jsat.math.optimization

Class BFGS

java.lang.Object

jsat.math.optimization.BFGS

All Implemented Interfaces:

Optimizer

public class BFGS
extends java.lang.Object
implements Optimizer

Implementation of the Broyden–Fletcher–Goldfarb–Shanno (BFGS) algorithm for function minimization. For n dimensional problems it requires O(n²) work per iteration and uses first order information to approximate the Hessian.

Constructor Summary

Constructors

Constructor and Description
BFGS() Creates a new BFGS optimization object that uses a maximum of 250 iterations and a backtracking line search.
BFGS(int maxIterations, LineSearch lineSearch) Creates a new BFGS optimization object

Method Summary

Modifier and Type	Method and Description
Optimizer	clone()
LineSearch	getLineSearch() Returns the line search method used at each iteration
int	getMaximumIterations() Returns the maximum number of iterations to perform
boolean	isInftNormCriterion() Returns whether or not the infinity norm (true) or 2 norm (false) is used to determine convergence.
void	optimize(double tolerance, Vec w, Vec x0, Function f, FunctionVec fp, boolean parallel) Attempts to optimize the given function by finding the value of w that will minimize the value returned by f(w), using w = x0 as an initial starting point.
void	setInftNormCriterion(boolean inftNormCriterion) By default the infinity norm is used to judge convergence.
void	setLineSearch(LineSearch lineSearch) Sets the line search method used at each iteration
void	setMaximumIterations(int iterations) Sets the maximum number of iterations allowed for the optimization method

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface jsat.math.optimization.Optimizer

optimize

Constructor Detail

BFGS

public BFGS()

Creates a new BFGS optimization object that uses a maximum of 250 iterations and a backtracking line search.

BFGS

public BFGS(int maxIterations,
            LineSearch lineSearch)

Creates a new BFGS optimization object

Parameters:

maxIterations - the maximum number of iterations to allow before stopping

lineSearch - the line search method to use on updates

Method Detail

optimize

public void optimize(double tolerance,
                     Vec w,
                     Vec x0,
                     Function f,
                     FunctionVec fp,
                     boolean parallel)

Description copied from interface: Optimizer

Attempts to optimize the given function by finding the value of w that will minimize the value returned by f(w), using w = x₀ as an initial starting point.

Specified by:

optimize in interface Optimizer

Parameters:

tolerance - the value that the gradient norm must be less than to consider converged

w - the the location to store the final solution

x0 - the initial guess for the solution. This value will not be changed, and intermediate matrices will be created as the same type.

f - the objective function to minimizer

fp - the derivative of the objective function, may be null depending on the optimizer

parallel - true if multiple threads should be used for optimization, or false if a single thread should be used.

setInftNormCriterion

public void setInftNormCriterion(boolean inftNormCriterion)

By default the infinity norm is used to judge convergence. If set to false, the 2 norm will be used instead.

Parameters:

inftNormCriterion -

isInftNormCriterion

public boolean isInftNormCriterion()

Returns whether or not the infinity norm (true) or 2 norm (false) is used to determine convergence.

Returns:

true if the infinity norm is in use, false for the 2 norm

setMaximumIterations

public void setMaximumIterations(int iterations)

Description copied from interface: Optimizer

Sets the maximum number of iterations allowed for the optimization method

Specified by:

setMaximumIterations in interface Optimizer

Parameters:

iterations - the maximum number of iterations to perform

getMaximumIterations

public int getMaximumIterations()

Description copied from interface: Optimizer

Returns the maximum number of iterations to perform

Specified by:

getMaximumIterations in interface Optimizer

Returns:

the maximum number of iterations to perform

setLineSearch

public void setLineSearch(LineSearch lineSearch)

Sets the line search method used at each iteration

Parameters:

lineSearch - the line search method used at each iteration

getLineSearch

public LineSearch getLineSearch()

Returns the line search method used at each iteration

Returns:

the line search method used at each iteration

clone

public Optimizer clone()

Specified by:

clone in interface Optimizer

Overrides:

clone in class java.lang.Object