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| AugLagrangianFunction (LagrangianFunction &function) |
| Initialize the AugLagrangianFunction, but don't set the Lagrange multipliers or penalty parameters yet. More...
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| AugLagrangianFunction (LagrangianFunction &function, const arma::vec &lambda, const double sigma) |
| Initialize the AugLagrangianFunction with the given LagrangianFunction, Lagrange multipliers, and initial penalty parameter. More...
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double | Evaluate (const arma::mat &coordinates) const |
| Evaluate the objective function of the Augmented Lagrangian function, which is the standard Lagrangian function evaluation plus a penalty term, which penalizes unsatisfied constraints. More...
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double | Evaluate (const arma::mat &coordinates) const |
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double | Evaluate (const arma::mat &coordinates) const |
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const LagrangianFunction & | Function () const |
| Get the Lagrangian function. More...
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LagrangianFunction & | Function () |
| Modify the Lagrangian function. More...
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const arma::mat & | GetInitialPoint () const |
| Get the initial point of the optimization (supplied by the LagrangianFunction). More...
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void | Gradient (const arma::mat &coordinates, arma::mat &gradient) const |
| Evaluate the gradient of the Augmented Lagrangian function. More...
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void | Gradient (const arma::mat &coordinates, arma::mat &gradient) const |
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void | Gradient (const arma::mat &coordinates, arma::mat &gradient) const |
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const arma::vec & | Lambda () const |
| Get the Lagrange multipliers. More...
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arma::vec & | Lambda () |
| Modify the Lagrange multipliers. More...
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double | Sigma () const |
| Get sigma (the penalty parameter). More...
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double & | Sigma () |
| Modify sigma (the penalty parameter). More...
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template<typename LagrangianFunction>
class mlpack::optimization::AugLagrangianFunction< LagrangianFunction >
This is a utility class used by AugLagrangian, meant to wrap a LagrangianFunction into a function usable by a simple optimizer like L-BFGS.
Given a LagrangianFunction which follows the format outlined in the documentation for AugLagrangian, this class provides Evaluate(), Gradient(), and GetInitialPoint() functions which allow this class to be used with a simple optimizer like L-BFGS.
This class can be specialized for your particular implementation – commonly, a faster method for computing the overall objective and gradient of the augmented Lagrangian function can be implemented than the naive, default implementation given. Use class template specialization and re-implement all of the methods (unfortunately, C++ specialization rules mean you have to re-implement everything).
- Template Parameters
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LagrangianFunction | Lagrangian function to be used. |
Definition at line 38 of file aug_lagrangian_function.hpp.