Added a simple newton search strategy.

--HG--
extra : convert_revision : svn%3Afdd8eb12-d10e-0410-9acb-85c331704f74/trunk%403773

dlib/optimization/optimization_search_strategies.h

@@ -278,6 +278,44 @@ namespace dlib
         data_helper dh_temp;
     };
 
+// ----------------------------------------------------------------------------------------
+
+    template <typename hessian_funct>
+    class newton_search_strategy_obj
+    {
+    public:
+        newton_search_strategy_obj(
+            const hessian_funct& hess
+        ) : hessian(hess) {}
+
+        double get_wolfe_rho (
+        ) const { return 0.01; }
+
+        double get_wolfe_sigma (
+        ) const { return 0.9; }
+
+        unsigned long get_max_line_search_iterations (
+        ) const { return 100; }
+
+        template <typename T>
+        const matrix<double,0,1> get_next_direction (
+            const T& x,
+            const double ,
+            const T& funct_derivative
+        )
+        {
+            return -inv(hessian(x))*funct_derivative;
+        }
+
+    private:
+        hessian_funct hessian;
+    };
+
+    template <typename hessian_funct>
+    newton_search_strategy_obj<hessian_funct> newton_search_strategy (
+        const hessian_funct& hessian
+    ) { return newton_search_strategy_obj<hessian_funct>(hessian); }
+
 // ----------------------------------------------------------------------------------------
 
 }

dlib/optimization/optimization_search_strategies_abstract.h

@@ -230,6 +230,91 @@ namespace dlib
         !*/
     };
 
+// ----------------------------------------------------------------------------------------
+
+    template <typename hessian_funct>
+    class newton_search_strategy_obj
+    {
+        /*!
+            REQUIREMENTS ON hessian_funct
+                Lets denote the function being optimized as f(x).  Then the 
+                hessian_funct must be a function object that takes in an x
+                and returns the hessian matrix at x.  hessian_funct must also
+                be copy constructable.
+
+            WHAT THIS OBJECT REPRESENTS
+                This object represents a strategy for determining which direction
+                a line search should be carried out along.  This particular object
+                is an implementation of the newton method for determining this 
+                direction.  That is, it uses the following formula to determine
+                the direction:
+                    search_direction = -inv(hessian(x))*derivative
+        !*/
+    public:
+        newton_search_strategy_obj(
+            const hessian_funct& hess
+        ); 
+        /*!
+            ensures
+                - This object is properly initialized and ready to generate
+                  search directions.
+        !*/
+
+        double get_wolfe_rho (
+        ) const;
+        /*!
+            ensures
+                - returns the value of the Wolfe rho parameter that should be used when 
+                  this search strategy is used with the line_search() function.
+        !*/
+
+        double get_wolfe_sigma (
+        ) const; 
+        /*!
+            ensures
+                - returns the value of the Wolfe sigma parameter that should be used when 
+                  this search strategy is used with the line_search() function.
+        !*/
+
+        unsigned long get_max_line_search_iterations (
+        ) const; 
+        /*!
+            ensures
+                - returns the value of the max iterations parameter that should be used when 
+                  this search strategy is used with the line_search() function.
+        !*/
+
+        template <typename T>
+        const matrix<double,0,1> get_next_direction (
+            const T& x,
+            const double funct_value,
+            const T& funct_derivative
+        );
+        /*!
+            requires
+                - for some objective function f():
+                    - x == the search point for the current iteration
+                    - funct_value == f(x)
+                    - funct_derivative == derivative(f)(x)
+            ensures
+                - Assuming that a line search is going to be conducted starting from the 
+                  point x, this function returns the direction in which the search should 
+                  proceed.
+        !*/
+
+    };
+
+    template <typename hessian_funct>
+    newton_search_strategy_obj<hessian_funct> newton_search_strategy (
+        const hessian_funct& hessian
+    ) { return newton_search_strategy_obj<hessian_funct>(hessian); }
+    /*!
+        ensures
+            - constructs and returns a newton_search_strategy_obj.  
+              This function is just a helper to make the syntax for creating
+              these objects a little simpler.
+    !*/
+
 // ----------------------------------------------------------------------------------------
 
 }