Rprop method for unconstrained optimization. More...

#include <Rprop.hpp>

Inheritance diagram for sgpp::optimization::optimizer::Rprop:

Public Member Functions
void	clone (std::unique_ptr< UnconstrainedOptimizer > &clone) const override

double	getInitialStepSize () 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...

	Rprop (const ScalarFunction &f, const ScalarFunctionGradient &fGradient, size_t maxItCount=DEFAULT_N, double tolerance=DEFAULT_TOLERANCE, double initialStepSize=DEFAULT_INITIAL_STEP_SIZE, double stepSizeIncreaseFactor=DEFAULT_STEP_SIZE_INCREASE_FACTOR, double stepSizeDecreaseFactor=DEFAULT_STEP_SIZE_DECREASE_FACTOR)
	Constructor. More...

	Rprop (const Rprop &other)
	Copy constructor. More...

void	setInitialStepSize (double initialStepSize)

void	setStepSizeDecreaseFactor (double stepSizeDecreaseFactor)

void	setStepSizeIncreaseFactor (double stepSizeIncreaseFactor)

void	setTolerance (double tolerance)

	~Rprop () 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_INITIAL_STEP_SIZE = 0.01
	default initial step size 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	initialAlpha
	initial step size More...

double	rhoAlphaMinus
	step size decrease factor More...

double	rhoAlphaPlus
	step size increase factor 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

Rprop method for unconstrained optimization.

Constructor & Destructor Documentation

◆ Rprop() [1/2]

sgpp::optimization::optimizer::Rprop::Rprop	(	const ScalarFunction &	f,
		const ScalarFunctionGradient &	fGradient,
		size_t	maxItCount = `DEFAULT_N`,
		double	tolerance = `DEFAULT_TOLERANCE`,
		double	initialStepSize = `DEFAULT_INITIAL_STEP_SIZE`,
		double	stepSizeIncreaseFactor = `DEFAULT_STEP_SIZE_INCREASE_FACTOR`,
		double	stepSizeDecreaseFactor = `DEFAULT_STEP_SIZE_DECREASE_FACTOR`
	)

Constructor.

Parameters

f	objective function
fGradient	objective function gradient
maxItCount	maximal number of function evaluations
tolerance	tolerance
initialStepSize	initial step size
stepSizeIncreaseFactor	step size increase factor
stepSizeDecreaseFactor	step size decrease factor

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

Referenced by clone().

◆ Rprop() [2/2]

sgpp::optimization::optimizer::Rprop::Rprop ( const Rprop & other )

Copy constructor.

Parameters

other optimizer to be copied

References fGradient.

◆ ~Rprop()

sgpp::optimization::optimizer::Rprop::~Rprop ( )

override

Destructor.

Member Function Documentation

◆ clone()

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

overridevirtual

Parameters

[out] clone pointer to cloned object

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

References Rprop().

◆ getInitialStepSize()

double sgpp::optimization::optimizer::Rprop::getInitialStepSize ( ) const

Returns: initial step size

References initialAlpha.

◆ getObjectiveGradient()

ScalarFunctionGradient & sgpp::optimization::optimizer::Rprop::getObjectiveGradient ( ) const

Returns: objective function gradient

References fGradient.

◆ getStepSizeDecreaseFactor()

double sgpp::optimization::optimizer::Rprop::getStepSizeDecreaseFactor ( ) const

Returns: step size decrease factor

References rhoAlphaMinus.

◆ getStepSizeIncreaseFactor()

double sgpp::optimization::optimizer::Rprop::getStepSizeIncreaseFactor ( ) const

Returns: step size increase factor

References rhoAlphaPlus.

◆ getTolerance()

double sgpp::optimization::optimizer::Rprop::getTolerance ( ) const

Returns: tolerance

References theta.

◆ optimize()

void sgpp::optimization::optimizer::Rprop::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::optimization::optimizer::UnconstrainedOptimizer::f, fGradient, sgpp::optimization::optimizer::UnconstrainedOptimizer::fHist, sgpp::optimization::optimizer::UnconstrainedOptimizer::fOpt, sgpp::optimization::Printer::getInstance(), initialAlpha, sgpp::base::DataVector::l2Norm(), sgpp::optimization::optimizer::UnconstrainedOptimizer::N, sgpp::optimization::Printer::printStatusBegin(), sgpp::optimization::Printer::printStatusEnd(), sgpp::optimization::Printer::printStatusUpdate(), sgpp::base::DataMatrix::resize(), rhoAlphaMinus, rhoAlphaPlus, sgpp::base::DataVector::sub(), theta, sgpp::base::DataVector::toString(), sgpp::optimization::optimizer::UnconstrainedOptimizer::x0, sgpp::optimization::optimizer::UnconstrainedOptimizer::xHist, and sgpp::optimization::optimizer::UnconstrainedOptimizer::xOpt.

◆ setInitialStepSize()

void sgpp::optimization::optimizer::Rprop::setInitialStepSize ( double initialStepSize )

Parameters

initialStepSize initial step size

References initialAlpha.

◆ setStepSizeDecreaseFactor()

void sgpp::optimization::optimizer::Rprop::setStepSizeDecreaseFactor ( double stepSizeDecreaseFactor )

Parameters

stepSizeDecreaseFactor step size decrease factor

References rhoAlphaMinus.

◆ setStepSizeIncreaseFactor()

void sgpp::optimization::optimizer::Rprop::setStepSizeIncreaseFactor ( double stepSizeIncreaseFactor )

Parameters

stepSizeIncreaseFactor step size increase factor

References rhoAlphaPlus.

◆ setTolerance()

void sgpp::optimization::optimizer::Rprop::setTolerance ( double tolerance )

Parameters

tolerance tolerance

References theta.

Member Data Documentation

◆ DEFAULT_INITIAL_STEP_SIZE

constexpr double sgpp::optimization::optimizer::Rprop::DEFAULT_INITIAL_STEP_SIZE = 0.01

static

default initial step size

◆ DEFAULT_STEP_SIZE_DECREASE_FACTOR

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

static

default step size decrease factor

◆ DEFAULT_STEP_SIZE_INCREASE_FACTOR

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

static

default step size increase factor

◆ DEFAULT_TOLERANCE

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

static

default tolerance

◆ fGradient

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

protected

objective function gradient

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

◆ initialAlpha

double sgpp::optimization::optimizer::Rprop::initialAlpha

protected

initial step size

Referenced by getInitialStepSize(), optimize(), and setInitialStepSize().

◆ rhoAlphaMinus

double sgpp::optimization::optimizer::Rprop::rhoAlphaMinus

protected

step size decrease factor

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

◆ rhoAlphaPlus

double sgpp::optimization::optimizer::Rprop::rhoAlphaPlus

protected

step size increase factor

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

◆ theta

double sgpp::optimization::optimizer::Rprop::theta

protected

tolerance

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

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

optimization/src/sgpp/optimization/optimizer/unconstrained/Rprop.hpp
optimization/src/sgpp/optimization/optimizer/unconstrained/Rprop.cpp

Public Member Functions

Static Public Attributes

Protected Attributes

Detailed Description

Constructor & Destructor Documentation

◆ Rprop() [1/2]

◆ Rprop() [2/2]

◆ ~Rprop()

Member Function Documentation

◆ clone()

◆ getInitialStepSize()

◆ getObjectiveGradient()

◆ getStepSizeDecreaseFactor()

◆ getStepSizeIncreaseFactor()

◆ getTolerance()

◆ optimize()

◆ setInitialStepSize()

◆ setStepSizeDecreaseFactor()

◆ setStepSizeIncreaseFactor()

◆ setTolerance()

Member Data Documentation

◆ DEFAULT_INITIAL_STEP_SIZE

◆ DEFAULT_STEP_SIZE_DECREASE_FACTOR

◆ DEFAULT_STEP_SIZE_INCREASE_FACTOR

◆ DEFAULT_TOLERANCE

◆ fGradient

◆ initialAlpha

◆ rhoAlphaMinus

◆ rhoAlphaPlus

◆ theta