aug_lagrangian.hpp

Go to the documentation of this file.

#ifndef MLPACK_CORE_OPTIMIZERS_AUG_LAGRANGIAN_AUG_LAGRANGIAN_HPP
#define MLPACK_CORE_OPTIMIZERS_AUG_LAGRANGIAN_AUG_LAGRANGIAN_HPP

#include <mlpack/prereqs.hpp>
#include <mlpack/core/optimizers/lbfgs/lbfgs.hpp>

#include "aug_lagrangian_function.hpp"

namespace mlpack {
namespace optimization {

class AugLagrangian
{
 public:
  AugLagrangian();

  AugLagrangian(L_BFGS& lbfgs);

  template<typename LagrangianFunctionType>
  bool Optimize(LagrangianFunctionType& function,
                arma::mat& coordinates,
                const size_t maxIterations = 1000);

  template<typename LagrangianFunctionType>
  bool Optimize(LagrangianFunctionType& function,
                arma::mat& coordinates,
                const arma::vec& initLambda,
                const double initSigma,
                const size_t maxIterations = 1000);

  const L_BFGS& LBFGS() const { return lbfgs; }
  L_BFGS& LBFGS() { return lbfgs; }

  const arma::vec& Lambda() const { return lambda; }
  arma::vec& Lambda() { return lambda; }

  double Sigma() const { return sigma; }
  double& Sigma() { return sigma; }

 private:
  L_BFGS lbfgsInternal;

  L_BFGS& lbfgs;

  arma::vec lambda;
  double sigma;

  template<typename LagrangianFunctionType>
  bool Optimize(AugLagrangianFunction<LagrangianFunctionType>& augfunc,
                arma::mat& coordinates,
                const size_t maxIterations);
};

} // namespace optimization
} // namespace mlpack

#include "aug_lagrangian_impl.hpp"

#endif // MLPACK_CORE_OPTIMIZERS_AUG_LAGRANGIAN_AUG_LAGRANGIAN_HPP