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Adds draft implementation of LR

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This commit is contained in:
Volodymyr Orlov
2019-12-10 18:02:02 -08:00
parent b5e677e615
commit 4411b57219
11 changed files with 749 additions and 114 deletions
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src/optimization/line_search.rs
+14 -19
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@@ -38,7 +38,7 @@ impl LineSearchMethod for Backtracking {
fn search<'a>(&self, f: &(dyn Fn(f64) -> f64), _: &(dyn Fn(f64) -> f64), alpha: f64, f0: f64, df0: f64) -> LineSearchResult {
let (mut a1, mut a2) = (alpha, alpha);
let (mut fx0, mut fx1) = (f0, f(a1));
let (mut fx0, mut fx1) = (f0, f(a1));
let mut iterfinite = 0;
while !fx1.is_finite() && iterfinite < self.max_infinity_iterations {
@@ -58,26 +58,21 @@ impl LineSearchMethod for Backtracking {
let a_tmp;
match self.order {
if self.order == FunctionOrder::SECOND || iteration == 0 {
FunctionOrder::FIRST | FunctionOrder::SECOND => {
a_tmp = - (df0 * a2.powf(2.)) / (2. * (fx1 - f0 - df0*a2))
},
a_tmp = - (df0 * a2.powf(2.)) / (2. * (fx1 - f0 - df0*a2))
} else {
FunctionOrder::THIRD => {
let div = 1. / (a1.powf(2.) * a2.powf(2.) * (a2 - a1));
let a = (a1.powf(2.) * (fx1 - f0 - df0*a2) - a2.powf(2.)*(fx0 - f0 - df0*a1))*div;
let b = (-a1.powf(3.) * (fx1 - f0 - df0*a2) + a2.powf(3.)*(fx0 - f0 - df0*a1))*div;
let div = 1. / (a1.powf(2.) * a2.powf(2.) * (a2 - a1));
let a = (a1.powf(2.) * (fx1 - f0 - df0*a2) - a2.powf(2.)*(fx0 - f0 - df0*a1))*div;
let b = (-a1.powf(3.) * (fx1 - f0 - df0*a2) + a2.powf(3.)*(fx0 - f0 - df0*a1))*div;
if (a - 0.).powf(2.).sqrt() <= EPSILON {
a_tmp = df0 / (2. * b);
} else {
let d = f64::max(b.powf(2.) - 3. * a * df0, 0.);
a_tmp = (-b + d.sqrt()) / (3.*a); //root of quadratic equation
}
if (a - 0.).powf(2.).sqrt() <= EPSILON {
a_tmp = df0 / (2. * b);
} else {
let d = f64::max(b.powf(2.) - 3. * a * df0, 0.);
a_tmp = (-b + d.sqrt()) / (3.*a); //root of quadratic equation
}
}
@@ -85,7 +80,7 @@ impl LineSearchMethod for Backtracking {
a2 = f64::max(f64::min(a_tmp, a2*self.phi), a2*self.plo);
fx0 = fx1;
fx1 = f(a2);
fx1 = f(a2);
iteration += 1;
}