From 671c21451542e2dd20e45b4033d44d8e8735f87b Mon Sep 17 00:00:00 2001
From: Chris Dyer <redpony@gmail.com>
Date: Thu, 3 Dec 2009 16:33:55 -0500
Subject: initial check in

---
 training/optimize.h | 104 ++++++++++++++++++++++++++++++++++++++++++++++++++++
 1 file changed, 104 insertions(+)
 create mode 100644 training/optimize.h

(limited to 'training/optimize.h')

diff --git a/training/optimize.h b/training/optimize.h
new file mode 100644
index 00000000..eddceaad
--- /dev/null
+++ b/training/optimize.h
@@ -0,0 +1,104 @@
+#ifndef _OPTIMIZE_H_
+#define _OPTIMIZE_H_
+
+#include <iostream>
+#include <vector>
+#include <string>
+#include <cassert>
+
+#include "lbfgs.h"
+
+// abstract base class for first order optimizers
+// order of invocation: new, Load(), Optimize(), Save(), delete
+class Optimizer {
+ public:
+  Optimizer() : eval_(1), has_converged_(false) {}
+  virtual ~Optimizer();
+  virtual std::string Name() const = 0;
+  int EvaluationCount() const { return eval_; }
+  bool HasConverged() const { return has_converged_; }
+
+  void Optimize(const double& obj,
+                const std::vector<double>& g,
+                std::vector<double>* x) {
+    assert(g.size() == x->size());
+    OptimizeImpl(obj, g, x);
+    scitbx::lbfgs::traditional_convergence_test<double> converged(g.size());
+    has_converged_ = converged(&(*x)[0], &g[0]);
+  }
+
+  void Save(std::ostream* out) const;
+  void Load(std::istream* in);
+ protected:
+  virtual void SaveImpl(std::ostream* out) const;
+  virtual void LoadImpl(std::istream* in);
+  virtual void OptimizeImpl(const double& obj,
+                            const std::vector<double>& g,
+                            std::vector<double>* x) = 0;
+
+  int eval_;
+ private:
+  bool has_converged_;
+};
+
+class RPropOptimizer : public Optimizer {
+ public:
+  explicit RPropOptimizer(int num_vars,
+                          double eta_plus = 1.2,
+                          double eta_minus = 0.5,
+                          double delta_0 = 0.1,
+                          double delta_max = 50.0,
+                          double delta_min = 1e-6) :
+      prev_g_(num_vars, 0.0),
+      delta_ij_(num_vars, delta_0),
+      eta_plus_(eta_plus),
+      eta_minus_(eta_minus),
+      delta_max_(delta_max),
+      delta_min_(delta_min) {
+    assert(eta_plus > 1.0);
+    assert(eta_minus > 0.0 && eta_minus < 1.0);
+    assert(delta_max > 0.0);
+    assert(delta_min > 0.0);
+  }
+  std::string Name() const;
+  void OptimizeImpl(const double& obj,
+                    const std::vector<double>& g,
+                    std::vector<double>* x);
+  void SaveImpl(std::ostream* out) const;
+  void LoadImpl(std::istream* in);
+ private:
+  std::vector<double> prev_g_;
+  std::vector<double> delta_ij_;
+  const double eta_plus_;
+  const double eta_minus_;
+  const double delta_max_;
+  const double delta_min_;
+};
+
+class SGDOptimizer : public Optimizer {
+ public:
+  explicit SGDOptimizer(int num_vars, double eta = 0.1) : eta_(eta) {
+    (void) num_vars;
+  }
+  std::string Name() const;
+  void OptimizeImpl(const double& obj,
+                    const std::vector<double>& g,
+                    std::vector<double>* x);
+ private:
+  const double eta_;
+};
+
+class LBFGSOptimizer : public Optimizer {
+ public:
+  explicit LBFGSOptimizer(int num_vars, int memory_buffers = 10);
+  std::string Name() const;
+  void SaveImpl(std::ostream* out) const;
+  void LoadImpl(std::istream* in);
+  void OptimizeImpl(const double& obj,
+                    const std::vector<double>& g,
+                    std::vector<double>* x);
+ private:
+  scitbx::lbfgs::minimizer<double> opt_;
+};
+
+#endif
-- 
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