From 4ecae3b2e34a45dfdf22f4f244fbbcd66c8635b0 Mon Sep 17 00:00:00 2001 From: Chris Dyer Date: Tue, 8 May 2012 15:19:40 -0400 Subject: add liblbfgs, which is much less crappy than the current one --- training/liblbfgs/lbfgs++.h | 129 ++++++++++++++++++++++++++++++++++++++++++++ 1 file changed, 129 insertions(+) create mode 100644 training/liblbfgs/lbfgs++.h (limited to 'training/liblbfgs/lbfgs++.h') diff --git a/training/liblbfgs/lbfgs++.h b/training/liblbfgs/lbfgs++.h new file mode 100644 index 00000000..119511e5 --- /dev/null +++ b/training/liblbfgs/lbfgs++.h @@ -0,0 +1,129 @@ +// 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 +#include "liblbfgs/lbfgs.h" + +// Function must be lbfgsfloatval_t f(const double* x_start, double* g_start) +template +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(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* 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, ¶m); + 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(¶m); + 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*>(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*>(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* p_x; + const bool owned; + std::vector& m_x; + const Function& func; + lbfgs_parameter_t param; + +}; + +#endif -- cgit v1.2.3