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With inspiration from other libraries
/*
* Licensed to the Apache Software Foundation (ASF) under one or more
* contributor license agreements. See the NOTICE file distributed with
* this work for additional information regarding copyright ownership.
* The ASF licenses this file to You under the Apache License, Version 2.0
* (the "License"); you may not use this file except in compliance with
* the License. You may obtain a copy of the License at
*
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
package org.apache.commons.math3.optim.nonlinear.scalar;
import org.apache.commons.math3.optim.univariate.UnivariateOptimizer;
import org.apache.commons.math3.optim.univariate.BrentOptimizer;
import org.apache.commons.math3.optim.univariate.BracketFinder;
import org.apache.commons.math3.optim.univariate.UnivariatePointValuePair;
import org.apache.commons.math3.optim.univariate.SimpleUnivariateValueChecker;
import org.apache.commons.math3.optim.univariate.SearchInterval;
import org.apache.commons.math3.optim.univariate.UnivariateObjectiveFunction;
import org.apache.commons.math3.analysis.UnivariateFunction;
import org.apache.commons.math3.optim.MaxEval;
/**
* Class for finding the minimum of the objective function along a given
* direction.
*
* @since 3.3
*/
public class LineSearch {
/**
* Value that will pass the precondition check for {@link BrentOptimizer}
* but will not pass the convergence check, so that the custom checker
* will always decide when to stop the line search.
*/
private static final double REL_TOL_UNUSED = 1e-15;
/**
* Value that will pass the precondition check for {@link BrentOptimizer}
* but will not pass the convergence check, so that the custom checker
* will always decide when to stop the line search.
*/
private static final double ABS_TOL_UNUSED = Double.MIN_VALUE;
/**
* Optimizer used for line search.
*/
private final UnivariateOptimizer lineOptimizer;
/**
* Automatic bracketing.
*/
private final BracketFinder bracket = new BracketFinder();
/**
* Extent of the initial interval used to find an interval that
* brackets the optimum.
*/
private final double initialBracketingRange;
/**
* Optimizer on behalf of which the line search must be performed.
*/
private final MultivariateOptimizer mainOptimizer;
/**
* The {@code BrentOptimizer} default stopping criterion uses the
* tolerances to check the domain (point) values, not the function
* values.
* The {@code relativeTolerance} and {@code absoluteTolerance}
* arguments are thus passed to a {@link SimpleUnivariateValueChecker
* custom checker} that will use the function values.
*
* @param optimizer Optimizer on behalf of which the line search
* be performed.
* Its {@link MultivariateOptimizer#computeObjectiveValue(double[])
* computeObjectiveValue} method will be called by the
* {@link #search(double[],double[]) search} method.
* @param relativeTolerance Search will stop when the function relative
* difference between successive iterations is below this value.
* @param absoluteTolerance Search will stop when the function absolute
* difference between successive iterations is below this value.
* @param initialBracketingRange Extent of the initial interval used to
* find an interval that brackets the optimum.
* If the optimized function varies a lot in the vicinity of the optimum,
* it may be necessary to provide a value lower than the distance between
* successive local minima.
*/
public LineSearch(MultivariateOptimizer optimizer,
double relativeTolerance,
double absoluteTolerance,
double initialBracketingRange) {
mainOptimizer = optimizer;
lineOptimizer = new BrentOptimizer(REL_TOL_UNUSED,
ABS_TOL_UNUSED,
new SimpleUnivariateValueChecker(relativeTolerance,
absoluteTolerance));
this.initialBracketingRange = initialBracketingRange;
}
/**
* Finds the number {@code alpha} that optimizes
* {@code f(startPoint + alpha * direction)}.
*
* @param startPoint Starting point.
* @param direction Search direction.
* @return the optimum.
* @throws org.apache.commons.math3.exception.TooManyEvaluationsException
* if the number of evaluations is exceeded.
*/
public UnivariatePointValuePair search(final double[] startPoint,
final double[] direction) {
final int n = startPoint.length;
final UnivariateFunction f = new UnivariateFunction() {
/** {@inheritDoc} */
public double value(double alpha) {
final double[] x = new double[n];
for (int i = 0; i < n; i++) {
x[i] = startPoint[i] + alpha * direction[i];
}
final double obj = mainOptimizer.computeObjectiveValue(x);
return obj;
}
};
final GoalType goal = mainOptimizer.getGoalType();
bracket.search(f, goal, 0, initialBracketingRange);
// Passing "MAX_VALUE" as a dummy value because it is the enclosing
// class that counts the number of evaluations (and will eventually
// generate the exception).
return lineOptimizer.optimize(new MaxEval(Integer.MAX_VALUE),
new UnivariateObjectiveFunction(f),
goal,
new SearchInterval(bracket.getLo(),
bracket.getHi(),
bracket.getMid()));
}
}