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#ifndef _OPTIMIZE_H_
#define _OPTIMIZE_H_
#include <iostream>
#include <vector>
#include <string>
#include <cassert>
#include "lbfgs.h"
// abstract base class for first order optimizers
// order of invocation: new, Load(), Optimize(), Save(), delete
class Optimizer {
public:
Optimizer() : eval_(1), has_converged_(false) {}
virtual ~Optimizer();
virtual std::string Name() const = 0;
int EvaluationCount() const { return eval_; }
bool HasConverged() const { return has_converged_; }
void Optimize(const double& obj,
const std::vector<double>& g,
std::vector<double>* x) {
assert(g.size() == x->size());
OptimizeImpl(obj, g, x);
scitbx::lbfgs::traditional_convergence_test<double> converged(g.size());
has_converged_ = converged(&(*x)[0], &g[0]);
}
void Save(std::ostream* out) const;
void Load(std::istream* in);
protected:
virtual void SaveImpl(std::ostream* out) const;
virtual void LoadImpl(std::istream* in);
virtual void OptimizeImpl(const double& obj,
const std::vector<double>& g,
std::vector<double>* x) = 0;
int eval_;
private:
bool has_converged_;
};
class RPropOptimizer : public Optimizer {
public:
explicit RPropOptimizer(int num_vars,
double eta_plus = 1.2,
double eta_minus = 0.5,
double delta_0 = 0.1,
double delta_max = 50.0,
double delta_min = 1e-6) :
prev_g_(num_vars, 0.0),
delta_ij_(num_vars, delta_0),
eta_plus_(eta_plus),
eta_minus_(eta_minus),
delta_max_(delta_max),
delta_min_(delta_min) {
assert(eta_plus > 1.0);
assert(eta_minus > 0.0 && eta_minus < 1.0);
assert(delta_max > 0.0);
assert(delta_min > 0.0);
}
std::string Name() const;
void OptimizeImpl(const double& obj,
const std::vector<double>& g,
std::vector<double>* x);
void SaveImpl(std::ostream* out) const;
void LoadImpl(std::istream* in);
private:
std::vector<double> prev_g_;
std::vector<double> delta_ij_;
const double eta_plus_;
const double eta_minus_;
const double delta_max_;
const double delta_min_;
};
class SGDOptimizer : public Optimizer {
public:
explicit SGDOptimizer(int num_vars, double eta = 0.1) : eta_(eta) {
(void) num_vars;
}
std::string Name() const;
void OptimizeImpl(const double& obj,
const std::vector<double>& g,
std::vector<double>* x);
private:
const double eta_;
};
class LBFGSOptimizer : public Optimizer {
public:
explicit LBFGSOptimizer(int num_vars, int memory_buffers = 10);
std::string Name() const;
void SaveImpl(std::ostream* out) const;
void LoadImpl(std::istream* in);
void OptimizeImpl(const double& obj,
const std::vector<double>& g,
std::vector<double>* x);
private:
scitbx::lbfgs::minimizer<double> opt_;
};
#endif
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