📄 dfp.cc
字号:
//// dfp.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;/////////////////////////////////////////////////////////////////////////// DFPUpdatestatic ClassDesc DFPUpdate_cd( typeid(DFPUpdate),"DFPUpdate",1,"public HessianUpdate", create<DFPUpdate>, create<DFPUpdate>, create<DFPUpdate>);DFPUpdate::DFPUpdate(){}DFPUpdate::DFPUpdate(const Ref<KeyVal>&keyval): HessianUpdate(keyval){ if (keyval->exists("xprev") && keyval->exists("gprev")) { Ref<SCMatrixKit> k = SCMatrixKit::default_matrixkit(); RefSCDimension dim = new SCDimension(keyval->count("xprev")); xprev = k->vector(dim); gprev = k->vector(dim); for (int i=0; i<dim.n(); i++) { xprev(i) = keyval->doublevalue("xprev",i); gprev(i) = keyval->doublevalue("gprev",i); } }}DFPUpdate::DFPUpdate(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);}DFPUpdate::~DFPUpdate(){}voidDFPUpdate::save_data_state(StateOut&s){ HessianUpdate::save_data_state(s); SavableState::save_state(xprev.dim().pointer(),s); xprev.save(s); gprev.save(s);}voidDFPUpdate::update(const RefSymmSCMatrix&ihessian,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 if (inverse_hessian_) { xnew = xn; gnew = gn; } else { xnew = gn; gnew = xn; } if (xprev.nonnull()) { RefSCVector xdisp = xnew-xprev; RefSCVector gdisp = gnew-gprev; RefSCVector ihessian_gdisp = ihessian * gdisp; double gdisp_ihessian_gdisp = ihessian_gdisp.scalar_product(gdisp); double xdisp_gdisp = xdisp.scalar_product(gdisp); ihessian.accumulate( xdisp.symmetric_outer_product()*(1.0/xdisp_gdisp) - ihessian_gdisp.symmetric_outer_product()*(1.0/gdisp_ihessian_gdisp) ); xprev.assign(xnew); gprev.assign(gnew); } else { xprev = xnew.copy(); gprev = gnew.copy(); }}voidDFPUpdate::apply_transform(const Ref<NonlinearTransform>& trans){ if (trans.null()) return; HessianUpdate::apply_transform(trans); trans->transform_coordinates(xprev); trans->transform_gradient(gprev);}voidDFPUpdate::set_inverse(void){ HessianUpdate::set_inverse(); RefSCVector tmp; tmp = xprev; xprev = gprev; gprev = tmp;}/////////////////////////////////////////////////////////////////////////// BFGSUpdatestatic ClassDesc BFGSUpdate_cd( typeid(BFGSUpdate),"BFGSUpdate",1,"public HessianUpdate", create<BFGSUpdate>, create<BFGSUpdate>, create<BFGSUpdate>);BFGSUpdate::BFGSUpdate(){}BFGSUpdate::BFGSUpdate(const Ref<KeyVal>&keyval): DFPUpdate(keyval){}BFGSUpdate::BFGSUpdate(StateIn&s): SavableState(s), DFPUpdate(s){}BFGSUpdate::~BFGSUpdate(){}voidBFGSUpdate::save_data_state(StateOut&s){ DFPUpdate::save_data_state(s);}voidBFGSUpdate::update(const RefSymmSCMatrix&ihessian,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 if (inverse_hessian_) { xnew = xn; gnew = gn; } else { xnew = gn; gnew = xn; } if (xprev.nonnull()) { RefSCVector xdisp = xnew-xprev; RefSCVector gdisp = gnew-gprev; RefSCVector ihessian_gdisp = ihessian * gdisp; double gdisp_ihessian_gdisp = ihessian_gdisp.scalar_product(gdisp); double xdisp_gdisp = xdisp.scalar_product(gdisp); RefSCVector u = xdisp*(1.0/xdisp_gdisp) - ihessian_gdisp*(1.0/gdisp_ihessian_gdisp); ihessian.accumulate( // DFP part xdisp.symmetric_outer_product()*(1.0/xdisp_gdisp) - ihessian_gdisp.symmetric_outer_product()*(1.0/gdisp_ihessian_gdisp) // BFGS part + u.symmetric_outer_product() * gdisp_ihessian_gdisp ); xprev.assign(xnew); gprev.assign(gnew); } else { xprev = xnew.copy(); gprev = gnew.copy(); }}/////////////////////////////////////////////////////////////////////////////// Local Variables:// mode: c++// c-file-style: "ETS"// End:
⌨️ 快捷键说明
复制代码
Ctrl + C
搜索代码
Ctrl + F
全屏模式
F11
切换主题
Ctrl + Shift + D
显示快捷键
?
增大字号
Ctrl + =
减小字号
Ctrl + -