/// <summary>Solves the problem using conjugate gradient (CG).</summary>
/// <remarks>
/// Solves the problem using conjugate gradient (CG). The solution
/// is stored in the
/// <c>lambda</c>
/// array of
/// <c>prob</c>
/// .
/// </remarks>
public virtual void SolveCG()
{
CGRunner.LikelihoodFunction df = new CGRunner.LikelihoodFunction(prob, tol, useGaussianPrior, priorSigmaS, sigmaSquareds);
CGRunner.MonitorFunction monitor = new CGRunner.MonitorFunction(prob, df, filename);
IMinimizer <IDiffFunction> cgm = new CGMinimizer(monitor);
// all parameters are started at 0.0
prob.lambda = cgm.Minimize(df, tol, new double[df.DomainDimension()]);
PrintOptimizationResults(df, monitor);
}
// not used
private void PrintOptimizationResults(CGRunner.LikelihoodFunction df, CGRunner.MonitorFunction monitor)
{
double negLogLike = df.ValueAt(prob.lambda);
System.Console.Error.Printf("After optimization neg (penalized) log cond likelihood: %1.2f%n", negLogLike);
if (monitor != null)
{
monitor.ReportMonitoring(negLogLike);
}
int numNonZero = 0;
for (int i = 0; i < prob.lambda.Length; i++)
{
if (prob.lambda[i] != 0.0)
{
// 0.0 == -0.0 in IEEE math!
numNonZero++;
}
}
System.Console.Error.Printf("Non-zero parameters: %d/%d (%1.2f%%)%n", numNonZero, prob.lambda.Length, (100.0 * numNonZero) / prob.lambda.Length);
}
