sgd.hpp

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#ifndef MLPACK_CORE_OPTIMIZERS_SGD_SGD_HPP
#define MLPACK_CORE_OPTIMIZERS_SGD_SGD_HPP

#include <mlpack/prereqs.hpp>

namespace mlpack {
namespace optimization {

template<typename DecomposableFunctionType>
class SGD
{
 public:
  SGD(DecomposableFunctionType& function,
      const double stepSize = 0.01,
      const size_t maxIterations = 100000,
      const double tolerance = 1e-5,
      const bool shuffle = true);

  double Optimize(arma::mat& iterate);

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

  double StepSize() const { return stepSize; }
  double& StepSize() { return stepSize; }

  size_t MaxIterations() const { return maxIterations; }
  size_t& MaxIterations() { return maxIterations; }

  double Tolerance() const { return tolerance; }
  double& Tolerance() { return tolerance; }

  bool Shuffle() const { return shuffle; }
  bool& Shuffle() { return shuffle; }

 private:
  DecomposableFunctionType& function;

  double stepSize;

  size_t maxIterations;

  double tolerance;

  bool shuffle;
};

} // namespace optimization
} // namespace mlpack

// Include implementation.
#include "sgd_impl.hpp"

#endif