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authorKenneth Heafield <github@kheafield.com>2012-10-22 12:07:20 +0100
committerKenneth Heafield <github@kheafield.com>2012-10-22 12:07:20 +0100
commitac586bc9b156b4ae687cd5961ba1fe7b20ec57d6 (patch)
tree052473b46d7fa18d51f897cdb9e7c93a7186dafd /gi/posterior-regularisation/projected_gradient.cc
parent97b85c082b3e55c28a8b0c0eb762483ac84a1577 (diff)
parentad6d4a1b2519896f2b16a282699ce4e64041fab8 (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.cc87
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;
-}