diff src/samer/maths/opt/UnconstrainedConjGrad.java @ 0:bf79fb79ee13

Initial Mercurial check in.

--- /dev/null	Thu Jan 01 00:00:00 1970 +0000
+++ b/src/samer/maths/opt/UnconstrainedConjGrad.java	Tue Jan 17 17:50:20 2012 +0000
@@ -0,0 +1,91 @@
+/*
+ *	Copyright (c) 2000, Samer Abdallah, King's College London.
+ *	All rights reserved.
+ *
+ *	This software is provided AS iS and WITHOUT ANY WARRANTY; 
+ *	without even the implied warranty of MERCHANTABILITY or 
+ *	FITNESS FOR A PARTICULAR PURPOSE.
+ */
+
+package	samer.maths.opt;
+import  samer.maths.*;
+import  samer.core.*;
+import  samer.core.types.*;
+import  samer.core.util.heavy.*;
+
+/**
+		unconstrained minimiser for smooth functions:
+		-	ConjugateGradient 
+		-	OR Quasi-newton (using GillMurray updates)
+
+		-	Safeguarded cubic interpolation line search using gradients
+   */
+
+
+public class UnconstrainedConjGrad extends MinimiserBase
+{
+	ConjGrad		dir;
+	double			guess;
+
+	public UnconstrainedConjGrad(Vec v, Functionx f)
+	{
+		super(v,f);
+		dir = new ConjGrad(this);
+		add(new VParameter( "hessian", new DoubleModel() {
+			public void set(double h) { dir.invhess=1/h; }
+			public double get() { return 1/dir.invhess; }
+		} ));
+	}
+
+	public void stopping() {}
+	public void run()
+	{
+		double	beta;
+		int		i, maxiter=getMaxiter();
+		boolean	triedSteepest=false;
+
+		// dir.resetHessian(1);
+		evaluate();
+		dir.init();
+		setSlope();
+		// beta = vs.beta.value;
+		beta = initialStep();
+		sig1.off();
+
+		for (i=0; i<maxiter; i++) {
+
+			step(beta);
+			lstest.init();
+			ls.run(lstest);			// line search
+			lsiters.next(lstest.count);
+			steplength.next(alpha);
+
+			if (lstest.tiny && (P2.f>=P1.f)) {
+				//  tiny step was no good
+				sig1.on();
+				sig2.off();
+				if (gconv.isSatisfied(P1.g,this)) break;
+				if (triedSteepest=true) break;
+				sig2.on();
+
+				beta = this.beta.value;
+
+
+				dir.init(); // reset to steepest descent
+				setSlope();
+				triedSteepest=true;
+				continue;
+			}
+
+			if (xfconv.isSatisfied(this)) { break; }
+
+			beta = nextStep();
+			// beta = vs.beta.value;
+			dir.update();
+			move();
+			perIteration();
+		}
+
+		perOptimisation(i); // finishing off stuff
+	}
+}