RegularizedNewtonOptimizer

class RegularizedNewtonOptimizer : public NewtonOptimizer

Public Functions

virtual double ComputeObjFunc(const Vector &alpha, const Vector &sol, const VectorVector &moments) override

Computes the objective function grad = <eta(alpha*m)> - alpha*sol + gamma/2*norm(alpha)

virtual void ComputeHessian(const Vector &alpha, const VectorVector &moments, Matrix &hessian) override

Computes hessian of objective function and stores it in hessian grad = <mXm*eta*’(alpha*m)>

void ScaleQuadWeights(double leftBound, double rightBound)

In 1D, this function scales the quadrature weigths to compute the entropy integrals in arbitrary (bounded) intervals.

Parameters:

  • leftBound – : left boundary of the interval

  • rightBound – : right boundary of the interval

virtual void ReconstructMoments(Vector &sol, const Vector &alpha, const VectorVector &moments) override

Reconstruct the moment sol from the Lagrange multiplier alpha.

Parameters:

  • sol – moment vector

  • alpha – Lagrange multipliers

  • moments – Moment basis

Private Functions

virtual void ComputeGradient(const Vector &alpha, const Vector &sol, const VectorVector &moments, Vector &grad) override

Computes gradient of objective function and stores it in grad grad = <m*eta*’(alpha*m)> - sol + _gamma*alpha.

Private Members

double _gamma

Regularization Parameter.