SecondOrderLogisticRegressionApproximation.hpp

#ifndef _LDAPLUSPLUS_OPTIMIZATION_SECOND_ORDER_LOGISTIC_REGRESSION_APPROXIMATION_HPP_
#define _LDAPLUSPLUS_OPTIMIZATION_SECOND_ORDER_LOGISTIC_REGRESSION_APPROXIMATION_HPP_

#include <cmath>

#include <Eigen/Core>

namespace ldaplusplus {
namespace optimization {


template <typename Scalar>
class SecondOrderLogisticRegressionApproximation
{
    typedef Eigen::Matrix<Scalar, Eigen::Dynamic, Eigen::Dynamic> MatrixX;
    typedef Eigen::Matrix<Scalar, Eigen::Dynamic, 1> VectorX;

    public:
        SecondOrderLogisticRegressionApproximation(
            const MatrixX &X,
            const std::vector<MatrixX> &X_var,
            const Eigen::VectorXi &y,
            VectorX Cy,
            Scalar L
        );

        SecondOrderLogisticRegressionApproximation(
            const MatrixX &X,
            const std::vector<MatrixX> &X_var,
            const Eigen::VectorXi &y,
            Scalar L
        );

        Scalar value(const MatrixX &eta) const;
        
        void gradient(const MatrixX &eta, Eigen::Ref<MatrixX> grad) const;

    private:
        const MatrixX &X_;
        const std::vector<MatrixX> &X_var_;
        const Eigen::VectorXi &y_;
        Scalar L_;
        VectorX Cy_;
};


}  // namespace optimization
}  // namespace ldaplusplus

#endif // _LDAPLUSPLUS_OPTIMIZATION_SECOND_ORDER_LOGISTIC_REGRESSION_APPROXIMATION_HPP_