jens
7b34529b24
git-svn-id: http://moon:8086/svn/matlab/trunk@91 801c6759-fa7c-4059-a304-17956f83a07c
43 lines
995 B
Matlab
43 lines
995 B
Matlab
function [old_dirs,old_stps,Hdiag,Bcompact] = lbfgsUpdate(y,s,corrections,debug,old_dirs,old_stps,Hdiag)
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%B0 = eye(length(y))/Hdiag;
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S = old_dirs(:,2:end);
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Y = old_stps(:,2:end);
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k = size(Y,2);
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L = zeros(k);
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for j = 1:k
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for i = j+1:k
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L(i,j) = S(:,i)'*Y(:,j);
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end
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end
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D = diag(diag(S'*Y));
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N = [S/Hdiag Y];
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M = [S'*S/Hdiag L;L' -D];
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ys = y'*s;
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Bs = s/Hdiag - N*(M\(N'*s)); % Product B*s
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sBs = s'*Bs;
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eta = .02;
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if ys < eta*sBs
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if debug
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fprintf('Damped Update\n');
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end
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theta = min(max(0,((1-eta)*sBs)/(sBs - ys)),1);
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y = theta*y + (1-theta)*Bs;
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end
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numCorrections = size(old_dirs,2);
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if numCorrections < corrections
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% Full Update
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old_dirs(:,numCorrections+1) = s;
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old_stps(:,numCorrections+1) = y;
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else
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% Limited-Memory Update
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old_dirs = [old_dirs(:,2:corrections) s];
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old_stps = [old_stps(:,2:corrections) y];
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end
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% Update scale of initial Hessian approximation
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Hdiag = (y'*s)/(y'*y); |