Line data    Source code

       1             : #pragma once
       2             : 
       3             : #include "L1Norm.h"
       4             : #include "WLSProblem.h"
       5             : #include "LinearOperator.h"
       6             : #include "DataContainer.h"
       7             : 
       8             : namespace elsa
       9             : {
      10             :     /**
      11             :      * @brief Class representing a Least Absolute Shrinkage and Selection Operator problem
      12             :      *
      13             :      * This class represents a LASSO problem i.e.
      14             :      *
      15             :      *  - @f$ \argmin_x \frac{1}{2} \| Ax - b \|_{W,2}^2 + \lambda \| x \|_1 @f$
      16             :      *
      17             :      * in which @f$ W @f$ is a weighting (scaling) operator, @f$ A @f$ is a linear operator, @f$
      18             :      * b @f$ is a data vector and @f$ \lambda @f$ is the regularization parameter.
      19             :      *
      20             :      * References:
      21             :      * - Ryan J. Tibshirani _The Lasso Problem and Uniqueness_ (2013)
      22             :      *   https://www.stat.cmu.edu/~ryantibs/papers/lassounique.pdf
      23             :      * - Tao, S., Boley, D., Zhang, S. _Local Linear Convergence of ISTA and FISTA on the LASSO
      24             :      *   Problem_ (2015) https://arxiv.org/pdf/1501.02888.pdf
      25             :      *
      26             :      * @author Andi Braimllari - initial code
      27             :      *
      28             :      * @tparam data_t data type for the domain and range of the problem, defaulting to real_t
      29             :      */
      30             :     template <typename data_t = real_t>
      31             :     class LASSOProblem : public Problem<data_t>
      32             :     {
      33             :     public:
      34             :         /**
      35             :          * @brief Constructor for the lasso problem, construction a WLSProblem
      36             :          *
      37             :          * @param[in] A a linear operator
      38             :          * @param[in] b a data vector
      39             :          * @param[in] regTerm RegularizationTerm
      40             :          */
      41             :         LASSOProblem(const LinearOperator<data_t>& A, const DataContainer<data_t>& b,
      42             :                      real_t lambda = 0.5f);
      43             : 
      44             :         /**
      45             :          * @brief Constructor for the lasso problem, accepting wlsProblem and regTerm
      46             :          *
      47             :          * @param[in] wlsProblem WLSProblem
      48             :          * @param[in] regTerm RegularizationTerm
      49             :          */
      50             :         LASSOProblem(WLSProblem<data_t> wlsProblem, const RegularizationTerm<data_t>& regTerm);
      51             : 
      52             :         /**
      53             :          * @brief Constructor for converting a general optimization problem to a LASSO one
      54             :          *
      55             :          * @param[in] problem the problem to be converted
      56             :          *
      57             :          * Only problems that consist exclusively of a WLSProblem and a L1Norm regularization term
      58             :          * can be converted.
      59             :          *
      60             :          * Acts as a copy constructor if the supplied optimization problem is a LASSO problem.
      61             :          */
      62             :         explicit LASSOProblem(const Problem<data_t>& problem);
      63             : 
      64             :         /// default destructor
      65          30 :         ~LASSOProblem() override = default;
      66             : 
      67             :     protected:
      68             :         /// implement the polymorphic clone operation
      69             :         auto cloneImpl() const -> LASSOProblem<data_t>* override;
      70             : 
      71             :         /// the getLipschitzConstant method for the optimization problem
      72             :         auto getLipschitzConstantImpl(index_t nIterations) const -> data_t override;
      73             : 
      74             :     private:
      75             :         WLSProblem<data_t> _wlsProblem;
      76             : 
      77             :         /// converts an optimization problem to a WLSProblem
      78             :         static auto wlsFromProblem(const Problem<data_t>& problem) -> WLSProblem<data_t>;
      79             : 
      80             :         /// converts an optimization problem to a RegularizationTerm
      81             :         static auto regTermFromProblem(const Problem<data_t>& problem)
      82             :             -> RegularizationTerm<data_t>;
      83             :     };
      84             : } // namespace elsa