Ejemplo n.º 1
0
double BFGS (
	     Vector & x,         // i: Startwert
	     // o: Loesung, falls IFAIL = 0
	     const MinFunction & fun,
	     const OptiParameters & par,
	     double eps
	     )


{
  int i, j, n = x.Size();
  long it;
  char a1crit, a3acrit;


  Vector d(n), g(n), p(n), temp(n), bs(n), xneu(n), y(n), s(n), x0(n);
  DenseMatrix l(n);
  DenseMatrix hesse(n);

  double /* normg, */ alphahat, hd, fold;
  double a1, a2;
  const double mu1 = 0.1, sigma = 0.1, xi1 = 1, xi2 = 10;
  const double tau = 0.1, tau1 = 0.1, tau2 = 0.6;

  Vector typx(x.Size());      // i: typische Groessenordnung der Komponenten
  double f, f0;
  double typf;               // i: typische Groessenordnung der Loesung
  double fmin = -1e5;           // i: untere Schranke fuer Funktionswert
  //  double eps = 1e-8;            // i: Abbruchschranke fuer relativen Gradienten
  double tauf = 0.1;            // i: Abbruchschranke fuer die relative Aenderung der
                                //    Funktionswerte
  int ifail;                    // o:  0 .. Erfolg
                                //    -1 .. Unterschreitung von fmin
                                //     1 .. kein Erfolg bei Liniensuche
                                //     2 .. Überschreitung von itmax

  typx = par.typx;
  typf = par.typf;


  l = 0;
  for (i = 1; i <= n; i++)
    l.Elem(i, i) = 1;

  f = fun.FuncGrad (x, g);
  f0 = f;
  x0 = x;

  it = 0;
  do
    {
      // Restart

      if (it % (5 * n) == 0)
	{

	  for (i = 1; i <= n; i++)
	    d.Elem(i) = typf/ sqr (typx.Get(i));   // 1;
	  for (i = 2; i <= n; i++)
	    for (j = 1; j < i; j++)
	      l.Elem(i, j) = 0;

	  /*
	  hesse = 0;
	  for (i = 1; i <= n; i++)
	    hesse.Elem(i, i) = typf / sqr (typx.Get(i));  

	  fun.ApproximateHesse (x, hesse);

	  Cholesky (hesse, l, d);
	  */
	}

      it++;
      if (it > par.maxit_bfgs)
	{
	  ifail = 2;
	  break;
	}


      // Solve with factorized B

      SolveLDLt (l, d, g, p);

 //      (*testout) << "l " << l << endl
// 		 << "d " << d << endl
// 		 << "g " << g << endl
// 		 << "p " << p << endl;


      p *= -1;
      y = g;

      fold = f;

      // line search


      alphahat = 1;
      lines (x, xneu, p, f, g, fun, par, alphahat, fmin,
	     mu1, sigma, xi1, xi2, tau, tau1, tau2, ifail);

      if(ifail == 1)
	(*testout) << "no success with linesearch" << endl;

       /*
      // if (it > par.maxit_bfgs/2)
	{
	  (*testout) << "x = " << x << endl;
	  (*testout) << "xneu = " << xneu << endl;
	  (*testout) << "f = " << f << endl;
	  (*testout) << "g = " << g << endl;
	}
      */

      //      (*testout) << "it = " << it << " f = " << f << endl;
      //      if (ifail != 0) break;

      s.Set2 (1, xneu, -1, x);
      y *= -1;
      y.Add (1,g); // y += g;

      x = xneu;

      // BFGS Update

      MultLDLt (l, d, s, bs);

      a1 = y * s;
      a2 = s * bs;

      if (a1 > 0 && a2 > 0)
	{
	  if (LDLtUpdate (l, d, 1 / a1, y) != 0)
	    {
	      // [JW] according to [JS] we can safely ignore this error
	      //cerr << "BFGS update error1" << endl;
	      //(*testout) << "BFGS update error1" << endl;
	      //(*testout) << "l " << endl << l << endl
			 //<< "d " << d << endl;
	      ifail = 1;
	      break;
	    }

	  if (LDLtUpdate (l, d, -1 / a2, bs) != 0)
	    {
	      // [JW] according to [JS] we can safely ignore this error	    
	      //cerr << "BFGS update error2" << endl;
	      //(*testout) << "BFGS update error2" << endl;
	      //(*testout) << "l " << endl << l << endl
			// << "d " << d << endl;
	      ifail = 1;
	      break;
	    }
	}

      // Calculate stop conditions

      hd = eps * max2 (typf, fabs (f));
      a1crit = 1;
      for (i = 1; i <= n; i++)
	if ( fabs (g.Elem(i)) * max2 (typx.Elem(i), fabs (x.Elem(i))) > hd)
	  a1crit = 0;


      a3acrit = (fold - f <= tauf * max2 (typf, fabs (f)));

      //    testout << "g = " << g << endl;
      //    testout << "a1crit, a3crit = " << int(a1crit) << ", " << int(a3acrit) << endl;

      /*
	// Output for tests

	normg = sqrt (g * g);

	testout << "it =" << setw (5) << it
	<< " f =" << setw (12) << setprecision (5) << f
	<< " |g| =" << setw (12) << setprecision (5) << normg;

	testout << " x = (" << setw (12) << setprecision (5) << x.Elem(1);
	for (i = 2; i <= n; i++)
	testout << "," << setw (12) << setprecision (5) << x.Elem(i);
	testout << ")" << endl;
	*/

      //(*testout) << "it = " << it << " f = " << f << " x = " << x << endl
      //	 << " g = " << g << " p = " << p << endl << endl;

      //      (*testout) << "|g| = " << g.L2Norm() << endl;

      if (g.L2Norm() < fun.GradStopping (x)) break;

    }
  while (!a1crit || !a3acrit);

  /*
  (*testout) << "it = " << it << " g = " << g << " f = " << f 
	     << " fail = " << ifail << endl;
  */
  if (f0 < f || (ifail == 1))
    {
      (*testout) << "fail, f = " << f << " f0 = " << f0 << endl;
      f = f0;
      x = x0;
    }

  //  (*testout) << "x = " << x << ", x0 = " << x0 << endl;
  return f;
}
Ejemplo n.º 2
0
double BFGS (
	     Vector & x,         // i: Startwert
	     // o: Loesung, falls IFAIL = 0
	     const MinFunction & fun,
	     const OptiParameters & par,
	     double eps
	     )


{
  int n = x.Size();
  long it;
  char a1crit, a3acrit;


  Vector d(n), g(n), p(n), temp(n), bs(n), xneu(n), y(n), s(n), x0(n);
  DenseMatrix l(n);
  DenseMatrix hesse(n);

  double /* normg, */ alphahat, hd, fold;
  double a1, a2;
  const double mu1 = 0.1, sigma = 0.1, xi1 = 1, xi2 = 10;
  const double tau = 0.1, tau1 = 0.1, tau2 = 0.6;

  Vector typx(x.Size());      // i: typische Groessenordnung der Komponenten
  double f, f0;
  double typf;               // i: typische Groessenordnung der Loesung
  double fmin = -1e5;           // i: untere Schranke fuer Funktionswert
  //  double eps = 1e-8;            // i: Abbruchschranke fuer relativen Gradienten
  double tauf = 0.1;            // i: Abbruchschranke fuer die relative Aenderung der
                                //    Funktionswerte
  int ifail;                    // o:  0 .. Erfolg
                                //    -1 .. Unterschreitung von fmin
                                //     1 .. kein Erfolg bei Liniensuche
                                //     2 .. Überschreitung von itmax

  typx = par.typx;
  typf = par.typf;


  l = 0;
  for (int i = 1; i <= n; i++)
    l.Elem(i, i) = 1;

  f = fun.FuncGrad (x, g);
  f0 = f;
  x0 = x;

  it = 0;
  do
    {
      // Restart
      if (it % (5 * n) == 0)
	{

	  for (int i = 1; i <= n; i++)
	    d(i-1) = typf/ sqr (typx(i-1));   // 1;
	  for (int i = 2; i <= n; i++)
	    for (int j = 1; j < i; j++)
	      l.Elem(i, j) = 0;

	}

      it++;
      if (it > par.maxit_bfgs)
	{
	  ifail = 2;
	  break;
	}


      // Solve with factorized B
      SolveLDLt (l, d, g, p);

      p *= -1;
      y = g;

      fold = f;

      // line search
      alphahat = 1;
      lines (x, xneu, p, f, g, fun, par, alphahat, fmin,
	     mu1, sigma, xi1, xi2, tau, tau1, tau2, ifail);

      if(ifail == 1)
	cout << "no success with linesearch" << endl;

      s.Set2 (1, xneu, -1, x);
      y *= -1;
      y.Add (1,g); // y += g;

      x = xneu;

      // BFGS Update
      MultLDLt (l, d, s, bs);

      a1 = y * s;
      a2 = s * bs;

      if (a1 > 0 && a2 > 0)
	{
	  if (LDLtUpdate (l, d, 1 / a1, y) != 0)
	    {
              cerr << "BFGS update error1" << endl;
	      cout << "BFGS update error1" << endl;
	      cout << "l " << endl << l << endl
			 << "d " << d << endl;
	      ifail = 1;
	      break;
	    }

	  if (LDLtUpdate (l, d, -1 / a2, bs) != 0)
	    {
              cerr << "BFGS update error2" << endl;
	      cout << "BFGS update error2" << endl;
	      cout << "l " << endl << l << endl
			 << "d " << d << endl;
	      ifail = 1;
	      break;
	    }
	}

      // Calculate stop conditions
      hd = eps * max2 (typf, fabs (f));
      a1crit = 1;
      for (int i = 1; i <= n; i++)
	if ( fabs (g(i-1)) * max2 (typx(i-1), fabs (x(i-1))) > hd)
	  a1crit = 0;


      a3acrit = (fold - f <= tauf * max2 (typf, fabs (f)));

      if (g.L2Norm() < fun.GradStopping (x)) break;

    }
  while (!a1crit || !a3acrit);


  if (f0 < f || (ifail == 1))
    {
      cout << "fail, f = " << f << " f0 = " << f0 << endl;
      f = f0;
      x = x0;
    }

  return f;
}