// <copyright file="BfgsMinimizerBase.cs" company="Math.NET">
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// Math.NET Numerics, part of the Math.NET Project
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// http://numerics.mathdotnet.com
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// http://github.com/mathnet/mathnet-numerics
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//
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// Copyright (c) 2009-2017 Math.NET
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//
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// Permission is hereby granted, free of charge, to any person
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// obtaining a copy of this software and associated documentation
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// files (the "Software"), to deal in the Software without
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// restriction, including without limitation the rights to use,
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// copy, modify, merge, publish, distribute, sublicense, and/or sell
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// copies of the Software, and to permit persons to whom the
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// Software is furnished to do so, subject to the following
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// conditions:
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//
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// The above copyright notice and this permission notice shall be
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// included in all copies or substantial portions of the Software.
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//
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// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
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// EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES
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// OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
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// NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT
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// HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY,
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// WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING
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// FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR
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// OTHER DEALINGS IN THE SOFTWARE.
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// </copyright>
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using System;
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using IStation.Numerics.LinearAlgebra;
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using IStation.Numerics.Optimization.LineSearch;
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namespace IStation.Numerics.Optimization
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{
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public abstract class BfgsMinimizerBase : MinimizerBase
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{
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/// <inheritdoc />
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/// <summary>
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/// Creates a base class for BFGS minimization
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/// </summary>
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protected BfgsMinimizerBase(double gradientTolerance, double parameterTolerance, double functionProgressTolerance, int maximumIterations) : base(gradientTolerance, parameterTolerance, functionProgressTolerance, maximumIterations)
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{
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}
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protected int DoBfgsUpdate(ref ExitCondition currentExitCondition, WolfeLineSearch lineSearcher, ref Matrix<double> inversePseudoHessian, ref Vector<double> lineSearchDirection, ref IObjectiveFunction previousPoint, ref LineSearchResult lineSearchResult, ref IObjectiveFunction candidate, ref Vector<double> step, ref int totalLineSearchSteps, ref int iterationsWithNontrivialLineSearch)
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{
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int iterations;
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for (iterations = 1; iterations < MaximumIterations; ++iterations)
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{
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double startingStepSize;
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double maxLineSearchStep;
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lineSearchDirection = CalculateSearchDirection(ref inversePseudoHessian, out maxLineSearchStep, out startingStepSize, previousPoint, candidate, step);
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try
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{
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lineSearchResult = lineSearcher.FindConformingStep(candidate, lineSearchDirection, startingStepSize, maxLineSearchStep);
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}
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catch (Exception e)
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{
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throw new InnerOptimizationException("Line search failed.", e);
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}
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iterationsWithNontrivialLineSearch += lineSearchResult.Iterations > 0 ? 1 : 0;
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totalLineSearchSteps += lineSearchResult.Iterations;
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step = lineSearchResult.FunctionInfoAtMinimum.Point - candidate.Point;
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previousPoint = candidate;
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candidate = lineSearchResult.FunctionInfoAtMinimum;
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currentExitCondition = ExitCriteriaSatisfied(candidate, previousPoint, iterations);
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if (currentExitCondition != ExitCondition.None)
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break;
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}
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return iterations;
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}
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protected abstract Vector<double> CalculateSearchDirection(ref Matrix<double> inversePseudoHessian,
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out double maxLineSearchStep,
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out double startingStepSize,
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IObjectiveFunction previousPoint,
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IObjectiveFunction candidate,
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Vector<double> step);
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}
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}
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