1 files changed, 55 insertions, 0 deletions
diff --git a/gi/posterior-regularisation/simplex_pg.py b/gi/posterior-regularisation/simplex_pg.py
new file mode 100644
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+++ b/gi/posterior-regularisation/simplex_pg.py
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+#
+# 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