#ifndef ANDERSONACCELERATION_H_ #define ANDERSONACCELERATION_H_ #include "Types.h" #include #include #include #include #include class AndersonAcceleration { public: AndersonAcceleration() :m_(-1), dim_(-1), iter_(-1), col_idx_(-1) {} void replace(const Scalar *u) { current_u_ = Eigen::Map(u, dim_); } const VectorX& compute(const Scalar* g) { assert(iter_ >= 0); Eigen::Map G(g, dim_); current_F_ = G - current_u_; if (iter_ == 0) { prev_dF_.col(0) = -current_F_; prev_dG_.col(0) = -G; current_u_ = G; } else { prev_dF_.col(col_idx_) += current_F_; prev_dG_.col(col_idx_) += G; Scalar eps = 1e-14; Scalar scale = std::max(eps, prev_dF_.col(col_idx_).norm()); dF_scale_(col_idx_) = scale; prev_dF_.col(col_idx_) /= scale; int m_k = std::min(m_, iter_); if (m_k == 1) { theta_(0) = 0; Scalar dF_sqrnorm = prev_dF_.col(col_idx_).squaredNorm(); M_(0, 0) = dF_sqrnorm; Scalar dF_norm = std::sqrt(dF_sqrnorm); if (dF_norm > eps) { theta_(0) = (prev_dF_.col(col_idx_) / dF_norm).dot(current_F_ / dF_norm); } } else { // Update the normal equation matrix, for the column and row corresponding to the new dF column VectorX new_inner_prod = (prev_dF_.col(col_idx_).transpose() * prev_dF_.block(0, 0, dim_, m_k)).transpose(); M_.block(col_idx_, 0, 1, m_k) = new_inner_prod.transpose(); M_.block(0, col_idx_, m_k, 1) = new_inner_prod; // Solve normal equation cod_.compute(M_.block(0, 0, m_k, m_k)); theta_.head(m_k) = cod_.solve(prev_dF_.block(0, 0, dim_, m_k).transpose() * current_F_); } // Use rescaled theata to compute new u current_u_ = G - prev_dG_.block(0, 0, dim_, m_k) * ((theta_.head(m_k).array() / dF_scale_.head(m_k).array()).matrix()); col_idx_ = (col_idx_ + 1) % m_; prev_dF_.col(col_idx_) = -current_F_; prev_dG_.col(col_idx_) = -G; } iter_++; return current_u_; } void reset(const Scalar *u) { iter_ = 0; col_idx_ = 0; current_u_ = Eigen::Map(u, dim_); } // m: number of previous iterations used // d: dimension of variables // u0: initial variable values void init(int m, int d, const Scalar* u0) { assert(m > 0); m_ = m; dim_ = d; current_u_.resize(d); current_F_.resize(d); prev_dG_.resize(d, m); prev_dF_.resize(d, m); M_.resize(m, m); theta_.resize(m); dF_scale_.resize(m); current_u_ = Eigen::Map(u0, d); iter_ = 0; col_idx_ = 0; } private: VectorX current_u_; VectorX current_F_; MatrixXX prev_dG_; MatrixXX prev_dF_; MatrixXX M_; // Normal equations matrix for the computing theta VectorX theta_; // theta value computed from normal equations VectorX dF_scale_; // The scaling factor for each column of prev_dF Eigen::CompleteOrthogonalDecomposition cod_; int m_; // Number of previous iterates used for Andreson Acceleration int dim_; // Dimension of variables int iter_; // Iteration count since initialization int col_idx_; // Index for history matrix column to store the next value int m_k_; Eigen::Matrix4d current_T_; Eigen::Matrix4d current_F_T_; MatrixXX T_prev_dF_; MatrixXX T_prev_dG_; }; #endif /* ANDERSONACCELERATION_H_ */