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Calcula da hessiana e atualização - Broyden-Fletcher-Goldfarb-Shanno (BFGS)
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import numpy as np | |
import scipy.linalg as la | |
import numpy.linalg as ln | |
#Busca valor de alpha | |
def LineSearch(f,g,x,p): | |
a,b = 1 - 2/(1 + np.sqrt(5)), 2/(1+np.sqrt(5)) | |
alpha = 1.0 | |
while (f(x+alpha*p) > f(x)) + a * alpha*np.dot(g(x),p) : | |
alpha *= b | |
return alpha | |
#Desenvolvimento do método BFGS | |
def BFGS(f,g,x,eps,maxiter=10, alfa=0.1,inv_hessian=None): | |
#Se não houver valor para Hessiana | |
if inv_hessian is None: | |
H = scipy.eye(g(x).shape[0]) | |
print('Hessiana: ', H) | |
#Inicializa a variável | |
i = 0 | |
#Lopping do método onde interrempo a iteração ao atingir os critérios de parada | |
while ln.norm(g(x),2) >= eps and i < maxiter: | |
#Direção | |
p = -np.dot(H, g(x)) | |
#Tamanho do passo | |
alpha = LineSearch(f,g,x,p) | |
s = alpha * p | |
#Calcula gradiente em x | |
grad_m1 = scipy.zeros(g(x).shape) | |
grad_diff = g(x) - grad_m1 | |
#Atualizando o valor da Hessiana | |
ys = np.inner(grad_diff, s) | |
Hy = np.dot(H, grad_diff) | |
yHy = np.inner(grad_diff, Hy) | |
print('Passo 1: ', (ys + yHy) ) | |
print('Passo 2: ', np.outer(s, s)) | |
print('Passo 3: ', ys ** 2) | |
print('Juntando 1: ', (ys + yHy) * np.outer(s, s)) | |
print('Juntando 3: ', (ys + yHy) * np.outer(s, s)/ ys ** 2) | |
H += (ys + yHy) * np.outer(s, s) / ys ** 2 | |
print('atualiza H: ', H) | |
H -= (np.outer(Hy, s) + np.outer(s, Hy)) / ys | |
# p = -np.linalg.solve(H,g(x)) | |
# print('Direcao: ', p) | |
# alpha = LineSearch(f,g,x,p) | |
# print('Alfa:', alpha) | |
# s = alpha * p | |
# print('Valor gradiente :', s) | |
# y = g(x+alpha*s) - g(x) | |
# x = x + s | |
# H = H + np.outer(y,y)/np.inner(y,s) - (H@np.outer(s,s)@H.T)/(s.T@H@s) | |
# print('Atualiza Hessiana: ', H) | |
print('{0:5.0f}'.format(i),'\t','\t','{0:12.10f}'.format(f(x)),'\t','{0:10.8e}'.format(np.linalg.norm(g(x)))) | |
print('-------------------------------------------------------------') | |
i += 1 | |
return x, i | |
#Função a ser otimizada e minimizada | |
def f(x): | |
return x[0]**2 + 2*x[1]**2 + (-2*x[0]*x[1] - 2*x[1]) | |
# Encontra a matriz da função a partir da derivada primeira | |
def f1(x): | |
return np.array([2 * x[0] - 2, 4*x[1] - 4]) | |
x0 = np.array([1,2]) | |
eps = 1e-8 | |
x, iteracao = BFGS(f,f1,x0,eps) | |
print('Iteracao = ', iteracao) | |
print('valor de x: ', x) |
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def LineSearch(f,g,x,p):
a,b = 1 - 2/(1 + np.sqrt(5)), 2/(1+np.sqrt(5))
alpha = 1.0
while (f(x+alphap) > f(x) + a * alphanp.dot(g(x),p)) : #
alpha *= b
return alpha