Changeset 8396 for trunk/sources/HeuristicLab.Algorithms.DataAnalysis/3.4/GaussianProcess/LbfgsInitializer.cs

Timestamp:

08/02/12 17:27:46 (12 years ago)

Author:

gkronber

Message:

#1902 implemented LM-BFGS algorithm and improved GPR

File:

• trunk/sources/HeuristicLab.Algorithms.DataAnalysis/3.4/GaussianProcess/LbfgsInitializer.cs (moved) (moved from trunk/sources/HeuristicLab.Algorithms.DataAnalysis/3.4/GaussianProcess/BFGSInitializer.cs) (3 diffs)

trunk/sources/HeuristicLab.Algorithms.DataAnalysis/3.4/GaussianProcess/LbfgsInitializer.cs

@@ -25 +25 @@
 using HeuristicLab.Core;
 using HeuristicLab.Data;
+using HeuristicLab.Encodings.RealVectorEncoding;
 using HeuristicLab.Encodings.SymbolicExpressionTreeEncoding;
 using HeuristicLab.Operators;
@@ -33 +34 @@
 namespace HeuristicLab.Algorithms.DataAnalysis {
   [StorableClass]
-  [Item(Name = "BFGSInitializer", Description = "Initializes the necessary data structures for the BFGS algorithm.")]
-  public sealed class BFGSInitializer : SingleSuccessorOperator {
-    private const string DimensionParameterName = "Dimension";
+  [Item(Name = "LBFGS Initializer", Description = "Initializes the necessary data structures for the LM-BFGS algorithm.")]
+  public sealed class LbfgsInitializer : SingleSuccessorOperator {
     private const string PointParameterName = "Point";
-    private const string BFGSStateParameterName = "BFGSState";
+    private const string StateParameterName = "State";
     private const string IterationsParameterName = "Iterations";
+    private const string ApproximateGradientsParameterName = "ApproximateGradients";
 
     #region Parameter Properties
     // in
-    public ILookupParameter<IntValue> DimensionParameter {
-      get { return (ILookupParameter<IntValue>)Parameters[DimensionParameterName]; }
-    }
     public ILookupParameter<IntValue> IterationsParameter {
       get { return (ILookupParameter<IntValue>)Parameters[IterationsParameterName]; }
     }
+    public ILookupParameter<RealVector> PointParameter {
+      get { return (ILookupParameter<RealVector>)Parameters[PointParameterName]; }
+    }
     // out
-    public ILookupParameter<DoubleArray> PointParameter {
-      get { return (ILookupParameter<DoubleArray>)Parameters[PointParameterName]; }
+    public ILookupParameter<LbfgsState> StateParameter {
+      get { return (ILookupParameter<LbfgsState>)Parameters[StateParameterName]; }
     }
-    public ILookupParameter<BFGSState> BFGSStateParameter {
-      get { return (ILookupParameter<BFGSState>)Parameters[BFGSStateParameterName]; }
+    public ILookupParameter<BoolValue> ApproximateGradientsParameter {
+      get { return (ILookupParameter<BoolValue>)Parameters[ApproximateGradientsParameterName]; }
     }
 
@@ -60 +61 @@
 
     #region Properties
-    private IntValue Dimension { get { return DimensionParameter.ActualValue; } }
+    private RealVector Point { get { return PointParameter.ActualValue; } }
     private IntValue Iterations { get { return IterationsParameter.ActualValue; } }
+    private BoolValue ApproximateGradients { get { return ApproximateGradientsParameter.ActualValue; } }
     #endregion
 
     [StorableConstructor]
-    private BFGSInitializer(bool deserializing) : base(deserializing) { }
-    private BFGSInitializer(BFGSInitializer original, Cloner cloner) : base(original, cloner) { }
-    public BFGSInitializer()
+    private LbfgsInitializer(bool deserializing) : base(deserializing) { }
+    private LbfgsInitializer(LbfgsInitializer original, Cloner cloner) : base(original, cloner) { }
+    public LbfgsInitializer()
       : base() {
       // in
-      Parameters.Add(new LookupParameter<IntValue>(DimensionParameterName, "The length of the vector to optimize."));
-      Parameters.Add(new LookupParameter<IntValue>(IterationsParameterName, "The maximal number of iterations for the BFGS algorithm."));
+      Parameters.Add(new LookupParameter<RealVector>(PointParameterName, "The initial point for the LM-BFGS algorithm."));
+      Parameters.Add(new LookupParameter<IntValue>(IterationsParameterName, "The maximal number of iterations for the LM-BFGS algorithm."));
+      Parameters.Add(new LookupParameter<BoolValue>(ApproximateGradientsParameterName,
+                                                    "Flag that indicates if gradients should be approximated."));
       // out
-      Parameters.Add(new LookupParameter<DoubleArray>(PointParameterName, "The initial point for the BFGS algorithm."));
-      Parameters.Add(new LookupParameter<BFGSState>(BFGSStateParameterName, "The state of the BFGS algorithm."));
+      Parameters.Add(new LookupParameter<LbfgsState>(StateParameterName, "The state of the LM-BFGS algorithm."));
     }
 
     public override IDeepCloneable Clone(Cloner cloner) {
-      return new BFGSInitializer(this, cloner);
+      return new LbfgsInitializer(this, cloner);
     }
 
     public override IOperation Apply() {
-      int n = Dimension.Value;
-      double[] initialPoint = Enumerable.Repeat(0.0, n).ToArray();
+      double[] initialPoint = Point.ToArray();
+      int n = initialPoint.Length;
       alglib.minlbfgs.minlbfgsstate state = new alglib.minlbfgs.minlbfgsstate();
-      alglib.minlbfgs.minlbfgscreate(n, Math.Min(n, 7), initialPoint, state);
+      if (ApproximateGradients.Value) {
+        alglib.minlbfgs.minlbfgscreatef(n, Math.Min(n, 7), initialPoint, 1E-5, state);
+      } else {
+        alglib.minlbfgs.minlbfgscreate(n, Math.Min(n, 7), initialPoint, state);
+      }
       alglib.minlbfgs.minlbfgssetcond(state, 0, 0, 0, Iterations.Value);
       alglib.minlbfgs.minlbfgssetxrep(state, true);
 
-      PointParameter.ActualValue = new DoubleArray(initialPoint);
-      BFGSStateParameter.ActualValue = new BFGSState(state);
+      PointParameter.ActualValue = new RealVector(initialPoint);
+      StateParameter.ActualValue = new LbfgsState(state);
       return base.Apply();
     }