Levenberg-Marquardt

LevenbergMarquardt(M, F, jacF, x, num_components=-1)

Solve an optimization problem of the form

\[\operatorname{arg\,min}_{p ∈ \mathcal M} \frac{1}{2} \lVert F(p) \rVert^2,\]

where $F\colon\mathcal M \to ℝ^d$ is a continuously differentiable function, using the Riemannian Levenberg-Marquardt algorithm ^{[Peeters1993]}. The implementation follows Algorithm 1^[Adachi2022].

Input

• M – a manifold $\mathcal M$
• F – a cost function $F: \mathcal M→ℝ^d$
• jacF – the Jacobian of $F$. jacF is supposed to accept a keyword argument basis_domain which specifies basis of the tangent space at a given point in which the Jacobian is to be calculated. By default it should be the DefaultOrthonormalBasis.
• x – an initial value $x ∈ \mathcal M$
• num_components – length of the vector returned by the cost function (d). By default its value is -1 which means that it will be determined automatically by calling F one additional time. Only possible when evaluation is AllocatingEvaluation, for mutating evaluation this must be explicitly specified.

Optional

• evaluation – (AllocatingEvaluation) specify whether the gradient works by allocation (default) form gradF(M, x) or MutatingEvaluation in place, i.e. is of the form gradF!(M, X, x).
• retraction_method – (default_retraction_method(M)) a retraction(M,x,ξ) to use.
• stopping_criterion – (StopWhenAny(StopAfterIteration(200),StopWhenGradientNormLess(1e-12))) a functor inheriting from StoppingCriterion indicating when to stop.

... and the ones that are passed to decorate_options for decorators.

Output

the obtained (approximate) minimizer $x^*$, see get_solver_return for details

References

LevenbergMarquardt!(M, F, jacF, x, num_components; kwargs...)

For more options see LevenbergMarquardt.

LevenbergMarquardtOptions{P,T} <: AbstractGradientOptions

Describes a Gradient based descent algorithm, with

Fields

A default value is given in brackets if a parameter can be left out in initialization.

• x – a point (of type P) on a manifold as starting point
• stop – (StopAfterIteration(200) | StopWhenGradientNormLess(1e-12) | StopWhenStepsizeLess(1e-12)) a StoppingCriterion
• retraction_method – (default_retraction_method(M)) the retraction to use, defaults to the default set for your manifold.
• residual_values – value of $F$ calculated in the solver setup or the previous iteration
• residual_values_temp – value of $F$ for the current proposal point
• jacF – the current Jacobian of $F$
• gradient – the current gradient of $F$
• step_vector – the tangent vector at x that is used to move to the next point
• last_stepsize – length of step_vector
• η – parameter of the algorithm, the higher it is the more likely the algorithm will be to reject new proposal points
• damping_term – current value of the damping term
• damping_term_min – initial (and also minimal) value of the damping term
• β – parameter by which the damping term is multiplied when the current new point is rejected
• expect_zero_residual – (false) if true, the algorithm expects that the value of residual (objective) at mimimum is equal to 0.

Constructor

LevenbergMarquardtOptions(M, initialX, initial_residual_values, initial_jacF; initial_vector), kwargs...)

Generate Levenberg-Marquardt options.

See also

gradient_descent, GradientProblem