diff options
author | Kenneth Heafield <github@kheafield.com> | 2012-10-22 12:07:20 +0100 |
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committer | Kenneth Heafield <github@kheafield.com> | 2012-10-22 12:07:20 +0100 |
commit | ac586bc9b156b4ae687cd5961ba1fe7b20ec57d6 (patch) | |
tree | 052473b46d7fa18d51f897cdb9e7c93a7186dafd /gi/posterior-regularisation/projected_gradient.cc | |
parent | 97b85c082b3e55c28a8b0c0eb762483ac84a1577 (diff) | |
parent | ad6d4a1b2519896f2b16a282699ce4e64041fab8 (diff) |
Merge remote branch 'upstream/master'
Conflicts:
Jamroot
bjam
decoder/Jamfile
decoder/cdec.cc
dpmert/Jamfile
jam-files/sanity.jam
klm/lm/Jamfile
klm/util/Jamfile
mira/Jamfile
Diffstat (limited to 'gi/posterior-regularisation/projected_gradient.cc')
-rw-r--r-- | gi/posterior-regularisation/projected_gradient.cc | 87 |
1 files changed, 0 insertions, 87 deletions
diff --git a/gi/posterior-regularisation/projected_gradient.cc b/gi/posterior-regularisation/projected_gradient.cc deleted file mode 100644 index f7c39817..00000000 --- a/gi/posterior-regularisation/projected_gradient.cc +++ /dev/null @@ -1,87 +0,0 @@ -// -// Minimises given functional using the projected gradient method. Based on -// algorithm and demonstration example in Linear and Nonlinear Programming, -// Luenberger and Ye, 3rd ed., p 370. -// - -#include "invert.hh" -#include <iostream> - -using namespace std; - -double -f(double x1, double x2, double x3, double x4) -{ - return x1 * x1 + x2 * x2 + x3 * x3 + x4 * x4 - 2 * x1 - 3 * x4; -} - -ublas::vector<double> -g(double x1, double x2, double x3, double x4) -{ - ublas::vector<double> v(4); - v(0) = 2 * x1 - 2; - v(1) = 2 * x2; - v(2) = 2 * x3; - v(3) = 2 * x4 - 3; - return v; -} - -ublas::matrix<double> -activeConstraints(double x1, double x2, double x3, double x4) -{ - int n = 2; - if (x1 == 0) ++n; - if (x2 == 0) ++n; - if (x3 == 0) ++n; - if (x4 == 0) ++n; - - ublas::matrix<double> a(n,4); - a(0, 0) = 2; a(0, 1) = 1; a(0, 2) = 1; a(0, 3) = 4; - a(1, 0) = 1; a(1, 1) = 1; a(1, 2) = 2; a(1, 3) = 1; - - int c = 2; - if (x1 == 0) a(c++, 0) = 1; - if (x2 == 0) a(c++, 1) = 1; - if (x3 == 0) a(c++, 2) = 1; - if (x4 == 0) a(c++, 3) = 1; - - return a; -} - -ublas::matrix<double> -projection(const ublas::matrix<double> &a) -{ - ublas::matrix<double> aT = ublas::trans(a); - ublas::matrix<double> inv(a.size1(), a.size1()); - bool ok = invert_matrix(ublas::matrix<double>(ublas::prod(a, aT)), inv); - assert(ok && "Failed to invert matrix"); - return ublas::identity_matrix<double>(4) - - ublas::prod(aT, ublas::matrix<double>(ublas::prod(inv, a))); -} - -int main(int argc, char *argv[]) -{ - double x1 = 2, x2 = 2, x3 = 1, x4 = 0; - - double fval = f(x1, x2, x3, x4); - cout << "f = " << fval << endl; - ublas::vector<double> grad = g(x1, x2, x3, x4); - cout << "g = " << grad << endl; - ublas::matrix<double> A = activeConstraints(x1, x2, x3, x4); - cout << "A = " << A << endl; - ublas::matrix<double> P = projection(A); - cout << "P = " << P << endl; - // the direction of movement - ublas::vector<double> d = prod(P, grad); - cout << "d = " << (d / d(0)) << endl; - - // special case for d = 0 - - // next solve for limits on the line search - - // then use golden rule technique between these values (if bounded) - - // or simple Armijo's rule technique - - return 0; -} |