Program Listing for File more_thuente.hpp

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// The MIT License (MIT)
//
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// Modified from https://github.com/PatWie/CppNumericalSolvers
// Changes involve removing hardcoded options and interfacing with the pele
// LBFGS and reorganizing the functions note:: functions are no longer static

// see also ../more_thuente.cpp since the copied/modified functions are defined
// there

// Copyright 2020, https://github.com/PatWie/CppNumericalSolvers
//
#ifndef INCLUDE_CPPOPTLIB_LINESEARCH_MORE_THUENTE_H_
#define INCLUDE_CPPOPTLIB_LINESEARCH_MORE_THUENTE_H_

#include <Eigen/Dense>
#include <cmath>
#include <iostream>

#include "eigen_interface.hpp"
#include "linesearch.hpp"

namespace pele {

// to keep consistency
using scalar_t = double;
using vector_t = Array<double>;

class MoreThuente : public LineSearch {
 public:
  MoreThuente(GradientOptimizer *opt, double alpha_max = 1e15,
              double alpha_min = 1e-15, double x_tol = 1e-15,
              double f_tol = 1e-10, double g_tol = 1e-4, double x_trapf = 4,
              double max_fev = 40, double alphainit = 1.0)
      : LineSearch(opt, alpha_max),
        xtol(x_tol),
        ftol(f_tol),
        gtol(g_tol),
        xtrapf(x_trapf),
        maxfev(max_fev),
        alphamin(alpha_min),
        alphamax(alpha_max),
        alpha_init(alphainit)

            {};

  ~MoreThuente(){};
  // interfaced line search the line search assumes relevant variables are
  // changed in the optimizer
  double line_search(Array<double> &x, Array<double> step);

  // interfacing methods lbfgs
 public:
  void inline set_xold_gold_(Array<double> &xold, Array<double> &gold) {
    gold_ = gold;
    xold_ = xold;
  };
  // helper function to assign g_ and f
  void inline set_g_f_ptr(Array<double> &g) { g_ = g; };

  // input variables
 private:
  // info about the More Thuente Line search

  scalar_t alpha_init;

  // tolerance variables determine how close to zero we can be
  scalar_t xtol;
  scalar_t ftol;
  scalar_t gtol;
  // stuff to interface with LBFGS TODO : get rid and make a uniform interface
  Array<double> xold_;
  Array<double> gold_;
  Array<double> g_;
  Array<double> x_;
  // stepmin and stepmax variables
  scalar_t alphamin;
  scalar_t alphamax;

  // figure this out
  scalar_t xtrapf;
  int maxfev;
  bool desdir;

  // methods
 public:
  inline scalar_t search(const vector_t &x, const vector_t &search_direction) {
    // Assumed step width.
    scalar_t ak = alpha_init;
    Array<double> g(x.size());
    scalar_t fval;
    opt_->compute_func_gradient(x, fval, g);
    vector_t s = search_direction;
    vector_t xx = x.copy();
    cvsrch(xx, fval, g, ak, s);
    return ak;
  }
  int cvsrch(vector_t &x, scalar_t f, vector_t &g, scalar_t &stp, vector_t &s);

  int cstep(scalar_t &stx, scalar_t &fx, scalar_t &dx, scalar_t &sty,
            scalar_t &fy, scalar_t &dy, scalar_t &stp, scalar_t &fp,
            scalar_t &dp, bool &brackt, scalar_t &stpmin, scalar_t &stpmax,
            int &info);
};

};  // namespace pele

#endif  // INCLUDE_CPPOPTLIB_LINESEARCH_MORE_THUENTE_H_