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/**
\file conjugate_gradient.hpp
\brief conjugate gradient optimization method
\author Junhua Gu
*/
#ifndef CONJUGATE_GRADIENT
#define CONJUGATE_GRADIENT
#define OPT_HEADER
#include <core/optimizer.hpp>
//#include <blitz/array.h>
#include <limits>
#include <cassert>
#include <cmath>
#include "../linmin/linmin.hpp"
#include <algorithm>
#include <iostream>
#include <math/num_diff.hpp>
namespace opt_utilities
{
/**
\brief Impliment of an optimization method
\tparam rT return type of the object function
\tparam pT parameter type of the object function
*/
template <typename rT,typename pT>
class conjugate_gradient
: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;
volatile bool bstop;
const char* do_get_type_name()const
{
return "conjugate gradient";
}
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);
}
private:
public:
conjugate_gradient()
:threshold(1e-4)
{}
virtual ~conjugate_gradient()
{
};
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)
{
}
conjugate_gradient<rT,pT>& operator=(const conjugate_gradient<rT,pT>& rhs)
{
threshold=rhs.threshold;
p_fo=rhs.p_fo;
p_optimizer=rhs.p_optimizer;
start_point=rhs.start_point;
end_point=rhs.end_point;
threshold=rhs.threshold;
}
opt_method<rT,pT>* do_clone()const
{
return new conjugate_gradient<rT,pT>(*this);
}
void do_set_start_point(const array1d_type& p)
{
resize(start_point,get_size(p));
opt_eq(start_point,p);
}
array1d_type do_get_start_point()const
{
return start_point;
}
void do_set_lower_limit(const array1d_type& p)
{}
void do_set_upper_limit(const array1d_type& p)
{}
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()
{
bstop=false;
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];
}
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);
}
return end_point;
}
void do_stop()
{
bstop=true;
}
};
}
#endif
//EOF
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