CDPL::Math::BFGSMinimizer< VA, VT, FVT > Class Template Reference

Fletcher's implementation of the BFGS method. More...

#include <BFGSMinimizer.hpp>

Inheritance diagram for CDPL::Math::BFGSMinimizer< VA, VT, FVT >:

Public Types
enum	Status {   SUCCESS = 0,   NO_PROGRESS = 1,   ITER_LIMIT_REACHED = 2,   GNORM_REACHED = 4,   DELTAF_REACHED = 8 }
typedef VA	VariableArrayType
typedef VT	ValueType
typedef FVT	FunctionValueType
typedef std::function< FVT(const VA &, VA &)>	GradientFunction
typedef std::function< FVT(const VA &)>	ObjectiveFunction

Public Member Functions
	BFGSMinimizer (const ObjectiveFunction &func, const GradientFunction &grad_func)
ValueType	getGradientNorm () const
ValueType	getFunctionDelta () const
ValueType	getFunctionValue () const
std::size_t	getNumIterations () const
Status	getStatus () const
Status	minimize (VariableArrayType &x, VariableArrayType &g, std::size_t max_iter, const ValueType &g_norm, const ValueType &delta_f, bool do_setup=true)
ValueType	setup (const VariableArrayType &x, VariableArrayType &g, const ValueType &step_size=0.001, const ValueType &tol=0.15)
Status	iterate (ValueType &f, VariableArrayType &x, VariableArrayType &g)

Detailed Description

template<typename VA, typename VT = typename MinimizerVariableArrayTraits<VA>::ValueType, typename FVT = VT>
class CDPL::Math::BFGSMinimizer< VA, VT, FVT >

Fletcher's implementation of the BFGS method.

The implementation has been taken from the GNU Scientific Library.

See also

R. Fletcher, "Practical Method's of Optimization", Second Edition, ISBN 0471915475. Algorithms 2.6.2 and 2.6.4.

Member Typedef Documentation

VariableArrayType

template<typename VA , typename VT = typename MinimizerVariableArrayTraits<VA>::ValueType, typename FVT = VT>

typedef VA CDPL::Math::BFGSMinimizer< VA, VT, FVT >::VariableArrayType

ValueType

template<typename VA , typename VT = typename MinimizerVariableArrayTraits<VA>::ValueType, typename FVT = VT>

typedef VT CDPL::Math::BFGSMinimizer< VA, VT, FVT >::ValueType

FunctionValueType

template<typename VA , typename VT = typename MinimizerVariableArrayTraits<VA>::ValueType, typename FVT = VT>

typedef FVT CDPL::Math::BFGSMinimizer< VA, VT, FVT >::FunctionValueType

GradientFunction

template<typename VA , typename VT = typename MinimizerVariableArrayTraits<VA>::ValueType, typename FVT = VT>

typedef std::function<FVT(const VA&, VA&)> CDPL::Math::BFGSMinimizer< VA, VT, FVT >::GradientFunction

ObjectiveFunction

template<typename VA , typename VT = typename MinimizerVariableArrayTraits<VA>::ValueType, typename FVT = VT>

typedef std::function<FVT(const VA&)> CDPL::Math::BFGSMinimizer< VA, VT, FVT >::ObjectiveFunction

Member Enumeration Documentation

Status

template<typename VA , typename VT = typename MinimizerVariableArrayTraits<VA>::ValueType, typename FVT = VT>

enum CDPL::Math::BFGSMinimizer::Status

Enumerator
SUCCESS
NO_PROGRESS
ITER_LIMIT_REACHED
GNORM_REACHED
DELTAF_REACHED

Constructor & Destructor Documentation

BFGSMinimizer()

template<typename VA , typename VT = typename MinimizerVariableArrayTraits<VA>::ValueType, typename FVT = VT>

CDPL::Math::BFGSMinimizer< VA, VT, FVT >::BFGSMinimizer ( const ObjectiveFunction &  func, const GradientFunction &  grad_func  )

inline

Member Function Documentation

getGradientNorm()

template<typename VA , typename VT = typename MinimizerVariableArrayTraits<VA>::ValueType, typename FVT = VT>

ValueType CDPL::Math::BFGSMinimizer< VA, VT, FVT >::getGradientNorm ( ) const

inline

getFunctionDelta()

template<typename VA , typename VT = typename MinimizerVariableArrayTraits<VA>::ValueType, typename FVT = VT>

ValueType CDPL::Math::BFGSMinimizer< VA, VT, FVT >::getFunctionDelta ( ) const

inline

getFunctionValue()

template<typename VA , typename VT = typename MinimizerVariableArrayTraits<VA>::ValueType, typename FVT = VT>

ValueType CDPL::Math::BFGSMinimizer< VA, VT, FVT >::getFunctionValue ( ) const

inline

getNumIterations()

template<typename VA , typename VT = typename MinimizerVariableArrayTraits<VA>::ValueType, typename FVT = VT>

std::size_t CDPL::Math::BFGSMinimizer< VA, VT, FVT >::getNumIterations ( ) const

inline

getStatus()

template<typename VA , typename VT = typename MinimizerVariableArrayTraits<VA>::ValueType, typename FVT = VT>

Status CDPL::Math::BFGSMinimizer< VA, VT, FVT >::getStatus ( ) const

inline

minimize()

template<typename VA , typename VT = typename MinimizerVariableArrayTraits<VA>::ValueType, typename FVT = VT>

Status CDPL::Math::BFGSMinimizer< VA, VT, FVT >::minimize ( VariableArrayType &  x, VariableArrayType &  g, std::size_t  max_iter, const ValueType &  g_norm, const ValueType &  delta_f, bool  do_setup = true  )

inline

setup()

template<typename VA , typename VT = typename MinimizerVariableArrayTraits<VA>::ValueType, typename FVT = VT>

ValueType CDPL::Math::BFGSMinimizer< VA, VT, FVT >::setup ( const VariableArrayType &  x, VariableArrayType &  g, const ValueType &  step_size = 0.001, const ValueType &  tol = 0.15  )

inline

iterate()

template<typename VA , typename VT = typename MinimizerVariableArrayTraits<VA>::ValueType, typename FVT = VT>

Status CDPL::Math::BFGSMinimizer< VA, VT, FVT >::iterate ( ValueType &  f, VariableArrayType &  x, VariableArrayType &  g  )

inline

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The documentation for this class was generated from the following file:

• BFGSMinimizer.hpp