inst/examples/brockett/rproblem/driver.R

library(ManifoldOptim)
source("../../test_util.R")

set.seed(1234)

p <- 5
n <- 150
B <- matrix(rnorm(n*n), nrow=n)
B <- B + t(B) # force symmetric
D <- diag(p:1, p)

# Variables within the optimizer are treated as a single vector.
# tx is a helper function that transforms the optimization variable
# into something we can directly use.
tx <- function(x) {
    matrix(x, n, p)
}
f <- function(x) {
	X <- tx(x)
	Trace( t(X) %*% B %*% X %*% D )
}
g <- function(x) {
	X <- tx(x)
	2 * B %*% X %*% D
}

# Take the problem above (defined in R) and make a Problem object for it.
# The Problem can be passed to the optimizer in C++
mod <- Module("ManifoldOptim_module", PACKAGE = "ManifoldOptim")
prob <- new(mod$RProblem, f, g)

X0 <- orthonorm(matrix(rnorm(n*p), nrow=n, ncol=p))
x0 <- as.numeric(X0)
prob$objFun(x0)								# Test the obj fn
head(tx(prob$gradFun(x0)))					# Test the grad fn
# head(prob$hessEtaFun(x0, diag(1,n*p,1)))	# Test the Hess fn (numerical deriv is slow)

mani.params <- get.manifold.params(IsCheckParams = TRUE)
solver.params <- get.solver.params(DEBUG = 0, Tolerance = 1e-4,
	Max_Iteration = 1000, IsCheckParams = TRUE, IsCheckGradHess = FALSE)
mani.defn <- get.stiefel.defn(n, p)

res <- manifold.optim(prob, mani.defn, method = "RTRSR1",
	mani.params = mani.params, solver.params = solver.params, x0 = x0)
print(res)
head(tx(res$xopt))

# Compare to closed-form solution
eig <- eigen(B)
X.star <- eig$vectors[,seq(n,n-p+1)]
f(res$xopt)
f(as.numeric(X.star))

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ManifoldOptim documentation built on Dec. 15, 2021, 1:07 a.m.