git-svn-id: file:///home/svn/opt_utilities@235 ed2142bd-67ad-457f-ba7c-d818d4011675

1 files changed, 77 insertions, 52 deletions

diff --git a/methods/conjugate_gradient/conjugate_gradient.hpp b/methods/conjugate_gradient/conjugate_gradient.hpp
index edec92d..c22aac8 100644
--- a/methods/conjugate_gradient/conjugate_gradient.hpp
+++ b/methods/conjugate_gradient/conjugate_gradient.hpp
@@ -1,6 +1,6 @@
 /**
    \file conjugate_gradient.hpp
-   \brief conjugate gradient optimization method
+   \brief powerll optimization method
    \author Junhua Gu
  */
 
@@ -13,9 +13,10 @@
 #include <cassert>
 #include <cmath>
 #include "../linmin/linmin.hpp"
+#include <math/num_diff.hpp>
 #include <algorithm>
 #include <iostream>
-#include <math/num_diff.hpp>
+
 namespace opt_utilities
 {
   /**
@@ -34,10 +35,11 @@ namespace opt_utilities
     func_obj<rT,pT>* p_fo;
     optimizer<rT,pT>* p_optimizer;
     volatile bool bstop;
+    //typedef blitz::Array<rT,2> array2d_type;
     
     const char* do_get_type_name()const
     {
-      return "conjugate gradient";
+      return "conjugate gradient method";
     }
   private:
     array1d_type start_point;
@@ -45,6 +47,9 @@ namespace opt_utilities
     
   private:
     rT threshold;
+    array1d_type g;
+    array1d_type h;
+    array1d_type xi;
   private:
     rT func(const pT& x)
     {
@@ -54,24 +59,86 @@ namespace opt_utilities
 
    
   private:
+    void clear_xi()
+    {
+    }
+
+    void init_xi(int n)
+    {
+      clear_xi();
+      g=array1d_type(n);
+      h=array1d_type(n);
+      xi=array1d_type(n);
+    }
+
 
 
+    void cg(array1d_type& p,const T ftol,
+	   int& iter,T& fret)
+    {
+      const int ITMAX=200;
+      const T EPS=std::numeric_limits<T>::epsilon();
+      
+      int j,its;
+      int n=p.size();
+      T gg,gam,fp,dgg;
+      fp=func(p);
+      xi=gradient(*p_fo,p);
+      for(j=0;j<n;++j)
+	{
+	  g[j]=-xi[j];
+	  xi[j]=h[j]=g[j];
+	}
+      for(its=1;its<=ITMAX;++its)
+	{
+	  iter=its;
+	  linmin(p,xi,fret,*p_fo);
+	  //std::cerr<<"######:"<<its<<"\t"<<abs(fret-fp)/(abs(fret)+fabs(fp)+EPS)<<std::endl;
+	  if(2.0*abs(fret-fp)<=ftol*(abs(fret)+fabs(fp)+EPS))
+	    {
+	      return;
+	    }
+	    fp=func(p);
+	    xi=gradient(*p_fo,p);
+	    dgg=gg=0;
+	    for(j=0;j<n;++j)
+	      {
+		gg+=g[j]*g[j];
+		//dgg+=(xi[j]+g[j])*xi[j];
+		dgg+=xi[j]*xi[j];
+	      }
+	    std::cerr<<its<<"\t"<<gg<<std::endl;
+	    if(gg==0.0)
+	      {
+		return;
+	      }
+	    gam=dgg/gg;
+	    for(j=0;j<n;++j)
+	      {
+		g[j]=-xi[j];
+		xi[j]=h[j]=g[j]+gam*h[j];
+	      }
+	}
+      std::cerr<<"Too many iterations in cg"<<std::endl;
+    }
+
     
   public:
     
     conjugate_gradient()
-      :threshold(1e-4)
+      :threshold(1e-4),g(0),h(0),xi(0)
     {}
 
     virtual ~conjugate_gradient()
     {
+      clear_xi();
     };
 
     conjugate_gradient(const conjugate_gradient<rT,pT>& rhs)
       :opt_method<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)
+       threshold(rhs.threshold),g(0),h(0),xi(0)
     {
     }
 
@@ -128,54 +195,12 @@ namespace opt_utilities
     pT do_optimize()
     {
       bstop=false;
+      init_xi((int)get_size(start_point));
+      
+      int iter=100;
       opt_eq(end_point,start_point);
-      pT xn;
-      opt_eq(xn,start_point);
-      pT Delta_Xn1(gradient(*p_fo,start_point));
-      for(size_t i=0;i<get_size(start_point);++i)Delta_Xn1[i]=-Delta_Xn1[i];
-      rT alpha=0;
-      linmin(start_point,Delta_Xn1,alpha,(*p_fo));
-      for(size_t i=0;i<get_size(start_point);++i)xn[i]=start_point[i]+alpha*Delta_Xn1[i];
-      pT LX;
-      opt_eq(LX,Delta_Xn1);
-      for(int n=1;;++n)
-	{
-	  pT Delta_Xn(gradient(*p_fo,xn));
-	  for(size_t i=0;i<get_size(start_point);++i)Delta_Xn[i]=-Delta_Xn[i];
-	  ////calc beta n
-	  rT betan;
-	  rT b1(0),b2(0);
-	  for(size_t i=0;i<get_size(start_point);++i)
-	    {
-	      b1+=Delta_Xn[i]*(Delta_Xn[i]-Delta_Xn1[i]);
-	      b2+=Delta_Xn1[i]*Delta_Xn1[i];
-	    }
-	  if(b2==0)
-	    {
-	      end_point=xn;
-	      return end_point;
-	    }
-	  betan=max(rT(0),b1/b2);
-	  ////
-	  for(size_t i=0;i<get_size(start_point);++i)
-	    LX[i]=Delta_Xn[i]+betan*LX[i];
-	  linmin(xn,LX,alpha,(*p_fo));
-	  for(size_t i=0;i<get_size(start_point);++i)
-	    xn[i]+=alpha*LX[i];
-	  rT delta=0;
-	  rT xn_abs=0;
-	  for(size_t i=0;i<get_size(start_point);++i)
-	    {
-	      delta+=LX[i]*LX[i];
-	      xn_abs+=xn[i]*xn[i];
-	    }
-	  if(delta*alpha*alpha<threshold)
-	    {
-	      opt_eq(end_point,xn);
-	      break;
-	    }
-	  opt_eq(Delta_Xn1,Delta_Xn);
-	}
+      rT fret;
+      cg(end_point,threshold,iter,fret);
       return end_point;
     }