拟牛顿法（变尺度法）DFP算法的c/c++源码

风花雪月 · 发表于 2006-11-12 06:58

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#include "iostream.h"
#include "math.h"
void comput_grad(double (*pf)(double *x), int n, double *point, double *grad); //计算梯度
double line_search1(double (*pf)(double *x), int n, double *start, double *direction); //0.618法线搜索
double line_search(double (*pf)(double *x), int n, double *start, double *direction); //解析法线搜索
double DFP(double (*pf)(double *x), int n, double *min_point); //无约束变尺度法
//梯度计算模块
//参数：指向目标函数的指针，变量个数，求梯度的点，结果
void comput_grad(double (*pf)(double *x),
int n,
double *point,
double *grad)
{
double h=1E-3;
int i;
double *temp;
temp = new double[n];
for(i=1;i<=n;i++)
{
temp[i-1]=point[i-1];
}
for(i=1;i<=n;i++)
{
temp[i-1]+=0.5*h;
grad[i-1]=4*pf(temp)/(3*h);
temp[i-1]-=h;
grad[i-1]-=4*pf(temp)/(3*h);
temp[i-1]+=(3*h/2);
grad[i-1]-=(pf(temp)/(6*h));
temp[i-1]-=(2*h);
grad[i-1]+=(pf(temp)/(6*h));
temp[i-1]=point[i-1];
}
delete[] temp;
}
//一维搜索模块
//参数：指向目标函数的指针，变量个数，出发点，搜索方向
//返回：最优步长
double line_search(
double (*pf)(double *x),
int n,
double *start,
double *direction)
{
int i;
double step=0.001;
double a=0,value_a,diver_a;
double b,value_b,diver_b;
double t,value_t,diver_t;
double s,z,w;
double *grad,*temp_point;
grad=new double[n];
temp_point=new double[n];
comput_grad(pf,n,start,grad);
diver_a=0;
for(i=1;i<=n;i++)
diver_a=diver_a+grad[i-1]*direction[i-1];
do
{
b=a+step;
for(i=1;i<=n;i++)
temp_point[i-1]=start[i-1]+b*direction[i-1];
comput_grad(pf,n,temp_point,grad);
diver_b=0;
for(i=1;i<=n;i++)
diver_b=diver_b+grad[i-1]*direction[i-1];
if( fabs(diver_b)<1E-10 )
{
delete[] grad;
delete[] temp_point;
return(b);
}
if( diver_b<-1E-15 )
{
a=b;
diver_a=diver_b;
step=2*step;
}
}while( diver_b<=1E-15 );
for(i=1;i<=n;i++)
temp_point[i-1]=start[i-1]+a*direction[i-1];
value_a=(*pf)(temp_point);
for(i=1;i<=n;i++)
temp_point[i-1]=start[i-1]+b*direction[i-1];
value_b=(*pf)(temp_point);
do
{
s=3*(value_b-value_a)/(b-a);
z=s-diver_a-diver_b;
w=sqrt( fabs(z*z-diver_a*diver_b) ); //////////////////!!!!!!!!!!!!!!!!!!!!!!
t=a+(w-z-diver_a)*(b-a)/(diver_b-diver_a+2*w);
value_b=(*pf)(temp_point);
for(i=1;i<=n;i++)
temp_point[i-1]=start[i-1]+t*direction[i-1];
value_t=(*pf)(temp_point);
comput_grad(pf,n,temp_point,grad);
diver_t=0;
for(i=1;i<=n;i++)
diver_t=diver_t+grad[i-1]*direction[i-1];
if(diver_t>1E-6)
{
b=t;
value_b=value_t;
diver_b=diver_t;
}
else if(diver_t<-1E-6)
{
a=t;
value_a=value_t;
diver_a=diver_t;
}
else break;
}while( (fabs(diver_t)>=1E-6) && (fabs(b-a)>1E-6) );
delete[] grad;
delete[] temp_point;
return(t);
}
//无约束变尺度法DFP函数声明
//
//参数：pf指向目标函数的指针，n变量个数，min_point接受初始点、存放结果
//返回：极小点处函数值
//
double DFP(
double (*pf)(double *x),
int n,
double *min_point
)
{
int i,j;
int k=0;
double e=1E-5;
double g_norm;
double *g0=new double[n]; //梯度
double *g1=new double[n];
double *dg=new double[n];
double *p=new double[n]; //搜索方向 =-g
double t; //一维搜索步长
double *x0=new double[n];
double *x1=new double[n];
double *dx=new double[n];
double **H=new double*[n];
for (i=0; i<n; i++) H[i] = new double[n];
double **tempH=new double*[n];
for (i=0; i<n; i++) tempH[i] = new double[n];
double *gH=new double[n];
double *Hg=new double[n];
double num1;
double num2;
for(i=0;i<n;i++)
for(j=0;j<n;j++)
{
if(i==j) H[i][j]=1.0; // H0=I
else H[i][j]=0.0;
tempH[i][j]=0.0;
}
for(i=0;i<n;i++)
x0[i]=min_point[i];
comput_grad(pf,n,x0,g0);
g_norm=0.0;
for(i=0;i<n;i++) g_norm=g_norm+g0[i]*g0[i];
g_norm=sqrt(g_norm);
if (g_norm<e)
{
for(i=0;i<n;i++) min_point[i]=x0[i];
delete[] g0;
delete[] g1;
delete[] dg;
delete[] p;
delete[] x0;
delete[] x1;
delete[] dx;
for (i=0; i<n; i++) delete[] H[i];
delete []H;
for (i=0; i<n; i++) delete[] tempH[i];
delete []tempH;
delete[] gH;
delete[] Hg;
return pf(min_point);
}
for(i=0;i<n;i++) p[i]=-g0[i];
do
{
t=line_search(pf,n,x0,p);
for(i=0;i<n;i++) x1[i]=x0[i]+t*p[i];
comput_grad(pf,n,x1,g1);
g_norm=0.0;
for(i=0;i<n;i++) g_norm=g_norm+g1[i]*g1[i];
g_norm=sqrt(g_norm);
//cout<<k<<" "<<x0[0]<<" "<<x0[1]<<" "<<g_norm<<"\n";
if (g_norm<e)
{
for(i=0;i<n;i++) min_point[i]=x1[i];
delete[] g0;
delete[] g1;
delete[] dg;
delete[] p;
delete[] x0;
delete[] x1;
delete[] dx;
for (i=0; i<n; i++) delete[] H[i];
delete []H;
for (i=0; i<n; i++) delete[] tempH[i];
delete []tempH;
delete[] gH;
delete[] Hg;
return pf(min_point);
}
for(i=0;i<n;i++)
{
dx[i]=x1[i]-x0[i];
dg[i]=g1[i]-g0[i];
}
//////////////////求Hk+1的矩阵运算
//g*H,H*g
for(i=0;i<n;i++)
{
gH[i]=0.0;
Hg[i]=0.0;
}
for(i=0;i<n;i++)
{
for(j=0;j<n;j++)
{
gH[i]=gH[i]+dg[j]*H[j][i];
//Hg[i]=Hg[i]+H[i][j]*dg[j];
Hg[i]=gH[i];
}
}
//num1,num2
num1=0.0;
num2=0.0;
for(i=0;i<n;i++)
{
num1=num1+dx[i]*dg[i];
num2=num2+gH[i]*dg[i];
}
//tempH[i][j]
for(i=0;i<n;i++)
for(j=0;j<n;j++)
tempH[i][j]=0.0;
for(i=0;i<n;i++)
{
for(j=0;j<n;j++)
{
tempH[i][j]=tempH[i][j]+H[i][j];
tempH[i][j]=tempH[i][j]+dx[i]*dx[j]/num1;
tempH[i][j]=tempH[i][j]-Hg[i]*gH[j]/num2;
}
}
for(i=0;i<n;i++)
{
for(j=0;j<n;j++)
{
H[i][j]=tempH[i][j];
}
}
/////////////////////////////
//P
for(i=0;i<n;i++) p[i]=0.0;
for(i=0;i<n;i++)
{
for(j=0;j<n;j++)
{
p[i]=p[i]-H[i][j]*g1[j];
}
}
for(i=0;i<n;i++)
{
g0[i]=g1[i];
x0[i]=x1[i];
}
k=k+1;
}while(g_norm>e);
for(i=0;i<n;i++) min_point[i]=x1[i];
delete[] g0;
delete[] g1;
delete[] dg;
delete[] p;
delete[] x0;
delete[] x1;
delete[] dx;
for (i=0; i<n; i++) delete[] H[i];
delete []H;
for (i=0; i<n; i++) delete[] tempH[i];
delete []tempH;
delete[] gH;
delete[] Hg;
return pf(min_point);
}
/////////////
double fun(double *x)
{
return 100*( x[1]-x[0]*x[0] )*( x[1]-x[0]*x[0] ) + (1-x[0])*(1-x[0]);
}
void main()
{
int n=2;
double min_point[2]={-5,10};
double min_value=DFP(fun,n,min_point);
cout<<min_point[0]<<" and "<<min_point[1]<<" "<<min_value;
}
//0.618法线搜索
//
//参数：指向目标函数的指针，变量个数，出发点，搜索方向
//返回：最优步长
//
double line_search1(
double (*pf)(double *x),
int n,
double *start,
double *direction)
{
int i;
int k;
double l,a,b,c,u,lamda,t,e;
double *xa=new double[n];
double *xb=new double[n];
double *xc=new double[n];
double *xl=new double[n];
double *xu=new double[n];
//确定初始搜索区间
l=0.001;
a=0;
k=0;
do
{
k++;
c=a+l;
for(i=0;i<n;i++)
{
xc[i]=start[i]+c*direction[i];
xa[i]=start[i]+a*direction[i];
}
l=l/3;
}while( pf(xc) >= pf(xa) ); // ???
k=0;
do
{
k++;
l=2*l;
b=c+l;
for(i=0;i<n;i++)
{
xc[i]=start[i]+c*direction[i];
xb[i]=start[i]+b*direction[i];
}
a=c;
c=b;
}while( pf(xb) <= pf(xc) );
a=0;
b=0.1;
//寻优
t=0.618;
e=0.000001;
lamda=b-t*(b-a);
u=a+t*(b-a);
for(i=0;i<n;i++)
{
xl[i]=start[i]+lamda*direction[i];
xu[i]=start[i]+u*direction[i];
}
k=0;
do
{
k++;
if( pf(xl)<pf(xu) )
{
b=u;
u=lamda;
lamda=b-t*(b-a);
}
else
{
a=lamda;
lamda=u;
u=t*(b-a);
}
}while( b-a>=e );
lamda=(a+b)/2;
delete[] xa;
delete[] xb;
delete[] xc;
delete[] xl;
delete[] xu;
return lamda ;
}

复制代码

haixu2000 · 发表于 2007-5-26 21:41

好贴，帮了我大忙，程序很好懂阿:lol :lol

hitcjh · 发表于 2007-11-26 23:51

非常感谢，可以参考的资料

yeting0504@hotm · 发表于 2008-7-8 10:04

非常感谢，看这个就是舒服啊！谢谢

20031374 · 发表于 2008-12-14 17:50

非常感谢，看这个就是舒服啊:@P

siping4840 · 发表于 2009-8-26 11:03

不错，受用了！不错，受用了！

modest_xiu · 发表于 2012-5-7 17:36

参考~~谢谢

程瑞岩 · 发表于 2012-6-17 10:07

谢谢学习了。

nari · 发表于 2012-7-18 22:57

拟牛顿法主要是什么思想呀，可否有个简介呀

www.zdscj.com| · 发表于 2012-7-21 15:55

新人来学习一下先

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[C/C++] 拟牛顿法（变尺度法）DFP算法的c/c++源码

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回复 #1 风花雪月的帖子

不错，受用了！

[C/C++] 拟牛顿法（变尺度法）DFP算法的c/c++源码

马上注册，结交更多好友，享用更多功能，让你轻松玩转社区。

评分

回复 #1 风花雪月 的帖子

不错 ，受用了！

回复 #1 风花雪月的帖子

不错，受用了！