Constrained minimization by the projected gradient method (OOL) More...
#include <mmin_constr_pgrad.h>
This is the simple extension of the steepest descent algorithm to constrained minimization. Each step is a line search is performed along the projected gradient direction subject to the specified constraints.
This algorithm is likely not ideal for most problems and is provided mostly for demonstration and educational purposes. Based on implementation of Kelley99 in OOL.
Default template arguments
func_t
- multi_functdfunc_t
- grad_functvec_t
- boost::numeric::ublas::vector < double >
Replace the explicit norm computation below with the more accurate dnrm2 from linalg
Replace the generic variable 'tol' with 'tolf' or 'tolx' from o2scl::mmin_base.
Definition at line 86 of file mmin_constr_pgrad.h.
Public Member Functions | |
virtual int | allocate (const size_t n) |
Allocate memory. | |
virtual int | free () |
Free previously allocated memory. | |
virtual int | set (func_t &fn, dfunc_t &dfn, vec_t &init) |
Set the function, the initial guess, and the parameters. | |
virtual int | restart () |
Restart the minimizer. | |
virtual int | iterate () |
Perform an iteration. | |
virtual int | is_optimal () |
See if we're finished. | |
const char * | type () |
Return string denoting type ("mmin_constr_pgrad") | |
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virtual int | set (multi_funct &fn, grad_funct &dfn, boost::numeric::ublas::vector< double > &init) |
Set the function, the gradient, and the initial guess. | |
virtual int | set_hess (multi_funct &fn, grad_funct &dfn, ool_hfunct &hfn, boost::numeric::ublas::vector< double > &init) |
Set the function, the gradient, the Hessian product, and the initial guess. | |
virtual int | set_constraints (size_t nc, boost::numeric::ublas::vector< double > &lower, boost::numeric::ublas::vector< double > &upper) |
Set the constraints. | |
virtual int | mmin (size_t nvar, boost::numeric::ublas::vector< double > &xx, double &fmin, multi_funct &ff) |
Calculate the minimum min of func w.r.t. the array x of size nvar . More... | |
virtual int | mmin_hess (size_t nvar, boost::numeric::ublas::vector< double > &xx, double &fmin, multi_funct &ff, grad_funct &df, ool_hfunct &hf) |
Calculate the minimum min of ff w.r.t. the array x of size nvar with gradient df and hessian vector product hf . | |
virtual int | mmin_de (size_t nvar, boost::numeric::ublas::vector< double > &xx, double &fmin, multi_funct &ff, grad_funct &df) |
Calculate the minimum min of func w.r.t. the array x of size nvar with gradient dfunc . | |
const char * | type () |
Return string denoting type ("mmin_constr") | |
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mmin_base (const mmin_base< multi_funct, grad_funct, boost::numeric::ublas::vector< double > > &mb) | |
Copy constructor. | |
int | set_verbose_stream (std::ostream &out, std::istream &in) |
Set streams for verbose I/O. More... | |
int | print_iter (size_t nv, vec2_t &x, double y, int iter, double value, double limit, std::string comment) |
Print out iteration information. More... | |
const char * | type () |
Return string denoting type ("mmin_base") | |
mmin_base< multi_funct, grad_funct, boost::numeric::ublas::vector< double > > & | operator= (const mmin_base< multi_funct, grad_funct, boost::numeric::ublas::vector< double > > &mb) |
Copy constructor from operator=. | |
Public Attributes | |
double | fmin |
Minimum function value (default ![]() | |
double | tol |
Tolerance on infinite norm. | |
double | alpha |
Constant for the sufficient decrease condition (default ![]() | |
double | sigma1 |
Lower bound to the step length reduction. | |
double | sigma2 |
Upper bound to the step length reduction. | |
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int | verbose |
Output control. | |
int | ntrial |
Maximum number of iterations. | |
double | tol_rel |
Function value tolerance. | |
double | tol_abs |
The independent variable tolerance. | |
int | last_ntrial |
The number of iterations for in the most recent minimization. | |
bool | err_nonconv |
If true, call the error handler if the routine does not "converge". | |
Protected Types | |
typedef ool_hfunct | hfunc_t |
A convenient typedef for the unused Hessian product type. | |
Protected Member Functions | |
int | proj (vec_t &xt) |
Project into feasible region. | |
int | line_search () |
Line search. | |
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void | shrink (const size_t nind, gsl_vector_uint *Ind, const boost::numeric::ublas::vector< double > &V) |
Shrink vector V from the full to the reduced space. | |
void | expand (const size_t nind, gsl_vector_uint *Ind, const boost::numeric::ublas::vector< double > &V) |
Expand vector V from the reduced to the full space. | |
double | calc_f (const size_t nind, gsl_vector_uint *Ind, boost::numeric::ublas::vector< double > &X, boost::numeric::ublas::vector< double > &Xc) |
Evaluate the objective function from the reduced space. | |
int | calc_g (const size_t nind, gsl_vector_uint *Ind, boost::numeric::ublas::vector< double > &X, boost::numeric::ublas::vector< double > &Xc, boost::numeric::ublas::vector< double > &G) |
Compute gradient in the reduced space. | |
int | calc_Hv (const size_t nind, gsl_vector_uint *Ind, boost::numeric::ublas::vector< double > &X, boost::numeric::ublas::vector< double > &Xc, boost::numeric::ublas::vector< double > &V, boost::numeric::ublas::vector< double > &Hv) |
Evaluate a hessian times a vector from the reduced space. More... | |
Protected Attributes | |
vec_t | xx |
Temporary vector. | |
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double | f |
The current function value. | |
double | size |
Desc. | |
boost::numeric::ublas::vector< double > | x |
The current minimum vector. | |
boost::numeric::ublas::vector< double > | gradient |
The current gradient vector. | |
boost::numeric::ublas::vector< double > | dx |
Desc. | |
size_t | fcount |
Number of function evaluations. | |
size_t | gcount |
Number of gradient evaluations. | |
size_t | hcount |
Number of Hessian evaluations. | |
size_t | dim |
Number of parameters. | |
size_t | nconstr |
Number of constraints. | |
multi_funct * | func |
User-supplied function. | |
grad_funct * | dfunc |
Gradient function. | |
ool_hfunct * | hfunc |
Hessian function. | |
boost::numeric::ublas::vector< double > | L |
Lower bound constraints. | |
boost::numeric::ublas::vector< double > | U |
Upper bound constraints. | |
bool | requires_hess |
If true, the algorithm requires the hessian vector product. | |
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std::ostream * | outs |
Stream for verbose output. | |
std::istream * | ins |
Stream for verbose input. | |
Private Member Functions | |
mmin_constr_pgrad (const mmin_constr_pgrad< func_t, dfunc_t, vec_t > &) | |
mmin_constr_pgrad< func_t, dfunc_t, vec_t > & | operator= (const mmin_constr_pgrad< func_t, dfunc_t, vec_t > &) |
double o2scl::mmin_constr_pgrad< func_t, dfunc_t, vec_t >::fmin |
If the function value is below this value, then the algorithm assumes that the function is not bounded and exits.
Definition at line 182 of file mmin_constr_pgrad.h.
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