update_span.hpp

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#ifndef MLPACK_CORE_OPTIMIZERS_FW_UPDATE_SPAN_HPP
#define MLPACK_CORE_OPTIMIZERS_FW_UPDATE_SPAN_HPP

#include <mlpack/prereqs.hpp>
#include "func_sq.hpp"
#include "atoms.hpp"

namespace mlpack {
namespace optimization {

class UpdateSpan
{
 public:
  UpdateSpan(const bool isPrune = false) : isPrune(isPrune)
  { /* Do nothing. */ }

  void Update(FuncSq& function,
              const arma::mat& oldCoords,
              const arma::mat& s,
              arma::mat& newCoords,
              const size_t /* numIter */)
  {
    // Add new atom into soluton space.
    atoms.AddAtom(s, function);

    // Reoptimize the solution in the current space.
    arma::vec b = function.Vectorb();
    atoms.CurrentCoeffs() = solve(function.MatrixA() * atoms.CurrentAtoms(), b);

    // x has coords of only the current atoms, recover the solution
    // to the original size.
    atoms.RecoverVector(newCoords);

    // Prune the support.
    if (isPrune)
    {
      double oldF = function.Evaluate(oldCoords);
      double F = 0.25 * oldF + 0.75 * function.Evaluate(newCoords);
      atoms.PruneSupport(F, function);
      atoms.RecoverVector(newCoords);
    }
  }

 private:
  Atoms atoms;

  bool isPrune;
}; // class UpdateSpan

} // namespace optimization
} // namespace mlpack

#endif