Walkthrough of haskell-spsa

Optimize.hs

optimize :: SPSA -> Int -> Vector Double -> Vector Double
optimize spsa rounds t0 = foldl opt t0 (take rounds $ zip3 (ak spsa) (ck spsa) (delta spsa))
  where
    constrainF = constraint spsa
    lossF = loss spsa
    opt t (a,c,d) = constrainF (t - a * g)
      where
        cd = c * d
        ya = lossF (t + cd)
        yb = lossF (t - cd)
        g = (ya - yb) / (2 * cd)

StandardAk.hs

standardAk :: Double -> Int -> Double -> [Double]
standardAk a aA alpha = map (\k -> a / (k + 1 + (fromIntegral aA)) ** alpha) [1..]

Types.hs

import Numeric.LinearAlgebra (Vector)

type LossFn = Vector Double -> Double
type ConstraintFn = Vector Double -> Vector Double

-- An instance of the SPSA optimization algorithm.
-- Initialize with all the parameters as object instantiation.
data SPSA = SPSA {
  loss :: LossFn,
  constraint :: ConstraintFn,
  ak, ck :: [Double],
  delta :: [Vector Double] -- a stream of random perturbation vectors
}