private void UpdateDiagMinErr(double[] diag, double[] s, double[] y)
{
double low = 0.0;
double high = 0.0;
for (int i = 0; i < s.Length; i++)
{
double tmp = s[i] * (y[i] - diag[i]);
high += tmp * tmp;
}
Say("M");
double alpha = System.Math.Sqrt((ArrayMath.Norm(y) / ArrayMath.Norm(s))) * System.Math.Sqrt((50.0 / (50.0 + k)));
alpha = alpha * System.Math.Sqrt(ArrayMath.Average(diag));
Say(" alpha " + nf.Format(alpha));
high = System.Math.Sqrt(high) / (2 * alpha);
IDoubleUnaryOperator func = new ScaledSGDMinimizer.Lagrange(s, y, diag, alpha);
double lamStar;
if (func.ApplyAsDouble(low) > 0)
{
lamStar = GetRoot(func, low, high);
}
else
{
lamStar = 0.0;
Say(" * ");
}
for (int i_1 = 0; i_1 < s.Length; i_1++)
{
diag[i_1] = (System.Math.Abs(y[i_1] * s[i_1]) + 2 * lamStar * diag[i_1]) / (s[i_1] * s[i_1] + 1e-8 + 2 * lamStar);
//diag[i] = (y[i]*s[i] + 2*lamStar*diag[i])/(s[i]*s[i] + 2*lamStar);
if (diag[i_1] <= 1.0 / aMax)
{
diag[i_1] = 1.0 / gain;
}
}
}
