Adam.h

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/*
Created on Fri Jun 26 14:13:26 2020
Copyright 2020 Peter Rakyta, Ph.D.

Licensed under the Apache License, Version 2.0 (the "License");
you may not use this file except in compliance with the License.
You may obtain a copy of the License at

    http://www.apache.org/licenses/LICENSE-2.0

Unless required by applicable law or agreed to in writing, software
distributed under the License is distributed on an "AS IS" BASIS,
WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
See the License for the specific language governing permissions and
limitations under the License.

@author: Peter Rakyta, Ph.D.
*/
#ifndef ADAM_H
#define ADAM_H

#include "matrix_real.h"
#include <map>
#include <cstdlib>
#include <time.h>
#include <ctime>


class Adam  {


public:
  
    // learning rate of the Adam algorithm
    double eta;  


protected:

    int num_threads;
    double beta1;
    double beta2;
    // epsilon regularization parameter of the Adam algorithm
    double epsilon;
  
    Matrix_real mom;
    Matrix_real var;
    int64_t iter_t;

    double beta1_t;
    double beta2_t;   

    Matrix_real f0_vec; 
    double f0_mean;
    int f0_idx;
    
    matrix_base<int> decreasing_vec; 
    int decreasing_idx = 0;
    double decreasing_test;
    double f0_prev;


public:

Adam();

Adam( double beta1_in, double beta2_in, double epsilon_in, double eta_in);

virtual ~Adam();


void reset();


void initialize_moment_and_variance(int parameter_num);

int update( Matrix_real& parameters, Matrix_real& grad, const double& f0 );


double get_decreasing_test();

};


#endif //Adam