git-svn-id: file:///home/svn/opt_utilities@127 ed2142bd-67ad-457f-ba7c-d818d4011675

3 files changed, 306 insertions, 28 deletions

diff --git a/math/num_diff.hpp b/math/num_diff.hpp
index 0bd2937..2d2e67d 100644
--- a/math/num_diff.hpp
+++ b/math/num_diff.hpp
@@ -17,35 +17,60 @@ namespace opt_utilities
   /**
      calculate the numerical differential of a func_obj
   */
+  template<typename rT,typename pT>
+  class diff_func_obj
+    :public func_obj<rT,pT>
+  {
+  private:
+    virtual pT do_gradient(const pT& p)=0;
+  public:
+    pT gradient(const pT& p)
+    {
+      return do_gradient(p);
+    }
+  };
+  
+
+
   template <typename rT,typename pT>
-  rT gradient(func_obj<rT,pT>& f,const pT& p,size_t n)
+  rT gradient(func_obj<rT,pT>& f,pT& p,size_t n)
   {
     rT ep=std::sqrt(std::numeric_limits<rT>::epsilon());
     
     rT result;
-    pT p2;
-    resize(p2,get_size(p));
-    pT p1;
-    resize(p1,get_size(p));
+    pT p_tmp;
+    
+    typename element_type_trait<pT>::element_type old_value=get_element(p,n);
     
-    for(size_t i=0;i<get_size(p);++i)
-      {
-	set_element(p2,i,get_element(p,i));
-	set_element(p1,i,get_element(p,i));
-      }
     typename element_type_trait<pT>::element_type h=
       std::max(get_element(p,n),rT(1))*ep;
-    set_element(p2,n,get_element(p,n)+h);
-    set_element(p1,n,get_element(p,n)-h);
-    
-    rT v2=f(p2);
-    rT v1=f(p1);
-    
+    set_element(p,n,old_value+h);
+    rT v2=f(p);
+    set_element(p,n,old_value-h);
+    rT v1=f(p_tmp);
+    set_element(p,n,old_value);
     result=(v2-v1)/h/2;
     return result;
   }
 
+  template <typename rT,typename pT>
+  pT gradient(func_obj<rT,pT>& f,pT& p)
+  {
+    diff_func_obj<rT,pT>* pdfo=0;
+    if(pdfo=dynamic_cast<diff_func_obj<rT,pT>*>(&f))
+      {
+	return pdfo->gradient(p);
+      }
+    pT result;
+    resize(result,get_size(p));
+    for(int i=0;i<get_size(p);++i)
+      {
+	set_element(result,i,gradient(f,p,i));
+      }
+    return result;
+  }
 
+  
   template <typename rT,typename pT>
   rT hessian(func_obj<rT,pT>& f,const pT& p,size_t m,size_t n)
   {
@@ -83,6 +108,19 @@ namespace opt_utilities
     rT result=(f(p11)+f(p00)-f(p01)-f(p10))/(4*hm*hn);
     return result;
   }
+
+
+  template<typename rT,typename pT>
+  rT div(func_obj<rT,pT>& f,const pT& p)
+  {
+    rT result=0;
+    for(int i=0;i<get_size(p);++i)
+      {
+	result+=hessian(f,p,i,i);
+      }
+    return result;
+  }
+
 }
 
 #endif
diff --git a/math/vector_operation.hpp b/math/vector_operation.hpp
index 481fdef..3f5532c 100644
--- a/math/vector_operation.hpp
+++ b/math/vector_operation.hpp
@@ -1,18 +1,20 @@
 #ifndef VECTOR_OPERATION_HPP
 #define VECTOR_OPERATION_HPP
 #include <core/opt_traits.hpp>
-
-template <typename pT>
-typename element_type_trait<pT>::element_type
-inner_product(const pT& v1,const pT& v2)
+namespace opt_utilities
 {
-  typename element_type_trait<pT>::element_type result;
-  for(int i=0;i<get_size(v1);++i)
-    {
-      result+=get_element(v1,i)*get_element(v2,i);
-    }
-  return result;
-}
-
 
+  template <typename pT>
+  typename element_type_trait<pT>::element_type
+  inner_product(const pT& v1,const pT& v2)
+  {
+    typename element_type_trait<pT>::element_type result(0);
+    for(int i=0;i<get_size(v1);++i)
+      {
+	result+=get_element(v1,i)*get_element(v2,i);
+      }
+    return result;
+  }
+  
+}
 #endif
diff --git a/methods/lsnewton_cg/lsnewton_cg.hpp b/methods/lsnewton_cg/lsnewton_cg.hpp
new file mode 100644
index 0000000..e1c912a
--- /dev/null
+++ b/methods/lsnewton_cg/lsnewton_cg.hpp
@@ -0,0 +1,238 @@
+#ifndef LSNEWTON_GG_HPP
+#define LSNEWTON_GG_HPP
+#include <core/optimizer.hpp>
+#include <math/num_diff.hpp>
+#include <math/vector_operation.hpp>
+#include <methods/linmin/linmin.hpp>
+#include <cmath>
+
+#include <iostream>
+
+using std::cout;
+using std::cerr;
+using std::endl;
+
+namespace opt_utilities
+{
+  
+  template<typename rT,typename pT>
+  void lsnewton_cg_f(func_obj<rT,pT>& foo,pT& x0,const rT& threshold)
+  {
+    for(int k=0;;++k)
+      {
+	cerr<<k<<endl;
+	rT abs_gk=0;
+	pT gk(gradient(foo,x0));
+	abs_gk=inner_product(gk,gk);
+	abs_gk=std::sqrt(abs_gk);
+	rT epsilon=std::min(rT(.5),std::sqrt(abs_gk))*abs_gk;
+	pT zj;
+	pT dj;
+	pT rj;
+	opt_eq(rj,gk);
+	resize(dj,get_size(x0));
+	resize(rj,get_size(x0));
+	resize(zj,get_size(x0));
+	for(int i=0;i!=get_size(gk);++i)
+	  {
+	    set_element(dj,i,-get_element(gk,i));
+	    set_element(zj,i,0);
+	    //cerr<<"gk:"<<i<<"\t"<<gk[i]<<endl;
+	  }
+	pT p;
+	
+	for(int j=0;;++j)
+	  {
+	    cerr<<j<<endl;
+	    rT ep=std::sqrt(std::numeric_limits<rT>::epsilon());
+	    rT djBkdj=0;
+	    pT Bkdj;
+	    resize(Bkdj,get_size(x0));
+	    pT x1,x2;
+	    typename element_type_trait<pT>::element_type h=1;
+	    for(int i=0;i<get_size(x0);++i)
+	      {
+		h=max(rT(1),std::abs(get_element(dj,i)));
+		//cerr<<"dj:"<<j<<"\t"<<dj[i]<<endl;
+	      }
+	    h*=ep;
+
+	    
+	    resize(x1,get_size(x0));
+	    resize(x2,get_size(x0));
+	    
+	    for(int i=0;i<get_size(x0);++i)
+	      {
+		set_element(x1,i,get_element(x0,i)-h*get_element(dj,i));
+		set_element(x2,i,get_element(x0,i)+h*get_element(dj,i));
+		//cerr<<i<<"\t"<<x1[i]<<"\t"<<x2[i]<<"\t"<<h<<"\t"<<dj[i]<<endl;
+	      }
+
+	    pT gk1(gradient(foo,x1));
+	    pT gk2(gradient(foo,x2));
+
+	    for(int i=0;i<get_size(x0);++i)
+	      {
+		set_element(Bkdj,i,(get_element(gk2,i)-get_element(gk1,i))/h/2.);
+		djBkdj+=get_element(dj,i)*get_element(Bkdj,i);
+		//std::cerr<<"aa="<<Bkdj[i]<<endl;
+		
+	      }
+	    if(djBkdj<0)
+	      {
+		if(j==0)
+		  {
+		    opt_eq(p,gk);
+		  }
+		else
+		  {
+		    opt_eq(p,zj);
+		  }
+		break;
+	      }
+	    double rjrj=inner_product(rj,rj);
+	    cerr<<"rjrj="<<j<<"\t"<<rjrj<<endl;
+	    
+	    if(rjrj<threshold)
+	      {
+		cerr<<"fdfa"<<endl;
+		return;
+	      }
+	    double alpha=rjrj/djBkdj;
+	    double beta=0;
+	    //cerr<<"alpha="<<alpha<<endl;
+	    for(int i=0;i<get_size(x0);++i)
+	      {
+		set_element(zj,i,get_element(zj,i)+alpha*get_element(dj,i));
+		set_element(rj,i,get_element(rj,i)+alpha*get_element(Bkdj,i));
+		
+		//std::cerr<<"rj:"<<i<<"\t"<<Bkdj[i]<<endl;
+	      }
+	    double rj1rj1=inner_product(rj,rj);
+	    //cerr<<"rj1rj1=\t"<<rj1rj1<<"\t"<<sqrt(rj1rj1)<<endl;
+	    if(std::sqrt(rj1rj1)<epsilon)
+	      {
+		//cerr<<"afd"<<endl;
+		opt_eq(p,zj);
+		break;
+	      }
+	    beta=rj1rj1/rjrj;
+	    //cerr<<"rj1:\t"<<beta<<endl;
+	    for(int i=0;i<get_size(x0);++i)
+	      {
+		set_element(dj,i,-get_element(rj,i)+beta*get_element(dj,i));
+	      }
+	  }
+	rT fret;
+	//std::cerr<<p.size()<<std::endl;
+	linmin(x0,p,fret,foo);
+	for(int i=0;i<get_size(x0);++i)
+	  {
+	    set_element(x0,i,get_element(x0,i)+fret*get_element(p,i));
+	  }
+      }
+  }
+  
+  
+  template <typename rT,typename pT>
+  class lsnewton_cg
+    :public opt_method<rT,pT>
+  {
+  public:
+    typedef pT array1d_type;
+    typedef rT T;
+  private:
+    func_obj<rT,pT>* p_fo;
+    optimizer<rT,pT>* p_optimizer;
+    
+    //typedef blitz::Array<rT,2> array2d_type;
+    
+    
+  private:
+    array1d_type start_point;
+    array1d_type end_point;
+    
+  private:
+    rT threshold;
+  private:
+    rT func(const pT& x)
+    {
+      assert(p_fo!=0);
+      return p_fo->eval(x);
+    }
+
+   
+  public:
+    lsnewton_cg()
+      :threshold(1e-4)
+    {}
+
+    virtual ~lsnewton_cg()
+    {
+    };
+
+    lsnewton_cg(const lsnewton_cg<rT,pT>& rhs)
+      :p_fo(rhs.p_fo),p_optimizer(rhs.p_optimizer),
+       start_point(rhs.start_point),
+       end_point(rhs.end_point),
+       threshold(rhs.threshold)
+    {
+    }
+
+    lsnewton_cg<rT,pT>& operator=(const lsnewton_cg<rT,pT>& rhs)
+    {
+      threshold=rhs.threshold;
+      p_fo=rhs.p_fo;
+      p_optimizer=rhs.p_optimizer;
+      opt_eq(start_point,rhs.start_point);
+      opt_eq(end_point,rhs.end_point);
+    }
+    
+    opt_method<rT,pT>* do_clone()const
+    {
+      return new lsnewton_cg<rT,pT>(*this);
+    }
+    
+    void do_set_start_point(const array1d_type& p)
+    {
+      start_point.resize(get_size(p));
+      opt_eq(start_point,p);
+      
+    }
+
+    array1d_type do_get_start_point()const
+    {
+      return start_point;
+    }
+
+    void do_set_precision(rT t)
+    {
+      threshold=t;
+    }
+
+    rT do_get_precision()const
+    {
+      return threshold;
+    }
+
+    void do_set_optimizer(optimizer<rT,pT>& o)
+    {
+      p_optimizer=&o;
+      p_fo=p_optimizer->ptr_func_obj();
+    }
+    
+    
+    
+    pT do_optimize()
+    {
+      lsnewton_cg_f(*p_fo,start_point,threshold);
+      opt_eq(end_point,start_point);
+      return end_point;
+    } 
+  };
+  
+
+}
+
+#endif
+//EOF