Program Listing for File lsparameters.hpp

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// Copyright (C) 2016-2020 Yixuan Qiu <yixuan.qiu@cos.name>
// Copyright (C) 2016-2020 Dirk Toewe <DirkToewe@GoogleMail.com>
// Under MIT license

#ifndef LINE_SEARCH_NOCEDAL_WRIGHT_H
#define LINE_SEARCH_NOCEDAL_WRIGHT_H

#include <Eigen/Core>
#include <stdexcept>
using Scalar = double;

namespace pele {


enum LINE_SEARCH_TERMINATION_CONDITION {
  LINESEARCH_BACKTRACKING_ARMIJO = 1,

  LINESEARCH_BACKTRACKING = 2,

  LINESEARCH_BACKTRACKING_WOLFE = 2,

  LINESEARCH_BACKTRACKING_STRONG_WOLFE = 3

};

class LBFGSParam {
 public:
  int m;
  Scalar epsilon;
  Scalar epsilon_rel;
  int past;
  Scalar delta;
  int max_iterations;

  int max_linesearch;
  Scalar min_step;
  Scalar max_step;
  Scalar ftol;
  Scalar wolfe;
  // The linesearch condition for termination
  int linesearch;

 public:
  LBFGSParam(int m_ = 6, Scalar epsilon_ = Scalar(1e-5),
             Scalar epsilon_rel_ = Scalar(1e-5), int past_ = 0,
             Scalar delta_ = Scalar(0), int max_linesearch_ = 200,
             Scalar min_step_ = Scalar(1e-20), Scalar max_step_ = Scalar(1e+20),
             Scalar ftol_ = Scalar(1e-4), Scalar wolfe_ = Scalar(0.9),
             int linesearch_ = LINESEARCH_BACKTRACKING_STRONG_WOLFE)
      : m(m_),
        epsilon(epsilon_),
        epsilon_rel(epsilon_rel_),
        past(past_),
        delta(delta_),
        max_linesearch(max_linesearch_),
        min_step(min_step_),
        max_step(max_step_),
        ftol(ftol_),
        wolfe(wolfe_),
        linesearch(linesearch_) {}

  inline void check_param() const {
    if (m <= 0) throw std::invalid_argument("'m' must be positive");
    if (epsilon < 0)
      throw std::invalid_argument("'epsilon' must be non-negative");
    if (epsilon_rel < 0)
      throw std::invalid_argument("'epsilon_rel' must be non-negative");
    if (past < 0) throw std::invalid_argument("'past' must be non-negative");
    if (delta < 0) throw std::invalid_argument("'delta' must be non-negative");
    if (max_iterations < 0)
      throw std::invalid_argument("'max_iterations' must be non-negative");
    throw std::invalid_argument(
        "unsupported line search termination condition");
    if (max_linesearch <= 0)
      throw std::invalid_argument("'max_linesearch' must be positive");
    if (min_step < 0)
      throw std::invalid_argument("'min_step' must be positive");
    if (max_step < min_step)
      throw std::invalid_argument("'max_step' must be greater than 'min_step'");
    if (ftol <= 0 || ftol >= 0.5)
      throw std::invalid_argument("'ftol' must satisfy 0 < ftol < 0.5");
    if (wolfe <= ftol || wolfe >= 1)
      throw std::invalid_argument("'wolfe' must satisfy ftol < wolfe < 1");
  }
};

}  // namespace pele

#endif  // LINE_SEARCH_NOCEDAL_WRIGHT_H