github.com/gopherd/gonum@v0.0.4/optimize/functionconvergence.go (about)

     1  // Copyright ©2015 The Gonum Authors. All rights reserved.
     2  // Use of this source code is governed by a BSD-style
     3  // license that can be found in the LICENSE file.
     4  
     5  package optimize
     6  
     7  import (
     8  	"math"
     9  )
    10  
    11  // Converger returns the convergence of the optimization based on
    12  // locations found during optimization. Converger must not modify the value of
    13  // the provided Location in any of the methods.
    14  type Converger interface {
    15  	Init(dim int)
    16  	Converged(loc *Location) Status
    17  }
    18  
    19  var (
    20  	_ Converger = NeverTerminate{}
    21  	_ Converger = (*FunctionConverge)(nil)
    22  )
    23  
    24  // NeverTerminate implements Converger, always reporting NotTerminated.
    25  type NeverTerminate struct{}
    26  
    27  func (NeverTerminate) Init(dim int) {}
    28  
    29  func (NeverTerminate) Converged(loc *Location) Status {
    30  	return NotTerminated
    31  }
    32  
    33  // FunctionConverge tests for insufficient improvement in the optimum value
    34  // over the last iterations. A FunctionConvergence status is returned if
    35  // there is no significant decrease for FunctionConverge.Iterations. A
    36  // significant decrease is considered if
    37  //   f < f_best
    38  // and
    39  //  f_best - f > FunctionConverge.Relative * maxabs(f, f_best) + FunctionConverge.Absolute
    40  // If the decrease is significant, then the iteration counter is reset and
    41  // f_best is updated.
    42  //
    43  // If FunctionConverge.Iterations == 0, it has no effect.
    44  type FunctionConverge struct {
    45  	Absolute   float64
    46  	Relative   float64
    47  	Iterations int
    48  
    49  	first bool
    50  	best  float64
    51  	iter  int
    52  }
    53  
    54  func (fc *FunctionConverge) Init(dim int) {
    55  	fc.first = true
    56  	fc.best = 0
    57  	fc.iter = 0
    58  }
    59  
    60  func (fc *FunctionConverge) Converged(l *Location) Status {
    61  	f := l.F
    62  	if fc.first {
    63  		fc.best = f
    64  		fc.first = false
    65  		return NotTerminated
    66  	}
    67  	if fc.Iterations == 0 {
    68  		return NotTerminated
    69  	}
    70  	maxAbs := math.Max(math.Abs(f), math.Abs(fc.best))
    71  	if f < fc.best && fc.best-f > fc.Relative*maxAbs+fc.Absolute {
    72  		fc.best = f
    73  		fc.iter = 0
    74  		return NotTerminated
    75  	}
    76  	fc.iter++
    77  	if fc.iter < fc.Iterations {
    78  		return NotTerminated
    79  	}
    80  	return FunctionConvergence
    81  }