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Java example source code file (LineSearch.java)

This example Java source code file (LineSearch.java) is included in the alvinalexander.com "Java Source Code Warehouse" project. The intent of this project is to help you "Learn Java by Example" TM.

Learn more about this Java project at its project page.

Java - Java tags/keywords

abs_tol_unused, bracketfinder, brentoptimizer, goaltype, linesearch, multivariateoptimizer, rel_tol_unused, simpleunivariatevaluechecker, univariatefunction, univariateobjectivefunction, univariateoptimizer, univariatepointvaluepair

The LineSearch.java Java example source code

/*
 * Licensed to the Apache Software Foundation (ASF) under one or more
 * contributor license agreements.  See the NOTICE file distributed with
 * this work for additional information regarding copyright ownership.
 * The ASF licenses this file to You under the Apache License, Version 2.0
 * (the "License"); you may not use this file except in compliance with
 * the License.  You may obtain a copy of the License at
 *
 *      http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
 */
package org.apache.commons.math3.optim.nonlinear.scalar;

import org.apache.commons.math3.optim.univariate.UnivariateOptimizer;
import org.apache.commons.math3.optim.univariate.BrentOptimizer;
import org.apache.commons.math3.optim.univariate.BracketFinder;
import org.apache.commons.math3.optim.univariate.UnivariatePointValuePair;
import org.apache.commons.math3.optim.univariate.SimpleUnivariateValueChecker;
import org.apache.commons.math3.optim.univariate.SearchInterval;
import org.apache.commons.math3.optim.univariate.UnivariateObjectiveFunction;
import org.apache.commons.math3.analysis.UnivariateFunction;
import org.apache.commons.math3.optim.MaxEval;

/**
 * Class for finding the minimum of the objective function along a given
 * direction.
 *
 * @since 3.3
 */
public class LineSearch {
    /**
     * Value that will pass the precondition check for {@link BrentOptimizer}
     * but will not pass the convergence check, so that the custom checker
     * will always decide when to stop the line search.
     */
    private static final double REL_TOL_UNUSED = 1e-15;
    /**
     * Value that will pass the precondition check for {@link BrentOptimizer}
     * but will not pass the convergence check, so that the custom checker
     * will always decide when to stop the line search.
     */
    private static final double ABS_TOL_UNUSED = Double.MIN_VALUE;
    /**
     * Optimizer used for line search.
     */
    private final UnivariateOptimizer lineOptimizer;
    /**
     * Automatic bracketing.
     */
    private final BracketFinder bracket = new BracketFinder();
    /**
     * Extent of the initial interval used to find an interval that
     * brackets the optimum.
     */
    private final double initialBracketingRange;
    /**
     * Optimizer on behalf of which the line search must be performed.
     */
    private final MultivariateOptimizer mainOptimizer;

    /**
     * The {@code BrentOptimizer} default stopping criterion uses the
     * tolerances to check the domain (point) values, not the function
     * values.
     * The {@code relativeTolerance} and {@code absoluteTolerance}
     * arguments are thus passed to a {@link SimpleUnivariateValueChecker
     * custom checker} that will use the function values.
     *
     * @param optimizer Optimizer on behalf of which the line search
     * be performed.
     * Its {@link MultivariateOptimizer#computeObjectiveValue(double[])
     * computeObjectiveValue} method will be called by the
     * {@link #search(double[],double[]) search} method.
     * @param relativeTolerance Search will stop when the function relative
     * difference between successive iterations is below this value.
     * @param absoluteTolerance Search will stop when the function absolute
     * difference between successive iterations is below this value.
     * @param initialBracketingRange Extent of the initial interval used to
     * find an interval that brackets the optimum.
     * If the optimized function varies a lot in the vicinity of the optimum,
     * it may be necessary to provide a value lower than the distance between
     * successive local minima.
     */
    public LineSearch(MultivariateOptimizer optimizer,
                      double relativeTolerance,
                      double absoluteTolerance,
                      double initialBracketingRange) {
        mainOptimizer = optimizer;
        lineOptimizer = new BrentOptimizer(REL_TOL_UNUSED,
                                           ABS_TOL_UNUSED,
                                           new SimpleUnivariateValueChecker(relativeTolerance,
                                                                            absoluteTolerance));
        this.initialBracketingRange = initialBracketingRange;
    }

    /**
     * Finds the number {@code alpha} that optimizes
     * {@code f(startPoint + alpha * direction)}.
     *
     * @param startPoint Starting point.
     * @param direction Search direction.
     * @return the optimum.
     * @throws org.apache.commons.math3.exception.TooManyEvaluationsException
     * if the number of evaluations is exceeded.
     */
    public UnivariatePointValuePair search(final double[] startPoint,
                                           final double[] direction) {
        final int n = startPoint.length;
        final UnivariateFunction f = new UnivariateFunction() {
                /** {@inheritDoc} */
                public double value(double alpha) {
                    final double[] x = new double[n];
                    for (int i = 0; i < n; i++) {
                        x[i] = startPoint[i] + alpha * direction[i];
                    }
                    final double obj = mainOptimizer.computeObjectiveValue(x);
                    return obj;
                }
            };

        final GoalType goal = mainOptimizer.getGoalType();
        bracket.search(f, goal, 0, initialBracketingRange);
        // Passing "MAX_VALUE" as a dummy value because it is the enclosing
        // class that counts the number of evaluations (and will eventually
        // generate the exception).
        return lineOptimizer.optimize(new MaxEval(Integer.MAX_VALUE),
                                      new UnivariateObjectiveFunction(f),
                                      goal,
                                      new SearchInterval(bracket.getLo(),
                                                         bracket.getHi(),
                                                         bracket.getMid()));
    }
}

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