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@ -3,9 +3,9 @@ |
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// http://numerics.mathdotnet.com
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// http://github.com/mathnet/mathnet-numerics
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// http://mathnetnumerics.codeplex.com
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//
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// Copyright (c) 2009-2013 Math.NET
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//
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//
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// Copyright (c) 2009-2015 Math.NET
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//
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// Permission is hereby granted, free of charge, to any person
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// obtaining a copy of this software and associated documentation
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// files (the "Software"), to deal in the Software without
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@ -14,10 +14,10 @@ |
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// copies of the Software, and to permit persons to whom the
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// Software is furnished to do so, subject to the following
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// conditions:
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//
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//
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// The above copyright notice and this permission notice shall be
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// included in all copies or substantial portions of the Software.
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//
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//
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// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
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// EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES
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// OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
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@ -30,13 +30,11 @@ |
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using System; |
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using System.Collections.Generic; |
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using MathNet.Numerics.LinearAlgebra; |
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using MathNet.Numerics.LinearAlgebra.Double; |
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using System.Linq; |
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using System.Text; |
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using MathNet.Numerics.Optimization.LineSearch; |
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namespace MathNet.Numerics.RootFinding |
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namespace MathNet.Numerics.Optimization |
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{ |
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/// <summary>
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/// Broyden-Fletcher-Goldfarb-Shanno solver for finding function minima
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@ -45,8 +43,8 @@ namespace MathNet.Numerics.RootFinding |
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/// </summary>
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public static class BfgsSolver |
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{ |
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private const double gradientTolerance = 1e-5; |
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private const int maxIterations = 100000; |
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private const double GradientTolerance = 1e-5; |
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private const int MaxIterations = 100000; |
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/// <summary>
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/// Finds a minimum of a function by the BFGS quasi-Newton method
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@ -63,7 +61,7 @@ namespace MathNet.Numerics.RootFinding |
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// H represents the approximation of the inverse hessian matrix
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// it is updated via the Sherman–Morrison formula (http://en.wikipedia.org/wiki/Sherman%E2%80%93Morrison_formula)
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Matrix<double> H = DenseMatrix.CreateIdentity(dim); |
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Vector<double> x = initialGuess; |
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Vector<double> x_old = x; |
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Vector<double> grad; |
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@ -94,13 +92,13 @@ namespace MathNet.Numerics.RootFinding |
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var yM = y.ToColumnMatrix(); |
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// Update the estimate of the hessian
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H = H |
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H = H |
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- rho * (sM * (yM.TransposeThisAndMultiply(H)) + (H * yM).TransposeAndMultiply(sM)) |
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+ rho * rho * (y.DotProduct(H * y) + 1.0 / rho) * (sM.TransposeAndMultiply(sM)); |
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x_old = x; |
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iter++; |
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} |
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while ((grad.InfinityNorm() > gradientTolerance) && (iter < maxIterations)); |
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while ((grad.InfinityNorm() > GradientTolerance) && (iter < MaxIterations)); |
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return x; |
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} |
Christoph Ruegg
11 years ago
Erik Ovegard