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issue of too large memory usage. #7

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issue of too large memory usage. #7

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61 changes: 31 additions & 30 deletions lib/whole_history_rating/player.rb
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Original file line number Diff line number Diff line change
Expand Up @@ -44,20 +44,21 @@ def log_likelihood

def hessian(days, sigma2)
n = days.count
Matrix.build(n) do |row,col|
if row == col
prior = 0
prior += -1.0/sigma2[row] if row < (n-1)
prior += -1.0/sigma2[row-1] if row > 0
days[row].log_likelihood_second_derivative + prior - 0.001
elsif row == col-1
1.0/sigma2[row]
elsif row == col+1
1.0/sigma2[col]
else
0
end

diagonal = []
sub_diagonal = []

(0..(n-1)).each do |row|
prior = 0
prior += -1.0/sigma2[row] if row < (n-1)
prior += -1.0/sigma2[row-1] if row > 0
diagonal[row] = days[row].log_likelihood_second_derivative + prior - 0.001
end

(0..(n-2)).each do |i|
sub_diagonal[i] = 1.0/sigma2[i]
end
[diagonal, sub_diagonal]
end

def gradient(r, days, sigma2)
Expand Down Expand Up @@ -116,18 +117,18 @@ def update_by_ndim_newton
# sigma squared (used in the prior)
sigma2 = compute_sigma2

h = hessian(days, sigma2)
diag, sub_diag = hessian(days, sigma2)
g = gradient(r, days, sigma2)

a = []
d = [h[0,0]]
b = [h[0,1]]
d = [diag[0]]
b = [sub_diag[0]]

n = r.size
(1..(n-1)).each do |i|
a[i] = h[i,i-1] / d[i-1]
d[i] = h[i,i] - a[i] * b[i-1]
b[i] = h[i,i+1]
a[i] = sub_diag[i-1] / d[i-1]
d[i] = diag[i] - a[i] * b[i-1]
b[i] = sub_diag[i]
end


Expand Down Expand Up @@ -170,31 +171,31 @@ def covariance
r = days.map(&:r)

sigma2 = compute_sigma2
h = hessian(days, sigma2)
diag, sub_diag = hessian(days, sigma2)
g = gradient(r, days, sigma2)

n = days.count

a = []
d = [h[0,0]]
b = [h[0,1]]
d = [diag[0]]
b = [sub_diag[0]]

n = r.size
(1..(n-1)).each do |i|
a[i] = h[i,i-1] / d[i-1]
d[i] = h[i,i] - a[i] * b[i-1]
b[i] = h[i,i+1]
a[i] = sub_diag[i-1] / d[i-1]
d[i] = diag[i] - a[i] * b[i-1]
b[i] = sub_diag[i]
end

dp = []
dp[n-1] = h[n-1,n-1]
dp[n-1] = diag[n-1]
bp = []
bp[n-1] = h[n-1,n-2]
bp[n-1] = sub_diag[n-2]
ap = []
(n-2).downto(0) do |i|
ap[i] = h[i,i+1] / dp[i+1]
dp[i] = h[i,i] - ap[i]*bp[i+1]
bp[i] = h[i,i-1]
ap[i] = sub_diag[i] / dp[i+1]
dp[i] = diag[i] - ap[i]*bp[i+1]
bp[i] = sub_diag[i-1]
end

v = []
Expand Down