pub struct SR1TrustRegion<R, F> { /* private fields */ }
Expand description

SR1 Trust region method

A Quasi-Newton method which uses symmetric rank 1 (SR1) updating of the Hessian in a trust region framework. An initial parameter vector must be provided, initial cost, gradient and Hessian are optional and will be computed if not provided. Requires a trust region sub problem.

Requirements on the optimization problem

The optimization problem is required to implement CostFunction, Gradient and Hessian.

Reference

Jorge Nocedal and Stephen J. Wright (2006). Numerical Optimization. Springer. ISBN 0-387-30303-0.

Implementations§

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impl<R, F> SR1TrustRegion<R, F>
where F: ArgminFloat,

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pub fn new(subproblem: R) -> Self

Construct a new instance of SR1TrustRegion

Example
let subproblem = argmin::solver::trustregion::Steihaug::new().with_max_iters(20);
let sr1: SR1TrustRegion<_, f64> = SR1TrustRegion::new(subproblem);
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pub fn with_denominator_factor( self, denominator_factor: F ) -> Result<Self, Error>

Set denominator factor

If the denominator of the update is below the denominator_factor (scaled with other factors derived from the parameter vectors and the gradients), then the update of the inverse Hessian will be skipped.

Must be in (0, 1) and defaults to 1e-8.

Example
let sr1: SR1TrustRegion<_, f64> = SR1TrustRegion::new(subproblem).with_denominator_factor(1e-7)?;
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pub fn with_radius(self, radius: F) -> Self

Set initial radius

Defaults to 1.0.

Example
let sr1: SR1TrustRegion<_, f64> = SR1TrustRegion::new(subproblem).with_radius(2.0);
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pub fn with_eta(self, eta: F) -> Result<Self, Error>

Set eta

A step is taken if the actual reduction over the predicted reduction exceeds eta. Must be in (0, 10^-3) and defaults to 0.5 * 10^-3.

Example
let sr1: SR1TrustRegion<_, f64> = SR1TrustRegion::new(subproblem).with_eta(10e-4)?;
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pub fn with_tolerance_grad(self, tol_grad: F) -> Result<Self, Error>

The algorithm stops if the norm of the gradient is below tol_grad.

The provided value must be non-negative. Defaults to 10^-3.

Example
let sr1: SR1TrustRegion<_, f64> = SR1TrustRegion::new(subproblem).with_tolerance_grad(1e-6)?;

Trait Implementations§

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impl<R: Clone, F: Clone> Clone for SR1TrustRegion<R, F>

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fn clone(&self) -> SR1TrustRegion<R, F>

Returns a copy of the value. Read more
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fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source. Read more
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impl<'de, R, F> Deserialize<'de> for SR1TrustRegion<R, F>
where R: Deserialize<'de>, F: Deserialize<'de>,

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fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error>
where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer. Read more
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impl<R, F> Serialize for SR1TrustRegion<R, F>
where R: Serialize, F: Serialize,

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fn serialize<__S>(&self, __serializer: __S) -> Result<__S::Ok, __S::Error>
where __S: Serializer,

Serialize this value into the given Serde serializer. Read more
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impl<O, R, P, G, B, F> Solver<O, IterState<P, G, (), B, (), F>> for SR1TrustRegion<R, F>
where O: CostFunction<Param = P, Output = F> + Gradient<Param = P, Gradient = G> + Hessian<Param = P, Hessian = B>, P: Clone + ArgminSub<P, P> + ArgminAdd<P, P> + ArgminDot<P, F> + ArgminDot<P, B> + ArgminL2Norm<F> + ArgminZeroLike, G: Clone + ArgminL2Norm<F> + ArgminDot<P, F> + ArgminSub<G, P>, B: Clone + ArgminDot<P, P> + ArgminAdd<B, B> + ArgminMul<F, B>, R: Clone + TrustRegionRadius<F> + Solver<O, IterState<P, G, (), B, (), F>>, F: ArgminFloat + ArgminL2Norm<F>,

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const NAME: &'static str = "SR1 trust region"

Name of the solver. Mainly used in Observers.
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fn init( &mut self, problem: &mut Problem<O>, state: IterState<P, G, (), B, (), F> ) -> Result<(IterState<P, G, (), B, (), F>, Option<KV>), Error>

Initializes the algorithm. Read more
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fn next_iter( &mut self, problem: &mut Problem<O>, state: IterState<P, G, (), B, (), F> ) -> Result<(IterState<P, G, (), B, (), F>, Option<KV>), Error>

Computes a single iteration of the algorithm and has access to the optimization problem definition and the internal state of the solver. Returns an updated state and optionally a KV which holds key-value pairs used in Observers.
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fn terminate( &mut self, state: &IterState<P, G, (), B, (), F> ) -> TerminationStatus

Used to implement stopping criteria, in particular criteria which are not covered by (terminate_internal. Read more
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fn terminate_internal(&mut self, state: &I) -> TerminationStatus

Checks whether basic termination reasons apply. Read more

Auto Trait Implementations§

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impl<R, F> RefUnwindSafe for SR1TrustRegion<R, F>

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impl<R, F> Send for SR1TrustRegion<R, F>
where F: Send, R: Send,

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impl<R, F> Sync for SR1TrustRegion<R, F>
where F: Sync, R: Sync,

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impl<R, F> Unpin for SR1TrustRegion<R, F>
where F: Unpin, R: Unpin,

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impl<R, F> UnwindSafe for SR1TrustRegion<R, F>
where F: UnwindSafe, R: UnwindSafe,

Blanket Implementations§

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impl<T> Any for T
where T: 'static + ?Sized,

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fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more
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impl<T> Borrow<T> for T
where T: ?Sized,

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fn borrow(&self) -> &T

Immutably borrows from an owned value. Read more
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impl<T> BorrowMut<T> for T
where T: ?Sized,

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fn borrow_mut(&mut self) -> &mut T

Mutably borrows from an owned value. Read more
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impl<T> From<T> for T

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fn from(t: T) -> T

Returns the argument unchanged.

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impl<T, U> Into<U> for T
where U: From<T>,

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fn into(self) -> U

Calls U::from(self).

That is, this conversion is whatever the implementation of From<T> for U chooses to do.

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impl<T> Same for T

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type Output = T

Should always be Self
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impl<SS, SP> SupersetOf<SS> for SP
where SS: SubsetOf<SP>,

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fn to_subset(&self) -> Option<SS>

The inverse inclusion map: attempts to construct self from the equivalent element of its superset. Read more
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fn is_in_subset(&self) -> bool

Checks if self is actually part of its subset T (and can be converted to it).
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fn to_subset_unchecked(&self) -> SS

Use with care! Same as self.to_subset but without any property checks. Always succeeds.
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fn from_subset(element: &SS) -> SP

The inclusion map: converts self to the equivalent element of its superset.
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impl<T> ToOwned for T
where T: Clone,

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type Owned = T

The resulting type after obtaining ownership.
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fn to_owned(&self) -> T

Creates owned data from borrowed data, usually by cloning. Read more
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fn clone_into(&self, target: &mut T)

Uses borrowed data to replace owned data, usually by cloning. Read more
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impl<T, U> TryFrom<U> for T
where U: Into<T>,

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type Error = Infallible

The type returned in the event of a conversion error.
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fn try_from(value: U) -> Result<T, <T as TryFrom<U>>::Error>

Performs the conversion.
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impl<T, U> TryInto<U> for T
where U: TryFrom<T>,

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type Error = <U as TryFrom<T>>::Error

The type returned in the event of a conversion error.
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fn try_into(self) -> Result<U, <U as TryFrom<T>>::Error>

Performs the conversion.
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impl<V, T> VZip<V> for T
where V: MultiLane<T>,

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fn vzip(self) -> V

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impl<T> DeserializeOwned for T
where T: for<'de> Deserialize<'de>,

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impl<T> SendAlias for T

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impl<T> SyncAlias for T