BFGS_Powell.h

Go to the documentation of this file.

/*
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.

*/

# ifndef __BFGS_POWELL__H
# define __BFGS_POWELL__H

#include "grad_descend.h"

class BFGS_Powell : public Grad_Descend 
{
protected:


    // Z @ Z^T = B^-1 approximated Hesse matrix (second derivative of the cost function) (B is the inverse of the Hesse matrix) Eq (1.8) in 
    // M. J. D. Powell: A tolerant algorithm for linearly constrained optimization calculations, Mathematical Programming volume 45, pages 547–566 (1989)
    // B is not stored, Z is updated during the BFGS formula
    Matrix_real Zmtx;   

    // Z.T @ g to determine the search direction 
    Matrix_real Z_T__dot__g;  


protected:

    void Initialize_Zmtx( );


    void Optimize(Matrix_real& x, double& f);


    void BFGS_iteration(Matrix_real& x, Matrix_real& g, Matrix_real& x0_search, Matrix_real& g0_search, double& norm_Z);
    
    void get_search_direction(Matrix_real& g, Matrix_real& search_direction, double& search_direction__grad_overlap );




public:

    BFGS_Powell(void (* f_pointer) (Matrix_real, void *, double *, Matrix_real&), void* meta_data_in);


    ~BFGS_Powell();
};


# endif