NICE_Optimization/MatrixIterativeOptimizer.h

//////////////////////////////////////////////////////////////////////
//
//	AxA3dNUMMatrixIterativeOptimizer.h: interface for MatrixItertiveMethods class
//
//	Written by: Matthias Wacker
//
//
//////////////////////////////////////////////////////////////////////

#ifndef _MATRIX_ITERATIVE_OPTIMIZER_H_
#define _MATRIX_ITERATIVE_OPTIMIZER_H_

#include "optimization/DerivativeBasedOptimizer.h"
#include "optimization/GoldenCutLineSearcher.h"
//#include "optimization/BrentLineSearcher.h"
#include "optimization/ArmijoLineSearcher.h"


namespace OPTIMIZATION
{
  /*!
    abstract base class of all matrix iterative based optimizers.

    Methods like the newton iterative method or BFGS inherit from this class
  */
  class MatrixIterativeOptimizer : public DerivativeBasedOptimizer
  {
  public:
      typedef  DerivativeBasedOptimizer	SuperClass;	
      typedef  SuperClass::matrix_type	matrix_type;	

        /*!
        Constructor.
        \param numOfParameters : Number of parameters to optimize
        \param objectiveFunction : CostFunction*
        \param loger : OptLogBase * to existing log class
      */
      MatrixIterativeOptimizer(OptLogBase *loger);

      /*!
        Copy constructor
        \param opt .. optimizer to copy
      */
      MatrixIterativeOptimizer( const MatrixIterativeOptimizer &opt);


      /*!
        operator =
      */
      MatrixIterativeOptimizer & operator=(const MatrixIterativeOptimizer &opt);


      /*!
          Destructor.
      */
      virtual ~MatrixIterativeOptimizer();

      /*!
        \brief Set the initial step size
        The initial stepsize is used to give the optimizer an initial value for the order of 
        magnitude to start with.
        (e.g. step 100000 in x direction or 0.01 ?)
        \param stepSize with the step size for the i-th dimension in the (i,0)-th position.
      */
      void setStepSize(const matrix_type & stepSize);
      

      /*!
        \brief to set options for the internal line searcher, get the access
      
      */
      ArmijoLineSearcher * getLineSearcher(){return &m_lin;};

      /*!
        initialize
      */
      void init();

      /*!
        optimize
      */
      int optimize();

  protected:
      

      /*!
        \brief update the Iteration Matrix
      */
      virtual void updateIterationMatrix() = 0;

      /*!
        the iteration matrix
      */
      matrix_type m_IterationMatrix;

      /*!
        \brief compute the descent direction
      */
      void computeDescentDirection();
      
      /*!
        the descent direction
      */
      matrix_type m_hk;

      /*!
        \brief compute the steplength
      */
      void ComputeStepLength();


      /*!
        \brief reset the matrix
      */
      void resetMatrix();

      /*!
        the steplength
      */
      double m_lambdak;

      /*!
        1-dim search to optimize the steplength
      */
      //GoldenCutLineSearcher m_lin;
      //BrentLineSearcher m_lin;
      ArmijoLineSearcher m_lin;
      
      /*!
        step size vector
      */
      matrix_type m_stepSize;

      /*
        needed for updates
      */
      matrix_type m_oldParams;

      /*
        needed for updates
      */
      matrix_type m_oldGradient;

      //double m_lin_Lower;
      //double m_lin_Upper;
      //double m_lin_Eps;


      
  };//class
}//namespace

#endif