You are viewing a plain text version of this content. The canonical link for it is here.
Posted to commits@commons.apache.org by er...@apache.org on 2014/03/02 15:54:37 UTC
svn commit: r1573316 - in /commons/proper/math/trunk/src:
main/java/org/apache/commons/math3/optim/nonlinear/scalar/
main/java/org/apache/commons/math3/optim/nonlinear/scalar/gradient/
main/java/org/apache/commons/math3/optim/nonlinear/scalar/noderiv/ ...
Author: erans
Date: Sun Mar 2 14:54:37 2014
New Revision: 1573316
URL: http://svn.apache.org/r1573316
Log:
MATH-1092
Added parameter in "LineSearch" and "NonLinearConjugateGradientOptimizer".
Modified:
commons/proper/math/trunk/src/main/java/org/apache/commons/math3/optim/nonlinear/scalar/LineSearch.java
commons/proper/math/trunk/src/main/java/org/apache/commons/math3/optim/nonlinear/scalar/gradient/NonLinearConjugateGradientOptimizer.java
commons/proper/math/trunk/src/main/java/org/apache/commons/math3/optim/nonlinear/scalar/noderiv/PowellOptimizer.java
commons/proper/math/trunk/src/main/java/org/apache/commons/math3/optim/univariate/BracketFinder.java
commons/proper/math/trunk/src/test/java/org/apache/commons/math3/optim/nonlinear/scalar/gradient/NonLinearConjugateGradientOptimizerTest.java
Modified: commons/proper/math/trunk/src/main/java/org/apache/commons/math3/optim/nonlinear/scalar/LineSearch.java
URL: http://svn.apache.org/viewvc/commons/proper/math/trunk/src/main/java/org/apache/commons/math3/optim/nonlinear/scalar/LineSearch.java?rev=1573316&r1=1573315&r2=1573316&view=diff
==============================================================================
--- commons/proper/math/trunk/src/main/java/org/apache/commons/math3/optim/nonlinear/scalar/LineSearch.java (original)
+++ commons/proper/math/trunk/src/main/java/org/apache/commons/math3/optim/nonlinear/scalar/LineSearch.java Sun Mar 2 14:54:37 2014
@@ -55,6 +55,11 @@ public class LineSearch {
*/
private final BracketFinder bracket = new BracketFinder();
/**
+ * Extent of the initial interval used to find an interval that
+ * brackets the optimum.
+ */
+ private final double initialBracketingRange;
+ /**
* Optimizer on behalf of which the line search must be performed.
*/
private final MultivariateOptimizer mainOptimizer;
@@ -70,23 +75,33 @@ public class LineSearch {
* @param optimizer Optimizer on behalf of which the line search
* be performed.
* Its {@link MultivariateOptimizer#computeObjectiveValue(double[])
- * computeObjectiveValue} method will be called by this class's
+ * computeObjectiveValue} method will be called by the
* {@link #search(double[],double[]) search} method.
- * @param relativeTolerance Relative threshold.
- * @param absoluteTolerance Absolute threshold.
+ * @param relativeTolerance Search will stop when the function relative
+ * difference between successive iterations is smaller than this value.
+ * @param absoluteTolerance Search will stop when the function absolute
+ * difference between successive iterations is smaller than this value.
+ * @param initialBracketingRange Extent of the initial interval used to
+ * find an interval that brackets the optimum.
+ * If the optimized function varies a lot in the vicinity of the optimum,
+ * it may be necessary to provide a value lower than the distance between
+ * successive local minima.
*/
public LineSearch(MultivariateOptimizer optimizer,
double relativeTolerance,
- double absoluteTolerance) {
+ double absoluteTolerance,
+ double initialBracketingRange) {
mainOptimizer = optimizer;
lineOptimizer = new BrentOptimizer(REL_TOL_UNUSED,
ABS_TOL_UNUSED,
new SimpleUnivariateValueChecker(relativeTolerance,
absoluteTolerance));
+ this.initialBracketingRange = initialBracketingRange;
}
/**
- * Find the minimum of the function {@code f(p + alpha * d)}.
+ * Finds the number {@code alpha} that optimizes
+ * {@code f(startPoint + alpha * direction)}.
*
* @param startPoint Starting point.
* @param direction Search direction.
@@ -109,7 +124,7 @@ public class LineSearch {
};
final GoalType goal = mainOptimizer.getGoalType();
- bracket.search(f, goal, 0, 1);
+ bracket.search(f, goal, 0, initialBracketingRange);
// Passing "MAX_VALUE" as a dummy value because it is the enclosing
// class that counts the number of evaluations (and will eventually
// generate the exception).
Modified: commons/proper/math/trunk/src/main/java/org/apache/commons/math3/optim/nonlinear/scalar/gradient/NonLinearConjugateGradientOptimizer.java
URL: http://svn.apache.org/viewvc/commons/proper/math/trunk/src/main/java/org/apache/commons/math3/optim/nonlinear/scalar/gradient/NonLinearConjugateGradientOptimizer.java?rev=1573316&r1=1573315&r2=1573316&view=diff
==============================================================================
--- commons/proper/math/trunk/src/main/java/org/apache/commons/math3/optim/nonlinear/scalar/gradient/NonLinearConjugateGradientOptimizer.java (original)
+++ commons/proper/math/trunk/src/main/java/org/apache/commons/math3/optim/nonlinear/scalar/gradient/NonLinearConjugateGradientOptimizer.java Sun Mar 2 14:54:37 2014
@@ -86,7 +86,9 @@ public class NonLinearConjugateGradientO
* search.
*
* @since 3.1
- * @deprecated As of v3.3, class is not used anymore.
+ * @deprecated As of v3.3, this class is not used anymore.
+ * This setting is replaced by the {@code initialBracketingRange}
+ * argument to the new constructors.
*/
@Deprecated
public static class BracketingStep implements OptimizationData {
@@ -125,6 +127,7 @@ public class NonLinearConjugateGradientO
checker,
1e-8,
1e-8,
+ 1e-8,
new IdentityPreconditioner());
}
@@ -137,7 +140,7 @@ public class NonLinearConjugateGradientO
* @param checker Convergence checker.
* @param lineSearchSolver Solver to use during line search.
* @deprecated as of 3.3. Please use
- * {@link #NonLinearConjugateGradientOptimizer(Formula,ConvergenceChecker,double,double)} instead.
+ * {@link #NonLinearConjugateGradientOptimizer(Formula,ConvergenceChecker,double,double,double)} instead.
*/
@Deprecated
public NonLinearConjugateGradientOptimizer(final Formula updateFormula,
@@ -158,17 +161,23 @@ public class NonLinearConjugateGradientO
* @param checker Convergence checker.
* @param relativeTolerance Relative threshold for line search.
* @param absoluteTolerance Absolute threshold for line search.
+ * @param initialBracketingRange Extent of the initial interval used to
+ * find an interval that brackets the optimum in order to perform the
+ * line search.
*
- * @see LineSearch#LineSearch(MultivariateOptimizer,double,double)
+ * @see LineSearch#LineSearch(MultivariateOptimizer,double,double,double)
+ * @since 3.3
*/
public NonLinearConjugateGradientOptimizer(final Formula updateFormula,
ConvergenceChecker<PointValuePair> checker,
double relativeTolerance,
- double absoluteTolerance) {
+ double absoluteTolerance,
+ double initialBracketingRange) {
this(updateFormula,
checker,
relativeTolerance,
absoluteTolerance,
+ initialBracketingRange,
new IdentityPreconditioner());
}
@@ -180,7 +189,7 @@ public class NonLinearConjugateGradientO
* @param lineSearchSolver Solver to use during line search.
* @param preconditioner Preconditioner.
* @deprecated as of 3.3. Please use
- * {@link #NonLinearConjugateGradientOptimizer(Formula,ConvergenceChecker,double,double,Preconditioner)} instead.
+ * {@link #NonLinearConjugateGradientOptimizer(Formula,ConvergenceChecker,double,double,double,Preconditioner)} instead.
*/
@Deprecated
public NonLinearConjugateGradientOptimizer(final Formula updateFormula,
@@ -191,6 +200,7 @@ public class NonLinearConjugateGradientO
checker,
lineSearchSolver.getRelativeAccuracy(),
lineSearchSolver.getAbsoluteAccuracy(),
+ lineSearchSolver.getAbsoluteAccuracy(),
preconditioner);
}
@@ -202,13 +212,18 @@ public class NonLinearConjugateGradientO
* @param preconditioner Preconditioner.
* @param relativeTolerance Relative threshold for line search.
* @param absoluteTolerance Absolute threshold for line search.
+ * @param initialBracketingRange Extent of the initial interval used to
+ * find an interval that brackets the optimum in order to perform the
+ * line search.
*
- * @see LineSearch#LineSearch(MultivariateOptimizer,double,double)
+ * @see LineSearch#LineSearch(MultivariateOptimizer,double,double,double)
+ * @since 3.3
*/
public NonLinearConjugateGradientOptimizer(final Formula updateFormula,
ConvergenceChecker<PointValuePair> checker,
double relativeTolerance,
double absoluteTolerance,
+ double initialBracketingRange,
final Preconditioner preconditioner) {
super(checker);
@@ -216,7 +231,8 @@ public class NonLinearConjugateGradientO
this.preconditioner = preconditioner;
line = new LineSearch(this,
relativeTolerance,
- absoluteTolerance);
+ absoluteTolerance,
+ initialBracketingRange);
}
/**
Modified: commons/proper/math/trunk/src/main/java/org/apache/commons/math3/optim/nonlinear/scalar/noderiv/PowellOptimizer.java
URL: http://svn.apache.org/viewvc/commons/proper/math/trunk/src/main/java/org/apache/commons/math3/optim/nonlinear/scalar/noderiv/PowellOptimizer.java?rev=1573316&r1=1573315&r2=1573316&view=diff
==============================================================================
--- commons/proper/math/trunk/src/main/java/org/apache/commons/math3/optim/nonlinear/scalar/noderiv/PowellOptimizer.java (original)
+++ commons/proper/math/trunk/src/main/java/org/apache/commons/math3/optim/nonlinear/scalar/noderiv/PowellOptimizer.java Sun Mar 2 14:54:37 2014
@@ -127,7 +127,8 @@ public class PowellOptimizer
// Create the line search optimizer.
line = new LineSearch(this,
lineRel,
- lineAbs);
+ lineAbs,
+ 1d);
}
/**
Modified: commons/proper/math/trunk/src/main/java/org/apache/commons/math3/optim/univariate/BracketFinder.java
URL: http://svn.apache.org/viewvc/commons/proper/math/trunk/src/main/java/org/apache/commons/math3/optim/univariate/BracketFinder.java?rev=1573316&r1=1573315&r2=1573316&view=diff
==============================================================================
--- commons/proper/math/trunk/src/main/java/org/apache/commons/math3/optim/univariate/BracketFinder.java (original)
+++ commons/proper/math/trunk/src/main/java/org/apache/commons/math3/optim/univariate/BracketFinder.java Sun Mar 2 14:54:37 2014
@@ -110,7 +110,10 @@ public class BracketFinder {
* @throws TooManyEvaluationsException if the maximum number of evaluations
* is exceeded.
*/
- public void search(UnivariateFunction func, GoalType goal, double xA, double xB) {
+ public void search(UnivariateFunction func,
+ GoalType goal,
+ double xA,
+ double xB) {
evaluations.resetCount();
final boolean isMinim = goal == GoalType.MINIMIZE;
Modified: commons/proper/math/trunk/src/test/java/org/apache/commons/math3/optim/nonlinear/scalar/gradient/NonLinearConjugateGradientOptimizerTest.java
URL: http://svn.apache.org/viewvc/commons/proper/math/trunk/src/test/java/org/apache/commons/math3/optim/nonlinear/scalar/gradient/NonLinearConjugateGradientOptimizerTest.java?rev=1573316&r1=1573315&r2=1573316&view=diff
==============================================================================
--- commons/proper/math/trunk/src/test/java/org/apache/commons/math3/optim/nonlinear/scalar/gradient/NonLinearConjugateGradientOptimizerTest.java (original)
+++ commons/proper/math/trunk/src/test/java/org/apache/commons/math3/optim/nonlinear/scalar/gradient/NonLinearConjugateGradientOptimizerTest.java Sun Mar 2 14:54:37 2014
@@ -105,7 +105,7 @@ public class NonLinearConjugateGradientO
NonLinearConjugateGradientOptimizer optimizer
= new NonLinearConjugateGradientOptimizer(NonLinearConjugateGradientOptimizer.Formula.POLAK_RIBIERE,
new SimpleValueChecker(1e-6, 1e-6),
- 1e-3, 1e-3);
+ 1e-3, 1e-3, 1);
optimizer.optimize(new MaxEval(100),
problem.getObjectiveFunction(),
problem.getObjectiveFunctionGradient(),
@@ -122,7 +122,7 @@ public class NonLinearConjugateGradientO
NonLinearConjugateGradientOptimizer optimizer
= new NonLinearConjugateGradientOptimizer(NonLinearConjugateGradientOptimizer.Formula.POLAK_RIBIERE,
new SimpleValueChecker(1e-6, 1e-6),
- 1e-3, 1e-3);
+ 1e-3, 1e-3, 1);
PointValuePair optimum
= optimizer.optimize(new MaxEval(100),
problem.getObjectiveFunction(),
@@ -145,7 +145,7 @@ public class NonLinearConjugateGradientO
NonLinearConjugateGradientOptimizer optimizer
= new NonLinearConjugateGradientOptimizer(NonLinearConjugateGradientOptimizer.Formula.POLAK_RIBIERE,
new SimpleValueChecker(1e-6, 1e-6),
- 1e-3, 1e-3);
+ 1e-3, 1e-3, 1);
PointValuePair optimum
= optimizer.optimize(new MaxEval(100),
problem.getObjectiveFunction(),
@@ -171,7 +171,7 @@ public class NonLinearConjugateGradientO
NonLinearConjugateGradientOptimizer optimizer
= new NonLinearConjugateGradientOptimizer(NonLinearConjugateGradientOptimizer.Formula.POLAK_RIBIERE,
new SimpleValueChecker(1e-6, 1e-6),
- 1e-3, 1e-3);
+ 1e-3, 1e-3, 1);
PointValuePair optimum
= optimizer.optimize(new MaxEval(100),
problem.getObjectiveFunction(),
@@ -193,7 +193,7 @@ public class NonLinearConjugateGradientO
NonLinearConjugateGradientOptimizer optimizer
= new NonLinearConjugateGradientOptimizer(NonLinearConjugateGradientOptimizer.Formula.POLAK_RIBIERE,
new SimpleValueChecker(1e-6, 1e-6),
- 1e-3, 1e-3);
+ 1e-3, 1e-3, 1);
PointValuePair optimum
= optimizer.optimize(new MaxEval(100),
problem.getObjectiveFunction(),
@@ -235,7 +235,7 @@ public class NonLinearConjugateGradientO
NonLinearConjugateGradientOptimizer optimizer
= new NonLinearConjugateGradientOptimizer(NonLinearConjugateGradientOptimizer.Formula.POLAK_RIBIERE,
new SimpleValueChecker(1e-13, 1e-13),
- 1e-7, 1e-7,
+ 1e-7, 1e-7, 1,
preconditioner);
PointValuePair optimum
@@ -267,7 +267,7 @@ public class NonLinearConjugateGradientO
NonLinearConjugateGradientOptimizer optimizer
= new NonLinearConjugateGradientOptimizer(NonLinearConjugateGradientOptimizer.Formula.POLAK_RIBIERE,
new SimpleValueChecker(1e-6, 1e-6),
- 1e-3, 1e-3);
+ 1e-3, 1e-3, 1);
PointValuePair optimum
= optimizer.optimize(new MaxEval(100),
problem.getObjectiveFunction(),
@@ -288,7 +288,7 @@ public class NonLinearConjugateGradientO
NonLinearConjugateGradientOptimizer optimizer
= new NonLinearConjugateGradientOptimizer(NonLinearConjugateGradientOptimizer.Formula.POLAK_RIBIERE,
new SimpleValueChecker(1e-13, 1e-13),
- 1e-15, 1e-15);
+ 1e-15, 1e-15, 1);
PointValuePair optimum1
= optimizer.optimize(new MaxEval(200),
problem1.getObjectiveFunction(),
@@ -333,7 +333,7 @@ public class NonLinearConjugateGradientO
NonLinearConjugateGradientOptimizer optimizer
= new NonLinearConjugateGradientOptimizer(NonLinearConjugateGradientOptimizer.Formula.POLAK_RIBIERE,
new SimpleValueChecker(1e-6, 1e-6),
- 1e-3, 1e-3);
+ 1e-3, 1e-3, 1);
PointValuePair optimum
= optimizer.optimize(new MaxEval(100),
problem.getObjectiveFunction(),
@@ -356,7 +356,7 @@ public class NonLinearConjugateGradientO
NonLinearConjugateGradientOptimizer optimizer
= new NonLinearConjugateGradientOptimizer(NonLinearConjugateGradientOptimizer.Formula.POLAK_RIBIERE,
new SimpleValueChecker(1e-6, 1e-6),
- 1e-3, 1e-3);
+ 1e-3, 1e-3, 1);
PointValuePair optimum
= optimizer.optimize(new MaxEval(100),
problem.getObjectiveFunction(),
@@ -377,7 +377,7 @@ public class NonLinearConjugateGradientO
NonLinearConjugateGradientOptimizer optimizer
= new NonLinearConjugateGradientOptimizer(NonLinearConjugateGradientOptimizer.Formula.POLAK_RIBIERE,
new SimpleValueChecker(1e-6, 1e-6),
- 1e-3, 1e-3);
+ 1e-3, 1e-3, 1);
PointValuePair optimum
= optimizer.optimize(new MaxEval(100),
problem.getObjectiveFunction(),
@@ -400,7 +400,7 @@ public class NonLinearConjugateGradientO
NonLinearConjugateGradientOptimizer optimizer
= new NonLinearConjugateGradientOptimizer(NonLinearConjugateGradientOptimizer.Formula.POLAK_RIBIERE,
new SimpleValueChecker(1e-6, 1e-6),
- 1e-3, 1e-3);
+ 1e-3, 1e-3, 1);
PointValuePair optimum
= optimizer.optimize(new MaxEval(100),
problem.getObjectiveFunction(),
@@ -422,7 +422,7 @@ public class NonLinearConjugateGradientO
NonLinearConjugateGradientOptimizer optimizer
= new NonLinearConjugateGradientOptimizer(NonLinearConjugateGradientOptimizer.Formula.POLAK_RIBIERE,
new SimpleValueChecker(1e-30, 1e-30),
- 1e-15, 1e-13);
+ 1e-15, 1e-13, 1);
PointValuePair optimum
= optimizer.optimize(new MaxEval(100),
problem.getObjectiveFunction(),