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bfgs impl

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This commit is contained in:
Val Erastov 2014-10-18 11:52:38 -07:00
parent 2216088263
commit 52f5fb2e1c
1 changed files with 21 additions and 10 deletions
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31
web/app/math/optim.js
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@ -20,7 +20,7 @@ TCAD.math.solve_BFGS = function(subsys, convergence, smallF) {
var y = new TCAD.math.Vector(xsize);
// Initial unknowns vector and initial gradient vector
subsys.fillParams(x.data);
TCAD.math.fillParams(subsys, x.data);
subsys.calcGrad(grad.data);
// Initial search direction oposed to gradient (steepest-descent)
@ -29,7 +29,7 @@ TCAD.math.solve_BFGS = function(subsys, convergence, smallF) {
var err = subsys.errorSquare();
h = x.copy();
subsys.fillParams(x.data);
TCAD.math.fillParams(subsys, x.data);
h = x.subtract(h); // = x - xold
var maxIterNumber = 100 * xsize;
@ -57,7 +57,7 @@ TCAD.math.solve_BFGS = function(subsys, convergence, smallF) {
err = subsys.errorSquare();
h = x.copy();
subsys.fillParams(x.data);
TCAD.math.fillParams(subsys, x.data);
h = x.subtract(h); // = x - xold
}
@ -68,6 +68,18 @@ TCAD.math.solve_BFGS = function(subsys, convergence, smallF) {
return "Failed";
};
TCAD.math.fillParams = function(sys, out) {
for (var p = 0; p < sys.params.length; p++) {
out[p][0] = sys.params[p].get();
}
};
TCAD.math.setParams2 = function(sys, point) {
for (var p = 0; p < sys.params.length; p++) {
sys.params[p].set(point[p][0]);
}
};
TCAD.math.bfgsUpdateInverse = function(H, y, s) {
// 18.16
var I = new TCAD.math.Matrix(s.rSize, s.rSize);
@ -86,7 +98,6 @@ TCAD.math.bfgsUpdateInverse = function(H, y, s) {
return A.multiply(H).multiply(C).add(C);
};
TCAD.math.bfgsUpdate = function(B, y, h) {
var B_x_h = B.multiply(h);
@ -128,7 +139,7 @@ TCAD.math.lineSearch = function(subsys, xdir) {
var x0 = new TCAD.math.Vector(subsys.params.length);
//Save initial values
subsys.fillParams(x0.data);
TCAD.math.fillParams(subsys, x0.data);
//Start at the initial position alpha1 = 0
alpha1 = 0.;
@ -137,13 +148,13 @@ TCAD.math.lineSearch = function(subsys, xdir) {
//Take a step of alpha2 = 1
alpha2 = 1.;
x = x0.add(xdir.scalarMultiply(alpha2));
subsys.setParams2(x.data);
TCAD.math.setParams2(subsys, x.data);
f2 = subsys.errorSquare();
//Take a step of alpha3 = 2*alpha2
alpha3 = alpha2*2;
x = x0.add(xdir.scalarMultiply(alpha3));
subsys.setParams2(x.data);
TCAD.math.setParams2(subsys, x.data);
f3 = subsys.errorSquare();
//Now reduce or lengthen alpha2 and alpha3 until the minimum is
@ -156,7 +167,7 @@ TCAD.math.lineSearch = function(subsys, xdir) {
f3 = f2;
alpha2 = alpha2 / 2;
x = x0.add( xdir.scalarMultiply(alpha2 ));
subsys.setParams2(x.data);
TCAD.math.setParams2(subsys, x.data);
f2 = subsys.errorSquare();
}
else if (f2 > f3) {
@ -168,7 +179,7 @@ TCAD.math.lineSearch = function(subsys, xdir) {
f2 = f3;
alpha3 = alpha3 * 2;
x = x0.add( xdir.scalarMultiply(alpha3));
subsys.setParams2(x.data);
TCAD.math.setParams2(subsys, x.data);
f3 = subsys.errorSquare();
}
}
@ -187,7 +198,7 @@ TCAD.math.lineSearch = function(subsys, xdir) {
//Take a final step to alphaStar
x = x0 .add( xdir.scalarMultiply( alphaStar ) );
subsys.setParams2(x.data);
TCAD.math.setParams2(subsys, x.data);
return alphaStar;