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authorChris Dyer <cdyer@cab.ark.cs.cmu.edu>2012-10-02 00:19:43 -0400
committerChris Dyer <cdyer@cab.ark.cs.cmu.edu>2012-10-02 00:19:43 -0400
commite26434979adc33bd949566ba7bf02dff64e80a3e (patch)
treed1c72495e3af6301bd28e7e66c42de0c7a944d1f /gi/posterior-regularisation/prjava/src/optimization/linesearch/ArmijoLineSearchMinimizationAlongProjectionArc.java
parent0870d4a1f5e14cc7daf553b180d599f09f6614a2 (diff)
cdec cleanup, remove bayesian stuff, parsing stuff
Diffstat (limited to 'gi/posterior-regularisation/prjava/src/optimization/linesearch/ArmijoLineSearchMinimizationAlongProjectionArc.java')
-rw-r--r--gi/posterior-regularisation/prjava/src/optimization/linesearch/ArmijoLineSearchMinimizationAlongProjectionArc.java141
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diff --git a/gi/posterior-regularisation/prjava/src/optimization/linesearch/ArmijoLineSearchMinimizationAlongProjectionArc.java b/gi/posterior-regularisation/prjava/src/optimization/linesearch/ArmijoLineSearchMinimizationAlongProjectionArc.java
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--- a/gi/posterior-regularisation/prjava/src/optimization/linesearch/ArmijoLineSearchMinimizationAlongProjectionArc.java
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-package optimization.linesearch;
-
-import optimization.gradientBasedMethods.ProjectedObjective;
-import optimization.util.Interpolation;
-import optimization.util.MathUtils;
-
-
-
-
-
-/**
- * Implements Armijo Rule Line search along the projection arc (Non-Linear Programming page 230)
- * To be used with Projected gradient Methods.
- *
- * Recall that armijo tries successive step sizes alpha until the sufficient decrease is satisfied:
- * f(x+alpha*direction) < f(x) + alpha*c1*grad(f)*direction
- *
- * In this case we are optimizing over a convex set X so we must guarantee that the new point stays inside the
- * constraints.
- * First the direction as to be feasible (inside constraints) and will be define as:
- * d = (x_k_f - x_k) where x_k_f is a feasible point.
- * so the armijo condition can be rewritten as:
- * f(x+alpha(x_k_f - x_k)) < f(x) + c1*grad(f)*(x_k_f - x_k)
- * and x_k_f is defined as:
- * [x_k-alpha*grad(f)]+
- * where []+ mean a projection to the feasibility set.
- * So this means that we take a step on the negative gradient (gradient descent) and then obtain then project
- * that point to the feasibility set.
- * Note that if the point is already feasible then we are back to the normal armijo rule.
- *
- * @author javg
- *
- */
-public class ArmijoLineSearchMinimizationAlongProjectionArc implements LineSearchMethod{
-
- /**
- * How much should the step size decrease at each iteration.
- */
- double contractionFactor = 0.5;
- double c1 = 0.0001;
-
-
- double initialStep;
- int maxIterations = 100;
-
-
- double sigma1 = 0.1;
- double sigma2 = 0.9;
-
- //Experiment
- double previousStepPicked = -1;;
- double previousInitGradientDot = -1;
- double currentInitGradientDot = -1;
-
- GenericPickFirstStep strategy;
-
-
- public void reset(){
- previousStepPicked = -1;;
- previousInitGradientDot = -1;
- currentInitGradientDot = -1;
- }
-
-
- public ArmijoLineSearchMinimizationAlongProjectionArc(){
- this.initialStep = 1;
- }
-
- public ArmijoLineSearchMinimizationAlongProjectionArc(GenericPickFirstStep strategy){
- this.strategy = strategy;
- this.initialStep = strategy.getFirstStep(this);
- }
-
-
- public void setInitialStep(double initial){
- this.initialStep = initial;
- }
-
- /**
- *
- */
-
- public double getStepSize(DifferentiableLineSearchObjective o) {
-
-
- //Should update all in the objective
- initialStep = strategy.getFirstStep(this);
- o.updateAlpha(initialStep);
- previousInitGradientDot=currentInitGradientDot;
- currentInitGradientDot=o.getCurrentGradient();
- int nrIterations = 0;
-
- //Armijo rule, the current value has to be smaller than the original value plus a small step of the gradient
- while(o.getCurrentValue() >
- o.getOriginalValue() + c1*(o.getCurrentGradient())){
-// System.out.println("curr value "+o.getCurrentValue());
-// System.out.println("original value "+o.getOriginalValue());
-// System.out.println("GRADIENT decrease" +(MathUtils.dotProduct(o.o.gradient,
-// MathUtils.arrayMinus(o.originalParameters,((ProjectedObjective)o.o).auxParameters))));
-// System.out.println("GRADIENT SAVED" + o.getCurrentGradient());
- if(nrIterations >= maxIterations){
- System.out.println("Could not find a step leaving line search with -1");
- o.printLineSearchSteps();
- return -1;
- }
- double alpha=o.getAlpha();
- double alphaTemp =
- Interpolation.quadraticInterpolation(o.getOriginalValue(), o.getInitialGradient(), alpha, o.getCurrentValue());
- if(alphaTemp >= sigma1 || alphaTemp <= sigma2*o.getAlpha()){
- alpha = alphaTemp;
- }else{
- alpha = alpha*contractionFactor;
- }
-// double alpha =obj.getAlpha()*contractionFactor;
- o.updateAlpha(alpha);
- nrIterations++;
- }
-// System.out.println("curr value "+o.getCurrentValue());
-// System.out.println("original value "+o.getOriginalValue());
-// System.out.println("sufficient decrease" +c1*o.getCurrentGradient());
-// System.out.println("Leavning line search used:");
-// o.printSmallLineSearchSteps();
-
- previousStepPicked = o.getAlpha();
- return o.getAlpha();
- }
-
- public double getInitialGradient() {
- return currentInitGradientDot;
-
- }
-
- public double getPreviousInitialGradient() {
- return previousInitGradientDot;
- }
-
- public double getPreviousStepUsed() {
- return previousStepPicked;
- }
-
-}