Struct argmin::solver::quasinewton::SR1TrustRegion
source · [−]pub struct SR1TrustRegion<R, F> { /* private fields */ }
Expand description
SR1 Trust region method
A Quasi-Newton method which uses symmetric rank 1 (SR1) updating of the Hessian in a trust region framework. An initial parameter vector must be provided, initial cost, gradient and Hessian are optional and will be computed if not provided. Requires a trust region sub problem.
Requirements on the optimization problem
The optimization problem is required to implement CostFunction
, Gradient
and
Hessian
.
Reference
Jorge Nocedal and Stephen J. Wright (2006). Numerical Optimization. Springer. ISBN 0-387-30303-0.
Implementations
sourceimpl<R, F> SR1TrustRegion<R, F> where
F: ArgminFloat,
impl<R, F> SR1TrustRegion<R, F> where
F: ArgminFloat,
sourcepub fn new(subproblem: R) -> Self
pub fn new(subproblem: R) -> Self
Construct a new instance of SR1TrustRegion
Example
let subproblem = argmin::solver::trustregion::Steihaug::new().with_max_iters(20);
let sr1: SR1TrustRegion<_, f64> = SR1TrustRegion::new(subproblem);
sourcepub fn with_denominator_factor(
self,
denominator_factor: F
) -> Result<Self, Error>
pub fn with_denominator_factor(
self,
denominator_factor: F
) -> Result<Self, Error>
Set denominator factor
If the denominator of the update is below the demoninator_factor
(scaled with other
factors derived from the parameter vectors and the gradients), then the update of the
inverse Hessian will be skipped.
Must be in (0, 1)
and defaults to 1e-8
.
Example
let sr1: SR1TrustRegion<_, f64> = SR1TrustRegion::new(subproblem).with_denominator_factor(1e-7)?;
sourcepub fn with_radius(self, radius: F) -> Self
pub fn with_radius(self, radius: F) -> Self
Set initial radius
Defaults to 1.0.
Example
let sr1: SR1TrustRegion<_, f64> = SR1TrustRegion::new(subproblem).with_radius(2.0);
sourcepub fn with_eta(self, eta: F) -> Result<Self, Error>
pub fn with_eta(self, eta: F) -> Result<Self, Error>
Set eta
A step is taken if the actual reducation over the predicted reduction exceeds eta. Must be in (0, 10^-3) and defaults to 0.5 * 10^-3.
Example
let sr1: SR1TrustRegion<_, f64> = SR1TrustRegion::new(subproblem).with_eta(10e-4)?;
sourcepub fn with_tolerance_grad(self, tol_grad: F) -> Result<Self, Error>
pub fn with_tolerance_grad(self, tol_grad: F) -> Result<Self, Error>
The algorithm stops if the norm of the gradient is below tol_grad
.
The provided value must be non-negative. Defaults to 10^-3
.
Example
let sr1: SR1TrustRegion<_, f64> = SR1TrustRegion::new(subproblem).with_tolerance_grad(1e-6)?;
Trait Implementations
sourceimpl<R: Clone, F: Clone> Clone for SR1TrustRegion<R, F>
impl<R: Clone, F: Clone> Clone for SR1TrustRegion<R, F>
sourcefn clone(&self) -> SR1TrustRegion<R, F>
fn clone(&self) -> SR1TrustRegion<R, F>
Returns a copy of the value. Read more
1.0.0 · sourcefn clone_from(&mut self, source: &Self)
fn clone_from(&mut self, source: &Self)
Performs copy-assignment from source
. Read more
sourceimpl<'de, R, F> Deserialize<'de> for SR1TrustRegion<R, F> where
R: Deserialize<'de>,
F: Deserialize<'de>,
impl<'de, R, F> Deserialize<'de> for SR1TrustRegion<R, F> where
R: Deserialize<'de>,
F: Deserialize<'de>,
sourcefn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error> where
__D: Deserializer<'de>,
fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error> where
__D: Deserializer<'de>,
Deserialize this value from the given Serde deserializer. Read more
sourceimpl<R, F> Serialize for SR1TrustRegion<R, F> where
R: Serialize,
F: Serialize,
impl<R, F> Serialize for SR1TrustRegion<R, F> where
R: Serialize,
F: Serialize,
sourceimpl<O, R, P, G, B, F> Solver<O, IterState<P, G, (), B, F>> for SR1TrustRegion<R, F> where
O: CostFunction<Param = P, Output = F> + Gradient<Param = P, Gradient = G> + Hessian<Param = P, Hessian = B>,
P: Clone + SerializeAlias + DeserializeOwnedAlias + ArgminSub<P, P> + ArgminAdd<P, P> + ArgminDot<P, F> + ArgminDot<P, B> + ArgminNorm<F> + ArgminZeroLike,
G: Clone + SerializeAlias + DeserializeOwnedAlias + ArgminNorm<F> + ArgminDot<P, F> + ArgminSub<G, P>,
B: Clone + SerializeAlias + DeserializeOwnedAlias + ArgminDot<P, P> + ArgminAdd<B, B> + ArgminMul<F, B>,
R: Clone + TrustRegionRadius<F> + Solver<O, IterState<P, G, (), B, F>>,
F: ArgminFloat + ArgminNorm<F>,
impl<O, R, P, G, B, F> Solver<O, IterState<P, G, (), B, F>> for SR1TrustRegion<R, F> where
O: CostFunction<Param = P, Output = F> + Gradient<Param = P, Gradient = G> + Hessian<Param = P, Hessian = B>,
P: Clone + SerializeAlias + DeserializeOwnedAlias + ArgminSub<P, P> + ArgminAdd<P, P> + ArgminDot<P, F> + ArgminDot<P, B> + ArgminNorm<F> + ArgminZeroLike,
G: Clone + SerializeAlias + DeserializeOwnedAlias + ArgminNorm<F> + ArgminDot<P, F> + ArgminSub<G, P>,
B: Clone + SerializeAlias + DeserializeOwnedAlias + ArgminDot<P, P> + ArgminAdd<B, B> + ArgminMul<F, B>,
R: Clone + TrustRegionRadius<F> + Solver<O, IterState<P, G, (), B, F>>,
F: ArgminFloat + ArgminNorm<F>,
sourcefn init(
&mut self,
problem: &mut Problem<O>,
state: IterState<P, G, (), B, F>
) -> Result<(IterState<P, G, (), B, F>, Option<KV>), Error>
fn init(
&mut self,
problem: &mut Problem<O>,
state: IterState<P, G, (), B, F>
) -> Result<(IterState<P, G, (), B, F>, Option<KV>), Error>
Initializes the algorithm. Read more
sourcefn next_iter(
&mut self,
problem: &mut Problem<O>,
state: IterState<P, G, (), B, F>
) -> Result<(IterState<P, G, (), B, F>, Option<KV>), Error>
fn next_iter(
&mut self,
problem: &mut Problem<O>,
state: IterState<P, G, (), B, F>
) -> Result<(IterState<P, G, (), B, F>, Option<KV>), Error>
sourcefn terminate(&mut self, state: &IterState<P, G, (), B, F>) -> TerminationReason
fn terminate(&mut self, state: &IterState<P, G, (), B, F>) -> TerminationReason
Used to implement stopping criteria, in particular criteria which are not covered by
(terminate_internal
. Read more
sourcefn terminate_internal(&mut self, state: &I) -> TerminationReason
fn terminate_internal(&mut self, state: &I) -> TerminationReason
Checks whether basic termination reasons apply. Read more
Auto Trait Implementations
impl<R, F> RefUnwindSafe for SR1TrustRegion<R, F> where
F: RefUnwindSafe,
R: RefUnwindSafe,
impl<R, F> Send for SR1TrustRegion<R, F> where
F: Send,
R: Send,
impl<R, F> Sync for SR1TrustRegion<R, F> where
F: Sync,
R: Sync,
impl<R, F> Unpin for SR1TrustRegion<R, F> where
F: Unpin,
R: Unpin,
impl<R, F> UnwindSafe for SR1TrustRegion<R, F> where
F: UnwindSafe,
R: UnwindSafe,
Blanket Implementations
sourceimpl<T> BorrowMut<T> for T where
T: ?Sized,
impl<T> BorrowMut<T> for T where
T: ?Sized,
const: unstable · sourcefn borrow_mut(&mut self) -> &mut T
fn borrow_mut(&mut self) -> &mut T
Mutably borrows from an owned value. Read more