update_full_correction.hpp

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#ifndef MLPACK_CORE_OPTIMIZERS_FW_UPDATE_FULL_CORRECTION_HPP
#define MLPACK_CORE_OPTIMIZERS_FW_UPDATE_FULL_CORRECTION_HPP

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

namespace mlpack {
namespace optimization {

class UpdateFullCorrection
{
 public:
  UpdateFullCorrection(const double tau, const double stepSize) :
      tau(tau), stepSize(stepSize)
  { /* Do nothing. */ }

  void Update(FuncSq& function,
              const arma::mat& oldCoords,
              const arma::mat& s,
              arma::mat& newCoords,
              const size_t /* numIter */)
  {
    // Line search, with explicit solution here.
    arma::mat v = tau * s - oldCoords;
    arma::mat b = function.Vectorb();
    arma::mat A = function.MatrixA();
    double gamma = arma::dot(b - A * oldCoords, A * v);
    gamma = gamma / std::pow(arma::norm(A * v, "fro"), 2);
    gamma = std::min(gamma, 1.0);
    atoms.CurrentCoeffs() = (1.0 - gamma) * atoms.CurrentCoeffs();
    atoms.AddAtom(s, function, gamma * tau);

    // Projected gradient method for enhancement.
    atoms.ProjectedGradientEnhancement(function, tau, stepSize);
    atoms.RecoverVector(newCoords);
  }

 private:
  double tau;

  double stepSize;

  Atoms atoms;
};

} // namespace optimization
} // namespace mlpack

#endif