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# opt.h

    00001 //
    00002 // opt.h
    00003 //
    00004 // Copyright (C) 1996 Limit Point Systems, Inc.
    00005 //
    00006 // Author: Curtis Janssen <cljanss@limitpt.com>
    00007 // Maintainer: LPS
    00008 //
    00009 // This file is part of the SC Toolkit.
    00010 //
    00011 // The SC Toolkit is free software; you can redistribute it and/or modify
    00012 // it under the terms of the GNU Library General Public License as published by
    00013 // the Free Software Foundation; either version 2, or (at your option)
    00014 // any later version.
    00015 //
    00016 // The SC Toolkit is distributed in the hope that it will be useful,
    00017 // but WITHOUT ANY WARRANTY; without even the implied warranty of
    00018 // MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
    00019 // GNU Library General Public License for more details.
    00020 //
    00021 // You should have received a copy of the GNU Library General Public License
    00022 // along with the SC Toolkit; see the file COPYING.LIB.  If not, write to
    00023 // the Free Software Foundation, 675 Mass Ave, Cambridge, MA 02139, USA.
    00024 //
    00025 // The U.S. Government is granted a limited license as per AL 91-7.
    00026 //
    00027
    00028 #ifndef _math_optimize_opt_h
    00029 #define _math_optimize_opt_h
    00030
    00031 #ifdef __GNUC__
    00032 #pragma interface
    00033 #endif
    00034
    00035 #include <util/state/state.h>
    00036 #include <util/class/class.h>
    00037 #include <math/scmat/matrix.h>
    00038 #include <math/optimize/function.h>
    00039 #include <math/optimize/conv.h>
    00040
    00041 namespace sc {
    00042
    00043 // //////////////////////////////////////////////////////////////////////
    00044
    00047 class Optimize: virtual public SavableState {
    00048   protected:
    00049     int max_iterations_;
    00050     int n_iterations_;
    00051     int ckpt_;
    00052     int print_timings_;
    00053     double max_stepsize_;
    00054     char *ckpt_file;
    00055     Ref<Function> function_;
    00056     Ref<Convergence> conv_;
    00057   public:
    00058     Optimize();
    00060     Optimize(StateIn&);
    00061
    00086     Optimize(const Ref<KeyVal>&);
    00087     virtual ~Optimize();
    00088
    00089     void save_data_state(StateOut&);
    00090
    00093     virtual int optimize();
    00094
    00096     void set_checkpoint();
    00097     void set_checkpoint_file(const char*);
    00098
    00100     void set_function(const Ref<Function>&);
    00101
    00103     void set_max_iterations(int);
    00104
    00106     virtual void init();
    00109     virtual int update() = 0;
    00110
    00111     virtual void apply_transform(const Ref<NonlinearTransform>&);
    00112
    00114     Ref<Function> function() const { return function_; }
    00115     Ref<SCMatrixKit> matrixkit() const { return function_->matrixkit(); }
    00116     RefSCDimension dimension() const { return function_->dimension(); }
    00117
    00118 };
    00119
    00120
    00123 class LineOpt: public Optimize {
    00124
    00125   protected:
    00126
    00127     double decrease_factor_;
    00128     RefSCVector initial_x_;
    00129     double initial_value_;
    00130     RefSCVector initial_grad_;
    00131     RefSCVector search_direction_;
    00132     Ref<Function> function_;
    00133
    00134     int sufficient_decrease(RefSCVector& step);
    00135
    00136   public:
    00137
    00138     LineOpt();
    00139     LineOpt(StateIn&);
    00140     LineOpt(const Ref<KeyVal>&);
    00141     ~LineOpt();
    00142     void save_data_state(StateOut&);
    00143
    00147     virtual void init(RefSCVector& direction);
    00152     virtual void init(RefSCVector& direction, Ref<Function> function);
    00154     void apply_transform(const Ref<NonlinearTransform>&);
    00155
    00157     double decrease_factor() { return decrease_factor_; }
    00159     double set_decrease_factor( double factor )
    00160     { double temp = decrease_factor_; decrease_factor_ = factor; return temp; }
    00161 };
    00162
    00163 class Backtrack: public LineOpt {
    00164
    00165  protected:
    00166    double backtrack_factor_;
    00167
    00168  public:
    00169    Backtrack(const Ref<KeyVal>&);
    00170    ~Backtrack(){}
    00171    int update();
    00172
    00173 };
    00174
    00175 }
    00176
    00177 #endif
    00178
    00179 // Local Variables:
    00180 // mode: c++
    00181 // c-file-style: "CLJ"
    00182 // End: