PLearn 0.1
ConjGradientOptimizer.h
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00001 // -*- C++ -*-
00002 
00003 // PLearn (A C++ Machine Learning Library)
00004 // Copyright (C) 2003,2006 Olivier Delalleau
00005 //
00006 
00007 // Redistribution and use in source and binary forms, with or without
00008 // modification, are permitted provided that the following conditions are met:
00009 // 
00010 //  1. Redistributions of source code must retain the above copyright
00011 //     notice, this list of conditions and the following disclaimer.
00012 // 
00013 //  2. Redistributions in binary form must reproduce the above copyright
00014 //     notice, this list of conditions and the following disclaimer in the
00015 //     documentation and/or other materials provided with the distribution.
00016 // 
00017 //  3. The name of the authors may not be used to endorse or promote
00018 //     products derived from this software without specific prior written
00019 //     permission.
00020 // 
00021 // THIS SOFTWARE IS PROVIDED BY THE AUTHORS ``AS IS'' AND ANY EXPRESS OR
00022 // IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED WARRANTIES
00023 // OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE DISCLAIMED. IN
00024 // NO EVENT SHALL THE AUTHORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
00025 // SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED
00026 // TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR
00027 // PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF
00028 // LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING
00029 // NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS
00030 // SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
00031 // 
00032 // This file is part of the PLearn library. For more information on the PLearn
00033 // library, go to the PLearn Web site at www.plearn.org
00034 
00035 
00036 /* *******************************************************      
00037  * $Id: ConjGradientOptimizer.h 6644 2007-02-09 23:09:22Z plearner $
00038  * This file is part of the PLearn library.
00039  ******************************************************* */
00040 
00041 
00042 #ifndef CONJGRADIENTOPTIMIZER_INC
00043 #define CONJGRADIENTOPTIMIZER_INC
00044 
00045 #include "Optimizer.h"
00046 
00047 namespace PLearn {
00048 using namespace std;
00049 
00050 
00051 class ConjGradientOptimizer : public Optimizer {
00052 
00053     typedef Optimizer inherited;
00054 
00055 public:
00056 
00057     // Public options.
00058 
00059     real constrain_limit;
00060     real expected_red;
00061     real max_extrapolate;
00062     real rho;
00063     real sigma;
00064     real slope_ratio;
00065     int max_eval_per_line_search;
00066     bool no_negative_gamma;
00067     int verbosity;
00068 
00069     int minibatch_n_samples;
00070     int minibatch_n_line_searches;
00071 
00072 protected:
00073 
00074     int minibatch_curpos; // current starting sample position in dataset for minibatch 
00075 
00077     real bracket_limit;
00078 
00080     real cubic_a, cubic_b;
00081 
00083     real current_cost;
00084 
00086     real fun_deriv2, fun_deriv1;
00087 
00089     real fun_val1, fun_val2;
00090 
00092     real step1, step2;
00093 
00096     int fun_eval_count;
00097 
00099     bool line_search_failed, line_search_succeeded;
00100 
00101     Vec current_opp_gradient;  
00102     Vec search_direction;      
00103     Vec tmp_storage;           
00104     Vec delta;                 
00105   
00106 public:
00107 
00108     ConjGradientOptimizer();
00109   
00110     PLEARN_DECLARE_OBJECT(ConjGradientOptimizer);
00111 
00112     virtual void makeDeepCopyFromShallowCopy(CopiesMap& copies);
00113 
00114     virtual void build()
00115     {
00116         inherited::build();
00117         build_();
00118     }
00119   
00120 private:
00121 
00122     void build_();
00123     
00124 public:
00125 
00126     virtual bool optimizeN(VecStatsCollector& stat_coll);
00127 
00128     virtual void reset();
00129 
00130 protected:
00131 
00132     static void declareOptions(OptionList& ol);
00133   
00135     void findDirection();
00136 
00139     bool lineSearch();
00140 
00146     void updateSearchDirection(real gamma);
00147 
00155     real polakRibiere();
00156 
00164     real minimizeLineSearch();
00165   
00166 protected:
00167 
00172     real computeCostValue(real alpha);
00173 
00179     real computeDerivative(real alpha);
00180 
00181     // Same as the two functions above combined. The result is returned through
00182     // the 'cost' and 'derivative' parameters.
00183     void computeCostAndDerivative(real alpha, real& cost, real& derivative);
00184 };
00185 
00186 } // end of namespace PLearn
00187 
00188 #endif
00189 
00190 
00191 /*
00192   Local Variables:
00193   mode:c++
00194   c-basic-offset:4
00195   c-file-style:"stroustrup"
00196   c-file-offsets:((innamespace . 0)(inline-open . 0))
00197   indent-tabs-mode:nil
00198   fill-column:79
00199   End:
00200 */
00201 // vim: filetype=cpp:expandtab:shiftwidth=4:tabstop=8:softtabstop=4:encoding=utf-8:textwidth=79 :
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