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Diffstat (limited to 'utils/synutils/maxent-3.0/lbfgs.cpp')
-rw-r--r-- | utils/synutils/maxent-3.0/lbfgs.cpp | 108 |
1 files changed, 0 insertions, 108 deletions
diff --git a/utils/synutils/maxent-3.0/lbfgs.cpp b/utils/synutils/maxent-3.0/lbfgs.cpp deleted file mode 100644 index bd26f048..00000000 --- a/utils/synutils/maxent-3.0/lbfgs.cpp +++ /dev/null @@ -1,108 +0,0 @@ -#include <vector> -#include <iostream> -#include <cmath> -#include <stdio.h> -#include "mathvec.h" -#include "lbfgs.h" -#include "maxent.h" - -using namespace std; - -const static int M = LBFGS_M; -const static double LINE_SEARCH_ALPHA = 0.1; -const static double LINE_SEARCH_BETA = 0.5; - -// stopping criteria -int LBFGS_MAX_ITER = 300; -const static double MIN_GRAD_NORM = 0.0001; - -double ME_Model::backtracking_line_search(const Vec& x0, const Vec& grad0, - const double f0, const Vec& dx, - Vec& x, Vec& grad1) { - double t = 1.0 / LINE_SEARCH_BETA; - - double f; - do { - t *= LINE_SEARCH_BETA; - x = x0 + t * dx; - f = FunctionGradient(x.STLVec(), grad1.STLVec()); - // cout << "*"; - } while (f > f0 + LINE_SEARCH_ALPHA * t * dot_product(dx, grad0)); - - return f; -} - -// -// Jorge Nocedal, "Updating Quasi-Newton Matrices With Limited Storage", -// Mathematics of Computation, Vol. 35, No. 151, pp. 773-782, 1980. -// -Vec approximate_Hg(const int iter, const Vec& grad, const Vec s[], - const Vec y[], const double z[]) { - int offset, bound; - if (iter <= M) { - offset = 0; - bound = iter; - } else { - offset = iter - M; - bound = M; - } - - Vec q = grad; - double alpha[M], beta[M]; - for (int i = bound - 1; i >= 0; i--) { - const int j = (i + offset) % M; - alpha[i] = z[j] * dot_product(s[j], q); - q += -alpha[i] * y[j]; - } - if (iter > 0) { - const int j = (iter - 1) % M; - const double gamma = ((1.0 / z[j]) / dot_product(y[j], y[j])); - // static double gamma; - // if (gamma == 0) gamma = ((1.0 / z[j]) / dot_product(y[j], y[j])); - q *= gamma; - } - for (int i = 0; i <= bound - 1; i++) { - const int j = (i + offset) % M; - beta[i] = z[j] * dot_product(y[j], q); - q += s[j] * (alpha[i] - beta[i]); - } - - return q; -} - -vector<double> ME_Model::perform_LBFGS(const vector<double>& x0) { - const size_t dim = x0.size(); - Vec x = x0; - - Vec grad(dim), dx(dim); - double f = FunctionGradient(x.STLVec(), grad.STLVec()); - - Vec s[M], y[M]; - double z[M]; // rho - - for (int iter = 0; iter < LBFGS_MAX_ITER; iter++) { - - fprintf(stderr, "%3d obj(err) = %f (%6.4f)", iter + 1, -f, _train_error); - if (_nheldout > 0) { - const double heldout_logl = heldout_likelihood(); - fprintf(stderr, " heldout_logl(err) = %f (%6.4f)", heldout_logl, - _heldout_error); - } - fprintf(stderr, "\n"); - - if (sqrt(dot_product(grad, grad)) < MIN_GRAD_NORM) break; - - dx = -1 * approximate_Hg(iter, grad, s, y, z); - - Vec x1(dim), grad1(dim); - f = backtracking_line_search(x, grad, f, dx, x1, grad1); - - s[iter % M] = x1 - x; - y[iter % M] = grad1 - grad; - z[iter % M] = 1.0 / dot_product(y[iter % M], s[iter % M]); - x = x1; - grad = grad1; - } - - return x.STLVec(); -} |