LBFGSBT.hh

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#ifndef __RVLALG_LBFGSBT_H
#define __RVLALG_LBFGSBT_H

#include "table.hh"
#include "lbfgsalg.hh"
#include "lnsrchBT.hh"
#include "uminstep.hh"


namespace RVLUmin {

  using namespace RVLAlg;
  using RVL::Vector;
  using RVL::Functional;
  using RVL::FunctionalEvaluation;
  using RVL::Table;
  using RVL::RVLException;

  template<typename Scalar>
  class LBFGSBT: public Algorithm {
    
  private:

    // parameters for LBFGSDir
    Scalar ihs;        // inverse Hessian scale
    int mud;           // max updates

    // parameters for BT line search
    int maxsamp;       // max function evaluations
    bool disp;         // display flag 
    Scalar sl1;        // length of first step
    Scalar minsteptol; // minimum permitted step length (fraction of prev step)
    Scalar eta1;       // First GA scale: min acceptable decrease
    Scalar eta2;       // Second GA scale: good decrease
    Scalar gamma1;     // First BT factor: shrink step if decrease not acceptable
    Scalar gamma2;     // Second BT factor: expand step if decrease good
    Scalar maxfrac;    // fraction of max step to attempt

    // parameters for loop alg
    int maxits;        // max number of LBFGS steps
    Scalar agradtol;   // absolute gradient stopping threshhold
    Scalar rgradtol;   // relative gradient stopping threshhold (to initial)
    // also uses disp
    ostream & str;
    FunctionalEvaluation<Scalar> fx;
    LBFGSDir<Scalar> dir;
    BacktrackingLineSearchAlg<Scalar> ls;
    GradientThresholdIterationTable<Scalar> ctbl;

    LBFGSBT();
    LBFGSBT(const LBFGSBT<Scalar> &);

  public:

    LBFGSBT(Functional<Scalar> const & f,
        Vector<Scalar> & x,
        Scalar _ihs,
        int _mud,
        int _maxsamp,
        bool _disp,
        Scalar _sl1,
        Scalar _eta1,
        Scalar _eta2,
        Scalar _gamma1,
        Scalar _gamma2,
        Scalar _maxfrac,
        Scalar _minsteptol,
        int _maxits,
        Scalar _agradtol,
        Scalar _rgradtol,
        ostream & _str = cout) 
      : ihs(_ihs), mud(_mud),
    maxsamp(_maxsamp),
    disp(_disp),
    sl1(_sl1),
    minsteptol(_minsteptol),
    eta1(_eta1),
    eta2(_eta2),
    gamma1(_gamma1),
    gamma2(_gamma2),
    maxfrac(_maxfrac),
    maxits(_maxits),
    agradtol(_agradtol),
    rgradtol(_rgradtol),
    str(_str),
    fx(f,x),
    dir(fx.getDomain(),ihs,mud,str),
    ls(maxsamp,disp,sl1,minsteptol,eta1,eta2,gamma1,gamma2,maxfrac,str),
    ctbl(fx,maxits,agradtol,rgradtol,str)
    { testRealOnly<Scalar>(); }

    LBFGSBT(Functional<Scalar> const & f,
        Vector<Scalar> & x,
        Table const & t,
        ostream & _str = cout)
      : ihs(getValueFromTable<Scalar>(t,"BFGS_InvHessianScale")),
    mud(getValueFromTable<int>(t,"BFGS_MaxUpdates")),
    maxsamp(getValueFromTable<int>(t,"LS_MaxSample")),
    disp(getValueFromTable<bool>(t,"DispFlag")),
    sl1(getValueFromTable<Scalar>(t,"LS_FirstStep")),
    minsteptol(getValueFromTable<Scalar>(t,"LS_MinStepTol")),
    eta1(getValueFromTable<Scalar>(t,"MinDecrease")),
    eta2(getValueFromTable<Scalar>(t,"GoodDecrease")),
    gamma1(getValueFromTable<Scalar>(t,"StepDecrFactor")),
    gamma2(getValueFromTable<Scalar>(t,"StepIncrFactor")),
    maxfrac(getValueFromTable<Scalar>(t,"LS_FractionOfMaxStep")),      
    maxits(getValueFromTable<int>(t,"MaxItn")),
    agradtol(getValueFromTable<Scalar>(t,"AbsGradTol")),
    rgradtol(getValueFromTable<Scalar>(t,"RelGradTol")),
    str(_str),
    fx(f,x),
    dir(fx.getDomain(),ihs,mud,str),
    ls(maxsamp,disp,sl1,minsteptol,eta1,eta2,gamma1,gamma2,maxfrac,str),
    ctbl(fx,maxits,agradtol,rgradtol,str)
    { testRealOnly<Scalar>(); }
    int getCount() { return ctbl.getCount(); }

    void run() {
      try {
    // put together alg, terminator, and loopalg.
    // note that BFGS update rule is also a terminator
    UMinStepLS<Scalar> step(fx,dir,ls,str);
    OrTerminator stop(step,ctbl);
    LoopAlg Umin(step, stop);
    Umin.run();
      }

      catch (RVLException & e) {
    e<<"\ncalled from LBFGSBT constructor\n";
    throw e;
      }
    }

    ~LBFGSBT() {}

    FunctionalEvaluation<Scalar> const & getFunctionalEvaluation() const { return fx; }
    
  };

}
#endif

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