// 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 size_t m = 10, // number of memory buffers double l1_c = 0.0, // l1 penalty strength unsigned l1_start = 0, // l1 penalty starting index double eps = 1e-5 // convergence epsilon // 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, l1_start, eps); } // constructor where external vector storage for variables is used LBFGS(std::vector<lbfgsfloatval_t>* px, const Function& f, size_t m = 10, // number of memory buffers double l1_c = 0.0, // l1 penalty strength unsigned l1_start = 0, // l1 penalty starting index double eps = 1e-5 // convergence epsilon // TODO should use custom allocator here: ) : p_x(px), owned(false), m_x(*p_x), func(f) { Init(m, l1_c, l1_start, eps); } ~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, ¶m); 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, unsigned l1_start, double eps) { lbfgs_parameter_init(¶m); param.m = m; param.epsilon = eps; if (l1_c > 0.0) { param.linesearch = LBFGS_LINESEARCH_BACKTRACKING; param.orthantwise_c = l1_c; param.orthantwise_start = l1_start; } 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) x; (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