svrg_update.hpp

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#ifndef MLPACK_CORE_OPTIMIZERS_SVRG_SVRG_UPDATE_HPP
#define MLPACK_CORE_OPTIMIZERS_SVRG_SVRG_UPDATE_HPP

#include <mlpack/prereqs.hpp>

namespace mlpack {
namespace optimization {

class SVRGUpdate
{
 public:
  void Initialize(const size_t /* rows */, const size_t /* cols */)
  { /* Do nothing. */ }

  void Update(arma::mat& iterate,
              const arma::mat& fullGradient,
              const arma::mat& gradient,
              const arma::mat& gradient0,
              const size_t batchSize,
              const double stepSize)
  {
    // Perform the vanilla SVRG update.
    iterate -= stepSize * (fullGradient + (gradient - gradient0) /
        (double) batchSize);
  }
};

} // namespace optimization
} // namespace mlpack

#endif