itpp::Newton_Search Class Reference
[Numerical Optimization Module]

Newton Search. More...

#include <newton_search.h>

List of all members.

Public Member Functions
	Newton_Search ()
	Default constructor.
	~Newton_Search ()
	Destructor.
void	set_function (double(*function)(const vec &))
	Set function pointer.
void	set_gradient (vec(*gradient)(const vec &))
	Set gradient function pointer.
void	set_functions (double(*function)(const vec &), vec(*gradient)(const vec &))
	Set both function and gradient function pointers.
void	set_start_point (const vec &x, const mat &D)
	Set start point x for search and approx inverse Hessian at x.
void	set_start_point (const vec &x)
	Set start point x for search.
vec	get_solution ()
	Get solution, function value and gradient at solution point.
bool	search ()
	Do the line search.
bool	search (vec &xn)
	Do the line search and return solution.
bool	search (const vec &x0, vec &xn)
	Set starting point, do the Newton search, and return the solution.
void	set_stop_values (double epsilon_1, double epsilon_2)
	Set stop criterion values.
double	get_epsilon_1 ()
	Return stop value rho.
double	get_epsilon_2 ()
	Return stop value beta.
void	set_max_evaluations (int value)
	Set max number of function evaluations.
int	get_max_evaluations ()
	Return max number of function evaluations.
void	set_initial_stepsize (double value)
	Set max stepsize.
double	get_initial_stepsize ()
	Return max number of iterations.
void	set_method (const Newton_Search_Method &method)
	Set Line search method.
double	get_function_value ()
	get function value at solution point
double	get_stop_1 ()
	get value of stop criterion 1 at solution point
double	get_stop_2 ()
	get value of stop criterion 2 at solution point
int	get_no_iterations ()
	get number of iterations used to reach solution
int	get_no_function_evaluations ()
	get number of function evaluations used to reach solution
void	enable_trace ()
	enable trace mode
void	disable_trace ()
	disable trace
void	get_trace (Array< vec > &xvalues, vec &Fvalues, vec &ngvalues, vec &dvalues)

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Detailed Description

Newton Search.

Newton or Quasi-Newton optimization method that try to minimize the objective function given an initial guess .

The search is stopped when either criterion 1:

or criterion 2:

is fulfilled. Another possibility is that the search is stopped when the number of function evaluations exceeds a threshold (100 per default).

The default update rule for the inverse of the Hessian matrix is the BFGS algorithm with an .

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Member Function Documentation

void itpp::Newton_Search::get_trace	(	Array< vec > &	xvalues,
		vec &	Fvalues,
		vec &	ngvalues,
		vec &	dvalues
	)

get trace outputs xvalues are the solutions of every iteration Fvalues are the function values ngvalues are the norm(gradient,inf) values dvalues are the delta values

References it_warning.

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

• newton_search.h
• newton_search.cpp