能否不调用BFGS库函数,写出BFGS的过程代码
时间: 2024-10-20 07:13:33 浏览: 26
MATLAB拟牛顿算法BFGS代码及应用实例
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当然可以,BFGS算法的核心在于更新Hessian矩阵近似和步长计算。这里是一个简化的Python版本,不依赖外部库,实现了BFGS的基本步骤:
```python
import numpy as np
class BFGSOptimizer:
def __init__(self, func, initial_guess, Hessian=None):
self.func = func
self.x = initial_guess.copy()
self.Hessian = Hessian if Hessian is not None else np.identity(2)
self.y = np.zeros_like(self.x)
self.s = np.zeros_like(self.x)
self.delta_x = np.zeros_like(self.x)
def update_Hessian(self):
# Hessian approximation using BFGS formula
Hinv_y = np.linalg.solve(self.Hessian, self.y)
beta = 1 / (np.dot(Hinv_y, self.y) + 1e-8)
self.Hessian = (np.eye(len(self.x)) - beta * np.outer(Hinv_y, self.y))
# Update the inverse of Hessian-vector product
self.Hinv_s = np.linalg.solve(self.Hessian, self.s)
def line_search(self, alpha):
trial_x = self.x + alpha * self.s
f_trial = self.func(trial_x)
if f_trial < self.func(self.x) + alpha * np.dot(self.Hinv_s, self.grad):
return alpha
else:
return alpha / 2.
def step(self):
self.grad = self.func.gradient(self.x)
self.y = self.grad - self.prev_grad
self.update_Hessian()
alpha = self.line_search(2)
self.x -= alpha * self.s
self.prev_grad = self.grad
# Simplified for explanation, in practice you'd iterate until convergence
def optimize(self, max_iter=100, tolerance=1e-6):
for _ in range(max_iter):
self.step()
if np.linalg.norm(self.grad) < tolerance:
break
self.minimizer = self.x
self.min_val = self.func(self.minimizer)
optimizer = BFGSOptimizer(objective_function, initial_point)
optimizer.optimize()
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