/usr/include/trilinos/ROL_Bracketing.hpp is in libtrilinos-rol-dev 12.12.1-5.
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// ************************************************************************
//
// Rapid Optimization Library (ROL) Package
// Copyright (2014) Sandia Corporation
//
// Under terms of Contract DE-AC04-94AL85000, there is a non-exclusive
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// met:
//
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// documentation and/or other materials provided with the distribution.
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// contributors may be used to endorse or promote products derived from
// this software without specific prior written permission.
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#ifndef ROL_BRACKETING_H
#define ROL_BRACKETING_H
/** \class ROL::Bracketing
\brief Provides interface for bracketing a minimizer of a scalar function.
*/
#include "ROL_ScalarFunction.hpp"
#include "ROL_ScalarMinimizationStatusTest.hpp"
namespace ROL {
template<class Real>
class Bracketing {
public:
virtual ~Bracketing() {}
void run(Real &x, Real &fx, Real &a, Real &fa,
Real &b, Real &fb, int &nfval, int &ngrad,
ScalarFunction<Real> &f) const {
ScalarMinimizationStatusTest<Real> test;
run(x,fx,a,fa,b,fb,nfval,ngrad,f,test);
}
virtual void run(Real &x, Real &fx, Real &a, Real &fa,
Real &b, Real &fb, int &nfval, int &ngrad,
ScalarFunction<Real> &f,
ScalarMinimizationStatusTest<Real> &test) const {
Real zero(0), half(0.5), one(1);
const Real c(1.618034);
const Real eps(ROL_EPSILON<Real>());
const Real lim(100);
Real r = zero, q = zero, u = zero, v = zero, ulim = zero, fu = zero, gx = ROL_INF<Real>();
bool deriv = false;
// f(a) is assumed to be greater than or equal to f(b)
if ( fb > fa ) {
return;
}
x = b + c*(b-a); fx = f.value(x); nfval++;
for ( int i = 0; i < 8; i++ ) {
if (fb < fx || test.check(x,fx,gx,nfval,ngrad,deriv) ) {
break;
}
r = (b-a)*(fb-fx);
q = (b-x)*(fb-fa);
v = ((q > r) ? one : -one)*std::max(std::abs(q-r),eps);
u = b - half*((b-x)*q - (b-a)*r)/v;
ulim = b + lim*(x-b);
if ( (b-u)*(u-x) > zero ) {
fu = f.value(u); nfval++;
if ( fu < fx ) {
a = b; fa = fb;
b = u; fb = fu;
break;
}
else if ( fu > fb ) {
x = u; fx = fu;
break;
}
u = x + c*(x-b); fu = f.value(u); nfval++;
}
else if ( (x-u)*(u-ulim) > zero ) {
fu = f.value(u); nfval++;
if ( fu < fx ) {
b = x; fb = fx;
x = u; fx = fu;
u = x + c*(x-b); fu = f.value(u); nfval++;
}
}
else if ( (u-ulim)*(ulim-x) > zero) {
u = ulim; fu = f.value(u); nfval++;
}
else {
u = x + c*(x-b); fu = f.value(u); nfval++;
}
a = b; fa = fb;
b = x; fb = fx;
x = u; fx = fu;
}
}
};
}
#endif
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