OW_LBFGSMinimizer.java

/**
 * 
 */
package edu.berkeley.nlp.math;

/**
 * @author petrov
 * Orthant-Wise L-BFGS
 * 
 */
public class OW_LBFGSMinimizer extends LBFGSMinimizer implements GradientMinimizer {


  /**
	 * @param iterations
	 */
	public OW_LBFGSMinimizer(int iterations) {
		super(iterations);
	}

	public double[] minimize(DifferentiableRegularizableFunction function, double[] initial, double tolerance) {
    BacktrackingLineSearcher lineSearcher = new BacktrackingLineSearcher();
    lineSearcher.sufficientDecreaseConstant = 0;
    double[] guess = DoubleArrays.clone(initial);
    for (int iteration = 0; iteration < maxIterations; iteration++) {
    	double[] derivative = function.derivativeAt(guess);
      double value = function.valueAt(guess);
      double[] direction = getSearchDirection(function.dimension(), derivative);
      double[] unregularizedDerivative = function.unregularizedDerivativeAt(guess);
      
      double[] orthant = getOrthant(initial, derivative);
      DoubleArrays.project(direction, derivative);//orthant);//
      
      //p^k: project search direction onto orthant defined by gradient
      DoubleArrays.scale(direction, -1.0);
      
      //      System.out.println(" Derivative is: "+DoubleArrays.toString(derivative, 100));
//      DoubleArrays.assign(direction, derivative);
//      System.out.println(" Looking in direction: "+DoubleArrays.toString(direction, 100));
      if (iteration == 0)
        lineSearcher.stepSizeMultiplier = initialStepSizeMultiplier;
      else
        lineSearcher.stepSizeMultiplier = stepSizeMultiplier;
      double[] nextGuess = lineSearcher.minimize(function, guess, direction, true);
      double nextValue = function.valueAt(nextGuess);
//      double[] nextDerivative = function.derivativeAt(nextGuess);
      double[] unregularizedNextDerivative = function.unregularizedDerivativeAt(nextGuess);
      
      System.out.printf("Iteration %d ended with value %.6f\n", iteration, nextValue);
      
      if (iteration >= minIterations && converged(value, nextValue, tolerance))
        return nextGuess;
      
      // update with unregularized derivatives!
      updateHistories(guess, nextGuess, unregularizedDerivative, unregularizedNextDerivative);
      guess = nextGuess;
      value = nextValue;
//      derivative = nextDerivative;
      unregularizedDerivative = unregularizedNextDerivative;
      if (iterCallbackFunction != null) {
        iterCallbackFunction.callback(guess,iteration);
      }
    }
    //System.err.println("LBFGSMinimizer.minimize: Exceeded maxIterations without converging.");
    return guess;
  }

	/**
	 * @param initial
	 * @param derivative
	 * @return
	 */
	private double[] getOrthant(double[] initial, double[] derivative) {
		double[] orthant=new double[initial.length];
		for (int i=0; i<initial.length; i++) {
			if (initial[i]!=0) orthant[i] = Math.signum(initial[i]);
			else orthant[i] = Math.signum(-derivative[i]);
		}
		return orthant;
	}

  

}