ConjugateGradientSolver.cpp

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/*
 * This program is free software; you can redistribute it and/or modify
 * it under the terms of the GNU General Public License as published by
 * the Free Software Foundation; either version 3 of the License, or
 * (at your option) any later version.
 *
 * Written (W) 2013 Soumyajit De
 */

#include <shogun/lib/common.h>


#include <shogun/lib/SGVector.h>
#include <shogun/io/SGIO.h>
#include <shogun/lib/Time.h>
#include <shogun/mathematics/eigen3.h>
#include <shogun/mathematics/linalg/linop/LinearOperator.h>
#include <shogun/mathematics/linalg/linsolver/ConjugateGradientSolver.h>
#include <shogun/mathematics/linalg/linsolver/IterativeSolverIterator.h>

using namespace Eigen;

namespace shogun
{

CConjugateGradientSolver::CConjugateGradientSolver()
    : CIterativeLinearSolver<float64_t>()
{
    SG_GCDEBUG("%s created (%p)\n", this->get_name(), this);
}

CConjugateGradientSolver::CConjugateGradientSolver(bool store_residuals)
    : CIterativeLinearSolver<float64_t>(store_residuals)
{
    SG_GCDEBUG("%s created (%p)\n", this->get_name(), this);
}

CConjugateGradientSolver::~CConjugateGradientSolver()
{
    SG_GCDEBUG("%s destroyed (%p)\n", this->get_name(), this);
}

SGVector<float64_t> CConjugateGradientSolver::solve(
    CLinearOperator<float64_t>* A, SGVector<float64_t> b)
{
    SG_DEBUG("CConjugateGradientSolve::solve(): Entering..\n");

    // sanity check
    REQUIRE(A, "Operator is NULL!\n");
    REQUIRE(A->get_dimension()==b.vlen, "Dimension mismatch!\n");

    // the final solution vector, initial guess is 0
    SGVector<float64_t> result(b.vlen);
    result.set_const(0.0);

    // the rest of the part hinges on eigen3 for computing norms
    Map<VectorXd> x(result.vector, result.vlen);
    Map<VectorXd> b_map(b.vector, b.vlen);

    // direction vector
    SGVector<float64_t> p_(result.vlen);
    Map<VectorXd> p(p_.vector, p_.vlen);

    // residual r_i=b-Ax_i, here x_0=[0], so r_0=b
    VectorXd r=b_map;

    // initial direction is same as residual
    p=r;

    // the iterator for this iterative solver
    IterativeSolverIterator<float64_t> it(b_map, m_max_iteration_limit,
        m_relative_tolerence, m_absolute_tolerence);

    // CG iteration begins
    float64_t r_norm2=r.dot(r);

    // start the timer
    CTime time;
    time.start();

    // set the residuals to zero
    if (m_store_residuals)
        m_residuals.set_const(0.0);

    for (it.begin(r); !it.end(r); ++it)
    {
        SG_DEBUG("CG iteration %d, residual norm %f\n",
            it.get_iter_info().iteration_count,
            it.get_iter_info().residual_norm);

        if (m_store_residuals)
        {
            m_residuals[it.get_iter_info().iteration_count]
                =it.get_iter_info().residual_norm;
        }

        // apply linear operator to the direction vector
        SGVector<float64_t> Ap_=A->apply(p_);
        Map<VectorXd> Ap(Ap_.vector, Ap_.vlen);

        // compute p^{T}Ap, if zero, failure
        float64_t p_dot_Ap=p.dot(Ap);
        if (p_dot_Ap==0.0)
            break;

        // compute the alpha parameter of CG
        float64_t alpha=r_norm2/p_dot_Ap;

        // update the solution vector and residual
        // x_{i}=x_{i-1}+\alpha_{i}p
        x+=alpha*p;

        // r_{i}=r_{i-1}-\alpha_{i}p
        r-=alpha*Ap;

        // compute new ||r||_{2}, if zero, converged
        float64_t r_norm2_i=r.dot(r);
        if (r_norm2_i==0.0)
            break;

        // compute the beta parameter of CG
        float64_t beta=r_norm2_i/r_norm2;

        // update direction, and ||r||_{2}
        r_norm2=r_norm2_i;
        p=r+beta*p;
    }

    float64_t elapsed=time.cur_time_diff();

    if (!it.succeeded(r))
        SG_WARNING("Did not converge!\n");

    SG_INFO("Iteration took %ld times, residual norm=%.20lf, time elapsed=%lf\n",
        it.get_iter_info().iteration_count, it.get_iter_info().residual_norm, elapsed);

    SG_DEBUG("CConjugateGradientSolve::solve(): Leaving..\n");
    return result;
}

}