forked from torch/optim
-
Notifications
You must be signed in to change notification settings - Fork 0
/
fista.lua
192 lines (164 loc) · 5.94 KB
/
fista.lua
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
--[[ FISTA with backtracking line search
- `f` : smooth function
- `g` : non-smooth function
- `pl` : minimizer of intermediate problem Q(x,y)
- `xinit` : initial point
- `params` : table of parameters (**optional**)
- `params.L` : 1/(step size) for ISTA/FISTA iteration (0.1)
- `params.Lstep` : step size multiplier at each iteration (1.5)
- `params.maxiter` : max number of iterations (50)
- `params.maxline` : max number of line search iterations per iteration (20)
- `params.errthres`: Error thershold for convergence check (1e-4)
- `params.doFistaUpdate` : true : use FISTA, false: use ISTA (true)
- `params.verbose` : store each iteration solution and print detailed info (false)
On output, `params` will contain these additional fields that can be reused.
- `params.L` : last used L value will be written.
These are temporary storages needed by the algo and if the same params object is
passed a second time, these same storages will be used without new allocation.
- `params.xkm` : previous iterarion point
- `params.y` : fista iteration
- `params.ply` : ply = pl(y - 1/L grad(f))
Returns the solution x and history of {function evals, number of line search ,...}
Algorithm is published in
@article{beck-fista-09,
Author = {Beck, Amir and Teboulle, Marc},
Journal = {SIAM J. Img. Sci.},
Number = {1},
Pages = {183--202},
Title = {A Fast Iterative Shrinkage-Thresholding Algorithm for Linear Inverse Problems},
Volume = {2},
Year = {2009}}
]]
function optim.FistaLS(f, g, pl, xinit, params)
local params = params or {}
local L = params.L or 0.1
local Lstep = params.Lstep or 1.5
local maxiter = params.maxiter or 50
local maxline = params.maxline or 20
local errthres = params.errthres or 1e-4
local doFistaUpdate = params.doFistaUpdate
local verbose = params.verbose
-- temporary allocations
params.xkm = params.xkm or torch.Tensor()
params.y = params.y or torch.Tensor()
params.ply = params.ply or torch.Tensor()
local xkm = params.xkm -- previous iteration
local y = params.y -- fista iteration
local ply = params.ply -- soft shrinked y
-- we start from all zeros
local xk = xinit
xkm:resizeAs(xk):zero()
ply:resizeAs(xk):zero()
y:resizeAs(xk):zero()
local history = {} -- keep track of stuff
local niter = 0 -- number of iterations done
local converged = false -- are we done?
local tk = 1 -- momentum param for FISTA
local tkp = 0
local gy = g(y)
local fval = math.huge -- fval = f+g
while not converged and niter < maxiter do
-- run through smooth function (code is input, input is target)
-- get derivatives from smooth function
local fy,gfy = f(y,'dx')
--local gfy = f(y)
local fply = 0
local gply = 0
local Q = 0
----------------------------------------------
-- do line search to find new current location starting from fista loc
local nline = 0
local linesearchdone = false
while not linesearchdone do
-- take a step in gradient direction of smooth function
ply:copy(y)
ply:add(-1/L,gfy)
-- and solve for minimum of auxiliary problem
pl(ply,L)
-- this is candidate for new current iteration
xk:copy(ply)
-- evaluate this point F(ply)
fply = f(ply)
-- ply - y
ply:add(-1, y)
-- <ply-y , \Grad(f(y))>
local Q2 = gfy:dot(ply)
-- L/2 ||beta-y||^2
local Q3 = L/2 * ply:dot(ply)
-- Q(beta,y) = F(y) + <beta-y , \Grad(F(y))> + L/2||beta-y||^2 + G(beta)
Q = fy + Q2 + Q3
if verbose then
print(string.format('nline=%d L=%g fply=%g Q=%g fy=%g Q2=%g Q3=%g',nline,L,fply,Q,fy,Q2,Q3))
end
-- check if F(beta) < Q(pl(y),\t)
if fply <= Q then --and Fply + Gply <= F then
-- now evaluate G here
linesearchdone = true
elseif nline >= maxline then
linesearchdone = true
xk:copy(xkm) -- if we can't find a better point, current iter = previous iter
--print('oops')
else
L = L * Lstep
end
nline = nline + 1
end
-- end line search
---------------------------------------------
---------------------------------------------
-- FISTA
---------------------------------------------
if doFistaUpdate then
-- do the FISTA step
tkp = (1 + math.sqrt(1 + 4*tk*tk)) / 2
-- x(k-1) = x(k-1) - x(k)
xkm:add(-1,xk)
-- y(k+1) = x(k) + (1-t(k)/t(k+1))*(x(k-1)-x(k))
y:copy(xk)
y:add( (1-tk)/tkp , xkm)
-- store for next iterations
-- x(k-1) = x(k)
xkm:copy(xk)
else
y:copy(xk)
end
-- t(k) = t(k+1)
tk = tkp
fply = f(y)
gply = g(y)
if verbose then
print(string.format('iter=%d eold=%g enew=%g',niter,fval,fply+gply))
end
niter = niter + 1
-- bookeeping
fval = fply + gply
history[niter] = {}
history[niter].nline = nline
history[niter].L = L
history[niter].F = fval
history[niter].Fply = fply
history[niter].Gply = gply
history[niter].Q = Q
params.L = L
if verbose then
history[niter].xk = xk:clone()
history[niter].y = y:clone()
end
-- are we done?
if niter > 1 and math.abs(history[niter].F - history[niter-1].F) <= errthres then
converged = true
xinit:copy(y)
return y,history
end
if niter >= maxiter then
xinit:copy(y)
return y,history
end
--if niter > 1 and history[niter].F > history[niter-1].F then
--print(niter, 'This was supposed to be a convex function, we are going up')
--converged = true
--return xk,history
--end
end
error('not supposed to be here')
end