add optimization library source code

git-svn-id: https://ws10smt.googlecode.com/svn/trunk@204 ec762483-ff6d-05da-a07a-a48fb63a330f

1 files changed, 154 insertions, 0 deletions

diff --git a/gi/posterior-regularisation/prjava/src/optimization/gradientBasedMethods/ProjectedGradientDescent.java b/gi/posterior-regularisation/prjava/src/optimization/gradientBasedMethods/ProjectedGradientDescent.java
new file mode 100644
index 00000000..0186e945
--- /dev/null
+++ b/gi/posterior-regularisation/prjava/src/optimization/gradientBasedMethods/ProjectedGradientDescent.java
@@ -0,0 +1,154 @@
+package optimization.gradientBasedMethods;
+
+import java.io.IOException;
+
+import optimization.gradientBasedMethods.stats.OptimizerStats;
+import optimization.linesearch.DifferentiableLineSearchObjective;
+import optimization.linesearch.LineSearchMethod;
+import optimization.linesearch.ProjectedDifferentiableLineSearchObjective;
+import optimization.stopCriteria.StopingCriteria;
+import optimization.util.MathUtils;
+
+
+/**
+ * This class implements the projected gradiend
+ * as described in Bertsekas "Non Linear Programming"
+ * section 2.3.
+ * 
+ * The update is given by:
+ * x_k+1 = x_k + alpha^k(xbar_k-x_k)
+ * Where xbar is:
+ * xbar = [x_k -s_k grad(f(x_k))]+
+ * where []+ is the projection into the feasibility set
+ * 
+ * alpha is the step size 
+ * s_k - is a positive scalar which can be view as a step size as well, by 
+ * setting alpha to 1, then x_k+1 = [x_k -s_k grad(f(x_k))]+
+ * This is called taking a step size along the projection arc (Bertsekas) which
+ * we will use by default.
+ * 
+ * Note that the only place where we actually take a step size is on pick a step size
+ * so this is going to be just like a normal gradient descent but use a different 
+ * armijo line search where we project after taking a step.
+ * 
+ * 
+ * @author javg
+ *
+ */
+public class ProjectedGradientDescent extends ProjectedAbstractGradientBaseMethod{
+	
+
+	
+	
+	public ProjectedGradientDescent(LineSearchMethod lineSearch) {
+		this.lineSearch = lineSearch;
+	}
+	
+	//Use projected differential objective instead
+	public void initializeStructures(Objective o, OptimizerStats stats, StopingCriteria stop) {
+		lso = new ProjectedDifferentiableLineSearchObjective(o);
+	};
+	
+	
+	ProjectedObjective obj;
+	public boolean optimize(ProjectedObjective o,OptimizerStats stats, StopingCriteria stop){
+		obj = o;
+		return super.optimize(o, stats, stop);
+	}
+	
+	public double[] getDirection(){
+		for(int i = 0; i< gradient.length; i++){
+			direction[i] = -gradient[i];
+		}
+		return direction;
+	}
+	
+	
+
+		
+}
+
+
+
+
+
+
+
+///OLD CODE
+
+//Use projected gradient norm
+//public boolean stopCriteria(double[] gradient){
+//	if(originalDirenctionL2Norm == 0){
+//		System.out.println("Leaving original direction norm is zero");
+//		return true;	
+//	}
+//	if(MathUtils.L2Norm(direction)/originalDirenctionL2Norm < gradientConvergenceValue){
+//		System.out.println("Leaving projected gradient Norm smaller than epsilon");
+//		return true;	
+//	}
+//	if((previousValue - currValue)/Math.abs(previousValue) < valueConvergenceValue) {
+//		System.out.println("Leaving value change below treshold " + previousValue + " - " + currValue);
+//		System.out.println(previousValue/currValue + " - " + currValue/currValue 
+//				+ " = " + (previousValue - currValue)/Math.abs(previousValue));
+//		return true;
+//	}
+//	return false;
+//}
+//
+
+//public boolean optimize(ProjectedObjective o,OptimizerStats stats, StopingCriteria stop){
+//		stats.collectInitStats(this, o);
+//		obj = o;
+//		step = 0;
+//		currValue = o.getValue();
+//		previousValue = Double.MAX_VALUE;
+//		gradient = o.getGradient();
+//		originalGradientL2Norm = MathUtils.L2Norm(gradient);
+//		parameterChange = new double[gradient.length];
+//		getDirection();
+//		ProjectedDifferentiableLineSearchObjective lso = new ProjectedDifferentiableLineSearchObjective(o,direction);
+//		
+//		originalDirenctionL2Norm = MathUtils.L2Norm(direction);
+//		//MatrixOutput.printDoubleArray(currParameters, "parameters");
+//		for (currentProjectionIteration = 0; currentProjectionIteration < maxNumberOfIterations; currentProjectionIteration++){		
+//		//	System.out.println("Iter " + currentProjectionIteration);
+//			//o.printParameters();
+//			
+//			
+//			
+//			if(stop.stopOptimization(gradient)){
+//				stats.collectFinalStats(this, o);
+//				lastStepUsed = step;
+//				return true;
+//			}			
+//			lso.reset(direction);
+//			step = lineSearch.getStepSize(lso);
+//			if(step==-1){
+//				System.out.println("Failed to find step");
+//				stats.collectFinalStats(this, o);
+//				return false;	
+//				
+//			}
+//			
+//			//Update the direction for stopping criteria
+//			previousValue = currValue;
+//			currValue = o.getValue();
+//			gradient = o.getGradient();
+//			direction = getDirection();		
+//			if(MathUtils.dotProduct(gradient, direction) > 0){
+//				System.out.println("Not a descent direction");
+//				System.out.println(" current stats " + stats.prettyPrint(1));
+//				System.exit(-1);
+//			}
+//			stats.collectIterationStats(this, o);
+//		}
+//		lastStepUsed = step;
+//		stats.collectFinalStats(this, o);
+//		return false;
+//	}
+
+//public boolean optimize(Objective o,OptimizerStats stats, StopingCriteria stop){
+//	System.out.println("Objective is not a projected objective");
+//	throw new RuntimeException();
+//}
+