sarah_plus_update.hpp

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#ifndef MLPACK_CORE_OPTIMIZERS_SARAH_SARAH_PLUS_UPDATE_HPP
#define MLPACK_CORE_OPTIMIZERS_SARAH_SARAH_PLUS_UPDATE_HPP

#include <mlpack/prereqs.hpp>

namespace mlpack {
namespace optimization {

class SARAHPlusUpdate
{
 public:
  /*
   * Construct the SARAH+ update policy.
   *
   * @param gamma Adaptive parameter for the inner loop.
   */
  SARAHPlusUpdate(const double gamma = 0.125) : gamma(gamma)
  {
    /* Nothing to do here. */
  }

  bool Update(arma::mat& iterate,
              arma::mat& v,
              const arma::mat& gradient,
              const arma::mat& gradient0,
              const size_t batchSize,
              const double stepSize,
              const double vNorm)
  {
    v += (gradient - gradient0) / (double) batchSize;
    iterate -= stepSize * v;

    if (arma::norm(v) <= gamma * vNorm)
      return true;

    return false;
  }

 private:
  double gamma;
};

} // namespace optimization
} // namespace mlpack

#endif