nesterov_momentum_update.hpp

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#ifndef MLPACK_CORE_OPTIMIZERS_SGD_NESTEROV_MOMENTUM_UPDATE_HPP
#define MLPACK_CORE_OPTIMIZERS_SGD_NESTEROV_MOMENTUM_UPDATE_HPP

#include <mlpack/prereqs.hpp>

namespace mlpack {
namespace optimization {

class NesterovMomentumUpdate
{
 public:
  NesterovMomentumUpdate(const double momentum = 0.5) :
      momentum(momentum)
  {
    // Nothing to do.
  }

  void Initialize(const size_t rows, const size_t cols)
  {
    // Initialize an empty velocity matrix.
    velocity = arma::zeros<arma::mat>(rows, cols);
  }

  void Update(arma::mat& iterate,
              const double stepSize,
              const arma::mat& gradient)
  {
    velocity = momentum * velocity - stepSize * gradient;

    iterate += momentum * velocity - stepSize * gradient;
  }

  double Momentum() const { return momentum; }
  double& Momentum() { return momentum; }

 private:
  // The velocity matrix.
  arma::mat velocity;

  // The Momentum coefficient.
  double momentum;
};

} // namespace optimization
} // namespace mlpack

#endif