opt.h

//
// opt.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_opt_h
#define _math_optimize_opt_h
 
#include <util/group/message.h>
#include <util/state/state.h>
#include <util/class/class.h>
#include <math/scmat/matrix.h>
#include <math/optimize/function.h>
#include <math/optimize/conv.h>
 
namespace sc {
 
// //////////////////////////////////////////////////////////////////////
 
class Optimize: virtual public SavableState {
  protected:
    int max_iterations_;
    int n_iterations_;
    int ckpt_;
    int print_timings_;
    double max_stepsize_;
    std::string ckpt_file_;
    Ref<Function> function_;
    Ref<Convergence> conv_;
    Ref<MessageGrp> msg_;
    void init();
 
  public:
    Optimize();
    Optimize(StateIn&);
 
    Optimize(const Ref<KeyVal>&);
    virtual ~Optimize();
 
    void save_data_state(StateOut&);
 
    virtual int optimize();
 
    void set_checkpoint();
    void set_checkpoint_file(const char*);
 
    void set_function(const Ref<Function>&);
    
    void set_max_iterations(int);
  
    virtual int update() = 0;
 
    virtual void apply_transform(const Ref<NonlinearTransform>&);
 
    Ref<Function> function() const { return function_; }
    Ref<Convergence> convergence() const { return conv_; }
    Ref<SCMatrixKit> matrixkit() const { return function_->matrixkit(); }
    RefSCDimension dimension() const { return function_->dimension(); }
 
    void print(std::ostream& = ExEnv::out0()) const;
};
 
 
class LineOpt: public Optimize {
 
  protected:
 
    RefSCVector initial_x_;
    double initial_value_;
    RefSCVector initial_grad_;
    RefSCVector search_direction_;
    Ref<Function> function_;
 
  public:
 
    LineOpt();
    LineOpt(StateIn&);
    LineOpt(const Ref<KeyVal>&);
    ~LineOpt();
    void save_data_state(StateOut&);
 
    virtual void init(RefSCVector& direction);
    virtual void init(RefSCVector& direction, Ref<Function> function);
    void apply_transform(const Ref<NonlinearTransform>&);
 
    void print(std::ostream& = ExEnv::out0()) const;
};
 
class Backtrack: public LineOpt {
 
 protected:
   double decrease_factor_;
   double backtrack_factor_;
   int force_search_;
 
   int sufficient_decrease(RefSCVector& step);
 
 public:
   Backtrack();
   Backtrack(const Ref<KeyVal>&);
   Backtrack(StateIn&s);
   ~Backtrack();
   int update();
   void save_data_state(StateOut&s);
  
   int force_search() const { return force_search_; }
   double decrease_factor() { return decrease_factor_; }
   double set_decrease_factor( double factor ) 
   { double temp = decrease_factor_; decrease_factor_ = factor; return temp; }
 
   void print(std::ostream& = ExEnv::out0()) const;
};
 
}
 
#endif
 
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// mode: c++
// c-file-style: "CLJ"
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