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authorPatrick Simianer <simianer@cl.uni-heidelberg.de>2012-05-13 03:35:30 +0200
committerPatrick Simianer <simianer@cl.uni-heidelberg.de>2012-05-13 03:35:30 +0200
commit670a8f984fc6d8342180c59ae9e96b0b76f34d3d (patch)
tree9f2ce7eec1a77e56b3bb1ad0ad40f212d7a996b0 /training/liblbfgs/lbfgs++.h
parenteb3ee28dc0eb1d3e5ed01ba0df843be329ae450d (diff)
parent2f64af3e06a518b93f7ca2c30a9d0aeb2c947031 (diff)
Merge remote-tracking branch 'upstream/master'
Diffstat (limited to 'training/liblbfgs/lbfgs++.h')
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diff --git a/training/liblbfgs/lbfgs++.h b/training/liblbfgs/lbfgs++.h
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+// THIS IS CDEC'S C++ WRAPPER AROUND LIBLBFGS
+// liblbfgs is
+// Copyright (c) 1990, Jorge Nocedal
+// Copyright (c) 2007-2010, Naoaki Okazaki
+//
+// see https://github.com/chokkan/liblbfgs for more details
+//
+#ifndef __LBFGSPP_H__
+#define __LBFGSPP_H__
+
+#include <vector>
+#include <cassert>
+#include "liblbfgs/lbfgs.h"
+
+// Function must be double f(const vector<double>& x_start, double* g_start)
+template <typename Function>
+class LBFGS {
+ public:
+ LBFGS(size_t n, // number of variables
+ const Function& f, // function to optimize
+ double l1_c = 0.0, // l1 penalty strength
+ size_t m = 10 // number of memory buffers
+ // TODO should use custom allocator here:
+ ) : p_x(new std::vector<lbfgsfloatval_t>(n, 0.0)),
+ owned(true),
+ m_x(*p_x),
+ func(f) {
+ Init(m, l1_c);
+ }
+
+ // constructor where external vector storage for variables is used
+ LBFGS(std::vector<lbfgsfloatval_t>* px,
+ const Function& f,
+ double l1_c = 0.0, // l1 penalty strength
+ size_t m = 10
+ ) : p_x(px),
+ owned(false),
+ m_x(*p_x),
+ func(f) {
+ Init(m, l1_c);
+ }
+
+ ~LBFGS() {
+ if (owned) delete p_x;
+ }
+ const lbfgsfloatval_t& operator[](size_t i) const { return m_x[i]; }
+ lbfgsfloatval_t& operator[](size_t i) { return m_x[i]; }
+ size_t size() const { return m_x.size(); }
+
+ int MinimizeFunction(bool s = false) {
+ silence = s;
+ ec = 0;
+ lbfgsfloatval_t fx;
+ int ret = lbfgs(m_x.size(), &m_x[0], &fx, _evaluate, _progress, this, &param);
+ if (!silence) {
+ std::cerr << "L-BFGS optimization terminated with status code = " << ret << std::endl;
+ std::cerr << " fx = " << fx << std::endl;
+ }
+ return ret;
+ }
+
+ private:
+ void Init(size_t m, double l1_c) {
+ lbfgs_parameter_init(&param);
+ param.m = m;
+ if (l1_c > 0.0) {
+ param.linesearch = LBFGS_LINESEARCH_BACKTRACKING;
+ param.orthantwise_c = 1.0;
+ }
+ silence = false;
+ }
+
+ static lbfgsfloatval_t _evaluate(
+ void *instance,
+ const lbfgsfloatval_t *x,
+ lbfgsfloatval_t *g,
+ const int n,
+ const lbfgsfloatval_t step) {
+ return reinterpret_cast<LBFGS<Function>*>(instance)->evaluate(x, g, n, step);
+ }
+
+ lbfgsfloatval_t evaluate(const lbfgsfloatval_t *x,
+ lbfgsfloatval_t *g,
+ const int n,
+ const lbfgsfloatval_t step) {
+ (void) n;
+ (void) step;
+ if (!silence) { ec++; std::cerr << '.'; }
+ assert(x == &m_x[0]); // sanity check, ensures pass m_x is okay
+ return func(m_x, g);
+ }
+
+ static int _progress(
+ void *instance,
+ const lbfgsfloatval_t *x,
+ const lbfgsfloatval_t *g,
+ const lbfgsfloatval_t fx,
+ const lbfgsfloatval_t xnorm,
+ const lbfgsfloatval_t gnorm,
+ const lbfgsfloatval_t step,
+ int n,
+ int k,
+ int ls
+ )
+ {
+ return reinterpret_cast<LBFGS<Function>*>(instance)
+ ->progress(x, g, fx, xnorm, gnorm, step, n, k, ls);
+ }
+
+ int progress(
+ const lbfgsfloatval_t *x,
+ const lbfgsfloatval_t *g,
+ const lbfgsfloatval_t fx,
+ const lbfgsfloatval_t xnorm,
+ const lbfgsfloatval_t gnorm,
+ const lbfgsfloatval_t step,
+ int n,
+ int k,
+ int ls
+ ) {
+ (void) x;
+ (void) g;
+ (void) n;
+ (void) ls;
+ if (!silence) {
+ if (ec < 8) std::cerr << '\t';
+ if (ec < 16) std::cerr << '\t';
+ ec = 0;
+ std::cerr << "Iteration " << k << ':' << "\tfx = " << fx << "\t"
+ << " xnorm = " << xnorm << ", gnorm = " << gnorm << ", step = " << step << std::endl;
+ }
+ return 0;
+ }
+ std::vector<lbfgsfloatval_t>* p_x;
+ const bool owned;
+ std::vector<lbfgsfloatval_t>& m_x;
+ const Function& func;
+ lbfgs_parameter_t param;
+ bool silence;
+ int ec;
+};
+
+#endif