Package org.apache.commons.math.optimization.general

Class NonLinearConjugateGradientOptimizer

java.lang.Object

org.apache.commons.math.optimization.general.AbstractScalarDifferentiableOptimizer

org.apache.commons.math.optimization.general.NonLinearConjugateGradientOptimizer

All Implemented Interfaces:

DifferentiableMultivariateRealOptimizer

public class NonLinearConjugateGradientOptimizer
extends AbstractScalarDifferentiableOptimizer

Non-linear conjugate gradient optimizer.

This class supports both the Fletcher-Reeves and the Polak-Ribière update formulas for the conjugate search directions. It also supports optional preconditioning.

Since:

2.0

Version:

$Revision: 1070725 $ $Date: 2011-02-15 02:31:12 +0100 (mar. 15 févr. 2011) $

Field Summary

Fields inherited from class org.apache.commons.math.optimization.general.AbstractScalarDifferentiableOptimizer

checker, DEFAULT_MAX_ITERATIONS, goal, point

Constructor Summary

Constructors

Constructor	Description
NonLinearConjugateGradientOptimizer(ConjugateGradientFormula updateFormula)	Simple constructor with default settings.

Method Summary

Modifier and Type	Method	Description
protected RealPointValuePair	doOptimize()	Perform the bulk of optimization algorithm.
void	setInitialStep(double initialStep)	Set the initial step used to bracket the optimum in line search.
void	setLineSearchSolver(UnivariateRealSolver lineSearchSolver)	Set the solver to use during line search.
void	setPreconditioner(Preconditioner preconditioner)	Set the preconditioner.

Methods inherited from class org.apache.commons.math.optimization.general.AbstractScalarDifferentiableOptimizer

computeObjectiveGradient, computeObjectiveValue, getConvergenceChecker, getEvaluations, getGradientEvaluations, getIterations, getMaxEvaluations, getMaxIterations, incrementIterationsCounter, optimize, setConvergenceChecker, setMaxEvaluations, setMaxIterations

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

NonLinearConjugateGradientOptimizer

public NonLinearConjugateGradientOptimizer(ConjugateGradientFormula updateFormula)

Simple constructor with default settings.

The convergence check is set to a SimpleVectorialValueChecker and the maximal number of iterations is set to AbstractScalarDifferentiableOptimizer.DEFAULT_MAX_ITERATIONS.

Parameters:

updateFormula - formula to use for updating the β parameter, must be one of ConjugateGradientFormula.FLETCHER_REEVES or ConjugateGradientFormula.POLAK_RIBIERE

Method Detail

setPreconditioner

public void setPreconditioner(Preconditioner preconditioner)

Set the preconditioner.

Parameters:

preconditioner - preconditioner to use for next optimization, may be null to remove an already registered preconditioner

setLineSearchSolver

public void setLineSearchSolver(UnivariateRealSolver lineSearchSolver)

Set the solver to use during line search.

Parameters:

lineSearchSolver - solver to use during line search, may be null to remove an already registered solver and fall back to the default Brent solver.

setInitialStep

public void setInitialStep(double initialStep)

Set the initial step used to bracket the optimum in line search.

The initial step is a factor with respect to the search direction, which itself is roughly related to the gradient of the function

Parameters:

initialStep - initial step used to bracket the optimum in line search, if a non-positive value is used, the initial step is reset to its default value of 1.0

doOptimize

protected RealPointValuePair doOptimize()
                                 throws FunctionEvaluationException,
                                        OptimizationException,
                                        java.lang.IllegalArgumentException

Perform the bulk of optimization algorithm.

Specified by:

doOptimize in class AbstractScalarDifferentiableOptimizer

Returns:

the point/value pair giving the optimal value for objective function

Throws:

FunctionEvaluationException - if the objective function throws one during the search

OptimizationException - if the algorithm failed to converge

java.lang.IllegalArgumentException - if the start point dimension is wrong