From 10658ad278badab9f4b27748f254206955cdac7f Mon Sep 17 00:00:00 2001
From: Erik Strand <erik.strand@cba.mit.edu>
Date: Mon, 13 Apr 2020 02:52:27 -0400
Subject: [PATCH] Add absolute bracket width termination condition
---
.../optimizers/line_search/golden_section.h | 15 +++++++++++----
1 file changed, 11 insertions(+), 4 deletions(-)
diff --git a/optimization/optimizers/line_search/golden_section.h b/optimization/optimizers/line_search/golden_section.h
index 87ad21e..44b2679 100644
--- a/optimization/optimizers/line_search/golden_section.h
+++ b/optimization/optimizers/line_search/golden_section.h
@@ -10,8 +10,12 @@ namespace optimization {
//--------------------------------------------------------------------------------------------------
class GoldenSection {
public:
- // Note: This tolerance default is suitable for double precision floats.
- GoldenSection(Scalar tolerance = 3e-8): tolerance_(tolerance), n_evaluations_(0) {}
+ // Note:
+ // - the default absolute tolerance is equivalent to no absolute termination condition
+ // - the default relative tolerance is suitable for double precision floats
+ GoldenSection(Scalar abs_tol = -1, Scalar rel_tol = 3e-8)
+ : abs_tol_(abs_tol), rel_tol_(rel_tol), n_evaluations_(0)
+ {}
uint32_t n_evaluations() const { return n_evaluations_; }
@@ -19,7 +23,10 @@ public:
Sample<Scalar> optimize(Objective const& objective, Bracket const& bracket);
private:
- Scalar tolerance_;
+ // Goal for absolute width of the bracket. Put a negative number if you want to abs tol.
+ Scalar abs_tol_;
+ // Goal for width of bracket relative to central value. Should always have this.
+ Scalar rel_tol_;
uint32_t n_evaluations_;
static constexpr Scalar golden_ratio_big_ = 0.618034;
@@ -65,7 +72,7 @@ Sample<Scalar> GoldenSection::optimize(Objective const& objective, Bracket const
// Keep interpolating until our bracket is sufficiently tight.
// See Numerical Recipes for the thought behind this particular test.
- while (x_3 - x_0 > tolerance_ * (std::abs(x_1) + std::abs(x_2))) {
+ while (x_3 - x_0 > abs_tol_ && x_3 - x_0 > rel_tol_ * (std::abs(x_1) + std::abs(x_2))) {
if (y_2 < y_1) {
// x_1 is our new left edge; interpolate between x_2 and x_3
shift(x_0, x_1, x_2, golden_ratio_big_ * x_2 + golden_ratio_small_ * x_3);
--
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