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bfgs impl

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This commit is contained in:
Val Erastov 2014-10-18 10:52:27 -07:00
parent 0aef7f366a
commit 2216088263
1 changed files with 37 additions and 33 deletions
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70
web/app/math/optim.js
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@ -11,10 +11,7 @@ TCAD.math.solve_BFGS = function(subsys, convergence, smallF) {
return "Success";
}
var Dy; //Vector
var xdir; //Vector
var D = new TCAD.math.Matrix(xsize, xsize);
D.identity();
var B = new TCAD.math.Matrix(xsize, xsize);
B.identity();
var x = new TCAD.math.Vector(xsize);
@ -49,39 +46,11 @@ TCAD.math.solve_BFGS = function(subsys, convergence, smallF) {
subsys.calcGrad(grad.data);
y = grad.subtract(y); // = grad - gradold
var hty = h.dot(y);
//make sure that hty is never 0
if (hty == 0)
hty = .0000000001;
Dy = D.multiply(y);
var ytDy = y.dot(Dy);
//Now calculate the BFGS update on D
var B_x_h = B.multiply(h);
var hT_x_B = h.transpose().multiply(B);
var yT = y.transpose();
var y_x_yT = y.multiply(yT);
var yT_x_h = y.dot(h);
//Now calculate the BFGS update on B
B = B.add( y_x_yT.scalarMultiply( 1 / yT_x_h ) );
B = B.subtract( ( B_x_h.multiply(hT_x_B) ).scalarMultiply( 1./h.dot(B_x_h) ) );
// TCAD.math.bfgsUpdate(B, h, y);
TCAD.math.bfgsUpdateInverse(B, y, h);
D = D.add( h.scalarMultiply(( 1.+ytDy/hty ) / hty).multiply( h.transpose() ) );
D = D.subtract((
h.multiply(Dy.transpose())
.add(Dy.multiply(h.transpose()))
).scalarMultiply(1. / hty)
);
// xdir = D.multiply(grad).scalarMultiply(-1);
xdir = B.multiply(grad).scalarMultiply(-1);
// xdir = grad.scalarMultiply(-1);
TCAD.math.lineSearch(subsys, xdir);
@ -99,6 +68,41 @@ TCAD.math.solve_BFGS = function(subsys, convergence, smallF) {
return "Failed";
};
TCAD.math.bfgsUpdateInverse = function(H, y, s) {
// 18.16
var I = new TCAD.math.Matrix(s.rSize, s.rSize);
I.identity();
var yT = y.transpose();
var sT = s.transpose();
var yT_x_s = y.dot(s);
if (yT_x_s == 0) yT_x_h = .0000000001;
var p = 1 / yT_x_s;
var A = I.subtract( s.multiply(yT).scalarMultiply(p) )
var B = I.subtract( y.multiply(sT).scalarMultiply(p) )
var C = s.multiply(sT).scalarMultiply(p)
return A.multiply(H).multiply(C).add(C);
};
TCAD.math.bfgsUpdate = function(B, y, h) {
var B_x_h = B.multiply(h);
var hT_x_B = h.transpose().multiply(B);
var yT = y.transpose();
var y_x_yT = y.multiply(yT);
var yT_x_h = y.dot(h);
var hT_x_B_x_h = h.dot(B_x_h)
if (yT_x_h == 0) yT_x_h = .0000000001;
if (hT_x_B_x_h == 0) hT_x_B_x_h = .0000000001;
B = B.add( y_x_yT.scalarMultiply( 1 / yT_x_h ) );
B = B.subtract( ( B_x_h.multiply(hT_x_B) ).scalarMultiply( 1./hT_x_B_x_h ) );
};
TCAD.math.solve_SD = function(subsys) {
var i = 0;