diff options
| -rw-r--r-- | math/num_diff.hpp | 70 | ||||
| -rw-r--r-- | math/vector_operation.hpp | 26 | ||||
| -rw-r--r-- | methods/lsnewton_cg/lsnewton_cg.hpp | 238 |
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 |