Fast Iterative Shrinkage Tresholding Algorithm is a solver for least-squares problems. More...

#include <Fista.hpp>

Inheritance diagram for sgpp::solver::Fista< F >:

Public Member Functions
	Fista (F g)
	Fista. More...

void	solve (base::OperationMultipleEval &op, base::DataVector &weights, const base::DataVector &classes, size_t maxIt, double threshold, double L=0.5) override
	solve solves the problem. More...

Public Member Functions inherited from sgpp::solver::FistaBase
double	getL ()

Additional Inherited Members
Protected Attributes inherited from sgpp::solver::FistaBase
double	L = 0.5

Detailed Description

template<typename F>
class sgpp::solver::Fista< F >

Fast Iterative Shrinkage Tresholding Algorithm is a solver for least-squares problems.

It can solve all problems that are seperable in a least-squares part and a convex, not necessarily smooth other function. The other function is a template argument. FISTA is an optimal first order method for this problem class.

Constructor & Destructor Documentation

◆ Fista()

template<typename F>

sgpp::solver::Fista< F >::Fista ( F g )

inlineexplicit

Fista.

Parameters

g	is the regularization function.

Member Function Documentation

◆ solve()

template<typename F>

void sgpp::solver::Fista< F >::solve	(	base::OperationMultipleEval &	op,
		base::DataVector &	weights,
		const base::DataVector &	classes,
		size_t	maxIt,
		double	threshold,
		double	L = `0.5`
	)

inlineoverridevirtual

solve solves the problem.

Parameters

op
weights	is the first guess for the solution
classes	is the target vector
maxIt	is the maximum number of iterations
threshold	is the desired accuracy
L	is a guess for the Lipschitz number of the gradient of the least squares part. It is used to improve the speed of the linesearch, and should be 0.5 for the first iteration. Has to be positive.

Implements sgpp::solver::FistaBase.

References sgpp::base::DataVector::add(), chess::b, sgpp::base::DataVector::dotProduct(), sgpp::base::DataVector::getSize(), sgpp::solver::FistaBase::L, sgpp::base::OperationMultipleEval::mult(), sgpp::base::DataVector::mult(), sgpp::base::OperationMultipleEval::multTranspose(), sgpp::base::DataVector::sqr(), sgpp::base::DataVector::sub(), and sgpp::base::DataVector::sum().

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

solver/src/sgpp/solver/sle/fista/Fista.hpp

Public Member Functions