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improved performance of dogleg

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Val Erastov 2015-03-19 23:40:30 -07:00
parent 3d2fe14426
commit 21df1ae577
1 changed files with 14 additions and 11 deletions
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25
web/app/math/noptim.js
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@ -238,7 +238,7 @@ optim.inv = function inv(x) {
Ij = I[i0]; I[i0] = I[j]; I[j] = Ij;
x = Aj[j];
if (x === 0) {
//console.log("CAN' INVERSE MATRIX");
console.log("CAN' INVERSE MATRIX");
x = 1e-32
}
for(k=j;k!==n;++k) Aj[k] /= x;
@ -258,7 +258,7 @@ optim.inv = function inv(x) {
};
optim.dog_leg = function (subsys, rough) {
//rough = true
rough = true
var tolg = rough ? 1e-3 : 1e-4;
var tolx = 1e-80, tolf = 1e-10;
@ -351,7 +351,7 @@ optim.dog_leg = function (subsys, rough) {
var maxIterNumber = xsize * 100;
var divergingLim = 1e6 * err + 1e12;
var delta = 0.1;
var delta = 10;
var alpha = 0.;
var nu = 2.;
var iter = 0, stop = 0, reduce = 0;
@ -364,7 +364,7 @@ optim.dog_leg = function (subsys, rough) {
else if (g_inf <= tolg)
stop = 2;
else if (delta <= tolx * (tolx + n.norm2(x)))
stop = 2;
stop = 3;
else if (iter >= maxIterNumber)
stop = 4;
else if (err > divergingLim || err != err) { // check for diverging and NaN
@ -392,10 +392,6 @@ optim.dog_leg = function (subsys, rough) {
var gnorm = n.norm2(g);
if (n.norm2(h_gn) < delta) {
h_dl = h_gn;
if (n.norm2(h_dl) <= tolx * (tolx + n.norm2(x))) {
stop = 5;
break;
}
stepKind = 1;
}
else {
@ -428,6 +424,12 @@ optim.dog_leg = function (subsys, rough) {
}
}
var dl_norm = n.norm2(h_dl);
if (dl_norm <= tolx) {
stop = 5;
break;
}
// see if we are already finished
if (stop)
@ -455,12 +457,13 @@ optim.dog_leg = function (subsys, rough) {
// update delta
if (rho < 0.25) {
// if the model is a poor predictor reduce the size of the trust region
delta *= 0.5;
delta = 0.25 * dl_norm;
//delta *= 0.5;
} else {
// only increase the size of the trust region if it is taking a step of maximum size
// otherwise just assume it's doing good enough job
if (rho > 0.75 && hitBoundary) {
var r = n.norm2(h_dl);
//delta = Math.max(delta,3*dl_norm);
delta *= 2;
}
}
@ -485,7 +488,7 @@ optim.dog_leg = function (subsys, rough) {
iter++;
}
log.push(stop);
window.___log(log);
//window.___log(log);
return {
evalCount: iter,
error: err,