sgpp::optimization::optimizer::LogBarrier Class Reference

Log Barrier method for constrained optimization. More...

#include <LogBarrier.hpp>

Inheritance diagram for sgpp::optimization::optimizer::LogBarrier:

Public Member Functions
void	clone (std::unique_ptr< UnconstrainedOptimizer > &clone) const override
double	getBarrierDecreaseFactor () const
double	getBarrierStartValue () const
const std::vector< size_t > &	getHistoryOfInnerIterationNumbers () const
const base::DataMatrix &	getHistoryOfInnerIterationPoints () const
VectorFunctionGradient &	getInequalityConstraintGradient () const
ScalarFunctionGradient &	getObjectiveGradient () const
double	getTolerance () const
	LogBarrier (const ScalarFunction &f, const ScalarFunctionGradient &fGradient, const VectorFunction &g, const VectorFunctionGradient &gGradient, size_t maxItCount=DEFAULT_N, double tolerance=DEFAULT_TOLERANCE, double barrierStartValue=DEFAULT_BARRIER_START_VALUE, double barrierDecreaseFactor=DEFAULT_BARRIER_DECREASE_FACTOR)
	Constructor. More...
	LogBarrier (const LogBarrier &other)
	Copy constructor. More...
void	optimize () override
	Pure virtual method for optimization of the objective function. More...
void	setBarrierDecreaseFactor (double barrierDecreaseFactor)
void	setBarrierStartValue (double barrierStartValue)
void	setTolerance (double tolerance)
	~LogBarrier () override
	Destructor. More...
Public Member Functions inherited from sgpp::optimization::optimizer::ConstrainedOptimizer
	ConstrainedOptimizer (const ScalarFunction &f, const VectorFunction &g, const VectorFunction &h, size_t N=DEFAULT_N)
	Constructor. More...
	ConstrainedOptimizer (const ConstrainedOptimizer &other)
	Copy constructor. More...
VectorFunction &	getEqualityConstraintFunction () const
VectorFunction &	getInequalityConstraintFunction () const
	~ConstrainedOptimizer () 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_BARRIER_DECREASE_FACTOR = 0.5
	default barrier decrease factor More...
static constexpr double	DEFAULT_BARRIER_START_VALUE = 1.0
	default barrier start value 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...
std::unique_ptr< VectorFunctionGradient >	gGradient
	inequality constraint function gradient More...
std::vector< size_t >	kHistInner
	search history (number of inner iterations) More...
double	mu0
	barrier start value More...
double	rhoMuMinus
	barrier decrease factor More...
double	theta
	tolerance More...
base::DataMatrix	xHistInner
	search history (inner iterations) More...
Protected Attributes inherited from sgpp::optimization::optimizer::ConstrainedOptimizer
std::unique_ptr< VectorFunction >	g
	inequality constraint function More...
std::unique_ptr< VectorFunction >	h
	equality constraint function 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

Log Barrier method for constrained optimization.

Constructor & Destructor Documentation

LogBarrier() [1/2]

sgpp::optimization::optimizer::LogBarrier::LogBarrier	(	const ScalarFunction &	f,
		const ScalarFunctionGradient &	fGradient,
		const VectorFunction &	g,
		const VectorFunctionGradient &	gGradient,
		size_t	maxItCount = DEFAULT_N,
		double	tolerance = DEFAULT_TOLERANCE,
		double	barrierStartValue = DEFAULT_BARRIER_START_VALUE,
		double	barrierDecreaseFactor = DEFAULT_BARRIER_DECREASE_FACTOR
	)

Constructor.

Parameters

f	objective function
fGradient	objective function gradient
g	inequality constraint
gGradient	inequality constraint gradient
maxItCount	maximal number of function evaluations
tolerance	tolerance
barrierStartValue	barrier start value
barrierDecreaseFactor	barrier decrease factor

References sgpp::optimization::ScalarFunctionGradient::clone(), and sgpp::optimization::VectorFunctionGradient::clone().

Referenced by clone().

LogBarrier() [2/2]

sgpp::optimization::optimizer::LogBarrier::LogBarrier

(

const LogBarrier &

other

)

Copy constructor.

Parameters

other

optimizer to be copied

References fGradient, and gGradient.

~LogBarrier()

sgpp::optimization::optimizer::LogBarrier::~LogBarrier ( )

override

Destructor.

Member Function Documentation

clone()

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

overridevirtual

Parameters

[out]

clone

pointer to cloned object

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

References LogBarrier().

getBarrierDecreaseFactor()

double sgpp::optimization::optimizer::LogBarrier::getBarrierDecreaseFactor

(

)

const

Returns

barrier decrease factor

References rhoMuMinus.

getBarrierStartValue()

double sgpp::optimization::optimizer::LogBarrier::getBarrierStartValue

(

)

const

Returns

barrier start value

References mu0.

getHistoryOfInnerIterationNumbers()

const std::vector< size_t > & sgpp::optimization::optimizer::LogBarrier::getHistoryOfInnerIterationNumbers

(

)

const

Returns

vector in which the k-th entry indicates the number of inner iterations in the k-th (outer) iteration, empty vector on error

References kHistInner.

getHistoryOfInnerIterationPoints()

const base::DataMatrix & sgpp::optimization::optimizer::LogBarrier::getHistoryOfInnerIterationPoints

(

)

const

Returns

tall matrix (d columns) in which the history of optimal points of the iterations are concatenated

References xHistInner.

getInequalityConstraintGradient()

VectorFunctionGradient & sgpp::optimization::optimizer::LogBarrier::getInequalityConstraintGradient

(

)

const

Returns

inequality constraint function gradient

References gGradient.

getObjectiveGradient()

ScalarFunctionGradient & sgpp::optimization::optimizer::LogBarrier::getObjectiveGradient

(

)

const

Returns

objective function gradient

References fGradient.

getTolerance()

double sgpp::optimization::optimizer::LogBarrier::getTolerance

(

)

const

Returns

tolerance

References theta.

optimize()

void sgpp::optimization::optimizer::LogBarrier::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 sgpp::base::DataVector::append(), sgpp::base::DataMatrix::appendRow(), sgpp::optimization::optimizer::UnconstrainedOptimizer::f, fGradient, sgpp::optimization::optimizer::UnconstrainedOptimizer::fHist, sgpp::optimization::optimizer::UnconstrainedOptimizer::fOpt, sgpp::optimization::optimizer::ConstrainedOptimizer::g, sgpp::optimization::optimizer::UnconstrainedOptimizer::getHistoryOfOptimalPoints(), sgpp::optimization::Printer::getInstance(), sgpp::base::DataMatrix::getNrows(), sgpp::optimization::optimizer::UnconstrainedOptimizer::getOptimalPoint(), gGradient, python.statsfileInfo::i, kHistInner, sgpp::base::DataVector::l2Norm(), mu, mu0, sgpp::optimization::optimizer::UnconstrainedOptimizer::N, sgpp::optimization::optimizer::AdaptiveGradientDescent::optimize(), sgpp::optimization::Printer::printStatusBegin(), sgpp::optimization::Printer::printStatusEnd(), sgpp::optimization::Printer::printStatusUpdate(), sgpp::base::DataMatrix::resize(), rhoMuMinus, sgpp::optimization::optimizer::UnconstrainedOptimizer::setStartingPoint(), sgpp::base::DataVector::sub(), theta, sgpp::base::DataVector::toString(), sgpp::optimization::optimizer::UnconstrainedOptimizer::x0, sgpp::optimization::optimizer::UnconstrainedOptimizer::xHist, xHistInner, and sgpp::optimization::optimizer::UnconstrainedOptimizer::xOpt.

setBarrierDecreaseFactor()

void sgpp::optimization::optimizer::LogBarrier::setBarrierDecreaseFactor

(

double

barrierDecreaseFactor

)

Parameters

barrierDecreaseFactor

barrier decrease factor

References rhoMuMinus.

setBarrierStartValue()

void sgpp::optimization::optimizer::LogBarrier::setBarrierStartValue

(

double

barrierStartValue

)

Parameters

barrierStartValue

barrier start value

References mu0.

setTolerance()

void sgpp::optimization::optimizer::LogBarrier::setTolerance

(

double

tolerance

)

Parameters

tolerance

tolerance

References theta.

Member Data Documentation

DEFAULT_BARRIER_DECREASE_FACTOR

constexpr double sgpp::optimization::optimizer::LogBarrier::DEFAULT_BARRIER_DECREASE_FACTOR = 0.5

static

default barrier decrease factor

DEFAULT_BARRIER_START_VALUE

constexpr double sgpp::optimization::optimizer::LogBarrier::DEFAULT_BARRIER_START_VALUE = 1.0

static

default barrier start value

DEFAULT_TOLERANCE

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

static

default tolerance

fGradient

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

protected

objective function gradient

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

gGradient

std::unique_ptr<VectorFunctionGradient> sgpp::optimization::optimizer::LogBarrier::gGradient

protected

inequality constraint function gradient

Referenced by getInequalityConstraintGradient(), LogBarrier(), and optimize().

kHistInner

std::vector<size_t> sgpp::optimization::optimizer::LogBarrier::kHistInner

protected

search history (number of inner iterations)

Referenced by getHistoryOfInnerIterationNumbers(), and optimize().

mu0

double sgpp::optimization::optimizer::LogBarrier::mu0

protected

barrier start value

Referenced by getBarrierStartValue(), optimize(), and setBarrierStartValue().

rhoMuMinus

double sgpp::optimization::optimizer::LogBarrier::rhoMuMinus

protected

barrier decrease factor

Referenced by getBarrierDecreaseFactor(), optimize(), and setBarrierDecreaseFactor().

theta

double sgpp::optimization::optimizer::LogBarrier::theta

protected

tolerance

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

xHistInner

base::DataMatrix sgpp::optimization::optimizer::LogBarrier::xHistInner

protected

search history (inner iterations)

Referenced by getHistoryOfInnerIterationPoints(), and optimize().

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

• optimization/src/sgpp/optimization/optimizer/constrained/LogBarrier.hpp
• optimization/src/sgpp/optimization/optimizer/constrained/LogBarrier.cpp