AugmentedLagrangian.cpp File Reference

#include <sgpp/globaldef.hpp>
#include <sgpp/base/function/vector/EmptyVectorFunction.hpp>
#include <sgpp/base/function/vector/EmptyVectorFunctionGradient.hpp>
#include <sgpp/base/tools/Printer.hpp>
#include <sgpp/optimization/optimizer/constrained/AugmentedLagrangian.hpp>
#include <sgpp/optimization/optimizer/unconstrained/AdaptiveGradientDescent.hpp>
#include <algorithm>
#include <limits>
#include <vector>

Namespaces
namespace	sgpp
	Class that stores, generates and manipulates a density function during online phase in on/off learning.
namespace	sgpp::optimization
namespace	sgpp::optimization::optimizer

Variable Documentation

f

base::ScalarFunction& f

protected

Referenced by python.uq.quadrature.full_grid::clenshaw_curtis(), python.uq.operations.discretization::computeCoefficients(), python.uq.operations.discretization::computeErrors(), sgpp::op_factory::createOperationLimitFunctionValueRange(), sgpp::op_factory::createOperationMakePositive(), python.uq.operations.discretization::discretizeFunction(), sgpp::datadriven::OperationInverseRosenblattTransformation1DBspline::doTransformation1D(), sgpp::datadriven::OperationInverseRosenblattTransformation1DBsplineBoundary::doTransformation1D(), sgpp::datadriven::OperationInverseRosenblattTransformation1DBsplineClenshawCurtis::doTransformation1D(), sgpp::datadriven::OperationInverseRosenblattTransformation1DModBspline::doTransformation1D(), sgpp::datadriven::OperationInverseRosenblattTransformation1DModBsplineClenshawCurtis::doTransformation1D(), sgpp::datadriven::OperationInverseRosenblattTransformation1DModPoly::doTransformation1D(), sgpp::datadriven::OperationInverseRosenblattTransformation1DModPolyClenshawCurtis::doTransformation1D(), sgpp::datadriven::OperationInverseRosenblattTransformation1DPoly::doTransformation1D(), sgpp::datadriven::OperationInverseRosenblattTransformation1DPolyBoundary::doTransformation1D(), sgpp::datadriven::OperationInverseRosenblattTransformation1DPolyClenshawCurtis::doTransformation1D(), sgpp::datadriven::OperationInverseRosenblattTransformation1DPolyClenshawCurtisBoundary::doTransformation1D(), python.uq.estimators.MarginalIntegralStrategy.MarginalIntegralStrategy::estimate(), python.uq.operations.discretization::estimateDiscreteL2Error(), python.uq.operations.sparse_grid::evalSGFunctionBasedOnParents(), sgpp::base::DataMatrix::fromFile(), sgpp::base::DataMatrixSP::fromFile(), sgpp::base::DataVector::fromFile(), sgpp::base::DataVectorSP::fromFile(), sgpp::base::HashGridStorage::getLevelIndexMaskArraysForModEval(), sgpp::optimization::optimizer::lineSearchArmijo(), sgpp::datadriven::OperationMultiEvalHPX::mult(), sgpp::datadriven::MultipleEvalHPX::LocalityMultiplier::mult(), sgpp::datadriven::OperationLimitFunctionValueRange::OperationLimitFunctionValueRange(), sgpp::pde::dPhidPhiUpModLinear::operator()(), sgpp::datadriven::MaximumLikelihoodCrossValidation::optimizeBandwidths(), python.uq.plot.plot1d::plotFunction1d(), python.uq.plot.plot2d::plotFunction2d(), python.uq.plot.plot3d::plotFunction3d(), python.uq.plot.plot1d::plotGrid1d(), python.uq.plot.plot1d::plotSG1d(), python.uq.plot.plot3d::plotSG3d(), sgpp::datadriven::PolynomialChaosExpansion::PolynomialChaosExpansion(), python.uq.quadrature.strategies.QuadratureStrategy.QuadratureStrategy::quad(), sgpp::optimization::file_io::readEntry(), sgpp::optimization::file_io::readEntry(), sgpp::optimization::file_io::readGrid(), sgpp::optimization::file_io::readMatrix(), sgpp::pde::dPhidPhiUpModLinear::rec(), sgpp::pde::dPhidPhiDownModLinear::rec(), sgpp::base::DataMatrix::toFile(), sgpp::base::DataMatrixSP::toFile(), sgpp::base::DataVector::toFile(), sgpp::base::DataVectorSP::toFile(), python.uq.analysis.KnowledgeTypes.KnowledgeTypes::transformData(), sgpp::optimization::file_io::writeEntry(), sgpp::optimization::file_io::writeEntry(), sgpp::optimization::file_io::writeGrid(), and sgpp::optimization::file_io::writeMatrix().

fGradient

base::ScalarFunctionGradient& fGradient

protected

g

base::VectorFunction& g

protected

Referenced by sgpp::datadriven::Harmonica::calculateConstrainedSpace(), sgpp::base::HashGenerator::cliques_iter(), sgpp::base::HashGenerator::createAnisotropicFullGrid(), sgpp::base::HashGenerator::createFullGridIterative(), sgpp::base::HashGenerator::createFullGridTruncatedIterative(), sgpp::solver::Fista< F >::Fista(), sgpp::optimization::IterativeGridGeneratorRitterNovak::generate(), sgpp::datadriven::LearnerVectorizedPerformanceCalculator::getGFlopAndGByte(), sgpp::datadriven::LearnerSGDE::predict(), sgpp::base::HashGenerator::regular_boundary_truncated_iter(), sgpp::base::HashGenerator::regular_inter_iter(), sgpp::base::HashGenerator::regular_iter(), sgpp::base::HashGenerator::regular_periodic_boundary_iter(), sgpp::datadriven::LearnerSGDE::storeResults(), and sgpp::datadriven::LearnerSGDE::trainOnline().

gGradient

base::VectorFunctionGradient& gGradient

protected

h

base::VectorFunction& h

protected

Referenced by sgpp::combigrid::OperationPoleDehierarchisationLinear::apply(), sgpp::combigrid::OperationPoleHierarchisationLinear::apply(), sgpp::base::ClenshawCurtisTable::calculatePoint(), sgpp::base::BsplineClenshawCurtisBasis< LT, IT >::constructKnots(), sgpp::datadriven::OperationRosenblattTransformation1DBspline::doTransformation1D(), sgpp::datadriven::OperationRosenblattTransformation1DBsplineBoundary::doTransformation1D(), sgpp::datadriven::OperationRosenblattTransformation1DBsplineClenshawCurtis::doTransformation1D(), sgpp::datadriven::OperationRosenblattTransformation1DModBspline::doTransformation1D(), sgpp::datadriven::OperationRosenblattTransformation1DModBsplineClenshawCurtis::doTransformation1D(), sgpp::datadriven::OperationRosenblattTransformation1DModPoly::doTransformation1D(), sgpp::datadriven::OperationRosenblattTransformation1DModPolyClenshawCurtis::doTransformation1D(), sgpp::datadriven::OperationRosenblattTransformation1DPoly::doTransformation1D(), sgpp::datadriven::OperationRosenblattTransformation1DPolyBoundary::doTransformation1D(), sgpp::datadriven::OperationRosenblattTransformation1DPolyClenshawCurtis::doTransformation1D(), sgpp::datadriven::OperationRosenblattTransformation1DPolyClenshawCurtisBoundary::doTransformation1D(), sgpp::base::WaveletModifiedBasis< LT, IT >::eval(), sgpp::base::PolyBasis< LT, IT >::eval(), sgpp::base::PolyModifiedBasis< LT, IT >::eval(), sgpp::base::WaveletModifiedBasis< LT, IT >::evalDx(), sgpp::base::PolyBasis< LT, IT >::evalDx(), sgpp::base::WaveletModifiedBasis< LT, IT >::evalDxDx(), sgpp::datadriven::LearnerVectorizedPerformanceCalculator::getGFlopAndGByte(), sgpp::base::BsplineClenshawCurtisBasis< LT, IT >::getIntegral(), sgpp::base::BsplineModifiedClenshawCurtisBasis< LT, IT >::getIntegral(), sgpp::base::FundamentalSplineBasis< LT, IT >::getIntegral(), sgpp::base::FundamentalSplineModifiedBasis< LT, IT >::getIntegral(), sgpp::base::PolyBasis< LT, IT >::getIntegral(), sgpp::base::PolyClenshawCurtisBasis< LT, IT >::getIntegral(), sgpp::datadriven::PiecewiseConstantRegression::Node::getSupportIndizes(), sgpp::datadriven::PiecewiseConstantRegression::Node::hierarchizeChild(), sgpp::datadriven::PiecewiseConstantRegression::Node::integrate(), main(), sgpp::base::ImpurityRefinementIndicator::operator()(), sgpp::pde::LaplaceDownGradientPrewavelet::operator()(), sgpp::pde::LaplaceUpGradientPrewavelet::operator()(), sgpp::pde::LaplaceUpPrewavelet::operator()(), sgpp::pde::LaplaceEnhancedDownBBLinear::rec(), sgpp::pde::PhiPhiUpModLinear::rec(), sgpp::pde::PhiPhiDownBBLinear::rec(), sgpp::pde::PhiPhiDownModLinear::rec(), sgpp::base::GetAffectedBasisFunctions< LinearBoundaryBasis< unsigned int, unsigned int > >::rec(), sgpp::base::GetAffectedBasisFunctions< LinearPeriodicBasis< unsigned int, unsigned int > >::rec(), sgpp::base::GetAffectedBasisFunctions< PolyBoundaryBasis< unsigned int, unsigned int > >::rec(), sgpp::base::GetAffectedBasisFunctions< PolyClenshawCurtisBoundaryBasis< unsigned int, unsigned int > >::rec(), sgpp::base::GetAffectedBasisFunctions< LinearClenshawCurtisBoundaryBasis< unsigned int, unsigned int > >::rec(), sgpp::pde::LaplaceEnhancedDownBBLinear::rec_GL(), sgpp::pde::LaplaceEnhancedDownBBLinear::rec_LG(), sgpp::pde::LaplaceEnhancedUpBBLinear::rec_LL(), sgpp::pde::LaplaceEnhancedDownBBLinear::rec_LL(), sgpp::pde::LaplaceEnhancedDownBBLinear::recBB(), sgpp::pde::PhiPhiDownBBLinear::recBB(), sgpp::base::GetAffectedBasisFunctions< LinearBoundaryBasis< unsigned int, unsigned int > >::recBB(), sgpp::base::GetAffectedBasisFunctions< PolyBoundaryBasis< unsigned int, unsigned int > >::recBB(), sgpp::base::GetAffectedBasisFunctions< PolyClenshawCurtisBoundaryBasis< unsigned int, unsigned int > >::recBB(), sgpp::base::GetAffectedBasisFunctions< LinearClenshawCurtisBoundaryBasis< unsigned int, unsigned int > >::recBB(), sgpp::pde::LaplaceEnhancedDownBBLinear::recBB_GL(), sgpp::pde::LaplaceEnhancedDownBBLinear::recBB_LG(), sgpp::pde::LaplaceEnhancedDownBBLinear::recBB_LL(), and sgpp::base::DataTensor::toString().

hGradient

base::VectorFunctionGradient& hGradient

protected

lambda

base::DataVector& lambda

protected

Referenced by sgpp::datadriven::AlgorithmAdaBoostBase::AlgorithmAdaBoostBase(), sgpp::datadriven::AlgorithmAdaBoostIdentity::alphaSolver(), sgpp::datadriven::DBMatOnlineDEFactory::buildDBMatOnlineDE(), sgpp::datadriven::ClusteringOCL::OperationClusteringOCL< T >::calculate_clusters(), sgpp::datadriven::Harmonica::calculateConstrainedSpace(), sgpp::datadriven::DBMatOfflineChol::choleskyModification(), sgpp::datadriven::DBMatOfflineDenseIChol::choleskyModification(), sgpp::datadriven::createDensityOCLMultiPlatformConfigured(), sgpp::datadriven::createDensityOCLMultiPlatformConfigured(), sgpp::datadriven::createDensityOCLMultiPlatformConfigured(), sgpp::datadriven::createDensityOCLMultiPlatformConfigured(), sgpp::datadriven::createDensityOCLMultiPlatformConfigured(), sgpp::datadriven::Learner::createDMSystem(), sgpp::datadriven::LearnerLeastSquaresIdentity::createDMSystem(), sgpp::datadriven::DBMatDMSDenseIChol::DBMatDMSDenseIChol(), sgpp::datadriven::DMWeightMatrix::DMWeightMatrix(), sgpp::solver::ElasticNetFunction::ElasticNetFunction(), sgpp::datadriven::SparseGridMinerSplitting::evaluateLambda(), sgpp::solver::GroupLassoFunction::GroupLassoFunction(), sgpp::datadriven::DensityOCLMultiPlatform::KernelDensityMult< T >::KernelDensityMult(), sgpp::solver::LassoFunction::LassoFunction(), sgpp::datadriven::SparseGridMinerSplitting::learn(), main(), main(), main(), sgpp::datadriven::MetaLearner::MetaLearner(), sgpp::datadriven::OperationMultiEvalCuda::multTransposeFMA(), sgpp::datadriven::DensityOCLMultiPlatform::OperationDensityOCLMultiPlatform< T >::OperationDensityOCLMultiPlatform(), sgpp::datadriven::DensityOCLMultiPlatform::OperationDensityOCLMultiPlatform< T >::OperationDensityOCLMultiPlatform(), sgpp::optimization::optimizer::AugmentedLagrangian::optimize(), sgpp::optimization::optimizer::AdaptiveNewton::optimize(), sgpp::optimization::optimizer::CMAES::optimize(), sgpp::solver::RidgeFunction::RidgeFunction(), sgpp::optimization::math::schurDecomposition(), sgpp::datadriven::LearnerScenario::setLambda(), sgpp::datadriven::HPOConfig::setLambda(), sgpp::datadriven::DensityOCLMultiPlatform::KernelDensityMult< T >::start_mult(), sgpp::datadriven::LearnerSVM::train(), sgpp::datadriven::DBMatOfflineOrthoAdapt::updateRegularization(), sgpp::datadriven::ModelFittingClassification::updateRegularization(), sgpp::datadriven::ModelFittingDensityEstimationOnOff::updateRegularization(), sgpp::datadriven::ModelFittingDensityEstimationOnOffParallel::updateRegularization(), and sgpp::datadriven::DBMatOfflineOrthoAdapt::updateRegularizationParallel().

mG

size_t mG

protected

Referenced by sgpp::optimization::optimizer::AugmentedLagrangian::findFeasiblePoint(), sgpp::optimization::optimizer::AugmentedLagrangian::optimize(), and sgpp::optimization::optimizer::SquaredPenalty::optimize().

mH

size_t mH

protected

Referenced by sgpp::optimization::optimizer::AugmentedLagrangian::findFeasiblePoint(), sgpp::optimization::optimizer::AugmentedLagrangian::optimize(), and sgpp::optimization::optimizer::SquaredPenalty::optimize().

mu

double mu

protected

Referenced by sgpp::optimization::FuzzyInterval::computeL1Norm(), sgpp::optimization::FuzzyInterval::computeL2Norm(), sgpp::optimization::FuzzyInterval::computeLinfNorm(), sgpp::base::StdNormalDistribution::getDensity(), sgpp::base::StdNormalDistribution::getNormedDensity(), sgpp::pde::HeatEquationSolver::initGridWithSmoothHeat(), sgpp::pde::HeatEquationSolverWithStretching::initGridWithSmoothHeat(), sgpp::pde::PoissonEquationSolver::initGridWithSmoothHeat(), sgpp::pde::PoissonEquationSolver::initGridWithSmoothHeatFullDomain(), sgpp::optimization::optimizer::AugmentedLagrangian::optimize(), sgpp::optimization::optimizer::LogBarrier::optimize(), sgpp::optimization::optimizer::SquaredPenalty::optimize(), sgpp::optimization::optimizer::LevenbergMarquardt::optimize(), sgpp::optimization::optimizer::CMAES::optimize(), sgpp::datadriven::LearnerSGD::train(), and sgpp::datadriven::KernelDensityEstimator::variance().

sMax

double sMax

protected

Referenced by sgpp::optimization::optimizer::AugmentedLagrangian::findFeasiblePoint().

sMin

double sMin

protected

Referenced by sgpp::optimization::optimizer::AugmentedLagrangian::findFeasiblePoint().