void nextStep()
{
// compute jacobian
if (_retry == 0)
{
_jac = _jac_func(_inputs, _weights);
}
// compute hessian approximation with tykhonov damping coefficient
var jacT = new NRealMatrix(_jac.Rows, _jac.Columns);
jacT.SetArray(_jac.ToArray());
jacT.Transpose();
var dampedHessian = new NRealMatrix(_jac.Columns, _jac.Columns);
dampedHessian = jacT * _jac;
for (int idxRow = 0; idxRow < dampedHessian.Rows; idxRow++)
{
dampedHessian.SetAt(idxRow, idxRow, new NDouble(dampedHessian[idxRow, idxRow] * (1.0 + _lambda) + 1e-10));
}
var adj = new NRealMatrix(dampedHessian.Rows, 1);
var y = new NRealMatrix(dampedHessian.Rows, 1);
y = jacT * _error;
// solve dampedHessian * adj = y
LapackLib.Instance.SolveSle(dampedHessian, y, adj);
var nextWeights = new NRealMatrix(1, _weights.Columns);
for (int idxWeight = 0; idxWeight < nextWeights.Columns; idxWeight++)
{
nextWeights.SetAt(0, idxWeight, new NDouble(_weights[0, idxWeight] - adj[idxWeight, 0]));
}
// compute errors
var error = calcError(nextWeights);
var totalError = calcTotalError(error);
if (totalError > _totalError)
{
// revert step and increase damping factor
if (_retry < 100)
{
_lambda *= 11.0;
_retry++;
}
else
{
updateWeights();
throw new StallException();
}
}
else
{
// accept step and decrease damping factor
_lambda /= 9.0;
_weights.SetArray(nextWeights.ToArray());
_error = error;
_totalError = totalError;
_retry = 0;
}
}
void nextStep()
{
// compute jacobian
if (_retry == 0)
_jac = _jac_func(_inputs, _weights);
// compute hessian approximation with tykhonov damping coefficient
var jacT = new NRealMatrix(_jac.Rows, _jac.Columns);
jacT.SetArray(_jac.ToArray());
jacT.Transpose();
var dampedHessian = new NRealMatrix(_jac.Columns, _jac.Columns);
dampedHessian = jacT * _jac;
for (int idxRow = 0; idxRow < dampedHessian.Rows; idxRow++)
dampedHessian.SetAt(idxRow, idxRow, new NDouble(dampedHessian[idxRow, idxRow] * (1.0 + _lambda) + 1e-10));
var adj = new NRealMatrix(dampedHessian.Rows, 1);
var y = new NRealMatrix(dampedHessian.Rows, 1);
y = jacT * _error;
// solve dampedHessian * adj = y
LapackLib.Instance.SolveSle(dampedHessian, y, adj);
var nextWeights = new NRealMatrix(1, _weights.Columns);
for (int idxWeight = 0; idxWeight < nextWeights.Columns; idxWeight++)
nextWeights.SetAt(0, idxWeight, new NDouble(_weights[0, idxWeight] - adj[idxWeight, 0]));
// compute errors
var error = calcError(nextWeights);
var totalError = calcTotalError(error);
if (totalError > _totalError)
{
// revert step and increase damping factor
if (_retry < 100)
{
_lambda *= 11.0;
_retry++;
}
else
{
updateWeights();
throw new StallException();
}
}
else
{
// accept step and decrease damping factor
_lambda /= 9.0;
_weights.SetArray(nextWeights.ToArray());
_error = error;
_totalError = totalError;
_retry = 0;
}
}
