FIX fixes scikit-learn-contrib#80

Stores L and G in addition to what was stored before

Author: William de Vazelhes

metric_learn/lmnn.py

@@ -95,12 +95,16 @@ def fit(self, X, y):
     L = self.L_
     objective = np.inf
 
+    # we initialize the roll back
+    L_old = L.copy()
+    G_old = G.copy()
+    df_old = df.copy()
+    a1_old = [a.copy() for a in a1]
+    a2_old = [a.copy() for a in a2]
+    objective_old = objective
+
     # main loop
     for it in xrange(1, self.max_iter):
-      df_old = df.copy()
-      a1_old = [a.copy() for a in a1]
-      a2_old = [a.copy() for a in a2]
-      objective_old = objective
       # Compute pairwise distances under current metric
       Lx = L.dot(self.X_.T).T
       g0 = _inplace_paired_L2(*Lx[impostors])
@@ -158,14 +162,25 @@ def fit(self, X, y):
       if delta_obj > 0:
         # we're getting worse... roll back!
         learn_rate /= 2.0
+        L = L_old
+        G = G_old
         df = df_old
         a1 = a1_old
         a2 = a2_old
         objective = objective_old
       else:
-        # update L
-        L -= learn_rate * 2 * L.dot(G)
-        learn_rate *= 1.01
+        # We did good. We store this point as reference in case we do
+        # worse next time.
+        objective_old = objective
+        L_old = L.copy()
+        G_old = G.copy()
+        df_old = df.copy()
+        a1_old = [a.copy() for a in a1]
+        a2_old = [a.copy() for a in a2]
+      # we update L and will see in the next iteration if it does indeed
+      # better
+      L -= learn_rate * 2 * L.dot(G)
+      learn_rate *= 1.01
 
       # check for convergence
       if it > self.min_iter and abs(delta_obj) < self.convergence_tol:
@@ -177,7 +192,7 @@ def fit(self, X, y):
         print("LMNN didn't converge in %d steps." % self.max_iter)
 
     # store the last L
-    self.L_ = L
+    self.L_ = L_old
     self.n_iter_ = it
     return self