com.expleague.ml.optimization.impl.GradientDescent 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.math.vectors.impl.vectors.ArrayVec;
import com.expleague.commons.util.logging.Logger;
import com.expleague.ml.optimization.FuncConvex;
import com.expleague.ml.optimization.Optimize;
import com.expleague.ml.optimization.PDQuadraticFunction;

/**
 * User: qde
 * Date: 25.04.13
 * Time: 23:41
 */
public class GradientDescent implements Optimize {
  private static final Logger LOG = Logger.create(GradientDescent.class);
  private final Vec x0;
  private final double eps;

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

    @Override
    public Vec optimize(final FuncConvex func, Vec x0) {
        final boolean isQuadraticFunc = func instanceof PDQuadraticFunction;

        final double constStep = 1.0 / func.getGradLipParam();

        Vec x1 = VecTools.copy(x0);
        final Vec x2 = new ArrayVec(x0.dim());
        Vec grad = func.gradient().trans(x0);

        int iter = 0;

        double distance = 1;
        while (distance > eps && iter < 5000000) {
            final double step = isQuadraticFunc? getStepSizeForQuadraticFunc(func, grad) : constStep;
            for (int i = 0; i < x2.dim(); i++) {
                x2.set(i, x1.get(i) - grad.get(i) * step);
            }

            x1 = VecTools.copy(x2);
            grad = func.gradient().trans(x1);
            distance = VecTools.norm(grad) / func.getGlobalConvexParam();
            iter++;
        }

        LOG.message("GDM iterations = " + iter + "\n\n");
        return x2;
    }

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

  private double getStepSizeForQuadraticFunc(final FuncConvex func, final Vec grad) {
            return VecTools.multiply(grad, grad) / ((PDQuadraticFunction) func).getQuadrPartValue(grad);
    }
}