SHOGUN  6.0.0
NLOPTMinimizer.h
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3  * Written (w) 2015 Wu Lin
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31 
32 
33 #ifndef CNLOPTMINIMIZER_H
34 #define CNLOPTMINIMIZER_H
36 
37 #ifdef USE_GPL_SHOGUN
38 #ifdef HAVE_NLOPT
40 #endif
41 namespace shogun
42 {
49 class CNLOPTMinimizer: public FirstOrderMinimizer
50 {
51 public:
53  CNLOPTMinimizer();
54 
58  CNLOPTMinimizer(FirstOrderCostFunction *fun);
59 
64  virtual const char* get_name() const { return "NLOPTMinimizer"; }
65 
66 
68  virtual ~CNLOPTMinimizer();
69 
74  virtual float64_t minimize();
75 
80  virtual bool supports_batch_update() const {return true;}
81 
82 #ifdef HAVE_NLOPT
83  /* Set parameters used in NLOPT
84  * For details please see http://ab-initio.mit.edu/wiki/index.php/NLopt_C-plus-plus_Reference
85  *
86  * @param algorithm provided by NLOPT for minimization (e.g. LD_LBFGS denotes NLOPT_LD_LBFGS)
87  * @param max_iterations the number of cost function evaluations
88  * @param variable_tolerance absolute tolerance on optimization parameters
89  * @param function_tolerance absolute tolerance on function value.
90  */
91  virtual void set_nlopt_parameters(ENLOPTALGORITHM algorithm=LD_LBFGS,
92  float64_t max_iterations=1000,
93  float64_t variable_tolerance=1e-6,
94  float64_t function_tolerance=1e-6);
95 private:
96  /* A helper function will be called by the NLOPT library
97  * Note that this function should be static and
98  * private.
99  * */
100  static double nlopt_function(unsigned dim, const double* variable,
101  double* gradient, void* func_data);
102 
103  static int16_t get_nlopt_algorithm_id(ENLOPTALGORITHM method);
104 
105  static nlopt_algorithm get_nlopt_algorithm(int16_t method_id)
106  {
107  REQUIRE(method_id>=0 && method_id<(int16_t)NLOPT_NUM_ALGORITHMS,
108  "Unsupported method id (%d)\n", method_id);
109  return (nlopt_algorithm) method_id;
110  }
111 
112 protected:
113 
114  /* Target variable */
115  SGVector<float64_t> m_target_variable;
116 
117  /* Init before minimization */
118  virtual void init_minimization();
119 
121  float64_t m_max_iterations;
122 
124  float64_t m_variable_tolerance;
125 
127  float64_t m_function_tolerance;
128 
130  int16_t m_nlopt_algorithm_id;
131 #endif /* HAVE_NLOPT */
132 
133 private:
134  /* init */
135  void init();
136 };
137 
138 }
139 #endif //USE_GPL_SHOGUN
140 #endif /* CNLOPTMINIMIZER_H */
141 
#define REQUIRE(x,...)
Definition: SGIO.h:205
double float64_t
Definition: common.h:60
all of classes and functions are contained in the shogun namespace
Definition: class_list.h:18

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