Software Lab for Advanced Machine Learning with Stochastic Algorithms in Julia


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Software Lab

SALSA: Software Lab for Advanced Machine Learning with Stochastic Algorithms is a native Julia implementation of the well known stochastic algorithms for sparse linear modelling, linear and non-linear Support Vector Machines. It is distributed under the GPLv3 license and stemmed from the following algorithmic approaches:

  • Pegasos: S. Shalev-Shwartz, Y. Singer, N. Srebro, Pegasos: Primal Estimated sub-GrAdient SOlver for SVM, in: Proceedings of the 24th international conference on Machine learning, ICML ’07, New York, NY, USA, 2007, pp. 807–814.

  • RDA: L. Xiao, Dual averaging methods for regularized stochastic learning and online optimization, J. Mach. Learn. Res. 11 (2010), pp. 2543–2596.

  • Adaptive RDA: J. Duchi, E. Hazan, Y. Singer, Adaptive subgradient methods for online learning and stochastic optimization, J. Mach. Learn. Res. 12 (2011), pp. 2121–2159.

  • Reweighted RDA: V. Jumutc, J.A.K. Suykens, Reweighted stochastic learning, Neurocomputing Special Issue - ISNN2014, 2015. (In Press)


  • Pkg.add("SALSA")


Knowledge agnostic usage

using MAT, SALSA

# Load Ripley data
data = matread(joinpath(Pkg.dir("SALSA"),"data","ripley.mat"))

# Train and cross-validate Pegasos algorithm (default) on training data  
# and evaluate it on the test data provided as the last function argument
model = salsa(data["X"], data["Y"], data["Xt"])

# Compute accuracy in %
@printf "Accuracy: %.2f%%\n" mean(model.output.Ytest .== data["Yt"])*100

# Or use map_predict function and map data beforehand by the extracted mean/std (default) 
@printf "Accuracy: %.2f%%\n" mean(map_predict(model, data["Xt"]) .== data["Yt"])*100

or using Q&A tables

using SALSA

model = salsa_qa(readcsv(joinpath(Pkg.dir("SALSA"),"data","iris.data.csv")))

Do you have any target variable of interest in X (or ENTER for default 'yes')? [y/n]: 

Please provide the column number of your target variable (or ENTER for default last column): 

Is your problem of the classification type (or ENTER for default 'yes')? [y/n]: 

Please select a loss function from options (or ENTER for default)
    1 : SALSA.PINBALL (Pinball (quantile) Loss, i.e. l(y,p) = τI(yp>=1)yp + I(yp<1)(1 - yp))
    2 : SALSA.HINGE (Hinge Loss, i.e. l(y,p) = max(0,1 - yp)) (default)
    3 : SALSA.LEAST_SQUARES (Squared Loss, i.e. l(y,p) = 1/2*(p - y)^2)
    4 : SALSA.LOGISTIC (Logistic Loss, i.e. l(y,p) = log(1 + exp(-yp)))
    5 : SALSA.MODIFIED_HUBER (Modified Huber Loss, i.e. l(y,p) = -4I(yp<-1)yp + I(yp>=-1)max(0,1 - yp)^2)
    6 : SALSA.SQUARED_HINGE (Squared Hinge Loss, i.e. l(y,p) = max(0,1 - yp)^2)

Please select a cross-validation (CV) criterion from options (or ENTER for default)
    1 : SALSA.AUC (Area Under ROC Curve with 100 thresholds)
    2 : SALSA.MISCLASS (Misclassification Rate) (default)
    3 : SALSA.MSE (Mean Squared Error)

Do you want to perform Nyström (nonlinear) approximation (or ENTER for default)? [y/n]
    n : SALSA.LINEAR (default)

Please select an algorithm from options (or ENTER for default)
    1 : SALSA.DROP_OUT (Dropout Pegasos (experimental))
    2 : SALSA.PEGASOS (Pegasos: Primal Estimated sub-GrAdient SOlver for SVM) (default)
    3 : SALSA.SIMPLE_SGD (Stochastic Gradient Descent)
    4 : SALSA.ADA_L1RDA (Adaptive l1-Regularized Dual Averaging)
    5 : SALSA.L1RDA (l1-Regularized Dual Averaging)
    6 : SALSA.R_L1RDA (Reweighted l1-Regularized Dual Averaging)
    7 : SALSA.R_L2RDA (Reweighted l2-Regularized Dual Averaging)

Please select a global optimization method from options (or ENTER for default)
    1 : SALSA.CSA (Coupled Simulated Annealing) (default)
    2 : SALSA.DS (Directional Search)

Computing the model...

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