drwnOptimizer.h

/******************************************************************************
** DARWIN: A FRAMEWORK FOR MACHINE LEARNING RESEARCH AND DEVELOPMENT
** Distributed under the terms of the BSD license (see the LICENSE file)
** Copyright (c) 2007-2015, Stephen Gould
** All rights reserved.
**
******************************************************************************
** FILENAME:    drwnOptimizer.h
** AUTHOR(S):   Stephen Gould <stephen.gould@anu.edu.au>
**
*****************************************************************************/

#pragma once

#include "Eigen/Core"

class drwnOptimizer {
 public:
    static double EPSF; 
    static double EPSG; 
    static double EPSX; 

 public:
    unsigned _n;  
    double *_x;   
    double *_df;  

 public:
    drwnOptimizer();
    drwnOptimizer(unsigned n);
    drwnOptimizer(const drwnOptimizer& o);
    virtual ~drwnOptimizer();

    void initialize(unsigned n, const double *x = NULL);
    void initialize(const double *x = NULL);

    double solve(unsigned maxiter, bool bMonitor = false);

    virtual double objective(const double *x) const = 0;
    virtual void gradient(const double *x, double *df) const = 0;
    virtual double objectiveAndGradient(const double *x, double *df) const {
    gradient(x, df); return objective(x);
    }

    inline unsigned size() const { return _n; }
    inline double operator[](unsigned i) const { return _x[i]; }
    inline double& operator[](unsigned i) { return _x[i]; }

    virtual void monitor(unsigned iter, double objValue);

 protected:
    enum  drwnLBFGSResult {
        DRWN_LBFGS_ERROR, DRWN_LBFGS_MAX_ITERS, DRWN_LBFGS_CONVERGED_F,
        DRWN_LBFGS_CONVERGED_G, DRWN_LBFGS_CONVERGED_X
    };

    drwnLBFGSResult lbfgsMinimize(int m, unsigned maxiter,
        double epsg, double epsf, double epsx, bool bMonitor);
    bool lbfgsSearch(double &f, const Eigen::VectorXd &s,
        double& stp, Eigen::VectorXd& diag);
    bool lbfgsStep(double& stx, double& fx, double& dx,
        double& sty, double& fy, double& dy,
        double& stp, const double& fp, const double& dp,
        bool& brackt, const double& stmin, const double& stmax);
};