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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, ¶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<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
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