How to use

org.ddogleg.optimization.math.HessianSchurComplement_DSCC

constructor

/**
 * Creates a sparse Schur Complement trust region optimization using dogleg steps.
 *
 * @see UnconLeastSqTrustRegionSchur_F64
 *
 * @param config Trust region configuration
 * @return The new optimization routine
 */
public static UnconstrainedLeastSquaresSchur<DMatrixSparseCSC> doglegSchur( @Nullable ConfigTrustRegion config ) {
  if( config == null )
    config = new ConfigTrustRegion();
  HessianSchurComplement_DSCC hessian = new HessianSchurComplement_DSCC();
  TrustRegionUpdateDogleg_F64<DMatrixSparseCSC> update = new TrustRegionUpdateDogleg_F64<>();
  UnconLeastSqTrustRegionSchur_F64<DMatrixSparseCSC> alg = new UnconLeastSqTrustRegionSchur_F64<>(update,hessian);
  alg.configure(config);
  return alg;
}

  public static UnconstrainedLeastSquaresSchur<DMatrixSparseCSC> levenbergMarquardtSchur(
      @Nullable ConfigLevenbergMarquardt config  )
  {
    if( config == null )
      config = new ConfigLevenbergMarquardt();

    HessianSchurComplement_DSCC hessian = new HessianSchurComplement_DSCC();
    UnconLeastSqLevenbergMarquardtSchur_F64<DMatrixSparseCSC> lm =
        new UnconLeastSqLevenbergMarquardtSchur_F64<>(new MatrixMath_DSCC(),hessian);
    lm.configure(config);
    return lm;
  }
}

  public static UnconstrainedLeastSquaresSchur<DMatrixSparseCSC> levenbergMarquardtSchur(
      @Nullable ConfigLevenbergMarquardt config  )
  {
    if( config == null )
      config = new ConfigLevenbergMarquardt();

    HessianSchurComplement_DSCC hessian = new HessianSchurComplement_DSCC();
    UnconLeastSqLevenbergMarquardtSchur_F64<DMatrixSparseCSC> lm =
        new UnconLeastSqLevenbergMarquardtSchur_F64<>(new MatrixMath_DSCC(),hessian);
    lm.configure(config);
    return lm;
  }
}

/**
 * Creates a sparse Schur Complement trust region optimization using dogleg steps.
 *
 * @see UnconLeastSqTrustRegionSchur_F64
 *
 * @param config Trust region configuration
 * @return The new optimization routine
 */
public static UnconstrainedLeastSquaresSchur<DMatrixSparseCSC> doglegSchur( @Nullable ConfigTrustRegion config ) {
  if( config == null )
    config = new ConfigTrustRegion();
  HessianSchurComplement_DSCC hessian = new HessianSchurComplement_DSCC();
  TrustRegionUpdateDogleg_F64<DMatrixSparseCSC> update = new TrustRegionUpdateDogleg_F64<>();
  UnconLeastSqTrustRegionSchur_F64<DMatrixSparseCSC> alg = new UnconLeastSqTrustRegionSchur_F64<>(update,hessian);
  alg.configure(config);
  return alg;
}

public TestHessianSchurComplement_DSCC() {
  super(new HessianSchurComplement_DSCC());
  CommonOps_DSCC.concatColumns(jacLeft,jacRight,J);
  CommonOps_DSCC.multTransA(J,J,H,gw,gx);
}

    @Override
    protected UnconstrainedLeastSquaresSchur<DMatrixSparseCSC> createSearch(double minimumValue) {
      ConfigTrustRegion config = new ConfigTrustRegion();

//            config.regionInitial = 1;
      config.hessianScaling = true;

      TrustRegionUpdateDogleg_F64<DMatrixSparseCSC> dogleg = new TrustRegionUpdateDogleg_F64<>();
      HessianSchurComplement_DSCC hessian = new HessianSchurComplement_DSCC();
      UnconLeastSqTrustRegionSchur_F64<DMatrixSparseCSC> tr =
          new UnconLeastSqTrustRegionSchur_F64<>(dogleg,hessian);
      tr.configure(config);
//            tr.setVerbose(true);
      return tr;
    }
  }

    @Override
    protected UnconstrainedLeastSquaresSchur<DMatrixSparseCSC> createSearch(double minimumValue) {
      ConfigLevenbergMarquardt config = new ConfigLevenbergMarquardt();

      HessianSchurComplement_DSCC hessian = new HessianSchurComplement_DSCC();
      UnconLeastSqLevenbergMarquardtSchur_F64<DMatrixSparseCSC> lm =
          new UnconLeastSqLevenbergMarquardtSchur_F64<>(new MatrixMath_DSCC(),hessian);
      lm.configure(config);
//            lm.setVerbose(System.out,0);
      return lm;
    }
  }

    @Override
    protected UnconstrainedLeastSquaresSchur<DMatrixSparseCSC> createSearch(double minimumValue) {
      ConfigLevenbergMarquardt config = new ConfigLevenbergMarquardt();

      config.dampeningInitial = 1e-8;
      config.hessianScaling = true;

      HessianSchurComplement_DSCC hessian = new HessianSchurComplement_DSCC();
      UnconLeastSqLevenbergMarquardtSchur_F64<DMatrixSparseCSC> lm =
          new UnconLeastSqLevenbergMarquardtSchur_F64<>(new MatrixMath_DSCC(),hessian);
      lm.configure(config);
//            lm.setVerbose(System.out,0);
      return lm;
    }
  }

@Test
public void cost() {
  double expected = 0.5*VectorVectorMult_DDRM.innerProd(residuals,residuals);
  TrustRegionUpdateDogleg_F64<DMatrixSparseCSC> dogleg = new TrustRegionUpdateDogleg_F64<>();
  HessianSchurComplement_DSCC hessian = new HessianSchurComplement_DSCC();
  UnconLeastSqTrustRegionSchur_F64<DMatrixSparseCSC> alg = new UnconLeastSqTrustRegionSchur_F64<>(dogleg,hessian);
  alg.setFunction(new MockFunction(),new MockJacobian());
  alg.initialize(new double[N],1e-6,1e-8);
  double found = alg.cost(new DMatrixRMaj(N,1));
  assertEquals(expected,found, UtilEjml.TEST_F64);
}

@Test
public void functionGradientHessian() {
  TrustRegionUpdateDogleg_F64<DMatrixSparseCSC> dogleg = new TrustRegionUpdateDogleg_F64<>();
  HessianSchurComplement_DSCC hessian = new HessianSchurComplement_DSCC();
  UnconLeastSqTrustRegionSchur_F64<DMatrixSparseCSC> alg = new UnconLeastSqTrustRegionSchur_F64<>(dogleg,hessian);
  alg.setFunction(new MockFunction(),new MockJacobian());
  alg.initialize(new double[N],1e-6,1e-8);
  DMatrixRMaj x = new DMatrixRMaj(1,1);
  DMatrixRMaj g = new DMatrixRMaj(N,1);
  alg.functionGradientHessian(x,false,g,hessian);
  // Only the gradient is computed and returned. The hessian is saved internally
  DMatrixRMaj exp_g = new DMatrixRMaj(N,1);
  CommonOps_DSCC.multTransA(J,residuals,exp_g);
  assertTrue(MatrixFeatures_DDRM.isIdentical(exp_g,g,UtilEjml.TEST_F64));
}