optimizers - initial revision

Makefile.am

@@ -1,6 +1,6 @@
 lib_LTLIBRARIES = libla.la
-include_HEADERS = LA_version.h tensor.h miscfunc.h simple.h vecmat3.h quaternion.h fortran.h cuda_la.h auxstorage.h  davidson.h lanczos.h  laerror.h    mat.h          qsort.h             vec.h bisection.h   diis.h       la.h         noncblas.h     smat.h numbers.h bitvector.h   fourindex.h  la_traits.h la_random.h  nonclass.h     sparsemat.h sparsesmat.h csrmat.h conjgrad.h    gmres.h      matexp.h     permutation.h   polynomial.h contfrac.h graph.h reg.h regsurf.h
+include_HEADERS = LA_version.h optimize.h tensor.h miscfunc.h simple.h vecmat3.h quaternion.h fortran.h cuda_la.h auxstorage.h  davidson.h lanczos.h  laerror.h    mat.h          qsort.h             vec.h bisection.h   diis.h       la.h         noncblas.h     smat.h numbers.h bitvector.h   fourindex.h  la_traits.h la_random.h  nonclass.h     sparsemat.h sparsesmat.h csrmat.h conjgrad.h    gmres.h      matexp.h     permutation.h   polynomial.h contfrac.h graph.h reg.h regsurf.h
-libla_la_SOURCES = simple.cc tensor.cc miscfunc.cc quaternion.cc vecmat3.cc vec.cc mat.cc smat.cc sparsemat.cc sparsesmat.cc csrmat.cc laerror.cc noncblas.cc  numbers.cc bitvector.cc strassen.cc nonclass.cc cuda_la.cc fourindex.cc permutation.cc polynomial.cc contfrac.cc graph.cc la_random.cc reg.cc regsurf.cc
+libla_la_SOURCES = simple.cc optimize.cc tensor.cc miscfunc.cc quaternion.cc vecmat3.cc vec.cc mat.cc smat.cc sparsemat.cc sparsesmat.cc csrmat.cc laerror.cc noncblas.cc  numbers.cc bitvector.cc strassen.cc nonclass.cc cuda_la.cc fourindex.cc permutation.cc polynomial.cc contfrac.cc graph.cc la_random.cc reg.cc regsurf.cc
 nodist_libla_la_SOURCES = version.cc
 check_PROGRAMS = t test tX test_reg test_regsurf
 t_SOURCES = t.cc t2.cc 

la.h

@@ -47,6 +47,7 @@
 #include "polynomial.h"
 #include "contfrac.h"
 #include "tensor.h"
+#include "optimize.h"
 #include "vecmat3.h"
 #include "quaternion.h"
 #include "LA_version.h"

optimize.cc

@@ -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
+

optimize.h

@@ -0,0 +1,100 @@
+/*
+    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_ */
+