ada_grad_update.hpp

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#ifndef MLPACK_CORE_OPTIMIZERS_ADA_GRAD_ADA_GRAD_UPDATE_HPP
#define MLPACK_CORE_OPTIMIZERS_ADA_GRAD_ADA_GRAD_UPDATE_HPP

#include <mlpack/prereqs.hpp>

namespace mlpack {
namespace optimization {

class AdaGradUpdate
{
 public:
  AdaGradUpdate(const double epsilon = 1e-8) : epsilon(epsilon)
  {
    // Nothing to do.
  }

  void Initialize(const size_t rows, const size_t cols)
  {
    // Initialize an empty matrix for sum of squares of parameter gradient.
    squaredGradient = arma::zeros<arma::mat>(rows, cols);
  }

  void Update(arma::mat& iterate,
              const double stepSize,
              const arma::mat& gradient)
  {
    squaredGradient += (gradient % gradient);
    iterate -= (stepSize * gradient) / (arma::sqrt(squaredGradient) + epsilon);
  }

  double Epsilon() const { return epsilon; }
  double& Epsilon() { return epsilon; }

 private:
  // The epsilon value used to initialise the squared gradient parameter.
  double epsilon;

  // The squared gradient matrix.
  arma::mat squaredGradient;
};

} // namespace optimization
} // namespace mlpack

#endif