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newrat.m: only compute eig(hh) if output is actually required

time-shift
Johannes Pfeifer 2021-01-27 22:02:45 +01:00
parent ef14cdb1e9
commit 7df35bca35
1 changed files with 35 additions and 26 deletions
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61
matlab/optimization/newrat.m
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@ -70,7 +70,7 @@ nx=length(x);
xparam1=x;
%ftol0=1.e-6;
htol_base = max(1.e-7, ftol0);
flagit=0; % mode of computation of hessian in each iteration
flagit=0; % mode of computation of hessian in each iteration; hard-coded outer-product of gradients as it performed best in tests
ftol=ftol0;
gtol=1.e-3;
htol=htol_base;
@ -121,15 +121,16 @@ else
h1=[];
end
H = igg;
disp_verbose(['Gradient norm ',num2str(norm(gg))],Verbose)
ee=eig(hh);
disp_verbose(['Minimum Hessian eigenvalue ',num2str(min(ee))],Verbose)
disp_verbose(['Maximum Hessian eigenvalue ',num2str(max(ee))],Verbose)
if Verbose
disp_eigenvalues_gradient(gg,hh);
end
g=gg;
check=0;
if max(eig(hh))<0
disp_verbose('Negative definite Hessian! Local maximum!',Verbose)
pause
if Verbose
if max(eig(hh))<0
disp('Negative definite Hessian! Local maximum!')
pause
end
end
if Save_files
save('m1.mat','x','hh','g','hhg','igg','fval0')
@ -139,7 +140,9 @@ igrad=1;
igibbs=1;
inx=eye(nx);
jit=0;
nig=[];
if Save_files
nig=[];
end
ig=ones(nx,1);
ggx=zeros(nx,1);
while norm(gg)>gtol && check==0 && jit<nit
@ -176,7 +179,9 @@ while norm(gg)>gtol && check==0 && jit<nit
x0 = check_bounds(x0,bounds);
[fvala, x0, ig] = mr_gstep(h1,x0,bounds,func0,penalty,htol0,Verbose,Save_files,gradient_epsilon, parameter_names,varargin{:});
x0 = check_bounds(x0,bounds);
nig=[nig ig];
if Save_files
nig=[nig ig];
end
disp_verbose('Sequence of univariate steps!!',Verbose)
fval=fvala;
if (fval0(icount)-fval)<ftol && flagit==0
@ -225,15 +230,14 @@ while norm(gg)>gtol && check==0 && jit<nit
end
end
end
disp_verbose(['Actual dxnorm ',num2str(norm(x(:,end)-x(:,end-1)))],Verbose)
disp_verbose(['FVAL ',num2str(fval)],Verbose)
disp_verbose(['Improvement ',num2str(fval0(icount)-fval)],Verbose)
disp_verbose(['Ftol ',num2str(ftol)],Verbose)
disp_verbose(['Htol ',num2str(max(htol0))],Verbose)
disp_verbose(['Gradient norm ',num2str(norm(gg))],Verbose)
ee=eig(hh);
disp_verbose(['Minimum Hessian eigenvalue ',num2str(min(ee))],Verbose)
disp_verbose(['Maximum Hessian eigenvalue ',num2str(max(ee))],Verbose)
if Verbose
disp(['Actual dxnorm ',num2str(norm(x(:,end)-x(:,end-1)))])
disp(['FVAL ',num2str(fval)])
disp(['Improvement ',num2str(fval0(icount)-fval)])
disp(['Ftol ',num2str(ftol)])
disp(['Htol ',num2str(max(htol0))])
disp_eigenvalues_gradient(gg,hh);
end
g(:,icount+1)=gg;
else
df = fval0(icount)-fval;
@ -285,13 +289,11 @@ while norm(gg)>gtol && check==0 && jit<nit
hhg=hh;
H = inv(hh);
end
disp_verbose(['Gradient norm ',num2str(norm(gg))],Verbose)
ee=eig(hh);
disp_verbose(['Minimum Hessian eigenvalue ',num2str(min(ee))],Verbose)
disp_verbose(['Maximum Hessian eigenvalue ',num2str(max(ee))],Verbose)
if max(eig(hh))<0
disp_verbose('Negative definite Hessian! Local maximum!',Verbose)
pause(1)
if Verbose
if max(eig(hh))<0
disp('Negative definite Hessian! Local maximum!')
pause(1)
end
end
t=toc(tic1);
disp_verbose(['Elapsed time for iteration ',num2str(t),' s.'],Verbose)
@ -339,3 +341,10 @@ inx = find(x<=bounds(:,1));
if ~isempty(inx)
x(inx) = bounds(inx,1)+eps;
end
function ee=disp_eigenvalues_gradient(gg,hh)
disp(['Gradient norm ',num2str(norm(gg))])
ee=eig(hh);
disp(['Minimum Hessian eigenvalue ',num2str(min(ee))])
disp(['Maximum Hessian eigenvalue ',num2str(max(ee))])