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 {

template<typename LagrangianFunction>
class AugLagrangian
{
 public:
  typedef L_BFGS<AugLagrangianFunction<LagrangianFunction> >
      L_BFGSType;

  AugLagrangian(LagrangianFunction& function);

  AugLagrangian(AugLagrangianFunction<LagrangianFunction>& augfunc,
                L_BFGSType& lbfgs);

  bool Optimize(arma::mat& coordinates,
                const size_t maxIterations = 1000);

  bool Optimize(arma::mat& coordinates,
                const arma::vec& initLambda,
                const double initSigma,
                const size_t maxIterations = 1000);

  const LagrangianFunction& Function() const { return function; }
  LagrangianFunction& Function() { return function; }

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

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

  double Sigma() const { return augfunc.Sigma(); }
  double& Sigma() { return augfunc.Sigma(); }

 private:
  LagrangianFunction& function;

  AugLagrangianFunction<LagrangianFunction> augfunc;

  L_BFGSType lbfgsInternal;

  L_BFGSType& lbfgs;
};

} // namespace optimization
} // namespace mlpack

#include "aug_lagrangian_impl.hpp"

#endif // MLPACK_CORE_OPTIMIZERS_AUG_LAGRANGIAN_AUG_LAGRANGIAN_HPP