dlib C++ Library - krls_filter_ex.cpp

    // The contents of this file are in the public domain. See LICENSE_FOR_EXAMPLE_PROGRAMS.txt
    /*
        This is an example illustrating the use of the krls object
        from the dlib C++ Library.

        The krls object allows you to perform online regression.  This
        example will use the krls object to perform filtering of a signal
        corrupted by uniformly distributed noise.
    */

    #include <iostream>

    #include <dlib/svm.h>
    #include <dlib/rand.h>

    using namespace std;
    using namespace dlib;

    // Here is the function we will be trying to learn with the krls
    // object.
    double sinc(double x)
    {
        if (x == 0)
            return 1;

        // also add in x just to make this function a little more complex
        return sin(x)/x + x;
    }

    int main()
    {
        // Here we declare that our samples will be 1 dimensional column vectors.  The reason for
        // using a matrix here is that in general you can use N dimensional vectors as inputs to the
        // krls object.  But here we only have 1 dimension to make the example simple.
        typedef matrix<double,1,1> sample_type;

        // Now we are making a typedef for the kind of kernel we want to use.  I picked the
        // radial basis kernel because it only has one parameter and generally gives good
        // results without much fiddling.
        typedef radial_basis_kernel<sample_type> kernel_type;

        // Here we declare an instance of the krls object.  The first argument to the constructor
        // is the kernel we wish to use.  The second is a parameter that determines the numerical
        // accuracy with which the object will perform part of the regression algorithm.  Generally
        // smaller values give better results but cause the algorithm to run slower (because it tries
        // to use more "dictionary vectors" to represent the function it is learning.
        // You just have to play with it to decide what balance of speed and accuracy is right
        // for your problem.  Here we have set it to 0.001.
        //
        // The last argument is the maximum number of dictionary vectors the algorithm is allowed
        // to use.  The default value for this field is 1,000,000 which is large enough that you
        // won't ever hit it in practice.  However, here we have set it to the much smaller value
        // of 7.  This means that once the krls object accumulates 7 dictionary vectors it will
        // start discarding old ones in favor of new ones as it goes through the training process.
        // In other words, the algorithm "forgets" about old training data and focuses on recent
        // training samples. So the bigger the maximum dictionary size the longer its memory will
        // be.  But in this example program we are doing filtering so we only care about the most
        // recent data.  So using a small value is appropriate here since it will result in much
        // faster filtering and won't introduce much error.
        krls<kernel_type> test(kernel_type(0.05),0.001,7);

        dlib::rand rnd;

        // Now let's loop over a big range of values from the sinc() function.  Each time
        // adding some random noise to the data we send to the krls object for training.
        sample_type m;
        double mse_noise = 0;
        double mse = 0;
        double count = 0;
        for (double x = -20; x <= 20; x += 0.01)
        {
            m(0) = x;
            // get a random number between -0.5 and 0.5
            const double noise = rnd.get_random_double()-0.5;

            // train on this new sample
            test.train(m, sinc(x)+noise);

            // once we have seen a bit of data start measuring the mean squared prediction error.
            // Also measure the mean squared error due to the noise.
            if (x > -19)
            {
                ++count;
                mse += pow(sinc(x) - test(m),2);
                mse_noise += pow(noise,2);
            }
        }

        mse /= count;
        mse_noise /= count;

        // Output the ratio of the error from the noise and the mean squared prediction error.
        cout << "prediction error:                   " << mse << endl;
        cout << "noise:                              " << mse_noise << endl;
        cout << "ratio of noise to prediction error: " << mse_noise/mse << endl;

        // When the program runs it should print the following:
        //    prediction error:                   0.00735201
        //    noise:                              0.0821628
        //    ratio of noise to prediction error: 11.1756

        // And we see that the noise has been significantly reduced by filtering the points
        // through the krls object.

    }