tr_strategy.hpp

// Copyright (C) 2023 Petter Nilsson. MIT License.
 
#pragma once
 
#include <algorithm>
 
#include "smooth/version.hpp"
 
SMOOTH_BEGIN_NAMESPACE
 
class TrustRegionStrategy
{
public:
  virtual ~TrustRegionStrategy() = default;
  virtual double get_delta() const = 0;
  virtual bool step_and_update(const double rho) = 0;
};
 
class CeresStrategy : public TrustRegionStrategy
{
public:
  inline double get_delta() const override { return m_delta; }
  inline bool step_and_update(const double rho) override
  {
    if (rho > 1e-3) {
      const double two_rho_min_1 = 2 * rho - 1;
      m_delta /= std::max(1. / 3, 1 - two_rho_min_1 * two_rho_min_1 * two_rho_min_1);
      m_reduce = 2;
      return true;
    } else {
      m_delta /= m_reduce;
      m_reduce *= 2;
      return false;
    }
  }
 
private:
  double m_delta{10000};
  double m_reduce{2};
};
 
class DisneyStrategy : public TrustRegionStrategy
{
public:
  inline double get_delta() const override { return m_delta; }
 
  inline bool step_and_update(const double rho) override
  {
    if (rho > 0) {
      m_delta = 1000;
      return true;
    } else {
      m_delta /= 10;
      return false;
    }
  }
 
private:
  double m_delta{1000};
};
 
SMOOTH_END_NAMESPACE