com.expleague.ml.optimization.impl.FlexStepDescent Maven / Gradle / Ivy

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package com.expleague.ml.optimization.impl;

import com.expleague.commons.math.vectors.Vec;
import com.expleague.commons.math.vectors.VecTools;
import com.expleague.commons.util.logging.Logger;
import com.expleague.ml.optimization.FuncConvex;
import com.expleague.ml.optimization.Optimize;

/**
 * Created with IntelliJ IDEA.
 * User: towelenee
 * Date: 10.12.13
 * Time: 21:21
 * Idea please stop making my code yellow
 */
public class FlexStepDescent implements Optimize {
    private static final Logger LOG = Logger.create(FlexStepDescent.class);
    private final Vec x0;
    private final double eps;

    public FlexStepDescent(final Vec x0, final double eps) {
        this.x0 = x0;
        this.eps = eps;
    }

    Vec addXtoCY(final Vec x, final Vec y, final double c) {
        final Vec ans = VecTools.copy(x);
        for (int i = 0; i < x.dim(); i++)
            ans.set(i, x.get(i) + y.get(i) * c);
        return ans;
    }

    @Override
    public Vec optimize(final FuncConvex func, final Vec x0) {
        Vec x1 = VecTools.copy(x0);
        Vec grad = func.gradient().trans(x0);
        double distance = 1;
        double step = 1;
        int iter = 0;
        while (distance > eps && iter < 5000000) {
            iter++;
            final double currentValue = func.value(x1);
            while (func.value(addXtoCY(x1, grad, -step)) >= currentValue) {
                //System.out.println(scaleMultiply(func.gradient().trans(addXtoCY(x1, grad, -step)), grad));
                step *= 2;
            }
            while (func.value(addXtoCY(x1, grad, -step)) > currentValue)
                step /= 2;
            x1 = addXtoCY(x1, grad, -step);
            grad = func.gradient().trans(x1);
            distance = VecTools.norm(grad);
            //LOG.message(String.valueOf(distance));
        }
        return x1;
    }

    @Override
    public Vec optimize(FuncConvex func) {
        return optimize(func, x0);
    }
}