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以下是一个使用自然梯度法的MATLAB程序示例: ```matlab function [x, fval, exitflag] = natural_gradient_method(fun, x0, options) % NATURAL_GRADIENT_METHOD Optimizes a function using the natural gradient method. % % Syntax: % [x, fval, exitflag] = natural_gradient_method(fun, x0) % [x, fval, exitflag] = natural_gradient_method(fun, x0, options) % % Input arguments: % fun - Function handle to the objective function of the form f = fun(x). % x0 - Starting point for the optimization. % options - Optional struct with the following fields: % - 'tol': Tolerance for the stopping criterion (default: 1e-6). % - 'max_iter': Maximum number of iterations (default: 100). % - 'verbose': Whether to print information during optimization (default: true). % - 'eta': Step size for the natural gradient (default: 0.1). % % Output arguments: % x - Optimal solution found. % fval - Objective function value at the optimal solution. % exitflag - Exit condition for the optimization: % - 1: Optimal solution found. % - 0: Maximum number of iterations reached. % % Example: % fun = @(x) x(1)^2 + 2*x(2)^2 - 2*x(1)*x(2) + 2*x(1) - 6*x(2); % x0 = [0; 0]; % [x, fval, exitflag] = natural_gradient_method(fun, x0); % % References: % - Amari, S., Natural Gradient Works Efficiently in Learning, Neural Computation, 1998. % - Martens, J., Deep Learning via Hessian-free Optimization, ICML, 2010. % Set default options: default_options.tol = 1e-6; default_options.max_iter = 100; default_options.verbose = true; default_options.eta = 0.1; % Merge user options with default options: if nargin < 3 options = struct(); end options = merge_structs(default_options, options); % Initialize variables: x = x0; f = fun(x); df = gradient(fun, x); exitflag = 0; iter = 0; % Main optimization loop: while norm(df) > options.tol && iter < options.max_iter % Compute the natural gradient: h = hessian(fun, x); [V, D] = eig(h); g = df / norm(df); eta = options.eta; ng = V * (D \ V') * g; % Update the parameters: x = x - eta * ng; f_new = fun(x); df_new = gradient(fun, x); % Print information if requested: if options.verbose fprintf('Iteration %d: f = %.4f, ||df|| = %.4f\n', iter, f_new, norm(df_new)); end % Update variables: f = f_new; df = df_new; iter = iter + 1; end % Check exit condition: if norm(df) <= options.tol exitflag = 1; end end function [H, G] = hessian(fun, x) % Compute the Hessian and gradient of a function at a point using symbolic differentiation. % This function is used for demonstration purposes only and is not intended for large-scale problems. syms x1 x2 f = fun([x1; x2]); G = gradient(f, [x1; x2]); H = hessian(f, [x1; x2]); H = double(subs(H, [x1; x2], x)); G = double(subs(G, [x1; x2], x)); end function s = merge_structs(s1, s2) % Merge two structs into one. s = s1; fields = fieldnames(s2); for i = 1:length(fields) s.(fields{i}) = s2.(fields{i}); end end ``` 该程序使用符号微分计算目标函数的海森矩阵和梯度。请注意,这只适用于小型问题,因为符号微分计算的速度很慢。对于大规模问题,可以使用数值微分近似海森矩阵和梯度。
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