gmm_solver_bfgs.h

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/* -*- c++ -*- (enables emacs c++ mode) */
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/**@file gmm_solver_bfgs.h 
   @author  Yves Renard <[email protected]>
   @date October 14 2004.
   @brief Implements BFGS (Broyden, Fletcher, Goldfarb, Shanno) algorithm.
 */
#ifndef GMM_BFGS_H
#define GMM_BFGS_H
 
#include "gmm_kernel.h"
#include "gmm_iter.h"
 
namespace gmm {
 
  // BFGS algorithm (Broyden, Fletcher, Goldfarb, Shanno)
  // Quasi Newton method for optimization problems.
  // with Wolfe Line search.
 
 
  // delta[k] = x[k+1] - x[k]
  // gamma[k] = grad f(x[k+1]) - grad f(x[k])
  // H[0] = I
  // BFGS : zeta[k] = delta[k] - H[k] gamma[k]
  // DFP  : zeta[k] = H[k] gamma[k]
  // tau[k] = gamma[k]^T zeta[k]
  // rho[k] = 1 / gamma[k]^T delta[k]
  // BFGS : H[k+1] = H[k] + rho[k](zeta[k] delta[k]^T + delta[k] zeta[k]^T)
  //                 - rho[k]^2 tau[k] delta[k] delta[k]^T
  // DFP  : H[k+1] = H[k] + rho[k] delta[k] delta[k]^T 
  //                 - (1/tau[k])zeta[k] zeta[k]^T 
 
  // Object representing the inverse of the Hessian
  template <typename VECTOR> struct bfgs_invhessian {
    
    typedef typename linalg_traits<VECTOR>::value_type T;
    typedef typename number_traits<T>::magnitude_type R;
 
    std::vector<VECTOR> delta, gamma, zeta;
    std::vector<T> tau, rho;
    int version;
 
    template<typename VEC1, typename VEC2> void hmult(const VEC1 &X, VEC2 &Y) {
      copy(X, Y);
      for (size_type k = 0 ; k < delta.size(); ++k) {
        T xdelta = vect_sp(X, delta[k]), xzeta = vect_sp(X, zeta[k]);
        switch (version) {
        case 0 : // BFGS
          add(scaled(zeta[k], rho[k]*xdelta), Y);
          add(scaled(delta[k], rho[k]*(xzeta-rho[k]*tau[k]*xdelta)), Y);
          break;
        case 1 : // DFP
          add(scaled(delta[k], rho[k]*xdelta), Y);
          add(scaled(zeta[k], -xzeta/tau[k]), Y);
          break;
        }
      }
    }
    
    void restart(void) {
      delta.resize(0); gamma.resize(0); zeta.resize(0); 
      tau.resize(0); rho.resize(0);
    }
    
    template<typename VECT1, typename VECT2>
    void update(const VECT1 &deltak, const VECT2 &gammak) {
      T vsp = vect_sp(deltak, gammak);
      if (vsp == T(0)) return;
      size_type N = vect_size(deltak), k = delta.size();
      VECTOR Y(N);
      hmult(gammak, Y);
      delta.resize(k+1); gamma.resize(k+1); zeta.resize(k+1);
      tau.resize(k+1); rho.resize(k+1);
      resize(delta[k], N); resize(gamma[k], N); resize(zeta[k], N); 
      gmm::copy(deltak, delta[k]);
      gmm::copy(gammak, gamma[k]);
      rho[k] = R(1) / vsp;
      if (version == 0)
        add(delta[k], scaled(Y, -1), zeta[k]);
      else
        gmm::copy(Y, zeta[k]);
      tau[k] = vect_sp(gammak,  zeta[k]);
    }
    
    bfgs_invhessian(int v = 0) { version = v; }
  };
 
 
  template <typename FUNCTION, typename DERIVATIVE, typename VECTOR> 
  void bfgs(const FUNCTION &f, const DERIVATIVE &grad, VECTOR &x,
            int restart, iteration& iter, int version = 0,
            double lambda_init=0.001, double print_norm=1.0) {
 
    typedef typename linalg_traits<VECTOR>::value_type T;
    typedef typename number_traits<T>::magnitude_type R;
    
    bfgs_invhessian<VECTOR> invhessian(version);
    VECTOR r(vect_size(x)), d(vect_size(x)), y(vect_size(x)), r2(vect_size(x));
    grad(x, r);
    R lambda = lambda_init, valx = f(x), valy;
    int nb_restart(0);
    
    if (iter.get_noisy() >= 1) cout << "value " << valx / print_norm << " ";
    while (! iter.finished_vect(r)) {
 
      invhessian.hmult(r, d); gmm::scale(d, T(-1));
      
      // Wolfe Line search
      R derivative = gmm::vect_sp(r, d);    
      R lambda_min(0), lambda_max(0), m1 = 0.27, m2 = 0.57;
      bool unbounded = true, blocked = false, grad_computed = false;
      
      for(;;) {
        add(x, scaled(d, lambda), y);
        valy = f(y);
        if (iter.get_noisy() >= 2) {
          cout.precision(15);
          cout << "Wolfe line search, lambda = " << lambda 
               << " value = " << valy /print_norm << endl;
//             << " derivative = " << derivative
//             << " lambda min = " << lambda_min << " lambda max = "
//             << lambda_max << endl; getchar();
        }
        if (valy <= valx + m1 * lambda * derivative) {
          grad(y, r2); grad_computed = true;
          T derivative2 = gmm::vect_sp(r2, d);
          if (derivative2 >= m2*derivative) break;
          lambda_min = lambda;
        }
        else {
          lambda_max = lambda;
          unbounded = false;
        }
        if (unbounded) lambda *= R(10);
        else  lambda = (lambda_max + lambda_min) / R(2);
        if (lambda == lambda_max || lambda == lambda_min) break;
        // valy <= R(2)*valx replaced by
        // valy <= valx + gmm::abs(derivative)*lambda_init
        // for compatibility with negative values (08.24.07).
        if (valy <= valx + R(2)*gmm::abs(derivative)*lambda &&
            (lambda < R(lambda_init*1E-8) ||
             (!unbounded && lambda_max-lambda_min < R(lambda_init*1E-8))))
        { blocked = true; lambda = lambda_init; break; }
      }
 
      // Rank two update
      ++iter;
      if (!grad_computed) grad(y, r2);
      gmm::add(scaled(r2, -1), r);
      if ((iter.get_iteration() % restart) == 0 || blocked) { 
        if (iter.get_noisy() >= 1) cout << "Restart\n";
        invhessian.restart();
        if (++nb_restart > 10) {
          if (iter.get_noisy() >= 1) cout << "BFGS is blocked, exiting\n";
          return;
        }
      }
      else {
        invhessian.update(gmm::scaled(d,lambda), gmm::scaled(r,-1));
        nb_restart = 0;
      }
      copy(r2, r); copy(y, x); valx = valy;
      if (iter.get_noisy() >= 1)
        cout << "BFGS value " << valx/print_norm << "\t";
    }
 
  }
 
 
  template <typename FUNCTION, typename DERIVATIVE, typename VECTOR> 
  inline void dfp(const FUNCTION &f, const DERIVATIVE &grad, VECTOR &x,
            int restart, iteration& iter, int version = 1) {
    bfgs(f, grad, x, restart, iter, version);
 
  }
 
 
}
 
#endif