R/nmsfp_mmqn.r

In jasonxu90/splitFeas: Multiset Split Feasibility

#' MM algorithm (accelerated) for nonlinear multiple-sets split feasibility problem
#' 
#' \code{nmsfp_mmqn} 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
#' @param qn number of secants
#' @param max_iter maximum number of iterations
#' @param tol convergence tolerance
#' @export
#' @seealso \code{mmqn_step}, \code{qnamm}
nmsfp_mmqn <- cmpfun(function(x0,v,w,plist1,plist2,f,df,h,hgrad,qn=5,tol=1e-10,max_iter=1e3) {
  x <- x0
  fx_mm <- function(x) {return(mmqn_step(x,v,w,plist1,plist2,f,df,h,hgrad))}
  sol <- qnamm(x, fx_mm, qn, f, max_iter=max_iter, tol=tol) 
  return(list(x=sol$Xhist,loss=sol$objective))
})