,6 +63,7 @@ struct LBFGSLearnerParam : public dmlc::Parameter<LBFGSLearnerParam> {
     DMLC_DECLARE_FIELD(init_alpha).set_default(0);
     DMLC_DECLARE_FIELD(max_num_linesearchs).set_default(5);
     DMLC_DECLARE_FIELD(c1).set_default(1e-4);
+    DMLC_DECLARE_FIELD(gamma).set_default(1);
     DMLC_DECLARE_FIELD(c2).set_default(.9);
     DMLC_DECLARE_FIELD(rho).set_default(.5);
     DMLC_DECLARE_FIELD(load_epoch).set_default(0);