Package org.ddogleg.optimization.trustregion

Class TrustRegionUpdateCauchy_F64<S extends DMatrix>

java.lang.Object

org.ddogleg.optimization.trustregion.TrustRegionUpdateCauchy_F64<S>

All Implemented Interfaces:

TrustRegionBase_F64.ParameterUpdate<S>

public class TrustRegionUpdateCauchy_F64<S extends DMatrix>
extends Object
implements TrustRegionBase_F64.ParameterUpdate<S>

The Cauchy point is an approximate solution to the Trust Region subproblem. It's direction is found by solving a linear version of the subproblem and he point's location along the direction is found by minimizing the sub problem along the direction.

The Hessian does not need to be invertible making it more robust. All though the convergence is slower than other approaches.

Constructor Summary

Constructors

Constructor	Description
TrustRegionUpdateCauchy_F64()

Method Summary

Modifier and Type	Method	Description
void	computeUpdate(DMatrixRMaj step, double regionRadius)	Compute the value of p given a new parameter state x and the region radius.
double	getPredictedReduction()	Returns the predicted reduction from the quadratic model. reduction = m(0) - m(p) = -g(0)*p - 0.5*pT*H(0)*p
double	getStepLength()	This function returns ||p||.
void	initialize(TrustRegionBase_F64<S,?> owner, int numberOfParameters, double minimumFunctionValue)	Must call this function first.
void	initializeUpdate()	Initialize the parameter update.
void	setVerbose(@Nullable PrintStream out, int level)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

TrustRegionUpdateCauchy_F64

public TrustRegionUpdateCauchy_F64()

Method Details

initialize

public void initialize(TrustRegionBase_F64<S,?> owner,
 int numberOfParameters,
 double minimumFunctionValue)

Description copied from interface: TrustRegionBase_F64.ParameterUpdate

Must call this function first. Specifies the number of parameters that are being optimized.

Specified by:

initialize in interface TrustRegionBase_F64.ParameterUpdate<S extends DMatrix>

minimumFunctionValue - The minimum possible value that the function can output

initializeUpdate

public void initializeUpdate()

Description copied from interface: TrustRegionBase_F64.ParameterUpdate

Initialize the parameter update. This is typically where all the expensive computations take place Useful internal class variables:

• GaussNewtonBase_F64.x current state
• GaussNewtonBase_F64.gradient Gradient a x
• GaussNewtonBase_F64.hessian Hessian at x

Inputs are not passed in explicitly since it varies by implementation which ones are needed.

Specified by:

initializeUpdate in interface TrustRegionBase_F64.ParameterUpdate<S extends DMatrix>

computeUpdate

public void computeUpdate(DMatrixRMaj step,
 double regionRadius)

Description copied from interface: TrustRegionBase_F64.ParameterUpdate

Compute the value of p given a new parameter state x and the region radius.

Specified by:

computeUpdate in interface TrustRegionBase_F64.ParameterUpdate<S extends DMatrix>

Parameters:

step - (Output) change in state

regionRadius - (Input) Radius of the region

getPredictedReduction

public double getPredictedReduction()

Description copied from interface: TrustRegionBase_F64.ParameterUpdate

Returns the predicted reduction from the quadratic model.

reduction = m(0) - m(p) = -g(0)*p - 0.5*p^T*H(0)*p

This computation is done inside the update because it can often be done more efficiently without repeating previous computations

Specified by:

getPredictedReduction in interface TrustRegionBase_F64.ParameterUpdate<S extends DMatrix>

getStepLength

public double getStepLength()

Description copied from interface: TrustRegionBase_F64.ParameterUpdate

This function returns ||p||.

This computation is done inside the update because it can often be done more efficiently without repeating previous computations

Specified by:

getStepLength in interface TrustRegionBase_F64.ParameterUpdate<S extends DMatrix>

Returns:

step length

setVerbose

public void setVerbose(@Nullable
 @Nullable PrintStream out,
 int level)

Specified by:

setVerbose in interface TrustRegionBase_F64.ParameterUpdate<S extends DMatrix>