optimizers - initial revision
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lib_LTLIBRARIES = libla.la
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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
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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
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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
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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
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nodist_libla_la_SOURCES = version.cc
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check_PROGRAMS = t test tX test_reg test_regsurf
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t_SOURCES = t.cc t2.cc
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@@ -47,6 +47,7 @@
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#include "polynomial.h"
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#include "contfrac.h"
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#include "tensor.h"
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#include "optimize.h"
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#include "vecmat3.h"
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#include "quaternion.h"
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#include "LA_version.h"
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/*
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LA: linear algebra C++ interface library
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Copyright (C) 2026 Jiri Pittner <jiri.pittner@jh-inst.cas.cz> or <jiri@pittnerovi.com>
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This program is free software: you can redistribute it and/or modify
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it under the terms of the GNU General Public License as published by
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the Free Software Foundation, either version 3 of the License, or
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(at your option) any later version.
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This program is distributed in the hope that it will be useful,
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but WITHOUT ANY WARRANTY; without even the implied warranty of
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MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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GNU General Public License for more details.
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You should have received a copy of the GNU General Public License
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along with this program. If not, see <http://www.gnu.org/licenses/>.
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*/
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#include "optimize.h"
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namespace LA {
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template<typename T>
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T testproblem<T>::funcgrad(const NRVec<T> x, NRVec<T> *grad) const
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{
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int n=x.size();
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T r= n*(n-1)/2;
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for(int i=0; i<n; ++i)
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{
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T x2=x[i]*x[i];
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r += (i+1)*(x2 + .1*x2*x2);
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for(int j=0; j<i; ++j) r -= cos(x[i]*x[j]);
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}
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if(grad)
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{
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if(grad->size()!=x.size()) laerror("grad size mismatch");
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for(int k=0; k<n; ++k)
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{
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(*grad)[k] = (k+1)*x[k]*(2+0.4*x[k]*x[k]);
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for(int i=0; i<k; ++i) (*grad)[k] += sin(x[i]*x[k]);
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}
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}
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return r;
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}
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template<typename T>
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void BFGS_Optimizer<T>::minimize(const OptProblem<T> *o, NRVec<T> &x, const hyperparameters<T> *par)
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{
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//AI: you may suggest improvements to the general design of the class hierarchy for optimizers ( optimize.h) before proceeding with the next step
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//AI: implement the BFGS method here, introduce additional hyperparameters in the specific class as needed
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//AI: do not verbatim copy foreign copyrighted code, except GPLv3 code is possible, keeping the reference to the original
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//AI: do not touch any files except optimize.h optimize.cc and t.cc
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//AI: I will ask you to implement more methods only after I see and test the BFGS code.
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}
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//force instantiation
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template class testproblem<double>;
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template class BFGS_Optimizer<double>;
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}//namespace
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+100
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/*
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LA: linear algebra C++ interface library
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Copyright (C) 2021 Jiri Pittner <jiri.pittner@jh-inst.cas.cz> or <jiri@pittnerovi.com>
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This program is free software: you can redistribute it and/or modify
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it under the terms of the GNU General Public License as published by
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the Free Software Foundation, either version 3 of the License, or
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(at your option) any later version.
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This program is distributed in the hope that it will be useful,
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but WITHOUT ANY WARRANTY; without even the implied warranty of
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MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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GNU General Public License for more details.
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You should have received a copy of the GNU General Public License
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along with this program. If not, see <http://www.gnu.org/licenses/>.
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*/
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//various optimization methods
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#ifndef _OPTIMIZE_H_
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#define _OPTIMIZE_H_
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#include <stdint.h>
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#include <cstdarg>
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#include "vec.h"
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#include "mat.h"
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#include "smat.h"
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namespace LA {
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//base classes with purely virtual functions for multiple inheritance use
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//optimization problem - provides function and optional gradient, in multiply inherited classess will store auxiliary data for the function
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template<typename T>
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class OptProblem {
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public:
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virtual T funcgrad(const NRVec<T> x, NRVec<T> *grad) const =0; //evaluate function and optionally also gradient at point x
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virtual ~OptProblem() {};
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};
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//test case
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template<typename T>
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class testproblem : public OptProblem<T> {
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public:
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virtual T funcgrad(const NRVec<T> x, NRVec<T> *grad) const;
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virtual ~testproblem() {};
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};
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//base classes for optimization methods
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//this is a collection of parameters, which can be augmented by method-specific additions, to be used as a base class
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template<typename T>
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class hyperparameters {
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public:
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int my_maxstep; //maximum number of iterations
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T my_f_thr; //threshhold on function change in a single step
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T my_x_thr; //threshold on x norm change in a single step
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virtual int maxstep() const {return my_maxstep;}
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virtual T f_thr() const {return my_f_thr;}
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virtual T x_thr() const {return my_x_thr;}
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virtual T g_thr() const =0;
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virtual ~hyperparameters(){};
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};
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//base class for optimization methods, virtual functions to allow a pointer to derived class
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template<typename T>
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class Optimizer {
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public:
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virtual void minimize(const OptProblem<T> *o, NRVec<T> &x, const hyperparameters<T> *par) = 0;
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virtual ~Optimizer() {};
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};
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//specific methods
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template<typename T>
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class BFGS_hyperparameters : public hyperparameters<T> {
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public:
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T my_g_thr;
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virtual T g_thr() const {return my_g_thr;} //gradient magnitude convergence threshold
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};
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template<typename T>
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class BFGS_Optimizer : public Optimizer<T> {
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public:
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virtual void minimize(const OptProblem<T> *o, NRVec<T> &x, const hyperparameters<T> *par);
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virtual ~BFGS_Optimizer() {};
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};
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}//namespace
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#endif /* _OPTIMIZE_H_ */
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