1 files changed, 129 insertions, 0 deletions
diff --git a/training/liblbfgs/lbfgs++.h b/training/liblbfgs/lbfgs++.h
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+++ 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 "liblbfgs/lbfgs.h"
+
+// Function must be lbfgsfloatval_t f(const 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 Optimize() {
+    lbfgsfloatval_t fx;
+    int ret = lbfgs(m_x.size(), &m_x[0], &fx, _evaluate, _progress, this, &param);
+    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;
+    }
+  }
+
+  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;
+      return func(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) n;
+        (void) k;
+        std::cerr << "Iteration " << k << ':' << std::endl;
+        std::cerr << "  fx = " << fx << ", x[0] = " << x[0] << ", x[1] = " << x[1] << std::endl;
+        std::cerr << "  xnorm = " << xnorm << ", gnorm = " << gnorm << ", step = " << step << std::endl << 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;
+
+};
+
+#endif