[mlpack-svn] r11349 - in mlpack/trunk/src/mlpack/core/optimizers: aug_lagrangian lbfgs lrsdp

[fastlab-svn at coffeetalk-1.cc.gatech.edu]

Author: rcurtin
Date: 2012-02-02 16:36:25 -0500 (Thu, 02 Feb 2012)
New Revision: 11349

Modified:
   mlpack/trunk/src/mlpack/core/optimizers/aug_lagrangian/aug_lagrangian_impl.hpp
   mlpack/trunk/src/mlpack/core/optimizers/lbfgs/lbfgs_impl.hpp
   mlpack/trunk/src/mlpack/core/optimizers/lrsdp/lrsdp.hpp
   mlpack/trunk/src/mlpack/core/optimizers/lrsdp/lrsdp_impl.hpp
Log:
Temporary work check-in so I can work from elsewhere.


Modified: mlpack/trunk/src/mlpack/core/optimizers/aug_lagrangian/aug_lagrangian_impl.hpp
===================================================================
--- mlpack/trunk/src/mlpack/core/optimizers/aug_lagrangian/aug_lagrangian_impl.hpp	2012-02-02 21:35:58 UTC (rev 11348)
+++ mlpack/trunk/src/mlpack/core/optimizers/aug_lagrangian/aug_lagrangian_impl.hpp	2012-02-02 21:36:25 UTC (rev 11349)
@@ -33,7 +33,7 @@
   arma::vec lambda(function.NumConstraints());
   lambda.ones();
   lambda *= -1;
-  lambda[0] = -double(coordinates.n_cols);
+  lambda[0] = -0.70 * double(coordinates.n_cols);
   double penalty_threshold = DBL_MAX; // Ensure we update lambda immediately.
 
   // Track the last objective to compare for convergence.
@@ -96,8 +96,8 @@
 
     for (size_t i = 0; i < function.NumConstraints(); ++i)
     {
-      arma::mat tmpgrad;
-      function.GradientConstraint(i, coordinates, tmpgrad);
+//      arma::mat tmpgrad;
+//      function.GradientConstraint(i, coordinates, tmpgrad);
 //      Log::Debug << "Gradient of constraint " << i << " is " << std::endl;
 //      Log::Debug << tmpgrad << std::endl;
     }

Modified: mlpack/trunk/src/mlpack/core/optimizers/lbfgs/lbfgs_impl.hpp
===================================================================
--- mlpack/trunk/src/mlpack/core/optimizers/lbfgs/lbfgs_impl.hpp	2012-02-02 21:35:58 UTC (rev 11348)
+++ mlpack/trunk/src/mlpack/core/optimizers/lbfgs/lbfgs_impl.hpp	2012-02-02 21:36:25 UTC (rev 11349)
@@ -353,9 +353,12 @@
   for (size_t itNum = 0; optimizeUntilConvergence || (itNum != numIterations);
        itNum++)
   {
-    Log::Info << "L-BFGS iteration " << itNum << "; objective " <<
+    Log::Debug << "L-BFGS iteration " << itNum << "; objective " <<
         function.Evaluate(iterate) << "." << std::endl;
+//    Log::Debug << "Coordinates " << std::endl << iterate << std::endl;
 
+//    Log::Debug << "Gradient " << std::endl << gradient << std::endl;
+
     // Break when the norm of the gradient becomes too small.
     if (GradientNormTooSmall(gradient))
     {

Modified: mlpack/trunk/src/mlpack/core/optimizers/lrsdp/lrsdp.hpp
===================================================================
--- mlpack/trunk/src/mlpack/core/optimizers/lrsdp/lrsdp.hpp	2012-02-02 21:35:58 UTC (rev 11348)
+++ mlpack/trunk/src/mlpack/core/optimizers/lrsdp/lrsdp.hpp	2012-02-02 21:36:25 UTC (rev 11349)
@@ -16,20 +16,31 @@
 class LRSDP
 {
  public:
-  LRSDP();
+  LRSDP() { }
 
-  bool Optimize(arma::mat& coordinates)
+  double Optimize(arma::mat& coordinates);
 //                AugLagrangian<LRSDP> auglag);
 
-//  double Evaluate(const arma::mat& coordinates) const;
+  double Evaluate(const arma::mat& coordinates) const;
 
-//  void Gradient(const arma::mat& coordinates, arma::mat& gradient) const;
+  void Gradient(const arma::mat& coordinates, arma::mat& gradient) const;
 
+  double EvaluateConstraint(const size_t index,
+                            const arma::mat& coordinates) const;
+
+  void GradientConstraint(const size_t index,
+                          const arma::mat& coordinates,
+                          arma::mat& gradient) const;
+
+  size_t NumConstraints() const { return b.n_elem; }
+
+  const arma::mat& GetInitialPoint();
+
   const arma::mat& C() const { return c; }
   arma::mat& C() { return c; }
 
   const std::vector<arma::mat> A() const { return a; }
-  arma::mat& A() { return a; }
+  std::vector<arma::mat>& A() { return a; }
 
   const arma::vec& B() const { return b; }
   arma::vec& B() { return b; }
@@ -39,6 +50,9 @@
   arma::mat c; // For objective function.
   std::vector<arma::mat> a; // A_i for each constraint.
   arma::vec b; // b_i for each constraint.
+
+  // Initial point.
+  arma::mat initialPoint;
 };
 
 }; // namespace optimization

Modified: mlpack/trunk/src/mlpack/core/optimizers/lrsdp/lrsdp_impl.hpp
===================================================================
--- mlpack/trunk/src/mlpack/core/optimizers/lrsdp/lrsdp_impl.hpp	2012-02-02 21:35:58 UTC (rev 11348)
+++ mlpack/trunk/src/mlpack/core/optimizers/lrsdp/lrsdp_impl.hpp	2012-02-02 21:36:25 UTC (rev 11349)
@@ -17,17 +17,19 @@
 namespace mlpack {
 namespace optimization {
 
-bool LRSDP::Optimize(arma::mat& coordinates)
+double LRSDP::Optimize(arma::mat& coordinates)
 {
   // Create the Augmented Lagrangian function.
   AugLagrangian<LRSDP> auglag(*this);
 
   auglag.Optimize(coordinates);
+
+  return Evaluate(coordinates);
 }
 
 double LRSDP::Evaluate(const arma::mat& coordinates) const
 {
-  Log::Fatal << "LRSDP::Evaluate() called!  Uh-oh..." << std::endl;
+  return -accu(coordinates * trans(coordinates));
 }
 
 void LRSDP::Gradient(const arma::mat& coordinates, arma::mat& gradient) const
@@ -35,6 +37,25 @@
   Log::Fatal << "LRSDP::Gradient() called!  Uh-oh..." << std::endl;
 }
 
+double LRSDP::EvaluateConstraint(const size_t index,
+                                 const arma::mat& coordinates) const
+{
+  return trace(a[index] * (coordinates * trans(coordinates))) - b[index];
+}
+
+void LRSDP::GradientConstraint(const size_t index,
+                               const arma::mat& coordinates,
+                               arma::mat& gradient) const
+{
+  Log::Fatal << "LRSDP::GradientConstraint() called!  Uh-oh..." << std::endl;
+}
+
+const arma::mat& LRSDP::GetInitialPoint()
+{
+  initialPoint.ones(2, 2);
+  return initialPoint;
+}
+
 // Custom specializations of the AugmentedLagrangianFunction for the LRSDP case.
 template<>
 double AugLagrangianFunction<LRSDP>::Evaluate(const arma::mat& coordinates)
@@ -63,8 +84,8 @@
 }
 
 template<>
-double AugLagrangianFunction<LRSDP>::Gradient(const arma::mat& coordinates,
-                                              arma::mat& gradient) const
+void AugLagrangianFunction<LRSDP>::Gradient(const arma::mat& coordinates,
+                                            arma::mat& gradient) const
 {
   // We can calculate the gradient in a smart way.
   // L'(R, y, s) = 2 * S' * R