1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
|
// 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, ¶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) {
lbfgs_parameter_init(¶m);
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
|
