[8371] | 1 | #region License Information
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| 2 | /* HeuristicLab
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[11205] | 3 | * Copyright (C) 2002-2014 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
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[8371] | 4 | *
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| 5 | * This file is part of HeuristicLab.
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| 6 | *
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| 7 | * HeuristicLab is free software: you can redistribute it and/or modify
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| 8 | * it under the terms of the GNU General Public License as published by
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| 9 | * the Free Software Foundation, either version 3 of the License, or
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| 10 | * (at your option) any later version.
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| 11 | *
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| 12 | * HeuristicLab is distributed in the hope that it will be useful,
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| 13 | * but WITHOUT ANY WARRANTY; without even the implied warranty of
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| 14 | * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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| 15 | * GNU General Public License for more details.
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| 16 | *
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| 17 | * You should have received a copy of the GNU General Public License
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| 18 | * along with HeuristicLab. If not, see <http://www.gnu.org/licenses/>.
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| 19 | */
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| 20 | #endregion
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| 21 |
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| 22 | using System;
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| 23 | using System.Linq;
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| 24 | using HeuristicLab.Common;
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| 25 | using HeuristicLab.Core;
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| 26 | using HeuristicLab.Data;
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[8396] | 27 | using HeuristicLab.Encodings.RealVectorEncoding;
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[8371] | 28 | using HeuristicLab.Operators;
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| 29 | using HeuristicLab.Parameters;
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| 30 | using HeuristicLab.Persistence.Default.CompositeSerializers.Storable;
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| 31 |
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[8401] | 32 | namespace HeuristicLab.Algorithms.GradientDescent {
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[8371] | 33 | [StorableClass]
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[8396] | 34 | [Item(Name = "LBFGS Initializer", Description = "Initializes the necessary data structures for the LM-BFGS algorithm.")]
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| 35 | public sealed class LbfgsInitializer : SingleSuccessorOperator {
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[8375] | 36 | private const string PointParameterName = "Point";
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[8396] | 37 | private const string StateParameterName = "State";
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[8371] | 38 | private const string IterationsParameterName = "Iterations";
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[8396] | 39 | private const string ApproximateGradientsParameterName = "ApproximateGradients";
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[9444] | 40 | private const string GradientCheckStepSizeParameterName = "GradientCheckStepSize";
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[8371] | 41 |
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| 42 | #region Parameter Properties
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| 43 | // in
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| 44 | public ILookupParameter<IntValue> IterationsParameter {
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| 45 | get { return (ILookupParameter<IntValue>)Parameters[IterationsParameterName]; }
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| 46 | }
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[8396] | 47 | public ILookupParameter<RealVector> PointParameter {
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| 48 | get { return (ILookupParameter<RealVector>)Parameters[PointParameterName]; }
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| 49 | }
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[8371] | 50 | // out
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[8396] | 51 | public ILookupParameter<LbfgsState> StateParameter {
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| 52 | get { return (ILookupParameter<LbfgsState>)Parameters[StateParameterName]; }
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[8371] | 53 | }
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[8396] | 54 | public ILookupParameter<BoolValue> ApproximateGradientsParameter {
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| 55 | get { return (ILookupParameter<BoolValue>)Parameters[ApproximateGradientsParameterName]; }
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[8371] | 56 | }
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[9444] | 57 | public ILookupParameter<DoubleValue> GradientStepSizeParameter {
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| 58 | get { return (ILookupParameter<DoubleValue>)Parameters[GradientCheckStepSizeParameterName]; }
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| 59 | }
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[8371] | 60 |
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| 61 |
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| 62 | #endregion
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| 63 |
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| 64 | #region Properties
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[8396] | 65 | private RealVector Point { get { return PointParameter.ActualValue; } }
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[8375] | 66 | private IntValue Iterations { get { return IterationsParameter.ActualValue; } }
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[8396] | 67 | private BoolValue ApproximateGradients { get { return ApproximateGradientsParameter.ActualValue; } }
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[8371] | 68 | #endregion
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| 69 |
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| 70 | [StorableConstructor]
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[8396] | 71 | private LbfgsInitializer(bool deserializing) : base(deserializing) { }
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| 72 | private LbfgsInitializer(LbfgsInitializer original, Cloner cloner) : base(original, cloner) { }
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| 73 | public LbfgsInitializer()
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[8371] | 74 | : base() {
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| 75 | // in
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[8396] | 76 | Parameters.Add(new LookupParameter<RealVector>(PointParameterName, "The initial point for the LM-BFGS algorithm."));
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| 77 | Parameters.Add(new LookupParameter<IntValue>(IterationsParameterName, "The maximal number of iterations for the LM-BFGS algorithm."));
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| 78 | Parameters.Add(new LookupParameter<BoolValue>(ApproximateGradientsParameterName,
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| 79 | "Flag that indicates if gradients should be approximated."));
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[9444] | 80 | Parameters.Add(new LookupParameter<DoubleValue>(GradientCheckStepSizeParameterName, "Step size for the gradient check (should be used for debugging the gradient calculation only)."));
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[8371] | 81 | // out
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[8396] | 82 | Parameters.Add(new LookupParameter<LbfgsState>(StateParameterName, "The state of the LM-BFGS algorithm."));
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[8371] | 83 | }
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| 84 |
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| 85 | public override IDeepCloneable Clone(Cloner cloner) {
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[8396] | 86 | return new LbfgsInitializer(this, cloner);
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[8371] | 87 | }
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| 88 |
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| 89 | public override IOperation Apply() {
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[8396] | 90 | double[] initialPoint = Point.ToArray();
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| 91 | int n = initialPoint.Length;
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[8371] | 92 | alglib.minlbfgs.minlbfgsstate state = new alglib.minlbfgs.minlbfgsstate();
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[8396] | 93 | if (ApproximateGradients.Value) {
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[8473] | 94 | alglib.minlbfgs.minlbfgscreatef(n, Math.Min(n, 10), initialPoint, 1E-5, state);
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[8396] | 95 | } else {
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[8473] | 96 | alglib.minlbfgs.minlbfgscreate(n, Math.Min(n, 10), initialPoint, state);
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[8396] | 97 | }
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[8473] | 98 | alglib.minlbfgs.minlbfgssetcond(state, 0.0, 0, 0, Iterations.Value);
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[8375] | 99 | alglib.minlbfgs.minlbfgssetxrep(state, true);
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[9444] | 100 | if (GradientStepSizeParameter.ActualValue != null && GradientStepSizeParameter.ActualValue.Value > 0)
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| 101 | alglib.minlbfgs.minlbfgssetgradientcheck(state, GradientStepSizeParameter.ActualValue.Value);
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[8371] | 102 |
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[8396] | 103 | PointParameter.ActualValue = new RealVector(initialPoint);
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| 104 | StateParameter.ActualValue = new LbfgsState(state);
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[8371] | 105 | return base.Apply();
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| 106 | }
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| 107 | }
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| 108 | }
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