/
objective.jl
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/
objective.jl
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# MIT License
#
# Copyright (c) 2018 Martin Biel
#
# Permission is hereby granted, free of charge, to any person obtaining a copy
# of this software and associated documentation files (the "Software"), to deal
# in the Software without restriction, including without limitation the rights
# to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
# copies of the Software, and to permit persons to whom the Software is
# furnished to do so, subject to the following conditions:
#
# The above copyright notice and this permission notice shall be included in all
# copies or substantial portions of the Software.
#
# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
# IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
# FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
# AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
# LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
# OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
# SOFTWARE.
@with_kw mutable struct ObjectiveThresholdParameters{T <: AbstractFloat}
reference::T = 0.0
τ::T = 1e-6
end
"""
ObjectiveThreshold
Functor object for using an objective threshold as termination criterion in a quasigradient algorithm. Create by supplying a [`AtObjectiveThreshold`](@ref) object through `terminate` to `QuasiGradient.Optimizer` or by setting the [`Termination`](@ref) attribute.
...
# Parameters
- `reference::AbstractFloat = 0.0`: Reference objective value
- `τ::AbstractFloat = 1e-6`: Relative tolerance
...
"""
struct ObjectiveThreshold{T <: AbstractFloat} <: AbstractTerminationCriterion
parameters::ObjectiveThresholdParameters{T}
end
function Progress(termination::ObjectiveThreshold, str::AbstractString)
@unpack τ = termination.parameters
return ProgressThresh(τ, 0.0, str)
end
function progress_value(termination::ObjectiveThreshold, k::Integer, f::AbstractFloat, ∇f_norm::AbstractFloat)
@unpack reference = termination.parameters
return abs(f - reference) / abs(reference + 1e-10)
end
function terminate(termination::ObjectiveThreshold, k::Integer, f::Float64, x::AbstractVector, ∇f::AbstractVector)
@unpack reference, τ = termination.parameters
return abs(f - reference) / abs(reference + 1e-10) <= τ
end
# API
# ------------------------------------------------------------
"""
AtObjectiveThreshold
Factory object for [`ObjectiveThreshold`](@ref). Pass to `terminate` in `Quasigradient.Optimizer` or set the [`Termination`](@ref) attribute. See ?ObjectiveThreshold for parameter descriptions.
"""
struct AtObjectiveThreshold <: AbstractTermination
parameters::ObjectiveThresholdParameters{Float64}
end
AtObjectiveThreshold(reference::AbstractFloat, τ::AbstractFloat) = AtObjectiveThreshold(ObjectiveThresholdParameters{Float64}(; reference = Float64(reference), τ = Float64(τ)))
AtObjectiveThreshold(; kw...) = AtObjectiveThreshold(ObjectiveThresholdParameters{Float64}(; kw...))
function (criteria::AtObjectiveThreshold)(::Type{T}) where T <: AbstractFloat
return ObjectiveThreshold(ObjectiveThresholdParameters{T}(; type2dict(criteria.parameters)...))
end