qnewton.h

//
// qnewton.h
//
// Copyright (C) 1996 Limit Point Systems, Inc.
//
// Author: Curtis Janssen <cljanss@limitpt.com>
// Maintainer: LPS
//
// This file is part of the SC Toolkit.
//
// The SC Toolkit is free software; you can redistribute it and/or modify
// it under the terms of the GNU Library General Public License as published by
// the Free Software Foundation; either version 2, or (at your option)
// any later version.
//
// The SC Toolkit is distributed in the hope that it will be useful,
// but WITHOUT ANY WARRANTY; without even the implied warranty of
// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
// GNU Library General Public License for more details.
//
// You should have received a copy of the GNU Library General Public License
// along with the SC Toolkit; see the file COPYING.LIB.  If not, write to
// the Free Software Foundation, 675 Mass Ave, Cambridge, MA 02139, USA.
//
// The U.S. Government is granted a limited license as per AL 91-7.
//
 
#ifndef _math_optimize_qnewton_h
#define _math_optimize_qnewton_h
 
#include <util/state/state.h>
#include <util/class/class.h>
#include <math/scmat/matrix.h>
#include <math/optimize/function.h>
#include <math/optimize/opt.h>
#include <math/optimize/update.h>
 
namespace sc {
 
// //////////////////////////////////////////////////////////////////////
// newton and related methods
 
 
class QNewtonOpt: public Optimize {
 
  int assume_converged_; // if linesearch fails due to exceptional numerics (see MCSearch),
                         // assume we are too close to the convergence. If happens again, throw exception
 
  protected:
    double maxabs_gradient;
    double accuracy_;
 
    RefSymmSCMatrix ihessian_;
    Ref<HessianUpdate> update_;
    Ref<LineOpt> lineopt_;
 
    int take_newton_step_;
 
    int print_hessian_;
    int print_x_;
    int print_gradient_;
    int linear_;
    int restrict_;
    int dynamic_grad_acc_;
    int restart_;
 
  public:
    QNewtonOpt(const Ref<KeyVal>&);
    QNewtonOpt(StateIn&);
    ~QNewtonOpt();
    void save_data_state(StateOut&);
 
    void apply_transform(const Ref<NonlinearTransform>&);
 
    void init();
    int update();
 
    void print(std::ostream& = ExEnv::out0()) const;
};
 
}
 
#endif
 
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