R/nmsfp_mm.r

In jasonxu90/splitFeas: Multiset Split Feasibility

#' MM algorithm for nonlinear multiple-sets split feasibility problem
#' 
#' \code{nmsfp_mm} uses quasi-Newton updates to solve the nonlinear multiple-sets split feasibility problem.
#' 
#' @param x0 Initial iterate
#' @param f objective function
#' @param df gradient of objective function
#' @param v weights for first set of constraints
#' @param w weights for second set of constraints
#' @param plist1 list of projection functions for first set of constraints; each takes a single point and returns its projection
#' @param plist2 list of projection functions for second set of constraints; each takes a single point and returns its projection
#' @param h Function handle for output mapping
#' @param hgrad Handle for output mapping Jacobian
#' @export
#' @seealso \code{mmqn_step}
nmsfp_mm <- cmpfun(function(x0,v,w,plist1,plist2,f,df,h,hgrad,tol=1e-10,max_iter=1e3) {
  x <- x0
  xhist <- matrix(NA,length(x0),max_iter+1)
  xhist[,1] <- x
  loss <- double(max_iter+1)
  loss[1] <- f(x)
  for (iter in 1:max_iter) {
    x <- mmqn_step(x,v,w,plist1,plist2,f,df,h,hgrad)
    xhist[,iter+1] <- x
    loss[iter+1] <- f(x)
    if (loss[iter+1] < tol) break
  }
  loss <- loss[1:(iter+1)]
  xhist <- xhist[,1:(iter+1),drop=FALSE]
  return(list(x=xhist,loss=loss))
})