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

1 files changed, 238 insertions, 0 deletions

diff --git a/methods/lsnewton_cg/lsnewton_cg.hpp b/methods/lsnewton_cg/lsnewton_cg.hpp
new file mode 100644
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+++ 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