grad_descend.h

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/*
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 __GRAD_DESCEND__H
# define __GRAD_DESCEND__H

#include "matrix_real.h"
#include <vector>

enum solver_status{INITIAL_STATE=0, VARIABLES_INITIALIZED=1, ZERO_STEP_SIZE_OCCURED=2, MAXIMAL_ITERATIONS_REACHED=4, NO_DECREASING_SEARCH_DIRECTION=5, MINIMUM_REACHED=6, MAX_ITERATIONS_REACHED_DURING_LINE_SEARCH=7};


class Grad_Descend {


protected:


    int variable_num;

    long maximal_iterations;

    long function_call_count;

    double num_precision;

    void (*costfnc__and__gradient) (Matrix_real x, void * params, double * f, Matrix_real& g);
    
    void (*export_fnc) (double , Matrix_real&, void* );    
     
    void* meta_data;

    enum solver_status status;

protected:

void line_search(Matrix_real& x, Matrix_real& g, Matrix_real& search_direction, Matrix_real& x0_search, Matrix_real& g0_search, double& maximal_step, double& d__dot__g, double& f);

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


void get_Maximal_Line_Search_Step(Matrix_real& search_direction, double& maximal_step, double& search_direction__grad_overlap);


virtual void get_search_direction(Matrix_real& g, Matrix_real& search_direction, double& search_direction__grad_overlap);


void get_f_ang_gradient(Matrix_real& x, double& f, Matrix_real& g);    


public:

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


Grad_Descend(void (* f_pointer) (Matrix_real, void *, double *, Matrix_real&), void (* export_pointer)(double , Matrix_real&, void* ), void* meta_data_in);


double Start_Optimization(Matrix_real &x, long maximal_iterations_in = 5001);

~Grad_Descend();



};


# endif