sgpp::optimization::optimizer::LevenbergMarquardt Class Reference

Levenberg-Marquardt algorithm for least squares optimization. More...

#include <LevenbergMarquardt.hpp>

Inheritance diagram for sgpp::optimization::optimizer::LevenbergMarquardt:

Public Member Functions
void	clone (std::unique_ptr< LeastSquaresOptimizer > &clone) const override
double	getAcceptanceThreshold () const
double	getEffectivenessThreshold () const
double	getInitialDamping () const
VectorFunctionGradient &	getPhiGradient () const
double	getTolerance () const
	LevenbergMarquardt (const VectorFunction &phi, const VectorFunctionGradient &phiGradient, size_t maxItCount=DEFAULT_N, double tolerance=DEFAULT_TOLERANCE, double initialDamping=DEFAULT_INITIAL_DAMPING, double acceptanceThreshold=DEFAULT_ACCEPTANCE_THRESHOLD, double effectivenessThreshold=DEFAULT_EFFECTIVENESS_THRESHOLD)
	Constructor. More...
	LevenbergMarquardt (const VectorFunction &phi, const VectorFunctionGradient &phiGradient, size_t maxItCount, double tolerance, double initialDamping, double acceptanceThreshold, double effectivenessThreshold, const sle_solver::SLESolver &sleSolver)
	Constructor. More...
	LevenbergMarquardt (const LevenbergMarquardt &other)
	Copy constructor. More...
void	optimize () override
	Pure virtual method for optimization of the objective function. More...
void	setAcceptanceThreshold (double acceptanceThreshold)
void	setEffectivenessThreshold (double effectivenessThreshold)
void	setInitialDamping (double initialDamping)
void	setTolerance (double tolerance)
	~LevenbergMarquardt () override
	Destructor. More...
Public Member Functions inherited from sgpp::optimization::optimizer::LeastSquaresOptimizer
const base::DataMatrix &	getHistoryOfOptimalPoints () const
const base::DataVector &	getHistoryOfOptimalValues () const
size_t	getN () const
const base::DataVector &	getOptimalPoint () const
double	getOptimalValue () const
VectorFunction &	getPhiFunction () const
const base::DataVector &	getStartingPoint () const
	LeastSquaresOptimizer (const VectorFunction &phi, size_t N=DEFAULT_N)
	Constructor. More...
	LeastSquaresOptimizer (const LeastSquaresOptimizer &other)
	Copy constructor. More...
void	setN (size_t N)
void	setStartingPoint (const base::DataVector &startingPoint)
virtual	~LeastSquaresOptimizer ()
	Destructor. More...

Static Public Attributes
static constexpr double	DEFAULT_ACCEPTANCE_THRESHOLD = 0.3
	default acceptance threshold More...
static constexpr double	DEFAULT_EFFECTIVENESS_THRESHOLD = 0.9
	default effectiveness threshold More...
static constexpr double	DEFAULT_INITIAL_DAMPING = 1.0
	default initial damping More...
static constexpr double	DEFAULT_TOLERANCE = 1e-6
	default tolerance More...
Static Public Attributes inherited from sgpp::optimization::optimizer::LeastSquaresOptimizer
static const size_t	DEFAULT_N = 1000
	default maximal number of iterations or function evaluations More...

Protected Attributes
double	beta0
	acceptance threshold More...
double	beta1
	effectiveness threshold More...
const sle_solver::GaussianElimination	defaultSleSolver
	default linear solver More...
double	mu0
	initial damping More...
std::unique_ptr< VectorFunctionGradient >	phiGradient
	phi gradient More...
const sle_solver::SLESolver &	sleSolver
	linear solver More...
double	tol
	tolerance More...
Protected Attributes inherited from sgpp::optimization::optimizer::LeastSquaresOptimizer
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...
std::unique_ptr< VectorFunction >	phi
	phi function 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

Levenberg-Marquardt algorithm for least squares optimization.

Constructor & Destructor Documentation

LevenbergMarquardt() [1/3]

sgpp::optimization::optimizer::LevenbergMarquardt::LevenbergMarquardt	(	const VectorFunction &	phi,
		const VectorFunctionGradient &	phiGradient,
		size_t	maxItCount = DEFAULT_N,
		double	tolerance = DEFAULT_TOLERANCE,
		double	initialDamping = DEFAULT_INITIAL_DAMPING,
		double	acceptanceThreshold = DEFAULT_ACCEPTANCE_THRESHOLD,
		double	effectivenessThreshold = DEFAULT_EFFECTIVENESS_THRESHOLD
	)

Constructor.

By default, GaussianElimination is used to solve the linear systems.

Parameters

phi	base function
phiGradient	Jacobian of phi
maxItCount	maximal number of function evaluations
tolerance	tolerance
initialDamping	initial damping
acceptanceThreshold	acceptance threshold
effectivenessThreshold	effectiveness threshold

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

Referenced by clone().

LevenbergMarquardt() [2/3]

sgpp::optimization::optimizer::LevenbergMarquardt::LevenbergMarquardt	(	const VectorFunction &	phi,
		const VectorFunctionGradient &	phiGradient,
		size_t	maxItCount,
		double	tolerance,
		double	initialDamping,
		double	acceptanceThreshold,
		double	effectivenessThreshold,
		const sle_solver::SLESolver &	sleSolver
	)

Constructor.

Do not destruct the solver before this object!

Parameters

phi	phi function
phiGradient	Jacobian of phi
maxItCount	maximal number of function evaluations
tolerance	tolerance
initialDamping	initial damping
acceptanceThreshold	acceptance threshold
effectivenessThreshold	effectiveness threshold
sleSolver	reference to linear solver for solving the linear systems

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

LevenbergMarquardt() [3/3]

sgpp::optimization::optimizer::LevenbergMarquardt::LevenbergMarquardt

(

const LevenbergMarquardt &

other

)

Copy constructor.

Parameters

other

optimizer to be copied

References phiGradient.

~LevenbergMarquardt()

sgpp::optimization::optimizer::LevenbergMarquardt::~LevenbergMarquardt ( )

override

Destructor.

Member Function Documentation

clone()

void sgpp::optimization::optimizer::LevenbergMarquardt::clone ( std::unique_ptr< LeastSquaresOptimizer > &  clone ) const

overridevirtual

Parameters

[out]

clone

pointer to cloned object

Implements sgpp::optimization::optimizer::LeastSquaresOptimizer.

References LevenbergMarquardt().

getAcceptanceThreshold()

double sgpp::optimization::optimizer::LevenbergMarquardt::getAcceptanceThreshold

(

)

const

Returns

acceptanceThreshold

References beta0.

getEffectivenessThreshold()

double sgpp::optimization::optimizer::LevenbergMarquardt::getEffectivenessThreshold

(

)

const

Returns

effectiveness threshold

References beta1.

getInitialDamping()

double sgpp::optimization::optimizer::LevenbergMarquardt::getInitialDamping

(

)

const

Returns

initial damping

References mu0.

getPhiGradient()

VectorFunctionGradient & sgpp::optimization::optimizer::LevenbergMarquardt::getPhiGradient

(

)

const

Returns

phi gradient

References phiGradient.

getTolerance()

double sgpp::optimization::optimizer::LevenbergMarquardt::getTolerance

(

)

const

Returns

tolerance

References tol.

optimize()

void sgpp::optimization::optimizer::LevenbergMarquardt::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::LeastSquaresOptimizer.

References sgpp::base::DataVector::append(), sgpp::base::DataMatrix::appendRow(), chess::b, beta0, beta1, sgpp::optimization::Printer::disableStatusPrinting(), sgpp::optimization::Printer::enableStatusPrinting(), sgpp::optimization::optimizer::LeastSquaresOptimizer::fHist, sgpp::optimization::optimizer::LeastSquaresOptimizer::fOpt, sgpp::optimization::Printer::getInstance(), python.statsfileInfo::i, sgpp::optimization::Printer::isStatusPrintingEnabled(), sgpp::base::DataVector::l2Norm(), m, mu, mu0, sgpp::base::DataVector::mult(), sgpp::base::DataMatrix::mult(), sgpp::optimization::optimizer::LeastSquaresOptimizer::N, sgpp::optimization::optimizer::LeastSquaresOptimizer::phi, phiGradient, sgpp::combigrid::pow(), sgpp::optimization::Printer::printStatusBegin(), sgpp::optimization::Printer::printStatusEnd(), sgpp::optimization::Printer::printStatusUpdate(), sgpp::base::DataMatrix::resize(), create_scripts::s, sleSolver, sgpp::optimization::sle_solver::SLESolver::solve(), tol, sgpp::base::DataVector::toString(), sgpp::optimization::optimizer::LeastSquaresOptimizer::x0, sgpp::optimization::optimizer::LeastSquaresOptimizer::xHist, and sgpp::optimization::optimizer::LeastSquaresOptimizer::xOpt.

setAcceptanceThreshold()

void sgpp::optimization::optimizer::LevenbergMarquardt::setAcceptanceThreshold

(

double

acceptanceThreshold

)

Parameters

acceptanceThreshold

acceptance threshold

References beta0.

setEffectivenessThreshold()

void sgpp::optimization::optimizer::LevenbergMarquardt::setEffectivenessThreshold

(

double

effectivenessThreshold

)

Parameters

effectivenessThreshold

effectiveness threshold

References beta1.

setInitialDamping()

void sgpp::optimization::optimizer::LevenbergMarquardt::setInitialDamping

(

double

initialDamping

)

Parameters

initialDamping

initial damping

References mu0.

setTolerance()

void sgpp::optimization::optimizer::LevenbergMarquardt::setTolerance

(

double

tolerance

)

Parameters

tolerance

tolerance

References tol.

Member Data Documentation

beta0

double sgpp::optimization::optimizer::LevenbergMarquardt::beta0

protected

acceptance threshold

Referenced by getAcceptanceThreshold(), optimize(), and setAcceptanceThreshold().

beta1

double sgpp::optimization::optimizer::LevenbergMarquardt::beta1

protected

effectiveness threshold

Referenced by getEffectivenessThreshold(), optimize(), and setEffectivenessThreshold().

DEFAULT_ACCEPTANCE_THRESHOLD

constexpr double sgpp::optimization::optimizer::LevenbergMarquardt::DEFAULT_ACCEPTANCE_THRESHOLD = 0.3

static

default acceptance threshold

DEFAULT_EFFECTIVENESS_THRESHOLD

constexpr double sgpp::optimization::optimizer::LevenbergMarquardt::DEFAULT_EFFECTIVENESS_THRESHOLD = 0.9

static

default effectiveness threshold

DEFAULT_INITIAL_DAMPING

constexpr double sgpp::optimization::optimizer::LevenbergMarquardt::DEFAULT_INITIAL_DAMPING = 1.0

static

default initial damping

DEFAULT_TOLERANCE

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

static

default tolerance

defaultSleSolver

const sle_solver::GaussianElimination sgpp::optimization::optimizer::LevenbergMarquardt::defaultSleSolver

protected

default linear solver

mu0

double sgpp::optimization::optimizer::LevenbergMarquardt::mu0

protected

initial damping

Referenced by getInitialDamping(), optimize(), and setInitialDamping().

phiGradient

std::unique_ptr<VectorFunctionGradient> sgpp::optimization::optimizer::LevenbergMarquardt::phiGradient

protected

phi gradient

Referenced by getPhiGradient(), LevenbergMarquardt(), and optimize().

sleSolver

const sle_solver::SLESolver& sgpp::optimization::optimizer::LevenbergMarquardt::sleSolver

protected

linear solver

Referenced by optimize().

tol

double sgpp::optimization::optimizer::LevenbergMarquardt::tol

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/least_squares/LevenbergMarquardt.hpp
• optimization/src/sgpp/optimization/optimizer/least_squares/LevenbergMarquardt.cpp