Data Structures | |
| struct | lbfgs_parameter_t |
| L-BFGS optimization parameters. More... | |
Typedefs | |
| typedef lbfgsfloatval_t(*) | lbfgs_evaluate_t (void *instance, const lbfgsfloatval_t *x, lbfgsfloatval_t *g, const int n, const lbfgsfloatval_t step) |
| Callback interface to provide objective function and gradient evaluations. | |
| typedef int(*) | lbfgs_progress_t (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) |
| Callback interface to receive the progress of the optimization process. | |
Enumerations | |
| enum | { LBFGS_SUCCESS = 0, LBFGS_CONVERGENCE = 0, LBFGS_STOP, LBFGS_ALREADY_MINIMIZED, LBFGSERR_UNKNOWNERROR = -1024, LBFGSERR_LOGICERROR, LBFGSERR_OUTOFMEMORY, LBFGSERR_CANCELED, LBFGSERR_INVALID_N, LBFGSERR_INVALID_N_SSE, LBFGSERR_INVALID_X_SSE, LBFGSERR_INVALID_EPSILON, LBFGSERR_INVALID_TESTPERIOD, LBFGSERR_INVALID_DELTA, LBFGSERR_INVALID_LINESEARCH, LBFGSERR_INVALID_MINSTEP, LBFGSERR_INVALID_MAXSTEP, LBFGSERR_INVALID_FTOL, LBFGSERR_INVALID_GTOL, LBFGSERR_INVALID_XTOL, LBFGSERR_INVALID_MAXLINESEARCH, LBFGSERR_INVALID_ORTHANTWISE, LBFGSERR_INVALID_ORTHANTWISE_START, LBFGSERR_INVALID_ORTHANTWISE_END, LBFGSERR_OUTOFINTERVAL, LBFGSERR_INCORRECT_TMINMAX, LBFGSERR_ROUNDING_ERROR, LBFGSERR_MINIMUMSTEP, LBFGSERR_MAXIMUMSTEP, LBFGSERR_MAXIMUMLINESEARCH, LBFGSERR_MAXIMUMITERATION, LBFGSERR_WIDTHTOOSMALL, LBFGSERR_INVALIDPARAMETERS, LBFGSERR_INCREASEGRADIENT } |
| Return values of lbfgs(). More... | |
| enum | { LBFGS_LINESEARCH_DEFAULT = 0, LBFGS_LINESEARCH_MORETHUENTE = 0, LBFGS_LINESEARCH_BACKTRACKING, LBFGS_LINESEARCH_BACKTRACKING_LOOSE } |
| Line search algorithms. More... | |
Functions | |
| int | lbfgs (int n, lbfgsfloatval_t *x, lbfgsfloatval_t *ptr_fx, lbfgs_evaluate_t proc_evaluate, lbfgs_progress_t proc_progress, void *instance, lbfgs_parameter_t *param) |
| Start a L-BFGS optimization. | |
| void | lbfgs_parameter_init (lbfgs_parameter_t *param) |
| Initialize L-BFGS parameters to the default values. | |
| lbfgsfloatval_t * | lbfgs_malloc (int n) |
| Allocate an array for variables. | |
| void | lbfgs_free (lbfgsfloatval_t *x) |
| Free an array of variables. | |
| typedef lbfgsfloatval_t(*) lbfgs_evaluate_t(void *instance, const lbfgsfloatval_t *x, lbfgsfloatval_t *g, const int n, const lbfgsfloatval_t step) |
Callback interface to provide objective function and gradient evaluations.
The lbfgs() function call this function to obtain the values of objective function and its gradients when needed. A client program must implement this function to evaluate the values of the objective function and its gradients, given current values of variables.
| instance | The user data sent for lbfgs() function by the client. | |
| x | The current values of variables. | |
| g | The gradient vector. The callback function must compute the gradient values for the current variables. | |
| n | The number of variables. | |
| step | The current step of the line search routine. |
| lbfgsfloatval_t | The value of the objective function for the current variables. |
| typedef int(*) lbfgs_progress_t(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) |
Callback interface to receive the progress of the optimization process.
The lbfgs() function call this function for each iteration. Implementing this function, a client program can store or display the current progress of the optimization process.
| instance | The user data sent for lbfgs() function by the client. | |
| x | The current values of variables. | |
| g | The current gradient values of variables. | |
| fx | The current value of the objective function. | |
| xnorm | The Euclidean norm of the variables. | |
| gnorm | The Euclidean norm of the gradients. | |
| step | The line-search step used for this iteration. | |
| n | The number of variables. | |
| k | The iteration count. | |
| ls | The number of evaluations called for this iteration. |
| int | Zero to continue the optimization process. Returning a non-zero value will cancel the optimization process. |
| anonymous enum |
Return values of lbfgs().
Roughly speaking, a negative value indicates an error.
| LBFGS_SUCCESS | L-BFGS reaches convergence. |
| LBFGS_ALREADY_MINIMIZED | The initial variables already minimize the objective function. |
| LBFGSERR_UNKNOWNERROR | Unknown error. |
| LBFGSERR_LOGICERROR | Logic error. |
| LBFGSERR_OUTOFMEMORY | Insufficient memory. |
| LBFGSERR_CANCELED | The minimization process has been canceled. |
| LBFGSERR_INVALID_N | Invalid number of variables specified. |
| LBFGSERR_INVALID_N_SSE | Invalid number of variables (for SSE) specified. |
| LBFGSERR_INVALID_X_SSE | The array x must be aligned to 16 (for SSE). |
| LBFGSERR_INVALID_EPSILON | Invalid parameter lbfgs_parameter_t::epsilon specified. |
| LBFGSERR_INVALID_TESTPERIOD | Invalid parameter lbfgs_parameter_t::past specified. |
| LBFGSERR_INVALID_DELTA | Invalid parameter lbfgs_parameter_t::delta specified. |
| LBFGSERR_INVALID_LINESEARCH | Invalid parameter lbfgs_parameter_t::linesearch specified. |
| LBFGSERR_INVALID_MINSTEP | Invalid parameter lbfgs_parameter_t::max_step specified. |
| LBFGSERR_INVALID_MAXSTEP | Invalid parameter lbfgs_parameter_t::max_step specified. |
| LBFGSERR_INVALID_FTOL | Invalid parameter lbfgs_parameter_t::ftol specified. |
| LBFGSERR_INVALID_GTOL | Invalid parameter lbfgs_parameter_t::gtol specified. |
| LBFGSERR_INVALID_XTOL | Invalid parameter lbfgs_parameter_t::xtol specified. |
| LBFGSERR_INVALID_MAXLINESEARCH | Invalid parameter lbfgs_parameter_t::max_linesearch specified. |
| LBFGSERR_INVALID_ORTHANTWISE | Invalid parameter lbfgs_parameter_t::orthantwise_c specified. |
| LBFGSERR_INVALID_ORTHANTWISE_START | Invalid parameter lbfgs_parameter_t::orthantwise_start specified. |
| LBFGSERR_INVALID_ORTHANTWISE_END | Invalid parameter lbfgs_parameter_t::orthantwise_end specified. |
| LBFGSERR_OUTOFINTERVAL | The line-search step went out of the interval of uncertainty. |
| LBFGSERR_INCORRECT_TMINMAX | A logic error occurred; alternatively, the interval of uncertainty became too small. |
| LBFGSERR_ROUNDING_ERROR | A rounding error occurred; alternatively, no line-search step satisfies the sufficient decrease and curvature conditions. |
| LBFGSERR_MINIMUMSTEP | The line-search step became smaller than lbfgs_parameter_t::min_step. |
| LBFGSERR_MAXIMUMSTEP | The line-search step became larger than lbfgs_parameter_t::max_step. |
| LBFGSERR_MAXIMUMLINESEARCH | The line-search routine reaches the maximum number of evaluations. |
| LBFGSERR_MAXIMUMITERATION | The algorithm routine reaches the maximum number of iterations. |
| LBFGSERR_WIDTHTOOSMALL | Relative width of the interval of uncertainty is at most lbfgs_parameter_t::xtol. |
| LBFGSERR_INVALIDPARAMETERS | A logic error (negative line-search step) occurred. |
| LBFGSERR_INCREASEGRADIENT | The current search direction increases the objective function value. |
| anonymous enum |
Line search algorithms.
| int lbfgs | ( | int | n, | |
| lbfgsfloatval_t * | x, | |||
| lbfgsfloatval_t * | ptr_fx, | |||
| lbfgs_evaluate_t | proc_evaluate, | |||
| lbfgs_progress_t | proc_progress, | |||
| void * | instance, | |||
| lbfgs_parameter_t * | param | |||
| ) |
Start a L-BFGS optimization.
| n | The number of variables. | |
| x | The array of variables. A client program can set default values for the optimization and receive the optimization result through this array. This array must be allocated by lbfgs_malloc function for libLBFGS built with SSE/SSE2 optimization routine enabled. The library built without SSE/SSE2 optimization does not have such a requirement. | |
| ptr_fx | The pointer to the variable that receives the final value of the objective function for the variables. This argument can be set to NULL if the final value of the objective function is unnecessary. | |
| proc_evaluate | The callback function to provide function and gradient evaluations given a current values of variables. A client program must implement a callback function compatible with lbfgs_evaluate_t and pass the pointer to the callback function. | |
| proc_progress | The callback function to receive the progress (the number of iterations, the current value of the objective function) of the minimization process. This argument can be set to NULL if a progress report is unnecessary. | |
| instance | A user data for the client program. The callback functions will receive the value of this argument. | |
| param | The pointer to a structure representing parameters for L-BFGS optimization. A client program can set this parameter to NULL to use the default parameters. Call lbfgs_parameter_init() function to fill a structure with the default values. |
| int | The status code. This function returns zero if the minimization process terminates without an error. A non-zero value indicates an error. |
| void lbfgs_free | ( | lbfgsfloatval_t * | x | ) |
Free an array of variables.
| x | The array of variables allocated by lbfgs_malloc function. |
| lbfgsfloatval_t* lbfgs_malloc | ( | int | n | ) |
Allocate an array for variables.
This function allocates an array of variables for the convenience of lbfgs function; the function has a requreiemt for a variable array when libLBFGS is built with SSE/SSE2 optimization routines. A user does not have to use this function for libLBFGS built without SSE/SSE2 optimization.
| n | The number of variables. |
| void lbfgs_parameter_init | ( | lbfgs_parameter_t * | param | ) |
Initialize L-BFGS parameters to the default values.
Call this function to fill a parameter structure with the default values and overwrite parameter values if necessary.
| param | The pointer to the parameter structure. |