<filename>deep_rl/utils/cg_solve.py<gh_stars>0
import torch
import numpy as np


def cg_solve(f_Ax, b, cg_iters=10, callback=None, verbose=False, residual_tol=1e-10, x_init=None):
    """
    Goal: Solve Ax=b equivalent to minimizing f(x) = 1/2 x^T A x - x^T b
    Assumption: A is PSD, no damping term is used here (must be damped externally in f_Ax)
    Algorithm template from wikipedia
    Verbose mode works only with numpy
    """

    if type(b) == torch.Tensor:
        x = torch.zeros(b.shape[0]) if x_init is None else x_init
        x = x.to(b.device)
        if b.dtype == torch.float16:
            x = x.half()
        r = b - f_Ax(x)
        p = r.clone()
    elif type(b) == np.ndarray:
        x = np.zeros_like(b) if x_init is None else x_init
        r = b - f_Ax(x)
        p = r.copy()
    else:
        print("Type error in cg")

    fmtstr = "%10i %10.3g %10.3g %10.3g"
    titlestr = "%10s %10s %10s %10s"
    if verbose: print(titlestr % ("iter", "residual norm", "soln norm", "obj fn"))

    for i in range(cg_iters):
        if callback is not None:
            callback(x)
        if verbose:
            obj_fn = 0.5 * x.dot(f_Ax(x)) - 0.5 * b.dot(x)
            norm_x = torch.norm(x) if type(x) == torch.Tensor else np.linalg.norm(x)
            print(fmtstr % (i, r.dot(r), norm_x, obj_fn))

        rdotr = r.dot(r)
        Ap = f_Ax(p)
        alpha = rdotr / (p.dot(Ap))
        x = x + alpha * p
        r = r - alpha * Ap
        newrdotr = r.dot(r)
        beta = newrdotr / rdotr
        p = r + beta * p

        if newrdotr < residual_tol:
            # print("Early CG termination because the residual was small")
            break

    if callback is not None:
        callback(x)
    if verbose:
        obj_fn = 0.5 * x.dot(f_Ax(x)) - 0.5 * b.dot(x)
        norm_x = torch.norm(x) if type(x) == torch.Tensor else np.linalg.norm(x)
        print(fmtstr % (i, r.dot(r), norm_x, obj_fn))
    return x
<filename>deep_rl/utils/cg_solve.py<gh_stars>0
import torch
import numpy as np


def cg_solve(f_Ax, b, cg_iters=10, callback=None, verbose=False, residual_tol=1e-10, x_init=None):
    """
    Goal: Solve Ax=b equivalent to minimizing f(x) = 1/2 x^T A x - x^T b
    Assumption: A is PSD, no damping term is used here (must be damped externally in f_Ax)
    Algorithm template from wikipedia
    Verbose mode works only with numpy
    """

    if type(b) == torch.Tensor:
        x = torch.zeros(b.shape[0]) if x_init is None else x_init
        x = x.to(b.device)
        if b.dtype == torch.float16:
            x = x.half()
        r = b - f_Ax(x)
        p = r.clone()
    elif type(b) == np.ndarray:
        x = np.zeros_like(b) if x_init is None else x_init
        r = b - f_Ax(x)
        p = r.copy()
    else:
        print("Type error in cg")

    fmtstr = "%10i %10.3g %10.3g %10.3g"
    titlestr = "%10s %10s %10s %10s"
    if verbose: print(titlestr % ("iter", "residual norm", "soln norm", "obj fn"))

    for i in range(cg_iters):
        if callback is not None:
            callback(x)
        if verbose:
            obj_fn = 0.5 * x.dot(f_Ax(x)) - 0.5 * b.dot(x)
            norm_x = torch.norm(x) if type(x) == torch.Tensor else np.linalg.norm(x)
            print(fmtstr % (i, r.dot(r), norm_x, obj_fn))

        rdotr = r.dot(r)
        Ap = f_Ax(p)
        alpha = rdotr / (p.dot(Ap))
        x = x + alpha * p
        r = r - alpha * Ap
        newrdotr = r.dot(r)
        beta = newrdotr / rdotr
        p = r + beta * p

        if newrdotr < residual_tol:
            # print("Early CG termination because the residual was small")
            break

    if callback is not None:
        callback(x)
    if verbose:
        obj_fn = 0.5 * x.dot(f_Ax(x)) - 0.5 * b.dot(x)
        norm_x = torch.norm(x) if type(x) == torch.Tensor else np.linalg.norm(x)
        print(fmtstr % (i, r.dot(r), norm_x, obj_fn))
    return x
Goal: Solve Ax=b equivalent to minimizing f(x) = 1/2 x^T A x - x^T b     Assumption: A is PSD, no damping term is used here (must be damped externally in f_Ax)     Algorithm template from wikipedia     Verbose mode works only with numpy # print("Early CG termination because the residual was small")