/** * @file proximal_test.cpp * @author Chenzhe Diao * @author Marcus Edel * @author Conrad Sanderson * * ensmallen is free software; you may redistribute it and/or modify it under * the terms of the 3-clause BSD license. You should have received a copy of * the 3-clause BSD license along with ensmallen. If not, see * http://www.opensource.org/licenses/BSD-3-Clause for more information. */ #include #include "catch.hpp" using namespace arma; using namespace ens; using namespace ens::test; /** * Approximate vector using a vector with l1 norm small than or equal to tau. */ TEST_CASE("ProjectToL1", "[ProximalTest]") { int D = 100; // Dimension of the problem. // Norm of L1 ball. double tau1 = 1.5; double tau2 = 0.5; // Vector to be projected, with unit l1 norm. vec v = randu(D); v = normalise(v, 1); // v is inside the l1 ball, so the projection will not change v. vec v1 = v; Proximal::ProjectToL1Ball(v1, tau1); REQUIRE(norm(v - v1, 2) == Approx(0.0).margin(1e-10)); // v is outside the l1 ball, so the projection should find the closest. vec v2 = v; Proximal::ProjectToL1Ball(v2, tau2); double distance = norm(v2 - v, 2); for (size_t i = 1; i < 1000; i++) { // Randomly generate a vector on the surface of the l1 ball with norm tau2. vec vSurface = randu(D); vSurface = tau2 * normalise(vSurface, 1); double distanceNew = norm(vSurface - v, 2); REQUIRE(distanceNew >= distance); } } /** * Approximate a vector with a tau-sparse vector. */ TEST_CASE("ProjectToL0", "[ProximalTest]") { int D = 100; // Dimension of the problem. int tau = 25; // Sparsity requirement. // Vector to be projected. vec v = randn(D); vec v0 = v; Proximal::ProjectToL0Ball(v0, tau); double distance = norm(v0 - v, 2); for (size_t i = 1; i < 1000; i++) { // Randomly find a subset of the support of v, generate a tau-sparse // vector by restricting v to this support. uvec indices = linspace(0, D - 1, D); indices = shuffle(indices); indices = indices.head(tau); vec vNew = zeros(D); vNew.elem(indices) = v.elem(indices); double distanceNew = norm(v - vNew, 2); REQUIRE(distanceNew >= distance); } }