Conjugate-gradient method for unconstrained optimization. More...
#include <shark/Algorithms/GradientDescent/CG.h>
Public Member Functions | |
std::string | name () const |
returns the name of the object More... | |
SHARK_EXPORT_SYMBOL void | read (InArchive &archive) |
Read the component from the supplied archive. More... | |
SHARK_EXPORT_SYMBOL void | write (OutArchive &archive) const |
Write the component to the supplied archive. More... | |
Public Member Functions inherited from shark::AbstractLineSearchOptimizer | |
SHARK_EXPORT_SYMBOL | AbstractLineSearchOptimizer () |
SHARK_EXPORT_SYMBOL void | init (ObjectiveFunctionType const &objectiveFunction, SearchPointType const &startingPoint) |
initializes the optimizer using a predefined starting point More... | |
SHARK_EXPORT_SYMBOL void | step (ObjectiveFunctionType const &objectiveFunction) |
Carry out one step of the optimizer for the supplied objective function. More... | |
LineSearch const & | lineSearch () const |
LineSearch & | lineSearch () |
RealVector const & | derivative () const |
Returns the derivative at the current point. Can be used for stopping criteria. More... | |
Public Member Functions inherited from shark::AbstractSingleObjectiveOptimizer< RealVector > | |
std::size_t | numInitPoints () const |
By default most single objective optimizers only require a single point. More... | |
virtual void | init (ObjectiveFunctionType const &function, std::vector< SearchPointType > const &initPoints) |
Initialize the optimizer for the supplied objective function using a set of initialisation points. More... | |
virtual const SolutionType & | solution () const |
returns the current solution of the optimizer More... | |
Public Member Functions inherited from shark::AbstractOptimizer< RealVector, double, SingleObjectiveResultSet< RealVector > > | |
const Features & | features () const |
virtual void | updateFeatures () |
bool | requiresValue () const |
bool | requiresFirstDerivative () const |
bool | requiresSecondDerivative () const |
bool | canSolveConstrained () const |
bool | requiresClosestFeasible () const |
virtual | ~AbstractOptimizer () |
virtual void | init (ObjectiveFunctionType const &function) |
Initialize the optimizer for the supplied objective function. More... | |
Public Member Functions inherited from shark::INameable | |
virtual | ~INameable () |
Public Member Functions inherited from shark::ISerializable | |
virtual | ~ISerializable () |
Virtual d'tor. More... | |
void | load (InArchive &archive, unsigned int version) |
Versioned loading of components, calls read(...). More... | |
void | save (OutArchive &archive, unsigned int version) const |
Versioned storing of components, calls write(...). More... | |
BOOST_SERIALIZATION_SPLIT_MEMBER () | |
Protected Member Functions | |
SHARK_EXPORT_SYMBOL void | initModel () |
Initializes the internal model. More... | |
SHARK_EXPORT_SYMBOL void | computeSearchDirection (ObjectiveFunctionType const &objectiveFunction) |
Updates the Model and computes the next search direction. More... | |
Protected Member Functions inherited from shark::AbstractOptimizer< RealVector, double, SingleObjectiveResultSet< RealVector > > | |
void | checkFeatures (ObjectiveFunctionType const &objectiveFunction) |
Convenience function that checks whether the features of the supplied objective function match with the required features of the optimizer. More... | |
Protected Attributes | |
unsigned | m_count |
Protected Attributes inherited from shark::AbstractLineSearchOptimizer | |
LineSearch | m_linesearch |
used line search method. More... | |
std::size_t | m_dimension |
number of parameters More... | |
double | m_initialStepLength |
Initial step length to begin with the line search. More... | |
RealVector | m_derivative |
gradient of m_best.point More... | |
RealVector | m_searchDirection |
search direction of next step More... | |
RealVector | m_lastPoint |
previous point More... | |
RealVector | m_lastDerivative |
gradient of the previous point More... | |
double | m_lastValue |
value of the previous point More... | |
Protected Attributes inherited from shark::AbstractSingleObjectiveOptimizer< RealVector > | |
SolutionType | m_best |
Current solution of the optimizer. More... | |
Protected Attributes inherited from shark::AbstractOptimizer< RealVector, double, SingleObjectiveResultSet< RealVector > > | |
Features | m_features |
Additional Inherited Members | |
Public Types inherited from shark::AbstractSingleObjectiveOptimizer< RealVector > | |
typedef base_type::SearchPointType | SearchPointType |
typedef base_type::SolutionType | SolutionType |
typedef base_type::ResultType | ResultType |
typedef base_type::ObjectiveFunctionType | ObjectiveFunctionType |
Public Types inherited from shark::AbstractOptimizer< RealVector, double, SingleObjectiveResultSet< RealVector > > | |
enum | Feature |
Models features that the optimizer requires from the objective function. More... | |
typedef RealVector | SearchPointType |
typedef double | ResultType |
typedef SingleObjectiveResultSet< RealVector > | SolutionType |
typedef AbstractObjectiveFunction< RealVector, ResultType > | ObjectiveFunctionType |
typedef TypedFlags< Feature > | Features |
typedef TypedFeatureNotAvailableException< Feature > | FeatureNotAvailableException |
Conjugate-gradient method for unconstrained optimization.
The next CG search Direction p_{k+1} is computed using the current gradient g_k by \( p_{k+1} = \beta p_k - g_k \) where beta can be computed using different formulas well known is the Fletcher - Reeves method: \( \beta = ||g_k||2/ ||g_{k-1}||^2 \) we use \( \beta = ||g_k||^2 /<p_k,g_k-g_{k-1}> \) which is formula 5.49 in Nocedal, Wright - Numerical Optimization. This formula has better numerical properties than Fletcher-Reeves for non-quadratic functions while ensuring a descent direction.
We implement restarting to ensure quadratic convergence near the optimum as well as numerical stability
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protectedvirtual |
Updates the Model and computes the next search direction.
After a step was performed, this method is called to compute the next search direction. This usually involves updating the internal model using the new and old step information. Afterwards m_searchDirection should contain the next search direction.
Implements shark::AbstractLineSearchOptimizer.
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protectedvirtual |
Initializes the internal model.
Line Search Methods use a Model to search for the next search direction. The model is initialized during init()
Implements shark::AbstractLineSearchOptimizer.
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inlinevirtual |
returns the name of the object
Reimplemented from shark::INameable.
Definition at line 63 of file CG.h.
References read(), SHARK_EXPORT_SYMBOL, and write().
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virtual |
Read the component from the supplied archive.
[in,out] | archive | The archive to read from. |
Reimplemented from shark::AbstractLineSearchOptimizer.
Referenced by name().
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virtual |
Write the component to the supplied archive.
[in,out] | archive | The archive to write to. |
Reimplemented from shark::AbstractLineSearchOptimizer.
Referenced by name().