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 | 5f98fe5c4f2a2090eeb9d30c030305a70a8347d1 (patch) | |
tree | 9b6002f850e6dea1e3400c6b19bb31a9cdf3067f /gi/posterior-regularisation/simplex_pg.py | |
parent | cf9994131993b40be62e90e213b1e11e6b550143 (diff) | |
parent | 21825a09d97c2e0afd20512f306fb25fed55e529 (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/simplex_pg.py')
-rw-r--r-- | gi/posterior-regularisation/simplex_pg.py | 55 |
1 files changed, 0 insertions, 55 deletions
diff --git a/gi/posterior-regularisation/simplex_pg.py b/gi/posterior-regularisation/simplex_pg.py deleted file mode 100644 index 5da796d3..00000000 --- a/gi/posterior-regularisation/simplex_pg.py +++ /dev/null @@ -1,55 +0,0 @@ -# -# Following Leunberger and Ye, Linear and Nonlinear Progamming, 3rd ed. p367 -# "The gradient projection method" -# applied to an equality constraint for a simplex. -# -# min f(x) -# s.t. x >= 0, sum_i x = d -# -# FIXME: enforce the positivity constraint - a limit on the line search? -# - -from numpy import * -from scipy import * -from linesearch import line_search -# local copy of scipy's Amijo line_search - wasn't enforcing alpha max correctly -import sys - -dims = 4 - -def f(x): - fv = x[0]*x[0] + x[1]*x[1] + x[2]*x[2] + x[3]*x[3] - 2*x[0] - 3*x[3] - # print 'evaluating f at', x, 'value', fv - return fv - -def g(x): - return array([2*x[0] - 2, 2*x[1], 2*x[2], 2*x[3]-3]) - -def pg(x): - gv = g(x) - return gv - sum(gv) / dims - -x = ones(dims) / dims -old_fval = None - -while True: - fv = f(x) - gv = g(x) - dv = pg(x) - - print 'x', x, 'f', fv, 'g', gv, 'd', dv - - if old_fval == None: - old_fval = fv + 0.1 - - # solve for maximum step size i.e. when positivity constraints kick in - # x - alpha d = 0 => alpha = x/d - amax = max(x/dv) - if amax < 1e-8: break - - stuff = line_search(f, pg, x, -dv, dv, fv, old_fval, amax=amax) - alpha = stuff[0] # Nb. can avoid next evaluation of f,g,d using 'stuff' - if alpha < 1e-8: break - x -= alpha * dv - - old_fval = fv |