stan::mcmc::DualAverage Class Reference

Implements Nesterov's dual average algorithm. More...

#include <dualaverage.hpp>

Public Member Functions
	DualAverage (double gamma, const std::vector< double > &x0)
	Constructor. More...
void	update (const std::vector< double > &g, std::vector< double > &xk)
	Produces the next iterate xk given the current gradient g. More...
void	setx0 (const std::vector< double > &x0)
	Set the point towards which each iterate is shrunk. More...
void	xbar (std::vector< double > &xbar)
	Get the exponentially weighted moving average of all previous iterates. More...
void	gbar (std::vector< double > &gbar)
	Get the average of all previous gradients. More...
void	xk (std::vector< double > &xk)
	Get the current iterate. More...
void	x0 (std::vector< double > &x0)
	Get the point towards which we're shrinking the iterates. More...
int	k ()
	Return how many iterations we've run for. More...
double	gamma ()
	Return the regularization parameter gamma. More...

Protected Attributes
std::vector< double >	_gbar
std::vector< double >	_xbar
std::vector< double >	_x0
std::vector< double >	_lastx
int	_k
double	_gamma

Detailed Description

Implements Nesterov's dual average algorithm.

Use by repeatedly calling update() with the gradient evaluated at xk(). When finished, use the average value of all the xk's by calling xbar().

Iterates are shrunk towards a prespecified point x0. The level of shrinkage is controlled by the parameter gamma and gets weaker with each iteration.

Note that this is an algorithm for MINIMIZATION, not MAXIMIZATION.

Definition at line 28 of file dualaverage.hpp.

Constructor & Destructor Documentation

DualAverage()

stan::mcmc::DualAverage::DualAverage ( double  gamma, const std::vector< double > &  x0  )

inline

Constructor.

Parameters

gamma	Regularization parameter. Higher values mean that iterates will be shrunk towards x0 more strongly.
x0	Point towards which iterates are shrunk.

Definition at line 42 of file dualaverage.hpp.

Member Function Documentation

gamma()

double stan::mcmc::DualAverage::gamma ( )

inline

Return the regularization parameter gamma.

Returns

the regularization parameter gamma.

Definition at line 125 of file dualaverage.hpp.

gbar()

void stan::mcmc::DualAverage::gbar ( std::vector< double > &  gbar )

inline

Get the average of all previous gradients.

Parameters

[out]

gbar

Where to return the average of all previous gradients.

Definition at line 94 of file dualaverage.hpp.

k()

int stan::mcmc::DualAverage::k ( )

inline

Return how many iterations we've run for.

Returns

how many iterations we've run for.

Definition at line 119 of file dualaverage.hpp.

setx0()

void stan::mcmc::DualAverage::setx0 ( const std::vector< double > &  x0 )

inline

Set the point towards which each iterate is shrunk.

Parameters

x0	The point towards each iterate will be shrunk.

Definition at line 75 of file dualaverage.hpp.

update()

void stan::mcmc::DualAverage::update ( const std::vector< double > &  g, std::vector< double > &  xk  )

inline

Produces the next iterate xk given the current gradient g.

Parameters

[in]	g	The new subgradient/stochastic gradient.
[out]	xk	The next iterate produced by the algorithm.

Definition at line 53 of file dualaverage.hpp.

x0()

void stan::mcmc::DualAverage::x0 ( std::vector< double > &  x0 )

inline

Get the point towards which we're shrinking the iterates.

Parameters

x0	Where to return the point towards which we're shrinking the iterates.

Definition at line 111 of file dualaverage.hpp.

xbar()

void stan::mcmc::DualAverage::xbar ( std::vector< double > &  xbar )

inline

Get the exponentially weighted moving average of all previous iterates.

Parameters

[out]

xbar

Where to return the exponentially weighted moving average of all previous iterates.

Definition at line 86 of file dualaverage.hpp.

xk()

void stan::mcmc::DualAverage::xk ( std::vector< double > &  xk )

inline

Get the current iterate.

Parameters

[out]

xk

Where to return the current iterate.

Definition at line 102 of file dualaverage.hpp.

Member Data Documentation

_gamma

double stan::mcmc::DualAverage::_gamma

protected

Definition at line 32 of file dualaverage.hpp.

_gbar

std::vector<double> stan::mcmc::DualAverage::_gbar

protected

Definition at line 30 of file dualaverage.hpp.

_k

int stan::mcmc::DualAverage::_k

protected

Definition at line 31 of file dualaverage.hpp.

_lastx

std::vector<double> stan::mcmc::DualAverage::_lastx

protected

Definition at line 30 of file dualaverage.hpp.

_x0

std::vector<double> stan::mcmc::DualAverage::_x0

protected

Definition at line 30 of file dualaverage.hpp.

_xbar

std::vector<double> stan::mcmc::DualAverage::_xbar

protected

Definition at line 30 of file dualaverage.hpp.

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The documentation for this class was generated from the following file:

• src/stan/mcmc/dualaverage.hpp