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nesterov.jl
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nesterov.jl
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struct NesterovMomentum end
function Base.iterate(::NesterovMomentum, t=1.0)
t_next = (1 + sqrt(1 + 4 * t^2)) / 2
return (t - 1) / t_next, t_next
end
struct NesterovIterable{T, F, S, M}
w0::T
f::F
stepsize::S
momentum::M
end
NesterovIterable(w0, f; stepsize, momentum=NesterovMomentum()) = NesterovIterable(w0, f, to_iterator(stepsize), to_iterator(momentum))
Base.IteratorSize(::Type{<:NesterovIterable}) = Base.IsInfinite()
mutable struct NesterovState{T, G, S, M}
w::T
f_w
grad_f_w::G
stepsize_iterator::S
momentum_iterator::M
z::T
z_prev::T
end
function Base.iterate(iter::NesterovIterable)
w = copy(iter.w0)
grad_f_w, f_w = gradient(iter.f, w)
state = NesterovState(
w, f_w, grad_f_w,
Iterators.Stateful(iter.stepsize), Iterators.Stateful(iter.momentum),
copy(w), zero(w)
)
return IterationOutput(state.w, state.f_w, state.grad_f_w), state
end
function Base.iterate(iter::NesterovIterable, state::NesterovState)
stepsize = popfirst!(state.stepsize_iterator)
state.z .= state.w .- stepsize .* state.grad_f_w
momentum = popfirst!(state.momentum_iterator)
state.w .= state.z .+ momentum .* (state.z .- state.z_prev)
state.z_prev, state.z = state.z, state.z_prev
state.grad_f_w, state.f_w = gradient(iter.f, state.w)
return IterationOutput(state.w, state.f_w, state.grad_f_w), state
end
struct Nesterov
kwargs
Nesterov(; kwargs...) = new(kwargs)
end
(n::Nesterov)(args...) = NesterovIterable(args...; n.kwargs...)