LineSearch.h

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//===========================================================================
/*!
 * 
 *
 * \brief       LineSearch
 * 
 * 
 *
 * \author      O. Krause, S. Dahlgaard
 * \date        2010-2017
 *
 *
 * \par Copyright 1995-2017 Shark Development Team
 * 
 * <BR><HR>
 * This file is part of Shark.
 * <https://shark-ml.github.io/Shark/>
 * 
 * Shark is free software: you can redistribute it and/or modify
 * it under the terms of the GNU Lesser General Public License as published 
 * by the Free Software Foundation, either version 3 of the License, or
 * (at your option) any later version.
 * 
 * Shark is distributed in the hope that it will be useful,
 * but WITHOUT ANY WARRANTY; without even the implied warranty of
 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
 * GNU Lesser General Public License for more details.
 * 
 * You should have received a copy of the GNU Lesser General Public License
 * along with Shark.  If not, see <http://www.gnu.org/licenses/>.
 *
 */
//===========================================================================
 
#ifndef SHARK_ALGORITHMS_GRADIENTDESCENT_LINESEARCH_H
#define SHARK_ALGORITHMS_GRADIENTDESCENT_LINESEARCH_H
 
#include <shark/LinAlg/Base.h>
#include <shark/Core/ISerializable.h>
#include <shark/ObjectiveFunctions/AbstractObjectiveFunction.h>
 
namespace shark {
    
enum class LineSearchType {
    Dlinmin,
    WolfeCubic,
    Backtracking
};
    
///\brief Wrapper for the linesearch class of functions in the linear algebra library.
///
///This class is a wrapper for the linesearch class of functions of the linear algebra library.
///The class is used for example in CG or BFGS for their internal linesearch learning steps.
///It is NOT an Optimizer on its own, since it needs the Newton direction to be specified.
/// \ingroup gradientopt
template<class SearchPointType>
class LineSearch:public ISerializable {
public:
    
    typedef AbstractObjectiveFunction<SearchPointType,double> ObjectiveFunction;
 
    ///Initializes the internal variables of the class to useful default values.
    ///Dlinmin is used as default
    LineSearch() {
        m_minInterval=0;
        m_maxInterval=1;
        m_lineSearchType= LineSearchType::WolfeCubic;
    }
 
    LineSearchType lineSearchType()const {
        return m_lineSearchType;
    }
    LineSearchType &lineSearchType() {
        return m_lineSearchType;
    }
    ///minInterval sets the minimum initial bracket
    double minInterval()const {
        return m_minInterval;
    }
    ///minInterval sets the minimum initial bracket
    double &minInterval() {
        return m_minInterval;
    }
    ///maxInterval sets the maximum initial bracket
    double maxInterval()const {
        return m_maxInterval;
    }
    ///maxInterval sets the maximum initial bracket
    double &maxInterval() {
        return m_maxInterval;
    }
 
    ///initializes the internal state of the LineSearch class and sets the function on which the lineSearch is to be evaluated
    void init(ObjectiveFunction const& objectiveFunction) {
        m_function = &objectiveFunction;
    }
 
    ///performs a linesearch on the objectiveFunction given the starting point, its value the newton direction and optionally the derivative at the starting point
    ///@param searchPoint the point where the linesearch start
    ///@param pointValue the value of the function at searchPoint
    ///@param newtonDirection the search direction of the line search
    ///@param derivative the derivative of the function at searchPoint
    ///@param stepLength initial step length guess for guiding the line search
    void operator()(SearchPointType &searchPoint,double &pointValue,SearchPointType const& newtonDirection, SearchPointType &derivative, double stepLength = 1.0)const;
 
    //ISerializable
    virtual void read(InArchive &archive) {
        archive>>m_minInterval;
        archive>>m_maxInterval;
        archive>>m_lineSearchType;
    }
 
    virtual void write(OutArchive &archive) const {
        archive<<m_minInterval;
        archive<<m_maxInterval;
        archive<<m_lineSearchType;
    }
 
 
protected:
    ///initial [min,max] bracket for linesearch
    double m_minInterval;
    ///initial [min,max] bracket for linesearch
    double m_maxInterval;
 
    LineSearchType m_lineSearchType;
 
    ///function to optimize
    ObjectiveFunction const* m_function;
};
 
extern template class LineSearch<RealVector>;
extern template class LineSearch<FloatVector>;
#ifdef SHARK_USE_OPENCL
extern template class LineSearch<RealGPUVector>;
extern template class LineSearch<FloatGPUVector>;
#endif
}
 
#endif