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OpenDAS
dlib
Commits
e7e5d238
Commit
e7e5d238
authored
Nov 23, 2017
by
Davis King
Browse files
Fixed and clarified spec
parent
66a5a9c4
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dlib/global_optimization/upper_bound_function_abstract.h
dlib/global_optimization/upper_bound_function_abstract.h
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dlib/global_optimization/upper_bound_function_abstract.h
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e7e5d238
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@@ -46,11 +46,11 @@ namespace dlib
...
@@ -46,11 +46,11 @@ namespace dlib
The upper_bound_function class is a tool for creating this kind of upper
The upper_bound_function class is a tool for creating this kind of upper
bounding function from a set of function_evaluations of F(x). We do this
bounding function from a set of function_evaluations of F(x). We do this
by considering only U(x) of the form:
by considering only U(x) of the form:
U
(x) =
{
U
= [](matrix<double,0,1> x)
{
double min_ub = infinity;
double min_ub = infinity;
for (size_t i = 0; i < POINTS.size(); ++i) {
for (size_t i = 0; i < POINTS.size(); ++i) {
function_evaluation p = POINTS[i]
function_evaluation p = POINTS[i]
double local_bound = p.y + sqrt(noise_terms[i] +
sqrt(
trans(p.x-x)*M*(p.x-x))
)
double local_bound = p.y + sqrt(noise_terms[i] + trans(p.x-x)*M*(p.x-x))
min_ub = min(min_ub, local_bound)
min_ub = min(min_ub, local_bound)
}
}
}
}
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@@ -64,7 +64,8 @@ namespace dlib
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@@ -64,7 +64,8 @@ namespace dlib
min_{M,noise_terms}: sum(squared(M)) + sum(squared(noise_terms/relative_noise_magnitude))
min_{M,noise_terms}: sum(squared(M)) + sum(squared(noise_terms/relative_noise_magnitude))
s.t. U(POINTS[i].x) >= POINTS[i].y, for all i
s.t. U(POINTS[i].x) >= POINTS[i].y, for all i
noise_terms[i] >= 0
noise_terms[i] >= 0
diag(M) >= 0
min(M) >= 0
M is a diagonal matrix
Therefore, the quadratic program finds the U(x) that always upper bounds
Therefore, the quadratic program finds the U(x) that always upper bounds
F(x) on the supplied POINTS, but is otherwise as small as possible.
F(x) on the supplied POINTS, but is otherwise as small as possible.
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