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Diffstat (limited to 'methods/lsnewton_cg/lsnewton_cg.hpp')
| -rw-r--r-- | methods/lsnewton_cg/lsnewton_cg.hpp | 238 |
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 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 |