The (L-)BFGS class defines a solver using BFGS iteration method. More...

#include <BFGS.h>

Inheritance diagram for BFGS:

Collaboration diagram for BFGS:

Public Member Functions
	BFGS (unsigned=0, unsigned=30)

int	analyze () override

void	print () override

Public Member Functions inherited from Solver
	Solver (unsigned=0)

	Solver (const Solver &)=default

	Solver (Solver &&)=default

Solver &	operator= (const Solver &)=delete

Solver &	operator= (Solver &&)=delete

	~Solver () override=default

virtual int	initialize ()

virtual int	analyze ()=0

virtual void	set_step_size (double)

void	set_step_amplifier (double)

double	get_step_amplifier () const

void	set_converger (const shared_ptr< Converger > &)

const shared_ptr< Converger > &	get_converger () const

void	set_integrator (const shared_ptr< Integrator > &)

const shared_ptr< Integrator > &	get_integrator () const

bool	constant_matrix () const

Public Member Functions inherited from Tag
	Tag (unsigned=0)

	Tag (const Tag &)=default

	Tag (Tag &&)=default

Tag &	operator= (const Tag &)=delete

Tag &	operator= (Tag &&)=delete

virtual	~Tag ()=default

void	set_tag (unsigned) const

unsigned	get_tag () const

void	enable ()

void	disable ()

void	guard ()

void	unguard ()

bool	is_active () const

bool	is_guarded () const

virtual void	print ()

Detailed Description

The (L-)BFGS class defines a solver using BFGS iteration method.

The BFGS method is a rank two quasi–Newton method which has a super linear convergence rate. The (L-)BFGS class supports both conventional BFGS and L-BFGS method which uses limited history information.

\begin{gather} K_{n+1}^{-1}=\left(I-\dfrac{\Delta{}UR^T}{R^T\Delta{}U}\right)K_n^{-1}\left(I-\dfrac{R\Delta{}U^T}{R^T\Delta{}U}\right)+\dfrac{\Delta{}U\Delta{}U^T}{R^T\Delta{}U}. \end{gather}

The \(I\) is identity matrix. The \(\Delta{}U\) is current displacement increment. The \(R\) is current residual. For brevity, in both terms, the subscript \(n\) representing current step is dropped.

Author: tlc

Date: 06/07/2018

Version: 0.3.0

Constructor & Destructor Documentation

◆ BFGS()

BFGS::BFGS	(	unsigned	T = `0`,
		unsigned	MH = `30`
	)

explicit

Member Function Documentation

◆ analyze()

int BFGS::analyze ( )

overridevirtual

Implements Solver.

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◆ print()

void BFGS::print ( )