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|---|---|---|---|
| 1 | /* | ||
| 2 | * Copyright (c) 2000-2022 Inria | ||
| 3 | * All rights reserved. | ||
| 4 | * | ||
| 5 | * Redistribution and use in source and binary forms, with or without | ||
| 6 | * modification, are permitted provided that the following conditions are met: | ||
| 7 | * | ||
| 8 | * * Redistributions of source code must retain the above copyright notice, | ||
| 9 | * this list of conditions and the following disclaimer. | ||
| 10 | * * Redistributions in binary form must reproduce the above copyright notice, | ||
| 11 | * this list of conditions and the following disclaimer in the documentation | ||
| 12 | * and/or other materials provided with the distribution. | ||
| 13 | * * Neither the name of the ALICE Project-Team nor the names of its | ||
| 14 | * contributors may be used to endorse or promote products derived from this | ||
| 15 | * software without specific prior written permission. | ||
| 16 | * | ||
| 17 | * THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS" | ||
| 18 | * AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE | ||
| 19 | * IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE | ||
| 20 | * ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT HOLDER OR CONTRIBUTORS BE | ||
| 21 | * LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR | ||
| 22 | * CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF | ||
| 23 | * SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS | ||
| 24 | * INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN | ||
| 25 | * CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE) | ||
| 26 | * ARISING IN ANY WAY OUT OF THE USE OF THIS SOFTWARE, EVEN IF ADVISED OF THE | ||
| 27 | * POSSIBILITY OF SUCH DAMAGE. | ||
| 28 | * | ||
| 29 | * Contact: Bruno Levy | ||
| 30 | * | ||
| 31 | * https://www.inria.fr/fr/bruno-levy | ||
| 32 | * | ||
| 33 | * Inria, | ||
| 34 | * Domaine de Voluceau, | ||
| 35 | * 78150 Le Chesnay - Rocquencourt | ||
| 36 | * FRANCE | ||
| 37 | * | ||
| 38 | */ | ||
| 39 | |||
| 40 | #ifndef GEOGRAM_NUMERICS_OPTIMIZER | ||
| 41 | #define GEOGRAM_NUMERICS_OPTIMIZER | ||
| 42 | |||
| 43 | #include <geogram/basic/common.h> | ||
| 44 | #include <geogram/basic/numeric.h> | ||
| 45 | #include <geogram/basic/smart_pointer.h> | ||
| 46 | #include <geogram/basic/counted.h> | ||
| 47 | #include <geogram/basic/assert.h> | ||
| 48 | #include <geogram/basic/factory.h> | ||
| 49 | |||
| 50 | class HESSIAN_MATRIX; | ||
| 51 | |||
| 52 | /** | ||
| 53 | * \file geogram/numerics/optimizer.h | ||
| 54 | * \brief Abstract base class for numerical optimizers, used | ||
| 55 | * to minimize a multivariate function | ||
| 56 | */ | ||
| 57 | |||
| 58 | namespace GEO { | ||
| 59 | |||
| 60 | /** | ||
| 61 | * \brief Optimizer minimizes a multivariate function. | ||
| 62 | * | ||
| 63 | * \details The dimension of the problem is defined by set_N(). | ||
| 64 | * The multivariate function to be minimized is defined | ||
| 65 | * by a callback that evaluates the function and its | ||
| 66 | * gradient, specified by set_funcgrad_callback(). | ||
| 67 | * Optimizer implements the numeric part of | ||
| 68 | * CentroidalVoronoiTesselation. | ||
| 69 | * | ||
| 70 | * Optimizer objects are created using method create() which | ||
| 71 | * uses the Factory service. New Optimizer%s can be implemented and | ||
| 72 | * registered to the factory using | ||
| 73 | * geo_register_Optimizer_creator(). | ||
| 74 | * \see OptimizerFactory | ||
| 75 | * \see geo_register_Optimizer_creator | ||
| 76 | */ | ||
| 77 | class GEOGRAM_API Optimizer : public Counted { | ||
| 78 | public: | ||
| 79 | /** | ||
| 80 | * \brief Optimizer callback that evaluates a function | ||
| 81 | * and its gradient. | ||
| 82 | * \see set_funcgrad_callback() | ||
| 83 | */ | ||
| 84 | typedef void (* funcgrad_callback)( | ||
| 85 | index_t N, double* x, double& f, double* g | ||
| 86 | ); | ||
| 87 | |||
| 88 | /** | ||
| 89 | * \brief Optimizer callback that is called at each iteration. | ||
| 90 | * \see set_newiteration_callback() | ||
| 91 | */ | ||
| 92 | typedef void (* newiteration_callback)( | ||
| 93 | index_t N, const double* x, double f, const double* g, double gnorm | ||
| 94 | ); | ||
| 95 | |||
| 96 | /** | ||
| 97 | * \brief Optimizer callback that evaluates a function, | ||
| 98 | * its gradient and its Hessian. | ||
| 99 | * \see set_evalhessian_callback() | ||
| 100 | */ | ||
| 101 | typedef void (* evalhessian_callback)( | ||
| 102 | index_t N, double* x, double& f, double* g, HESSIAN_MATRIX& hessian | ||
| 103 | ); | ||
| 104 | |||
| 105 | /** | ||
| 106 | * \brief Creates an Optimizer. | ||
| 107 | * \param[in] name name of the Optimizer to create: | ||
| 108 | * - "HLBFG" - BFGS (quasi-Newton) | ||
| 109 | * - "HM1QN3" - for non-smooth functions | ||
| 110 | * - "HCG" - non-linear conjugate gradient | ||
| 111 | * - "HLBFGS_HESS" - BFGS with Hessian (full Newton) | ||
| 112 | * - "default" - equivalent to "HLBFGS" | ||
| 113 | * \retval nullptr if \p name is not a valid Optimizer algorithm name | ||
| 114 | * \retval otherwise, a pointer to an Optimizer object. The returned | ||
| 115 | * pointer must be stored in a Optimizer_var that does automatic | ||
| 116 | * destruction: | ||
| 117 | * \code | ||
| 118 | * Optimizer_var optimizer = Optimizer::create("HLBFGS") ; | ||
| 119 | * \endcode | ||
| 120 | */ | ||
| 121 | static Optimizer* create(const std::string& name = "default"); | ||
| 122 | |||
| 123 | /** | ||
| 124 | * \brief Minimizes a function, starting from initial value x. | ||
| 125 | * \param[in] x is of size n, where n was defined with set_N() | ||
| 126 | */ | ||
| 127 | virtual void optimize(double* x) = 0; | ||
| 128 | |||
| 129 | /** | ||
| 130 | * \brief Defines the number of variables. | ||
| 131 | */ | ||
| 132 | ✗ | void set_N(index_t N) { | |
| 133 | ✗ | n_ = N; | |
| 134 | ✗ | } | |
| 135 | |||
| 136 | /** | ||
| 137 | * \brief Returns the number of variables. | ||
| 138 | */ | ||
| 139 | index_t get_N() const { | ||
| 140 | return n_; | ||
| 141 | } | ||
| 142 | |||
| 143 | /** | ||
| 144 | * \brief Defines the inner number of iterations. | ||
| 145 | * \details Used by HLBFGSOptimizer. | ||
| 146 | */ | ||
| 147 | ✗ | void set_M(index_t M) { | |
| 148 | ✗ | m_ = M; | |
| 149 | ✗ | } | |
| 150 | |||
| 151 | /** | ||
| 152 | * \brief Returns the inner number of iterations. | ||
| 153 | */ | ||
| 154 | index_t get_M() const { | ||
| 155 | return m_; | ||
| 156 | } | ||
| 157 | |||
| 158 | /** | ||
| 159 | * \brief Defines the maximum number of iterations. | ||
| 160 | */ | ||
| 161 | ✗ | void set_max_iter(index_t maxiter) { | |
| 162 | ✗ | max_iter_ = maxiter; | |
| 163 | ✗ | } | |
| 164 | |||
| 165 | /** | ||
| 166 | * \brief Returns the maximum number of iterations. | ||
| 167 | */ | ||
| 168 | index_t get_max_iter() const { | ||
| 169 | return max_iter_; | ||
| 170 | } | ||
| 171 | |||
| 172 | /** | ||
| 173 | * \brief Defines the callback that evaluates | ||
| 174 | * the function to be minimized and its gradient. | ||
| 175 | */ | ||
| 176 | ✗ | void set_funcgrad_callback(funcgrad_callback fp) { | |
| 177 | ✗ | funcgrad_callback_ = fp; | |
| 178 | ✗ | } | |
| 179 | |||
| 180 | /** | ||
| 181 | * \brief Defines a callback that will be | ||
| 182 | * called at each iteration. | ||
| 183 | */ | ||
| 184 | ✗ | void set_newiteration_callback(newiteration_callback fp) { | |
| 185 | ✗ | newiteration_callback_ = fp; | |
| 186 | ✗ | } | |
| 187 | |||
| 188 | /** | ||
| 189 | * \brief Defines the callback that evaluates | ||
| 190 | * the Hessian of function to be minimized (second | ||
| 191 | * order derivatives). | ||
| 192 | * | ||
| 193 | * \details Only used in "HLBFGS_HESS" mode. | ||
| 194 | */ | ||
| 195 | void set_evalhessian_callback(evalhessian_callback fp) { | ||
| 196 | evalhessian_callback_ = fp; | ||
| 197 | } | ||
| 198 | |||
| 199 | /** | ||
| 200 | * \brief Defines the stopping criterion | ||
| 201 | * in terms of gradient magnitude. | ||
| 202 | */ | ||
| 203 | ✗ | void set_epsg(double eg) { | |
| 204 | ✗ | epsg_ = eg; | |
| 205 | ✗ | } | |
| 206 | |||
| 207 | /** | ||
| 208 | * \brief Defines the stopping criterion | ||
| 209 | * in terms of function value. | ||
| 210 | */ | ||
| 211 | ✗ | void set_epsf(double ef) { | |
| 212 | ✗ | epsf_ = ef; | |
| 213 | ✗ | } | |
| 214 | |||
| 215 | /** | ||
| 216 | * \brief Defines the stopping criterion | ||
| 217 | * in terms of variation of x. | ||
| 218 | */ | ||
| 219 | ✗ | void set_epsx(double ex) { | |
| 220 | ✗ | epsx_ = ex; | |
| 221 | ✗ | } | |
| 222 | |||
| 223 | /** | ||
| 224 | * \brief Enables or disables verbose logs. | ||
| 225 | */ | ||
| 226 | void set_verbose(bool verb) { | ||
| 227 | verbose_ = verb; | ||
| 228 | } | ||
| 229 | |||
| 230 | protected: | ||
| 231 | /** | ||
| 232 | * \brief Optimizer constructor | ||
| 233 | * \details Should never be called directly, use create() instead. | ||
| 234 | */ | ||
| 235 | Optimizer(); | ||
| 236 | |||
| 237 | /** | ||
| 238 | * \brief Optimizer destructor | ||
| 239 | */ | ||
| 240 | ~Optimizer() override; | ||
| 241 | |||
| 242 | protected: | ||
| 243 | /** Size of the problem */ | ||
| 244 | index_t n_; | ||
| 245 | /** | ||
| 246 | * Number of corrections in the BFGS scheme of Hessian | ||
| 247 | * approximation update | ||
| 248 | */ | ||
| 249 | index_t m_; | ||
| 250 | /** Max iterations */ | ||
| 251 | index_t max_iter_; | ||
| 252 | |||
| 253 | funcgrad_callback funcgrad_callback_; | ||
| 254 | newiteration_callback newiteration_callback_; | ||
| 255 | evalhessian_callback evalhessian_callback_; | ||
| 256 | |||
| 257 | /** Error tolerance on x, f and g */ | ||
| 258 | double epsg_, epsf_, epsx_; | ||
| 259 | |||
| 260 | bool verbose_; | ||
| 261 | }; | ||
| 262 | |||
| 263 | /** | ||
| 264 | * \brief Smart pointer that contains an Optimizer object | ||
| 265 | * \relates Optimizer | ||
| 266 | */ | ||
| 267 | typedef SmartPointer<Optimizer> Optimizer_var; | ||
| 268 | |||
| 269 | /** | ||
| 270 | * \brief Optimizer Factory | ||
| 271 | * \details This Factory is used to create Optimizer objects. It can also | ||
| 272 | * be used to register new Optimizer implementations. | ||
| 273 | * \see geo_register_Optimizer_creator | ||
| 274 | * \see Factory | ||
| 275 | * \relates Optimizer | ||
| 276 | */ | ||
| 277 | typedef Factory0<Optimizer> OptimizerFactory; | ||
| 278 | |||
| 279 | /** | ||
| 280 | * \brief Helper macro to register an Optimizer implementation | ||
| 281 | * \see OptimizerFactory | ||
| 282 | * \relates Optimizer | ||
| 283 | */ | ||
| 284 | #define geo_register_Optimizer_creator(type, name) \ | ||
| 285 | geo_register_creator(GEO::OptimizerFactory, type, name) | ||
| 286 | } | ||
| 287 | |||
| 288 | #endif | ||
| 289 |