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gnn_bfgs.h

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/***************************************************************************
 *  @file gnn_bfgs.h
 *  @brief gnn_bfgs Header File.
 *
 *  @date   : 05-10-03 01:05
 *  @author : Pedro Ortega C. <peortega@dcc.uchile.cl>
 *  Copyright  2003  Pedro Ortega C.
 ****************************************************************************/
/*
 *  This program is free software; you can redistribute it and/or modify
 *  it under the terms of the GNU General Public License as published by
 *  the Free Software Foundation; either version 2 of the License, or
 *  (at your option) any later version.
 *
 *  This program is distributed in the hope that it will be useful,
 *  but WITHOUT ANY WARRANTY; without even the implied warranty of
 *  MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
 *  GNU Library General Public License for more details.
 *
 *  You should have received a copy of the GNU General Public License
 *  along with this program; if not, write to the Free Software
 *  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA.
 */

#ifndef _GNN_BFGS_H_
#define _GNN_BFGS_H_



/******************************************/
/* Include Files                          */
/******************************************/

#include "gnn_line_search.h"
#include "gnn_trainer.h"



/******************************************/
/* Typedefs and Definitions               */
/******************************************/

/**
 * @brief Default precision for line search procedures.
 * @ingroup gnn_bfgs_doc
 *
 * This constant defines the tolerance for the line search procedure used by
 * the conjugate gradients algorithm.
 */
#define GNN_BFGS_TOL 0.0001

/**
 * @brief Default bracketing step taken by the line search procedures.
 * @ingroup gnn_bfgs_doc
 *
 * This constant defines the initial step taken by the bracketing algorithm
 * to search the minimum along the line.
 */
#define GNN_BFGS_STEP 0.1

/**
 * @brief Default restart.
 * @ingroup gnn_bfgs_doc
 *
 * This constant defines the default number of iterations that the conjugate
 * gradients algorithm takes before restarting the algorithm.
 */
#define GNN_BFGS_RESTART 100

/**
 * @brief Default line search procedure.
 * @ingroup gnn_bfgs_doc
 *
 * This is the default line search procedure used by the conjugate gradients
 * algorithm.
 */
#define GNN_BFGS_ALPHA   gnn_line_search_brent

/**
 * @brief Type for \f$\beta\f$ evaluation procedures.
 * @ingroup gnn_bfgs_doc
 *
 * This type defines the form of the procedures for computing the \f$\beta\f$
 * coefficient used by the conjugate gradients method.
 */
typedef double (*gnn_bfgs_beta) (gnn_trainer *trainer);

/**
 * @brief Conjugate gradients trainer structure.
 * @ingroup gnn_bfgs_doc
 *
 * This type extends the basic \ref gnn_trainer structure for the conjugate
 * gradients trainer.
 */
typedef struct _gnn_bfgs gnn_bfgs;

struct _gnn_bfgs
{
    gnn_trainer trainer;
    gsl_vector *wnew;   /**< new parameter vector   */
    gsl_vector *wold;   /**< old parameter vector   */
    gsl_vector *gnew;   /**< new gradient vector    */
    gsl_vector *gold;   /**< old gradient vector    */
    gsl_vector *u;      /**< auxiliary vector       */
    gsl_vector *v;      /**< auxiliary vector       */
    gsl_vector *p;      /**< auxiliary vector       */
    gsl_vector *q;      /**< auxiliary vector       */
    gsl_matrix *G;      /**< inverse Hessian approximation */
    
    gsl_matrix_view Uview;       /**< matrix view of auxiliary vector */
    gsl_matrix_view Vview;       /**< matrix view of auxiliary vector */
    gsl_matrix_view Pview;       /**< matrix view of auxiliary vector */
    gsl_matrix_view Qview;       /**< matrix view of auxiliary vector */
    gsl_matrix *U;            /**< matrix pointer to auxiliary vector */
    gsl_matrix *V;            /**< matrix pointer to auxiliary vector */
    gsl_matrix *P;            /**< matrix pointer to auxiliary vector */
    gsl_matrix *Q;            /**< matrix pointer to auxiliary vector */

    gnn_line   *line;                  /**< line search buffers       */

    gnn_line_search_type alpha;        /**< line search procedure     */

    double step;  /**< Initial step taken to bracket search interval  */
    double tol;   /**< Required precision for line search procedure   */

    size_t iteration;   /**< Number of the current iteration          */
    size_t restart;     /**< Number of iterations required to restart */
};



/******************************************/
/* Public Interface                       */
/******************************************/

gnn_trainer *
gnn_bfgs_new (gnn_node *node, gnn_criterion *crit, gnn_dataset *data);

int
gnn_bfgs_set_tol (gnn_trainer *trainer, double tol);

double
gnn_bfgs_get_tol (gnn_trainer *trainer);

int
gnn_bfgs_set_step (gnn_trainer *trainer, double step);

double
gnn_bfgs_get_step (gnn_trainer *trainer);

int
gnn_bfgs_set_restart (gnn_trainer *trainer, size_t restart);

size_t
gnn_bfgs_get_restart (gnn_trainer *trainer);

int
gnn_bfgs_set_line_search (gnn_trainer *trainer,
                                        gnn_line_search_type lsearch);

gnn_line_search_type
gnn_bfgs_get_alpha (gnn_trainer *trainer);



#endif /* _GNN_BFGS_H_ */

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