org.apache.commons.math.optimization.general
Class NonLinearConjugateGradientOptimizer

java.lang.Object
  org.apache.commons.math.optimization.direct.BaseAbstractScalarOptimizer<DifferentiableMultivariateRealFunction>
      org.apache.commons.math.optimization.general.AbstractScalarDifferentiableOptimizer
          org.apache.commons.math.optimization.general.NonLinearConjugateGradientOptimizer

All Implemented Interfaces:

BaseMultivariateRealOptimizer<DifferentiableMultivariateRealFunction>, BaseOptimizer<RealPointValuePair>, DifferentiableMultivariateRealOptimizer

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 1178805 2011-10-04 14:13:46Z luc $

Nested Class Summary

static class

NonLinearConjugateGradientOptimizer.IdentityPreconditioner Default identity preconditioner.

Field Summary

Fields inherited from class org.apache.commons.math.optimization.direct.BaseAbstractScalarOptimizer

evaluations

Constructor Summary

NonLinearConjugateGradientOptimizer(ConjugateGradientFormula updateFormula)
Constructor with default checker, line search solver and preconditioner.

NonLinearConjugateGradientOptimizer(ConjugateGradientFormula updateFormula, ConvergenceChecker<RealPointValuePair> checker)
Constructor with default line search solver and preconditioner.

NonLinearConjugateGradientOptimizer(ConjugateGradientFormula updateFormula, ConvergenceChecker<RealPointValuePair> checker, UnivariateRealSolver lineSearchSolver)
Constructor with default preconditioner.

NonLinearConjugateGradientOptimizer(ConjugateGradientFormula updateFormula, ConvergenceChecker<RealPointValuePair> checker, UnivariateRealSolver lineSearchSolver, Preconditioner preconditioner)

Method Summary

protected RealPointValuePair	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.math.optimization.general.AbstractScalarDifferentiableOptimizer

computeObjectiveGradient, optimize

Methods inherited from class org.apache.commons.math.optimization.direct.BaseAbstractScalarOptimizer

computeObjectiveValue, getConvergenceChecker, getEvaluations, getGoalType, getMaxEvaluations, getStartPoint, setConvergenceChecker

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.math.optimization.BaseOptimizer

getConvergenceChecker, getEvaluations, getMaxEvaluations, setConvergenceChecker

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<RealPointValuePair> 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<RealPointValuePair> checker,
                                           UnivariateRealSolver 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<RealPointValuePair> checker,
                                           UnivariateRealSolver 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 RealPointValuePair doOptimize()

Perform the bulk of the optimization algorithm.

Specified by:

doOptimize in class BaseAbstractScalarOptimizer<DifferentiableMultivariateRealFunction>

Returns:

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