optimizers - initial revision

optimize.h

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+/*
+    LA: linear algebra C++ interface library
+    Copyright (C) 2021 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/>.
+*/
+
+
+//various optimization methods
+
+#ifndef _OPTIMIZE_H_
+#define _OPTIMIZE_H_
+
+#include <stdint.h>
+#include <cstdarg>
+#include "vec.h"
+#include "mat.h"
+#include "smat.h"
+
+
+namespace LA {
+
+//base classes with purely virtual functions for multiple inheritance use
+
+//optimization problem - provides function and optional gradient, in multiply inherited classess will store auxiliary data for the function
+template<typename T>
+class OptProblem {
+public:
+virtual T funcgrad(const NRVec<T> x, NRVec<T> *grad) const =0; //evaluate function and optionally also gradient at point x
+virtual ~OptProblem() {};
+};
+
+//test case
+template<typename T>
+class testproblem : public OptProblem<T> {
+public:
+virtual T funcgrad(const NRVec<T> x, NRVec<T> *grad) const;
+virtual ~testproblem() {};
+};
+
+
+//base classes for optimization methods
+
+//this is a collection of parameters, which can be augmented by method-specific additions, to be used as a base class
+template<typename T>
+class hyperparameters {
+public:
+int my_maxstep; //maximum number of iterations
+T my_f_thr; //threshhold on function change in a single step
+T my_x_thr; //threshold on x norm change in a single step
+
+virtual int maxstep() const {return my_maxstep;}
+virtual T f_thr() const {return my_f_thr;}
+virtual T x_thr() const {return my_x_thr;}
+virtual T g_thr() const =0;
+virtual ~hyperparameters(){};
+};
+
+
+//base class for optimization methods, virtual functions to allow a pointer to derived class
+template<typename T>
+class Optimizer {
+public:
+virtual void minimize(const OptProblem<T> *o, NRVec<T> &x, const hyperparameters<T> *par) = 0;
+virtual ~Optimizer() {}; 
+};
+
+
+//specific methods
+
+template<typename T>
+class BFGS_hyperparameters : public hyperparameters<T> {
+public:
+T my_g_thr;
+virtual T g_thr() const {return my_g_thr;} //gradient magnitude convergence threshold
+};
+
+template<typename T>
+class BFGS_Optimizer : public Optimizer<T> {
+public:
+virtual void minimize(const OptProblem<T> *o, NRVec<T> &x, const hyperparameters<T> *par);
+virtual ~BFGS_Optimizer() {};
+};
+
+
+
+}//namespace
+#endif /* _OPTIMIZE_H_ */
+