public class SQNMinimizer<T extends Function> extends StochasticMinimizer<T>
Nocedal, Jorge, and Stephen J. Wright. 2000. Numerical Optimization. Springer. pp. 224--
and modified to the online version presented in
A Stocahstic Quasi-Newton Method for Online Convex Optimization Schraudolph, Yu, Gunter (2007)
As of now, it requires a Stochastic differentiable function (AbstractStochasticCachingDiffFunction) as input.
The basic way to use the minimizer is with a null constructor, then the simple minimize method: !!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!! THIS IS NOT UPDATE FOR THE STOCHASTIC VERSION YET. !!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!Minimizer qnm = new QNMinimizer();
DiffFunction df = new SomeDiffFunction();
double tol = 1e-4;
double[] initial = getInitialGuess();
double[] minimum = qnm.minimize(df,tol,initial);
StochasticMinimizer.PropertySetter<T1>
Constructor and Description |
---|
SQNMinimizer() |
SQNMinimizer(int m) |
SQNMinimizer(int mem,
double initialGain,
int batchSize,
boolean output) |
Modifier and Type | Method and Description |
---|---|
String |
getName() |
protected void |
init(AbstractStochasticCachingDiffFunction func) |
void |
setM(int m) |
protected void |
takeStep(AbstractStochasticCachingDiffFunction dfunction) |
Pair<Integer,Double> |
tune(Function function,
double[] initial,
long msPerTest) |
gainSchedule, minimize, minimize, say, sayln, setEvaluators, shutUp, smooth, tune, tuneBatch, tuneDouble, tuneDouble, tuneGain
public SQNMinimizer(int m)
public SQNMinimizer()
public SQNMinimizer(int mem, double initialGain, int batchSize, boolean output)
public void setM(int m)
public String getName()
getName
in class StochasticMinimizer<T extends Function>
public Pair<Integer,Double> tune(Function function, double[] initial, long msPerTest)
tune
in class StochasticMinimizer<T extends Function>
protected void init(AbstractStochasticCachingDiffFunction func)
init
in class StochasticMinimizer<T extends Function>
protected void takeStep(AbstractStochasticCachingDiffFunction dfunction)
takeStep
in class StochasticMinimizer<T extends Function>