NewtonTrust.h

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#ifndef NEWTONTRUST_H_
#define NEWTONTRUST_H_
 
#include <boost/property_tree/ptree.hpp>
 
#include "MUQ/Optimization/Optimizer.h"
#include "MUQ/Optimization/CostFunction.h"
 
namespace muq {
  namespace Optimization {
 
    class NewtonTrust : public Optimizer {
 
    public:
 
      NewtonTrust(std::shared_ptr<muq::Modeling::ModPiece> const& cost,
                  boost::property_tree::ptree              const& pt);
 
      virtual ~NewtonTrust() = default;
 
      virtual std::pair<Eigen::VectorXd, double> Solve(std::vector<Eigen::VectorXd> const& inputs) override;
 
 
    private:
 
      // Applies a preconditioner to s
      Eigen::VectorXd Prec(Eigen::VectorXd const& s) const;
 
      double Dist2Bndry(Eigen::VectorXd const& x, Eigen::VectorXd const& d) const;
 
      Eigen::VectorXd SolveSub(double                 fval,
                               Eigen::VectorXd const& x0,
                               Eigen::VectorXd const& grad);
 
      double trustRadius;
      const double maxRadius;
      const double initialRadius;
      const double acceptRatio;
      const double shrinkRatio;
      const double growRatio;
      const double shrinkRate;
      const double growRate;
      const double trustTol;
      const unsigned int printLevel;
 
    };// class NewtonTrust
 
  }
}
 
#endif