Rolf Buehler / gammalib

Commit 86c503ee0b50aed42c16ceecb873af2a347909f4

Authored by Jürgen Knödlseder
1 parent f730c08e

Adapt convergence threshold to optimization step size

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Showing 2 changed files with 17 additions and 11 deletions
include/GOptimizerLM.hpp
  View file @86c503e
1 1 /***************************************************************************
2 2 * GOptimizerLM.hpp - Levenberg Marquardt optimizer *
3 3 * ----------------------------------------------------------------------- *
4   - * copyright (C) 2009-2015 by Juergen Knoedlseder *
  4 + * copyright (C) 2009-2017 by Juergen Knoedlseder *
5 5 * ----------------------------------------------------------------------- *
6 6 * *
7 7 * This program is free software: you can redistribute it and/or modify *
... ... @@ -97,7 +97,7 @@ protected:
97 97 void init_members(void);
98 98 void copy_members(const GOptimizerLM& opt);
99 99 void free_members(void);
100   - void iteration(GOptimizerFunction& fct, GOptimizerPars& pars);
  100 + double iteration(GOptimizerFunction& fct, GOptimizerPars& pars);
101 101 double step_size(const GVector& grad, const GOptimizerPars& pars);
102 102  
103 103 // Protected members
... ...
src/opt/GOptimizerLM.cpp
  View file @86c503e
1 1 /***************************************************************************
2 2 * GOptimizerLM.cpp - Levenberg Marquardt optimizer *
3 3 * ----------------------------------------------------------------------- *
4   - * copyright (C) 2009-2015 by Juergen Knoedlseder *
  4 + * copyright (C) 2009-2017 by Juergen Knoedlseder *
5 5 * ----------------------------------------------------------------------- *
6 6 * *
7 7 * This program is free software: you can redistribute it and/or modify *
... ... @@ -276,7 +276,7 @@ void GOptimizerLM::optimize(GOptimizerFunction& fct, GOptimizerPars& pars)
276 276 for (m_iter = 1; m_iter <= m_max_iter; ++m_iter) {
277 277  
278 278 // Perform one iteration
279   - iteration(fct, pars);
  279 + double step = iteration(fct, pars);
280 280  
281 281 // Determine maximum (scaled) gradient
282 282 double grad_max = 0.0;
... ... @@ -315,9 +315,9 @@ void GOptimizerLM::optimize(GOptimizerFunction&amp; fct, GOptimizerPars&amp; pars)
315 315 gammalib::str(grad_imax) + "]";
316 316 }
317 317 (*m_logger)("%sIteration %3d: -logL=%.3f, Lambda=%.1e,"
318   - " delta=%.3f, max(|grad|)=%f%s%s",
  318 + " delta=%.3f, step=%.1e, max(|grad|)=%f%s%s",
319 319 status.c_str(), m_iter, m_value, lambda_old,
320   - m_delta, grad_max,
  320 + m_delta, step, grad_max,
321 321 parname.c_str(), stalled.c_str());
322 322 }
323 323 #if defined(G_DEBUG_OPT)
... ... @@ -342,7 +342,9 @@ void GOptimizerLM::optimize(GOptimizerFunction&amp; fct, GOptimizerPars&amp; pars)
342 342 // free them now and continue. We do this only once, i.e.
343 343 // the next time a parameter is frozen and convergence is
344 344 // reached we really stop.
345   - if ((m_lambda <= lambda_old) && (m_delta >= 0.0) && (m_delta < m_eps)) {
  345 + if ((m_lambda <= lambda_old) &&
  346 + (m_delta >= 0.0) &&
  347 + (m_delta < step*m_eps)) {
346 348  
347 349 // Check for frozen parameters, and if some exist, free
348 350 // them and start over
... ... @@ -707,6 +709,7 @@ void GOptimizerLM::free_members(void)
707 709 *
708 710 * @param[in] fct Optimizer function.
709 711 * @param[in] pars Function parameters.
  712 + * @return Step size for iteration.
710 713 *
711 714 * This method performs one LM iteration. Note that the method only acts on
712 715 * the parameter value, i.e. it does not worry about the true scale of the
... ... @@ -714,13 +717,16 @@ void GOptimizerLM::free_members(void)
714 717 * is assumed to return the gradient and curvature matrix with respect to the
715 718 * parameter values (and not the scaled true values).
716 719 ***************************************************************************/
717   -void GOptimizerLM::iteration(GOptimizerFunction& fct, GOptimizerPars& pars)
  720 +double GOptimizerLM::iteration(GOptimizerFunction& fct, GOptimizerPars& pars)
718 721 {
719 722 // Debug option: dump header
720 723 #if defined(G_DEBUG_ITER)
721 724 std::cout << "GOptimizerLM::iteration: enter" << std::endl;
722 725 #endif
723 726  
  727 + // Initialise step size
  728 + double step = 0.0;
  729 +
724 730 // Single loop for common exit point
725 731 do {
726 732  
... ... @@ -788,7 +794,7 @@ void GOptimizerLM::iteration(GOptimizerFunction&amp; fct, GOptimizerPars&amp; pars)
788 794 }
789 795  
790 796 // Get LM step size
791   - double step = step_size(*grad, pars);
  797 + step = step_size(*grad, pars);
792 798  
793 799 // Debug option: dump step size
794 800 #if defined(G_DEBUG_ITER)
... ... @@ -976,8 +982,8 @@ void GOptimizerLM::iteration(GOptimizerFunction&amp; fct, GOptimizerPars&amp; pars)
976 982 std::cout << "GOptimizerLM::iteration: exit" << std::endl;
977 983 #endif
978 984  
979   - // Return
980   - return;
  985 + // Return step size
  986 + return step;
981 987  
982 988 }
983 989  
... ...