libsc-dev 2.3.1-16build1 / usr / include / sc / math / optimize / function.h

//
// function.h
//
// Copyright (C) 1996 Limit Point Systems, Inc.
//
// Author: Curtis Janssen <cljanss@limitpt.com>
// Maintainer: LPS
//
// This file is part of the SC Toolkit.
//
// The SC Toolkit is free software; you can redistribute it and/or modify
// it under the terms of the GNU Library General Public License as published by
// the Free Software Foundation; either version 2, or (at your option)
// any later version.
//
// The SC Toolkit is distributed in the hope that it will be useful,
// but WITHOUT ANY WARRANTY; without even the implied warranty of
// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
// GNU Library General Public License for more details.
//
// You should have received a copy of the GNU Library General Public License
// along with the SC Toolkit; see the file COPYING.LIB.  If not, write to
// the Free Software Foundation, 675 Mass Ave, Cambridge, MA 02139, USA.
//
// The U.S. Government is granted a limited license as per AL 91-7.
//

#ifdef __GNUC__
#pragma interface
#endif

#ifndef _math_optimize_function_h
#define _math_optimize_function_h

#include <math.h>
#include <float.h>

#include <util/state/state.h>
#include <math/optimize/transform.h>
#include <math/scmat/matrix.h>
#include <math/scmat/result.h>

namespace sc {

/** The Function class is an abstract base class that,
    given a set of coordinates, will compute a value and possibly
    a gradient and hessian at that point. */
class Function: virtual public SavableState, public Compute {
  protected:
    Ref<SCMatrixKit> matrixkit_;          ///< Used to construct new matrices.

    RefSCVector x_;                     ///< The variables.
    RefSCDimension dim_;                ///< The dimension of x_.
    AccResultdouble value_;             ///< The value of the function at x_.
    AccResultRefSCVector gradient_;     ///< The gradient at x_
    AccResultRefSymmSCMatrix hessian_;  ///< The hessian at x_.

    /** @name Update Members
        Update the various computable results.
    */
    //@{
    virtual void set_value(double);
    virtual void set_gradient(RefSCVector&);
    virtual void set_hessian(RefSymmSCMatrix&);
    //@}

    /** Set the SCMatrixKit that should be used to
        construct the requisite vectors and matrices. */
    virtual void set_matrixkit(const Ref<SCMatrixKit>&);
    virtual void set_dimension(const RefSCDimension&);

    /** @name Accuracy Setting Members
        Set the accuracies with which the various computables
        have been computed. */
    //@{
    virtual void set_actual_value_accuracy(double);
    virtual void set_actual_gradient_accuracy(double);
    virtual void set_actual_hessian_accuracy(double);
    //@}

    /// Get read/write access to the coordinates for modification.
    RefSCVector& get_x_reference() { obsolete(); return x_; }

    /** Change the coordinate system and apply the given transform to
        intermediates matrices and vectors. */
    void do_change_coordinates(const Ref<NonlinearTransform>&);
  public:
    Function();
    Function(StateIn&);
    Function(const Function&);

    /** The keyval constructor reads the following keywords:
        <dl>

        <dt><tt>matrixkit</tt><dd> Gives a SCMatrixKit
        object.  If it is not specified, a default SCMatrixKit is selected.

        <dt><tt>value_accuracy</tt><dd> Sets the accuracy to which values are
        computed.  The default is the machine accuracy.

        <dt><tt>gradient_accuracy</tt><dd> Sets the accuracy to which
        gradients are computed.  The default is the machine accuracy.

        <dt><tt>hessian_accuracy</tt><dd> Sets the accuracy to which
        hessians are computed.  The default is the machine accuracy.

        </dl> */
    Function(const Ref<KeyVal>&, double funcacc = DBL_EPSILON,
             double gradacc = DBL_EPSILON, double hessacc = DBL_EPSILON);
    virtual ~Function();

    Function & operator=(const Function&);

    /** Return the SCMatrixKit used to construct
        vectors and matrices. */
    Ref<SCMatrixKit> matrixkit() const;
    /// Return the SCDimension of the problem.
    RefSCDimension dimension() const;

    virtual void save_data_state(StateOut&);

    /// Return the value of the function.
    virtual double value();
    /// Returns nonzero if the current value is not up-to-date.
    int value_needed() const;
    /** If passed a nonzero number, compute the value the next
        time compute() is called.  Return a nonzero number
        if the value was previously to be computed. */
    int do_value(int);
    AccResultdouble& value_result() { return value_; }

    /// Set the accuracy to which the value is to be computed.
    virtual void set_desired_value_accuracy(double);
    /// Return the accuracy with which the value has been computed.
    virtual double actual_value_accuracy() const;
    /// Return the accuracy with which the value is to be computed.
    virtual double desired_value_accuracy() const;

    /** @name Gradient Members
        These are analogous to the routines that deal with values,
        but work with gradients instead. */
    //@{
    virtual RefSCVector gradient();
    int gradient_needed() const;
    int do_gradient(int);
    virtual void set_desired_gradient_accuracy(double);
    virtual double actual_gradient_accuracy() const;
    virtual double desired_gradient_accuracy() const;
    AccResultRefSCVector& gradient_result() { return gradient_; }
    //@}

    /** @name Hessian Members
        These are analogous to the routines that deal with values,
        but work with the hessian instead. */
    //@{
    virtual RefSymmSCMatrix hessian();
    int hessian_needed() const;
    int do_hessian(int);
    virtual void set_desired_hessian_accuracy(double);
    virtual double actual_hessian_accuracy() const;
    virtual double desired_hessian_accuracy() const;
    AccResultRefSymmSCMatrix& hessian_result() { return hessian_; }
    //@}

    // hessian by gradients at finite displacements
    // virtual RefSCMatrix fd1_hessian();

    /// Compute a quick, approximate hessian.
    virtual void guess_hessian(RefSymmSCMatrix&);
    virtual RefSymmSCMatrix inverse_hessian(RefSymmSCMatrix&);

    /** Information about the availability of values, gradients,
        and hessians. */
    virtual int value_implemented() const;
    virtual int gradient_implemented() const;
    virtual int hessian_implemented() const;

    /// Set and retrieve the coordinate values.
    virtual void set_x(const RefSCVector&);
    RefSCVector get_x() const { return x_.copy(); }
    const RefSCVector& get_x_no_copy() const { return x_; }

    /** An optimizer can call change coordinates periodically to give the
        function an opportunity to change its coordinate system.  A return
        value of 0 means the coordinates were not changed.  Otherwise, a
        transform object to the new coordinate system is return.  The
        function object applies the transform to any objects it contains.
        This will obsolete the function data. */
    virtual Ref<NonlinearTransform> change_coordinates();

    /// Print information about the object.
    virtual void print(std::ostream& = ExEnv::out0()) const;
};

}

#endif

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