@antv/g2
Version:
the Grammar of Graphics in Javascript
96 lines • 3.49 kB
JavaScript
;
Object.defineProperty(exports, "__esModule", { value: true });
exports.conjugateGradientSolve = exports.conjugateGradient = void 0;
const blas1_1 = require("./blas1");
const linesearch_1 = require("./linesearch");
function conjugateGradient(f, initial, params) {
// allocate all memory up front here, keep out of the loop for perfomance
// reasons
let current = { x: initial.slice(), fx: 0, fxprime: initial.slice() };
let next = { x: initial.slice(), fx: 0, fxprime: initial.slice() };
const yk = initial.slice();
let temp;
let a = 1;
params = params || {};
const maxIterations = params.maxIterations || initial.length * 20;
current.fx = f(current.x, current.fxprime);
const pk = current.fxprime.slice();
(0, blas1_1.scale)(pk, current.fxprime, -1);
for (let i = 0; i < maxIterations; ++i) {
a = (0, linesearch_1.wolfeLineSearch)(f, pk, current, next, a);
// todo: history in wrong spot?
if (params.history) {
params.history.push({
x: current.x.slice(),
fx: current.fx,
fxprime: current.fxprime.slice(),
alpha: a,
});
}
if (!a) {
// faiiled to find point that satifies wolfe conditions.
// reset direction for next iteration
(0, blas1_1.scale)(pk, current.fxprime, -1);
}
else {
// update direction using Polak–Ribiere CG method
(0, blas1_1.weightedSum)(yk, 1, next.fxprime, -1, current.fxprime);
const delta_k = (0, blas1_1.dot)(current.fxprime, current.fxprime);
const beta_k = Math.max(0, (0, blas1_1.dot)(yk, next.fxprime) / delta_k);
(0, blas1_1.weightedSum)(pk, beta_k, pk, -1, next.fxprime);
temp = current;
current = next;
next = temp;
}
if ((0, blas1_1.norm2)(current.fxprime) <= 1e-5) {
break;
}
}
if (params.history) {
params.history.push({
x: current.x.slice(),
fx: current.fx,
fxprime: current.fxprime.slice(),
alpha: a,
});
}
return current;
}
exports.conjugateGradient = conjugateGradient;
/// Solves a system of lienar equations Ax =b for x
/// using the conjugate gradient method.
function conjugateGradientSolve(A, b, x, history) {
const r = x.slice();
const Ap = x.slice();
let rsold;
let rsnew;
let alpha;
// r = b - A*x
(0, blas1_1.gemv)(Ap, A, x);
(0, blas1_1.weightedSum)(r, 1, b, -1, Ap);
const p = r.slice();
rsold = (0, blas1_1.dot)(r, r);
for (let i = 0; i < b.length; ++i) {
(0, blas1_1.gemv)(Ap, A, p);
alpha = rsold / (0, blas1_1.dot)(p, Ap);
if (history) {
history.push({ x: x.slice(), p: p.slice(), alpha: alpha });
}
//x=x+alpha*p;
(0, blas1_1.weightedSum)(x, 1, x, alpha, p);
// r=r-alpha*Ap;
(0, blas1_1.weightedSum)(r, 1, r, -alpha, Ap);
rsnew = (0, blas1_1.dot)(r, r);
if (Math.sqrt(rsnew) <= 1e-10)
break;
// p=r+(rsnew/rsold)*p;
(0, blas1_1.weightedSum)(p, 1, r, rsnew / rsold, p);
rsold = rsnew;
}
if (history) {
history.push({ x: x.slice(), p: p.slice(), alpha: alpha });
}
return x;
}
exports.conjugateGradientSolve = conjugateGradientSolve;
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