first version Koray's CG

3 files changed, 196 insertions, 0 deletions

diff --git a/CMakeLists.txt b/CMakeLists.txt
index 5b90102..5484b9c 100644
--- a/CMakeLists.txt
+++ b/CMakeLists.txt
@@ -120,6 +120,7 @@ install_files(${INSTALL_PREFIX} SpatialRecursiveFovea.lua)
 install_files(${INSTALL_PREFIX} Optimization.lua)
 install_files(${INSTALL_PREFIX} LBFGSOptimization.lua)
 install_files(${INSTALL_PREFIX} CGOptimization.lua)
+install_files(${INSTALL_PREFIX} newCGOptimization.lua)
 install_files(${INSTALL_PREFIX} SGDOptimization.lua)
 install_files(${INSTALL_PREFIX} ASGDOptimization.lua)
 install_files(${INSTALL_PREFIX} GeneticSGDOptimization.lua)
diff --git a/init.lua b/init.lua
index db7f308..82def2b 100644
--- a/init.lua
+++ b/init.lua
@@ -108,6 +108,7 @@ torch.include('nnx', 'SGDOptimization.lua')
 torch.include('nnx', 'ASGDOptimization.lua')
 torch.include('nnx', 'LBFGSOptimization.lua')
 torch.include('nnx', 'CGOptimization.lua')
+torch.include('nnx', 'newCGOptimization.lua')
 torch.include('nnx', 'GeneticSGDOptimization.lua')
 torch.include('nnx', 'DiagHessian.lua')
 
diff --git a/newCGOptimization.lua b/newCGOptimization.lua
new file mode 100644
index 0000000..71b1c6e
--- /dev/null
+++ b/newCGOptimization.lua
@@ -0,0 +1,194 @@
+local CG,parent = torch.class('nn.newCGOptimization', 'nn.BatchOptimization')
+--
+-- wrapper around Koray's cg function which implements rasmussen's
+-- matlab cg in pure lua.
+-- Author: Marco Scoffier
+--
+function CG:__init(...)
+   parent.__init(self, ...)
+   xlua.unpack_class(self, {...},
+                     'cgOptimization', nil,
+                     {arg='rho',    type='number', default=0.1},
+                     {arg='sig',    type='number', default=0.5},
+                     {arg='int',    type='number', default=0.1},
+                     {arg='ext',    type='number', default=3.0},
+                     {arg='max',    type='number', default=20},
+                     {arg='ratio',  type='number', default=100},
+                     {arg='length', type='number', default=25},
+                     {arg='red',    type='number', default=1},
+                     {arg='verbose', type='number', default=0}
+                  )
+
+
+
+   -- we need three points for the interpolation/extrapolation stuff
+   self.df1, self.df2, self.df3 = torch.Tensor(),torch.Tensor(),torch.Tensor()
+
+   self.df1:resizeAs(self.parameters)
+   self.df2:resizeAs(self.parameters)
+   self.df3:resizeAs(self.parameters)
+
+   -- search direction
+   self.s = torch.Tensor():resizeAs(self.parameters)
+
+   -- we need a temp storage for X
+   self.x0 = torch.Tensor():resizeAs(self.parameters)
+   self.df0 = torch.Tensor():resizeAs(self.parameters)
+
+end
+
+function CG:optimize()
+   local rho = self.rho
+   local sig = self.sig
+   local int = self.int
+   local ext = self.ext
+   local max = self.max
+   local ratio = self.ratio
+   local length = self.length
+   local red = self.red
+   local verbose = self.verbose
+
+   local i = 0
+   local ls_failed = 0
+   local fx  = {}
+   
+   -- we need three points for the interpolation/extrapolation stuff
+   local z1,  z2,  z3 = 0,0,0
+   local d1,  d2,  d3 = 0,0,0
+   local f1,  f2,  f3 = 0,0,0
+   local df1,df2,df3 = self.df1, self.df2, self.df3
+
+   local x = self.parameters
+   local s = self.s
+
+   local x0 = self.x0
+   local f0 = 0
+   local df0 = self.df0
+
+   -- the magic function: will update the parameter vector using CG
+   -- evaluate at initial point
+   f1 = self.evaluate()
+   df1:copy(self.gradParameters)
+   i=i+1
+
+   -- initial search direction
+   s:copy(df1):mul(-1)
+
+   d1 = -s:dot(s )         -- slope
+   z1 = red/(1-d1)         -- initial step
+
+   while i < math.abs(length) do
+
+      x0:copy(x)
+      f0 = f1
+      df0:copy(df1)
+      x:add(z1,s)
+      f2 = self.evaluate()
+      df2:copy(self.gradParameters)
+      i=i+1
+      d2 = df2:dot(s)
+      f3,d3,z3 = f1,d1,-z1   -- init point 3 equal to point 1
+      local m = math.min(max,length-i)
+      local success = 0
+      local limit = -1
+      
+      while true do
+	 while (f2 > f1+z1*rho*d1 or d2 > -sig*d1) and m > 0 do
+	    limit = z1
+	    if f2 > f1 then
+	       z2 = z3 - (0.5*d3*z3*z3)/(d3*z3+f2-f3)
+	    else
+	       local A = 6*(f2-f3)/z3+3*(d2+d3)
+	       local B = 3*(f3-f2)-z3*(d3+2*d2)
+	       z2 = (math.sqrt(B*B-A*d2*z3*z3)-B)/A
+	    end
+	    if z2 ~= z2 or z2 == math.huge or z2 == -math.huge then
+	       z2 = z3/2;
+	    end
+	    z2 = math.max(math.min(z2, int*z3),(1-int)*z3);
+	    z1 = z1 + z2;
+	    x:add(z2,s)
+	    f2 = self.evaluate()
+	    df2:copy(self.gradParameters)
+	    i=i+1
+	    m = m - 1
+	    d2 = df2:dot(s)
+	    z3 = z3-z2;
+	 end
+	 if f2 > f1+z1*rho*d1 or d2 > -sig*d1 then
+	    break
+	 elseif d2 > sig*d1 then
+	    success = 1;
+	    break;
+	 elseif m == 0 then
+	    break;
+	 end
+	 local A = 6*(f2-f3)/z3+3*(d2+d3);
+	 local B = 3*(f3-f2)-z3*(d3+2*d2);
+	 z2 = -d2*z3*z3/(B+math.sqrt(B*B-A*d2*z3*z3))
+
+	 if z2 ~= z2 or z2 == math.huge or z2 == -math.huge or z2 < 0 then
+	    if limit < -0.5 then
+	       z2 = z1 * (ext -1)
+	    else
+	       z2 = (limit-z1)/2
+	    end
+	 elseif (limit > -0.5) and (z2+z1) > limit then
+	    z2 = (limit-z1)/2
+	 elseif limit < -0.5 and (z2+z1) > z1*ext then
+	    z2 = z1*(ext-1)
+	 elseif z2 < -z3*int then
+	    z2 = -z3*int
+	 elseif limit > -0.5 and z2 < (limit-z1)*(1-int) then
+	    z2 = (limit-z1)*(1-int)
+	 end
+	 f3=f2; d3=d2; z3=-z2;
+	 z1 = z1+z2;
+
+	 x:add(z2,s)
+
+	 f2 = self.evaluate()
+	 df2:copy(self.gradParameters)
+	 i=i+1
+	 m = m - 1
+	 d2 = df2:dot(s)
+      end
+      if success == 1 then
+	 f1 = f2
+	 fx[#fx+1] = f1;
+	 local ss = (df2:dot(df2)-df2:dot(df1)) / df1:dot(df1)
+	 s:mul(ss)
+	 s:add(-1,df2)
+	 local tmp = df1:clone()
+	 df1:copy(df2)
+	 df2:copy(tmp)
+	 d2 = df1:dot(s)
+	 if d2> 0 then
+	    s:copy(df1)
+	    s:mul(-1)
+	    d2 = -s:dot(s)
+	 end
+
+	 z1 = z1 * math.min(ratio, d1/(d2-1e-320))
+	 d1 = d2
+	 ls_failed = 0
+      else
+	 x:copy(x0)
+	 f1 = f0
+	 df1:copy(df0)
+	 if ls_failed or i>length then
+	    break
+	 end	 
+	 local tmp = df1:clone()
+	 df1:copy(df2)
+	 df2:copy(tmp)
+	 s:copy(df1)
+	 s:mul(-1)
+	 d1 = -s:dot(s)
+	 z1 = 1/(1-d1)
+	 ls_failed = 1
+      end
+   end
+   self.output = f1 -- self.evaluate(x)
+   collectgarbage()
+end