quasi.hpp

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#ifndef QUASI_HPP
#define QUASI_HPP
 
#include <functional>
#include <vector>
 
namespace gpmp {
 
namespace optim {
 
class QuasiNewton {
  public:
    std::vector<double> bhhh_optimize(
        const std::function<double(const std::vector<double> &)> &func,
        const std::vector<double> &initial_point,
        double tolerance,
        size_t max_iterations);
 
    std::vector<double> calculate_gradient(
        const std::function<double(const std::vector<double> &)> &func,
        const std::vector<double> &point,
        double epsilon);
 
    std::vector<std::vector<double>>
    calculate_bhhh_matrix(const std::vector<double> &gradient);
 
    std::vector<double>
    update_point(const std::vector<double> &current_point,
                 const std::vector<double> &gradient,
                 const std::vector<std::vector<double>> &bhhh_matrix);
 
    std::vector<double> bfgs_optimize(
        const std::function<double(const std::vector<double> &)> &func,
        const std::vector<double> &initial_point,
        double tolerance,
        size_t max_iterations);
 
    std::vector<double> calculate_search_direction(
        const std::vector<double> &gradient,
        const std::vector<std::vector<double>> &hessian_inverse);
 
    double
    line_search(const std::function<double(const std::vector<double> &)> &func,
                const std::vector<double> &current_point,
                const std::vector<double> &search_direction);
 
    std::vector<double>
    update_point(const std::vector<double> &current_point,
                 const std::vector<double> &search_direction,
                 double step_size);
 
    std::vector<double>
    calculate_gradient_difference(const std::vector<double> &next_point,
                                  const std::vector<double> &current_point,
                                  const std::vector<double> &gradient);
 
    std::vector<std::vector<double>> update_hessian_inverse(
        const std::vector<std::vector<double>> &hessian_inverse,
        const std::vector<double> &gradient_difference,
        const std::vector<double> &search_direction);
 
    double dot_product(const std::vector<double> &a,
                       const std::vector<double> &b);
 
    std::vector<double> vector_subtraction(const std::vector<double> &a,
                                           const std::vector<double> &b) const;
 
    std::tuple<std::vector<double>, double>
    lbfgs_optimize(const std::function<double(const std::vector<double> &)> &f,
                   const std::vector<double> &initial_point,
                   double tolerance = 1e-4,
                   size_t max_iterations = 100,
                   size_t memory_size = 5);
};
 
} // namespace optim
 
} // namespace gpmp
#endif