Actual source code: brgn.h

      1: /*
      2: Context for Bounded Regularized Gauss-Newton algorithm.
      3: Extended with L1-regularizer with a linear transformation matrix D:
      4: 0.5*||Ax-b||^2 + lambda*||D*x||_1
      5: When D is an identity matrix, we have the classic lasso, aka basis pursuit denoising in compressive sensing problem.
      6: */

      8: #pragma once

     10: #include <../src/tao/bound/impls/bnk/bnk.h>

     12: typedef struct {
     13:   PetscErrorCode (*regularizerobjandgrad)(Tao, Vec, PetscReal *, Vec, void *);
     14:   PetscErrorCode (*regularizerhessian)(Tao, Vec, Mat, void *);
     15:   void     *reg_obj_ctx;
     16:   void     *reg_hess_ctx;
     17:   Mat       H, Hreg, D;                             /* Hessian, Hessian for regulization part, and Dictionary matrix have size N*N, and K*N respectively. (Jacobian M*N not used here) */
     18:   Vec       x_old, x_work, r_work, diag, y, y_work; /* x, r=J*x, and y=D*x have size N, M, and K respectively. */
     19:   Vec       damping;                                /* Optional diagonal damping matrix. */
     20:   Tao       subsolver, parent;
     21:   PetscReal lambda, epsilon, fc_old;                      /* lambda is regularizer weight for both L2-norm Gaussian-Newton and L1-norm, ||x||_1 is approximated with sum(sqrt(x.^2+epsilon^2)-epsilon)*/
     22:   PetscReal downhill_lambda_change, uphill_lambda_change; /* With the lm regularizer lambda diag(J^T J),
     23:                                                                  lambda = downhill_lambda_change * lambda on steps that decrease the objective.
     24:                                                                  lambda = uphill_lambda_change * lambda on steps that increase the objective. */
     25:   PetscInt  reg_type;
     26:   PetscBool mat_explicit;
     27: } TAO_BRGN;