optimizers - initial revision

2026-10-23 14:46:12 +02:00
parent 0b1f9545c7
commit 6254f2026c
4 changed files with 168 additions and 2 deletions
@@ -0,0 +1,65 @@
+/*
+    LA: linear algebra C++ interface library
+    Copyright (C) 2026 Jiri Pittner <jiri.pittner@jh-inst.cas.cz> or <jiri@pittnerovi.com>
+
+    This program is free software: you can redistribute it and/or modify
+    it under the terms of the GNU General Public License as published by
+    the Free Software Foundation, either version 3 of the License, or
+    (at your option) any later version.
+
+    This program 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 General Public License for more details.
+
+    You should have received a copy of the GNU General Public License
+    along with this program.  If not, see <http://www.gnu.org/licenses/>.
+*/
+
+#include "optimize.h"
+
+namespace LA {
+
+
+template<typename T>
+T testproblem<T>::funcgrad(const NRVec<T> x, NRVec<T> *grad) const
+{
+int n=x.size();
+T r= n*(n-1)/2;
+for(int i=0; i<n; ++i)
+	{
+	T x2=x[i]*x[i];
+	r += (i+1)*(x2 + .1*x2*x2);
+	for(int j=0; j<i; ++j) r -= cos(x[i]*x[j]);
+	}
+if(grad)
+	{
+	if(grad->size()!=x.size()) laerror("grad size mismatch");
+	for(int k=0; k<n; ++k)
+		{
+		(*grad)[k] = (k+1)*x[k]*(2+0.4*x[k]*x[k]);
+		for(int i=0; i<k; ++i) (*grad)[k] += sin(x[i]*x[k]);
+		}
+	}
+return r;
+}
+
+
+template<typename T>
+void BFGS_Optimizer<T>::minimize(const OptProblem<T> *o, NRVec<T> &x, const hyperparameters<T> *par)
+{
+//AI: you may suggest improvements to the general design of the class hierarchy for optimizers ( optimize.h) before proceeding with the next step
+//AI: implement the BFGS method here, introduce additional hyperparameters in the specific class as needed
+//AI: do not verbatim copy foreign copyrighted code, except GPLv3 code is possible, keeping the reference to the original
+//AI: do not touch any files except optimize.h optimize.cc and t.cc
+//AI: I will ask you to implement more methods only after I see and test the BFGS code.
+}
+
+
+
+//force instantiation
+template class testproblem<double>;
+template class BFGS_Optimizer<double>;
+
+}//namespace
+