no more sandpit; gmax stopping criterion

ultimaille · Apr 21, 2021 · 2fe75cf · 2fe75cf
1 parent 1d805b9
commit 2fe75cf
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Showing 7 changed files with 40 additions and 18 deletions.
diff --git a/CMakeLists.txt b/CMakeLists.txt
@@ -45,5 +45,9 @@ if (STLBFGS_UNIT_TESTS)
     add_subdirectory(tests)
 endif()
 
-add_subdirectory(sandpit)
+add_executable(stlbfgs-helloworld helloworld.cpp)
+target_link_libraries(stlbfgs-helloworld ${CMAKE_DL_LIBS} stlbfgs)
+IF (NOT WIN32)
+  target_link_libraries(stlbfgs-helloworld m)
+ENDIF()
 
diff --git a/helloworld.cpp b/helloworld.cpp
@@ -0,0 +1,26 @@
+#include <iostream>
+#include "stlbfgs.h"
+
+int main() {
+    const STLBFGS::Optimizer::func_grad_eval func = [](const std::vector<double> &x, double &f, std::vector<double> &g) {
+        f = (x[0] - 7)*(x[0] - 7) +
+            (x[1] - 1)*(x[1] - 1);
+        g[0] = 2*(x[0] - 7);
+        g[1] = 2*(x[1] - 1);
+    };
+
+    STLBFGS::Optimizer opt(2, func);
+    std::vector<double> x = {10, 10};
+    opt.run(x);
+
+    std::cout << "Result: x=" << x[0] << ", y=" << x[1] << std::endl;
+
+    if (std::abs(x[0]-7)<1e-3 || std::abs(x[1]-1)<1e-3) {
+        std::cout << "Optimization succeeded" << std::endl;
+        return 0;
+    } else {
+        std::cout << "Optimization failed" << std::endl;
+        return 1;
+    }
+}
+
diff --git a/sandpit/CMakeLists.txt b/sandpit/CMakeLists.txt
diff --git a/sandpit/helloworld/CMakeLists.txt b/sandpit/helloworld/CMakeLists.txt
diff --git a/sandpit/helloworld/helloworld.cpp b/sandpit/helloworld/helloworld.cpp
diff --git a/stlbfgs.cpp b/stlbfgs.cpp
@@ -136,17 +136,22 @@ namespace STLBFGS {
                 break;
             }
 
-            double gmax = 0.;
+            if (norm(g)/std::max(1., norm(x))<=gtol) {
+                std::cerr << "||g||/max(1,||x||) <= " << gtol << std::endl;
+                break;
+            }
 
+            double gmax_ = 0.;
 #if defined(_OPENMP) && _OPENMP>=200805
 #pragma omp parallel for reduction(max:gmax)
 #endif
             for (double gi : g)
-                gmax = std::max(gmax, std::abs(gi));
-            if (gmax <= gtol) {
+                gmax_ = std::max(gmax_, std::abs(gi));
+            if (gmax_ <= gmax) {
                 std::cerr << "gmax: "<<  gmax << std::endl;
                 break;
             }
+
             if (i==maxiter-1) {
                 std::cerr << "reached maxiter " << std::endl;
             }

diff --git a/stlbfgs.h b/stlbfgs.h
@@ -30,6 +30,7 @@ namespace STLBFGS {
         int maxiter = 100;   // Maximum number of function evaluations
         double ftol = 1e-6;  // The iteration stops when (f^k - f^{k+1})/max{|f^k|,|f^{k+1}|,1} <= ftol
         double gtol = 1e-14; // The iteration will stop when max{|g_i|, i = 1, ..., n} <= gtol
+        double gmax = 1e-14; // The iteration will stop when ||g||/max(1,||x||) <= gmax
 
         // Line search parameters: the step size must satisfy Wolfe conditions with these parameters
         double mu  = 1e-4; // Armijo rule (sufficient decrease) constant