📄 powell.cc
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//// powell.cc//// Copyright (C) 1996 Limit Point Systems, Inc.//// Author: Edward Seidl <seidl@janed.com>// Maintainer: LPS//// This file is part of the SC Toolkit.//// The SC Toolkit is free software; you can redistribute it and/or modify// it under the terms of the GNU Library General Public License as published by// the Free Software Foundation; either version 2, or (at your option)// any later version.//// The SC Toolkit is distributed in the hope that it will be useful,// but WITHOUT ANY WARRANTY; without even the implied warranty of// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the// GNU Library General Public License for more details.//// You should have received a copy of the GNU Library General Public License// along with the SC Toolkit; see the file COPYING.LIB. If not, write to// the Free Software Foundation, 675 Mass Ave, Cambridge, MA 02139, USA.//// The U.S. Government is granted a limited license as per AL 91-7.//#include <math.h>#include <util/state/stateio.h>#include <math/optimize/update.h>#include <math/optimize/transform.h>#include <util/keyval/keyval.h>using namespace sc;/////////////////////////////////////////////////////////////////////////// PowellUpdatestatic ClassDesc PowellUpdate_cd( typeid(PowellUpdate),"PowellUpdate",1,"public HessianUpdate", create<PowellUpdate>, create<PowellUpdate>, create<PowellUpdate>);PowellUpdate::PowellUpdate(){}PowellUpdate::PowellUpdate(const Ref<KeyVal>&keyval): HessianUpdate(keyval){}PowellUpdate::PowellUpdate(StateIn&s): SavableState(s), HessianUpdate(s){ Ref<SCMatrixKit> k = SCMatrixKit::default_matrixkit(); RefSCDimension dim; dim << SavableState::restore_state(s); xprev = k->vector(dim); gprev = k->vector(dim); xprev.restore(s); gprev.restore(s);}PowellUpdate::~PowellUpdate(){}voidPowellUpdate::save_data_state(StateOut&s){ HessianUpdate::save_data_state(s); SavableState::save_state(xprev.dim().pointer(),s); xprev.save(s); gprev.save(s);}voidPowellUpdate::update(const RefSymmSCMatrix&hessian,const Ref<Function>&func, const RefSCVector&xn,const RefSCVector&gn){ RefSCVector xnew, gnew; // the update for the inverse hessian differs from the update for the // hessian in that xdisp and gdisp are exchanged // test this...it may only be true for the Broyden family of updates if (!inverse_hessian_) { xnew = xn; gnew = gn; } else { xnew = gn; gnew = xn; } if (xprev.nonnull()) { RefSCVector xdisp = xnew-xprev; RefSCVector gdisp = gnew-gprev-hessian*xdisp; double xdisp_xdisp = xdisp.scalar_product(xdisp); double gdisp_xdisp = gdisp.scalar_product(xdisp); hessian.accumulate( xdisp.symmetric_outer_product() * (-gdisp_xdisp/(xdisp_xdisp*xdisp_xdisp)) ); RefSCMatrix temp = (gdisp.outer_product(xdisp) + xdisp.outer_product(gdisp)) * (0.5/xdisp_xdisp); hessian.accumulate_symmetric_sum(temp); xprev.assign(xnew); gprev.assign(gnew); } else { xprev = xnew.copy(); gprev = gnew.copy(); }}voidPowellUpdate::apply_transform(const Ref<NonlinearTransform>& trans){ if (trans.null()) return; HessianUpdate::apply_transform(trans); trans->transform_coordinates(xprev); trans->transform_gradient(gprev);}/////////////////////////////////////////////////////////////////////////////// Local Variables:// mode: c++// c-file-style: "ETS"// End:
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