1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
use errors::*;
#[derive(Debug)]
pub enum TerminationReason {
MaxNumberIterations,
Converged,
Unkown,
}
pub struct BacktrackingLineSearch<'a> {
cost_function: &'a Fn(&Vec<f64>) -> f64,
gradient: &'a Fn(&Vec<f64>) -> Vec<f64>,
alpha: f64,
max_iters: u64,
tau: f64,
c: f64,
}
impl<'a> BacktrackingLineSearch<'a> {
pub fn new(
cost_function: &'a Fn(&Vec<f64>) -> f64,
gradient: &'a Fn(&Vec<f64>) -> Vec<f64>,
) -> Self {
BacktrackingLineSearch {
cost_function: cost_function,
gradient: gradient,
alpha: 1.0,
max_iters: 100,
tau: 0.5,
c: 0.5,
}
}
pub fn alpha(&mut self, alpha: f64) -> &mut Self {
self.alpha = alpha;
self
}
pub fn max_iters(&mut self, max_iters: u64) -> &mut Self {
self.max_iters = max_iters;
self
}
pub fn c(&mut self, c: f64) -> Result<&mut Self> {
if c >= 1.0 || c <= 0.0 {
return Err(ErrorKind::InvalidParameter(
"BacktrackingLineSearch: Parameter `c` must satisfy 0 < c < 1.".into(),
).into());
}
self.c = c;
Ok(self)
}
pub fn tau(&mut self, tau: f64) -> Result<&mut Self> {
if tau >= 1.0 || tau <= 0.0 {
return Err(ErrorKind::InvalidParameter(
"BacktrackingLineSearch: Parameter `tau` must satisfy 0 < tau < 1.".into(),
).into());
}
self.tau = tau;
Ok(self)
}
pub fn run(&self, p: &[f64], x: &[f64]) -> Result<(f64, u64, TerminationReason)> {
let m: f64 = p.iter()
.zip((self.gradient)(&(x.to_owned())).iter())
.map(|(a, b)| a * b)
.sum();
let t = -self.c * m;
let fx = (self.cost_function)(&(x.to_owned()));
let termination_reason;
let mut idx = 0;
let mut alpha = self.alpha;
loop {
let param = p.iter().zip(x.iter()).map(|(a, b)| b + alpha * a).collect();
if fx - (self.cost_function)(¶m) >= alpha * t {
termination_reason = TerminationReason::Converged;
break;
}
if idx > self.max_iters {
termination_reason = TerminationReason::MaxNumberIterations;
break;
}
idx += 1;
alpha *= self.tau;
}
Ok((alpha, idx, termination_reason))
}
}