Newton optimisation. More...

#include <gonewton.h>

Public Types
typedef goMath::Vector< type_ >	vector_type

typedef goMath::Matrix< type_ >	matrix_type

typedef goMath::OptFunction< matrix_type, vector_type >	function_type

Public Member Functions
	NewtonOpt (goAutoPtr< function_type > f)
	Constructor. More...

void	setF (goAutoPtr< function_type > f)
	Sets the function to be minimised. More...

virtual void	cleanup ()
	Frees temporary memory.

virtual void	solveDirect (vector_type &x)
	Solves without line search. More...

virtual void	solveLineSearch (vector_type &x)

virtual type_	newtonDecrement (vector_type &x)

virtual void	step (vector_type &x, vector_type &ret)
	Calculate the newton step. More...

Protected Attributes
goAutoPtr< function_type >	myF

matrix_type	myHessian

LineSearch< function_type, vector_type >	myLineSearch

Detailed Description

template<class type_>
class goMath::NewtonOpt< type_ >

Newton optimisation.

Todo:: Add line search

This implements the standard Newton step descent algorithm, solving

$H(f(x)) \cdot \Delta x = \nabla f(x)$

to find a step $\Delta x$ and then updating

$x = x - \Delta x$

until convergence. A line search is not conducted, this needs to be added.

Parameters

callable_	A type that supports the interface defined by the class goMath::OptFunction, with goMath::Matrix and goMath::Vector types as template parameters. You can simply derive from OptFunction and implement the `operator()` accordingly, or use a OptFunctor. The function to be minimised will be of type `callable_`.
type_	A floating point type (float or double).

Constructor & Destructor Documentation

◆ NewtonOpt()

template<class type_ >

goMath::NewtonOpt< type_ >::NewtonOpt ( goAutoPtr< function_type > f )

inline

Constructor.

Note: eps is used squared in hessian(), therefore it should not be much smaller than 0.01 for floats in order not to run into machine precision problems.

Parameters

f	Function object that is to be minimised.

Member Function Documentation

◆ setF()

template<class type_ >

void goMath::NewtonOpt< type_ >::setF ( goAutoPtr< function_type > f )

inline

Sets the function to be minimised.

Parameters

f	Function object that is to be minimised.

◆ solveDirect()

template<class type_ >

virtual void goMath::NewtonOpt< type_ >::solveDirect ( vector_type & x )

inlinevirtual

Solves without line search.

Parameters

x	Initial point.

Reimplemented in goMath::NewtonOptEq< type_ >.

◆ step()

template<class type_ >

virtual void goMath::NewtonOpt< type_ >::step	(	vector_type &	x,
		vector_type &	ret
	)

inlinevirtual

Calculate the newton step.

Note: x is modified during the call, but restored when the call returns.

Parameters

x	Point at which to calculate
ret	Contains the Newton step on return

Reimplemented in goMath::NewtonOptEq< type_ >.

The documentation for this class was generated from the following file:

gonewton.h

Public Types

Public Member Functions

Protected Attributes

Detailed Description

template<class type_> class goMath::NewtonOpt< type_ >

Constructor & Destructor Documentation

◆ NewtonOpt()

Member Function Documentation

◆ setF()

◆ solveDirect()

◆ step()

template<class type_>
class goMath::NewtonOpt< type_ >