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src/liblinear/newton.cpp  view on Meta::CPAN

#include <math.h>
#include <stdio.h>
#include <string.h>
#include <stdarg.h>
#include "newton.h"

#ifndef min
template <class T> static inline T min(T x,T y) { return (x<y)?x:y; }
#endif

#ifndef max
template <class T> static inline T max(T x,T y) { return (x>y)?x:y; }
#endif

#ifdef __cplusplus
extern "C" {
#endif

extern double dnrm2_(int *, double *, int *);
extern double ddot_(int *, double *, int *, double *, int *);
extern int daxpy_(int *, double *, double *, int *, double *, int *);
extern int dscal_(int *, double *, double *, int *);

#ifdef __cplusplus
}
#endif

static void default_print(const char *buf)
{
	fputs(buf,stdout);
	fflush(stdout);
}

// On entry *f must be the function value of w
// On exit w is updated and *f is the new function value
double function::linesearch_and_update(double *w, double *s, double *f, double *g, double alpha)
{
	double gTs = 0;
	double eta = 0.01;
	int n = get_nr_variable();
	int max_num_linesearch = 20;
	double *w_new = new double[n];
	double fold = *f;

	for (int i=0;i<n;i++)
		gTs += s[i] * g[i];

	int num_linesearch = 0;
	for(num_linesearch=0; num_linesearch < max_num_linesearch; num_linesearch++)
	{
		for (int i=0;i<n;i++)
			w_new[i] = w[i] + alpha*s[i];
		*f = fun(w_new);
		if (*f - fold <= eta * alpha * gTs)
			break;
		else
			alpha *= 0.5;
	}

	if (num_linesearch >= max_num_linesearch)
	{
		*f = fold;
		return 0;
	}
	else
		memcpy(w, w_new, sizeof(double)*n);

	delete [] w_new;
	return alpha;
}

void NEWTON::info(const char *fmt,...)
{
	char buf[BUFSIZ];
	va_list ap;
	va_start(ap,fmt);
	vsprintf(buf,fmt,ap);
	va_end(ap);
	(*newton_print_string)(buf);
}

NEWTON::NEWTON(const function *fun_obj, double eps, double eps_cg, int max_iter)
{
	this->fun_obj=const_cast<function *>(fun_obj);
	this->eps=eps;
	this->eps_cg=eps_cg;
	this->max_iter=max_iter;
	newton_print_string = default_print;
}

NEWTON::~NEWTON()
{
}

void NEWTON::newton(double *w)