sgpp::optimization::optimizer::BFGS Class Reference

BFGS method for unconstrained optimization. More...

#include <BFGS.hpp>

Inheritance diagram for sgpp::optimization::optimizer::BFGS:

Public Member Functions
	BFGS (const ScalarFunction &f, const ScalarFunctionGradient &fGradient, size_t maxItCount=DEFAULT_N, double tolerance=DEFAULT_TOLERANCE, double stepSizeIncreaseFactor=DEFAULT_STEP_SIZE_INCREASE_FACTOR, double stepSizeDecreaseFactor=DEFAULT_STEP_SIZE_DECREASE_FACTOR, double lineSearchAccuracy=DEFAULT_LINE_SEARCH_ACCURACY)
	Constructor. More...
	BFGS (const BFGS &other)
	Copy constructor. More...
void	clone (std::unique_ptr< UnconstrainedOptimizer > &clone) const override
double	getLineSearchAccuracy () const
ScalarFunctionGradient &	getObjectiveGradient () const
double	getStepSizeDecreaseFactor () const
double	getStepSizeIncreaseFactor () const
double	getTolerance () const
void	optimize () override
	Pure virtual method for optimization of the objective function. More...
void	setLineSearchAccuracy (double lineSearchAccuracy)
void	setStepSizeDecreaseFactor (double stepSizeDecreaseFactor)
void	setStepSizeIncreaseFactor (double stepSizeIncreaseFactor)
void	setTolerance (double tolerance)
	~BFGS () override
	Destructor. More...
Public Member Functions inherited from sgpp::optimization::optimizer::UnconstrainedOptimizer
const base::DataMatrix &	getHistoryOfOptimalPoints () const
const base::DataVector &	getHistoryOfOptimalValues () const
size_t	getN () const
ScalarFunction &	getObjectiveFunction () const
const base::DataVector &	getOptimalPoint () const
double	getOptimalValue () const
const base::DataVector &	getStartingPoint () const
void	setN (size_t N)
void	setStartingPoint (const base::DataVector &startingPoint)
	UnconstrainedOptimizer (const ScalarFunction &f, size_t N=DEFAULT_N)
	Constructor. More...
	UnconstrainedOptimizer (const UnconstrainedOptimizer &other)
	Copy constructor. More...
virtual	~UnconstrainedOptimizer ()
	Destructor. More...

Static Public Attributes
static constexpr double	DEFAULT_LINE_SEARCH_ACCURACY = 0.01
	default line search accuracy More...
static constexpr double	DEFAULT_STEP_SIZE_DECREASE_FACTOR = 0.5
	default step size decrease factor More...
static constexpr double	DEFAULT_STEP_SIZE_INCREASE_FACTOR = 1.2
	default step size increase factor More...
static constexpr double	DEFAULT_TOLERANCE = 1e-6
	default tolerance More...
Static Public Attributes inherited from sgpp::optimization::optimizer::UnconstrainedOptimizer
static const size_t	DEFAULT_N = 1000
	default maximal number of iterations or function evaluations More...

Protected Attributes
std::unique_ptr< ScalarFunctionGradient >	fGradient
	objective function gradient More...
double	rhoAlphaMinus
	step size decrease factor More...
double	rhoAlphaPlus
	step size increase factor More...
double	rhoLs
	line search accuracy More...
double	theta
	tolerance More...
Protected Attributes inherited from sgpp::optimization::optimizer::UnconstrainedOptimizer
std::unique_ptr< ScalarFunction >	f
	objective function More...
base::DataVector	fHist
	search history vector (optimal values) More...
double	fOpt
	result of optimization (optimal function value) More...
size_t	N
	maximal number of iterations or function evaluations More...
base::DataVector	x0
	starting point More...
base::DataMatrix	xHist
	search history matrix (optimal points) More...
base::DataVector	xOpt
	result of optimization (location of optimum) More...

Detailed Description

BFGS method for unconstrained optimization.

Constructor & Destructor Documentation

BFGS() [1/2]

sgpp::optimization::optimizer::BFGS::BFGS	(	const ScalarFunction &	f,
		const ScalarFunctionGradient &	fGradient,
		size_t	maxItCount = DEFAULT_N,
		double	tolerance = DEFAULT_TOLERANCE,
		double	stepSizeIncreaseFactor = DEFAULT_STEP_SIZE_INCREASE_FACTOR,
		double	stepSizeDecreaseFactor = DEFAULT_STEP_SIZE_DECREASE_FACTOR,
		double	lineSearchAccuracy = DEFAULT_LINE_SEARCH_ACCURACY
	)

Constructor.

Parameters

f	objective function
fGradient	objective function gradient
maxItCount	maximal number of function evaluations
tolerance	tolerance
stepSizeIncreaseFactor	step size increase factor
stepSizeDecreaseFactor	step size decrease factor
lineSearchAccuracy	line search accuracy

References sgpp::optimization::ScalarFunctionGradient::clone().

Referenced by clone().

BFGS() [2/2]

sgpp::optimization::optimizer::BFGS::BFGS

(

const BFGS &

other

)

Copy constructor.

Parameters

other

optimizer to be copied

References fGradient.

~BFGS()

sgpp::optimization::optimizer::BFGS::~BFGS ( )

override

Destructor.

Member Function Documentation

clone()

void sgpp::optimization::optimizer::BFGS::clone ( std::unique_ptr< UnconstrainedOptimizer > &  clone ) const

overridevirtual

Parameters

[out]

clone

pointer to cloned object

Implements sgpp::optimization::optimizer::UnconstrainedOptimizer.

References BFGS().

getLineSearchAccuracy()

double sgpp::optimization::optimizer::BFGS::getLineSearchAccuracy

(

)

const

Returns

line search accuracy

References rhoLs.

getObjectiveGradient()

ScalarFunctionGradient & sgpp::optimization::optimizer::BFGS::getObjectiveGradient

(

)

const

Returns

objective function gradient

References fGradient.

getStepSizeDecreaseFactor()

double sgpp::optimization::optimizer::BFGS::getStepSizeDecreaseFactor

(

)

const

Returns

step size decrease factor

References rhoAlphaMinus.

getStepSizeIncreaseFactor()

double sgpp::optimization::optimizer::BFGS::getStepSizeIncreaseFactor

(

)

const

Returns

step size increase factor

References rhoAlphaPlus.

getTolerance()

double sgpp::optimization::optimizer::BFGS::getTolerance

(

)

const

Returns

tolerance

References theta.

optimize()

void sgpp::optimization::optimizer::BFGS::optimize ( )

overridevirtual

Pure virtual method for optimization of the objective function.

The result of the optimization process can be obtained by member functions, e.g., getOptimalPoint() and getOptimalValue().

Implements sgpp::optimization::optimizer::UnconstrainedOptimizer.

References alpha, sgpp::base::DataVector::append(), sgpp::base::DataMatrix::appendRow(), sgpp::base::DataVector::dotProduct(), sgpp::optimization::optimizer::UnconstrainedOptimizer::f, fGradient, sgpp::optimization::optimizer::UnconstrainedOptimizer::fHist, sgpp::optimization::optimizer::UnconstrainedOptimizer::fOpt, sgpp::optimization::Printer::getInstance(), python.statsfileInfo::i, python.utils.statsfile2gnuplot::j, sgpp::base::DataVector::l2Norm(), sgpp::optimization::optimizer::UnconstrainedOptimizer::N, friedman::p, sgpp::optimization::Printer::printStatusBegin(), sgpp::optimization::Printer::printStatusEnd(), sgpp::optimization::Printer::printStatusUpdate(), sgpp::base::DataMatrix::resize(), rhoAlphaMinus, rhoAlphaPlus, rhoLs, theta, sgpp::base::DataVector::toString(), sgpp::optimization::optimizer::UnconstrainedOptimizer::x0, sgpp::optimization::optimizer::UnconstrainedOptimizer::xHist, and sgpp::optimization::optimizer::UnconstrainedOptimizer::xOpt.

setLineSearchAccuracy()

void sgpp::optimization::optimizer::BFGS::setLineSearchAccuracy

(

double

lineSearchAccuracy

)

Parameters

lineSearchAccuracy

line search accuracy

References rhoLs.

setStepSizeDecreaseFactor()

void sgpp::optimization::optimizer::BFGS::setStepSizeDecreaseFactor

(

double

stepSizeDecreaseFactor

)

Parameters

stepSizeDecreaseFactor

step size decrease factor

References rhoAlphaMinus.

setStepSizeIncreaseFactor()

void sgpp::optimization::optimizer::BFGS::setStepSizeIncreaseFactor

(

double

stepSizeIncreaseFactor

)

Parameters

stepSizeIncreaseFactor

step size increase factor

References rhoAlphaPlus.

setTolerance()

void sgpp::optimization::optimizer::BFGS::setTolerance

(

double

tolerance

)

Parameters

tolerance

tolerance

References theta.

Member Data Documentation

DEFAULT_LINE_SEARCH_ACCURACY

constexpr double sgpp::optimization::optimizer::BFGS::DEFAULT_LINE_SEARCH_ACCURACY = 0.01

static

default line search accuracy

DEFAULT_STEP_SIZE_DECREASE_FACTOR

constexpr double sgpp::optimization::optimizer::BFGS::DEFAULT_STEP_SIZE_DECREASE_FACTOR = 0.5

static

default step size decrease factor

DEFAULT_STEP_SIZE_INCREASE_FACTOR

constexpr double sgpp::optimization::optimizer::BFGS::DEFAULT_STEP_SIZE_INCREASE_FACTOR = 1.2

static

default step size increase factor

DEFAULT_TOLERANCE

constexpr double sgpp::optimization::optimizer::BFGS::DEFAULT_TOLERANCE = 1e-6

static

default tolerance

fGradient

std::unique_ptr<ScalarFunctionGradient> sgpp::optimization::optimizer::BFGS::fGradient

protected

objective function gradient

Referenced by BFGS(), getObjectiveGradient(), and optimize().

rhoAlphaMinus

double sgpp::optimization::optimizer::BFGS::rhoAlphaMinus

protected

step size decrease factor

Referenced by getStepSizeDecreaseFactor(), optimize(), and setStepSizeDecreaseFactor().

rhoAlphaPlus

double sgpp::optimization::optimizer::BFGS::rhoAlphaPlus

protected

step size increase factor

Referenced by getStepSizeIncreaseFactor(), optimize(), and setStepSizeIncreaseFactor().

rhoLs

double sgpp::optimization::optimizer::BFGS::rhoLs

protected

line search accuracy

Referenced by getLineSearchAccuracy(), optimize(), and setLineSearchAccuracy().

theta

double sgpp::optimization::optimizer::BFGS::theta

protected

tolerance

Referenced by getTolerance(), optimize(), and setTolerance().

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The documentation for this class was generated from the following files:

• optimization/src/sgpp/optimization/optimizer/unconstrained/BFGS.hpp
• optimization/src/sgpp/optimization/optimizer/unconstrained/BFGS.cpp