org.apache.commons.math3.optimization.general

Class NonLinearConjugateGradientOptimizer

java.lang.Object

org.apache.commons.math3.optimization.direct.BaseAbstractMultivariateOptimizer<DifferentiableMultivariateFunction>

org.apache.commons.math3.optimization.general.AbstractScalarDifferentiableOptimizer

org.apache.commons.math3.optimization.general.NonLinearConjugateGradientOptimizer

All Implemented Interfaces:

BaseMultivariateOptimizer<DifferentiableMultivariateFunction>, BaseOptimizer<PointValuePair>, DifferentiableMultivariateOptimizer

public class NonLinearConjugateGradientOptimizer
extends AbstractScalarDifferentiableOptimizer

Non-linear conjugate gradient optimizer.

This class supports both the Fletcher-Reeves and the Polak-Ribière update formulas for the conjugate search directions. It also supports optional preconditioning.

Since:

2.0

Version:

$Id: NonLinearConjugateGradientOptimizer.java 1244107 2012-02-14 16:17:55Z erans $

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	NonLinearConjugateGradientOptimizer.IdentityPreconditioner Default identity preconditioner.

Field Summary

Fields inherited from class org.apache.commons.math3.optimization.direct.BaseAbstractMultivariateOptimizer

evaluations

Constructor Summary

Constructors

Constructor and Description
NonLinearConjugateGradientOptimizer(ConjugateGradientFormula updateFormula) Constructor with default checker, line search solver and preconditioner.
NonLinearConjugateGradientOptimizer(ConjugateGradientFormula updateFormula, ConvergenceChecker<PointValuePair> checker) Constructor with default line search solver and preconditioner.
NonLinearConjugateGradientOptimizer(ConjugateGradientFormula updateFormula, ConvergenceChecker<PointValuePair> checker, UnivariateSolver lineSearchSolver) Constructor with default preconditioner.
NonLinearConjugateGradientOptimizer(ConjugateGradientFormula updateFormula, ConvergenceChecker<PointValuePair> checker, UnivariateSolver lineSearchSolver, Preconditioner preconditioner)

Method Summary

Methods

Modifier and Type	Method and Description
protected PointValuePair	doOptimize() Perform the bulk of the optimization algorithm.
void	setInitialStep(double initialStep) Set the initial step used to bracket the optimum in line search.

Methods inherited from class org.apache.commons.math3.optimization.general.AbstractScalarDifferentiableOptimizer

computeObjectiveGradient, optimize

Methods inherited from class org.apache.commons.math3.optimization.direct.BaseAbstractMultivariateOptimizer

computeObjectiveValue, getConvergenceChecker, getEvaluations, getGoalType, getMaxEvaluations, getStartPoint

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface org.apache.commons.math3.optimization.BaseOptimizer

getConvergenceChecker, getEvaluations, getMaxEvaluations

Constructor Detail

NonLinearConjugateGradientOptimizer

public NonLinearConjugateGradientOptimizer(ConjugateGradientFormula updateFormula)

Constructor with default checker, line search solver and preconditioner.

Parameters:

updateFormula - formula to use for updating the β parameter, must be one of ConjugateGradientFormula.FLETCHER_REEVES or ConjugateGradientFormula.POLAK_RIBIERE.

NonLinearConjugateGradientOptimizer

public NonLinearConjugateGradientOptimizer(ConjugateGradientFormula updateFormula,
                                   ConvergenceChecker<PointValuePair> checker)

Constructor with default line search solver and preconditioner.

Parameters:

updateFormula - formula to use for updating the β parameter, must be one of ConjugateGradientFormula.FLETCHER_REEVES or ConjugateGradientFormula.POLAK_RIBIERE.

checker - Convergence checker.

NonLinearConjugateGradientOptimizer

public NonLinearConjugateGradientOptimizer(ConjugateGradientFormula updateFormula,
                                   ConvergenceChecker<PointValuePair> checker,
                                   UnivariateSolver lineSearchSolver)

Constructor with default preconditioner.

Parameters:

updateFormula - formula to use for updating the β parameter, must be one of ConjugateGradientFormula.FLETCHER_REEVES or ConjugateGradientFormula.POLAK_RIBIERE.

checker - Convergence checker.

lineSearchSolver - Solver to use during line search.

NonLinearConjugateGradientOptimizer

public NonLinearConjugateGradientOptimizer(ConjugateGradientFormula updateFormula,
                                   ConvergenceChecker<PointValuePair> checker,
                                   UnivariateSolver lineSearchSolver,
                                   Preconditioner preconditioner)

Parameters:

updateFormula - formula to use for updating the β parameter, must be one of ConjugateGradientFormula.FLETCHER_REEVES or ConjugateGradientFormula.POLAK_RIBIERE.

checker - Convergence checker.

lineSearchSolver - Solver to use during line search.

preconditioner - Preconditioner.

Method Detail

setInitialStep

public void setInitialStep(double initialStep)

Set the initial step used to bracket the optimum in line search.

The initial step is a factor with respect to the search direction, which itself is roughly related to the gradient of the function

Parameters:

initialStep - initial step used to bracket the optimum in line search, if a non-positive value is used, the initial step is reset to its default value of 1.0

doOptimize

protected PointValuePair doOptimize()

Perform the bulk of the optimization algorithm.

Specified by:

doOptimize in class BaseAbstractMultivariateOptimizer<DifferentiableMultivariateFunction>

Returns:

the point/value pair giving the optimal value for the objective function.