Release for liblbfgs 1.6.

git-svn-id: file:///home/svnrepos/software/liblbfgs/trunk@25 ecf4c44f-38d1-4fa4-9757-a0b4dd0349fc

include/lbfgs.h

@@ -152,10 +152,10 @@ enum {
     LBFGS_LINESEARCH_DEFAULT = 0,
     /** MoreThuente method proposd by More and Thuente. */
     LBFGS_LINESEARCH_MORETHUENTE = 0,
-    /** Backtracking method. */
-    LBFGS_LINESEARCH_BACKTRACKING,
     /** Backtracking method with strong Wolfe condition. */
-    LBFGS_LINESEARCH_BACKTRACKING_STRONGWOLFE,
+    LBFGS_LINESEARCH_BACKTRACKING,
+    /** Backtracking method with regular Wolfe condition. */
+    LBFGS_LINESEARCH_BACKTRACKING_LOOSE,
 };
 
 /**
@@ -529,12 +529,24 @@ This library is used by:
 
 @section download Download
 
-- <a href="http://www.chokkan.org/software/dist/liblbfgs-1.5.tar.gz">Source code</a>
+- <a href="http://www.chokkan.org/software/dist/liblbfgs-1.6.tar.gz">Source code</a>
 
 libLBFGS is distributed under the term of the
 <a href="http://opensource.org/licenses/mit-license.php">MIT license</a>.
 
 @section changelog History
+- Version 1.6 (2008-11-02):
+    - Improved line-search algorithm with strong Wolfe condition, which was
+      contributed by Takashi Imamichi. This routine is now default for
+      ::LBFGS_LINESEARCH_BACKTRACKING. The previous line search algorithm
+      with regular Wolfe condition is still available as
+      ::LBFGS_LINESEARCH_BACKTRACKING_LOOSE.
+    - Configurable stop index for L1-norm computation. A member variable
+      ::lbfgs_parameter_t::orthantwise_end was added to specify the index
+      number at which the library stops computing the L1 norm of the
+      variables. This is useful to prevent some variables from being
+      regularized by the OW-LQN method.
+    - A sample program written in C++ (sample/sample.cpp).
 - Version 1.5 (2008-07-10):
     - Configurable starting index for L1-norm computation. A member variable
       ::lbfgs_parameter_t::orthantwise_start was added to specify the index

lib/lbfgs.c

@@ -131,7 +131,7 @@ typedef int (*line_search_proc)(
     const lbfgs_parameter_t *param
     );
     
-static int line_search_backtracking(
+static int line_search_backtracking_loose(
     int n,
     lbfgsfloatval_t *x,
     lbfgsfloatval_t *f,
@@ -344,11 +344,11 @@ int lbfgs(
         linesearch = line_search_morethuente;
         break;
     case LBFGS_LINESEARCH_BACKTRACKING:
-        linesearch = line_search_backtracking;
-        break;
-    case LBFGS_LINESEARCH_BACKTRACKING_STRONGWOLFE:
         linesearch = line_search_backtracking_strong_wolfe;
         break;
+    case LBFGS_LINESEARCH_BACKTRACKING_LOOSE:
+        linesearch = line_search_backtracking_loose;
+        break;
     default:
         return LBFGSERR_INVALID_LINESEARCH;
     }
@@ -609,7 +609,7 @@ lbfgs_exit:
 
 
 
-static int line_search_backtracking(
+static int line_search_backtracking_loose(
     int n,
     lbfgsfloatval_t *x,
     lbfgsfloatval_t *f,

sample/Makefile.am

@@ -1,6 +1,7 @@
 # $Id$
 
 EXTRA_DIST = \
+	sample.cpp \
 	sample.vcproj
 
 noinst_PROGRAMS = sample

sample/sample.c

@@ -49,6 +49,7 @@ int main(int argc, char *argv)
     int i, ret = 0;
     lbfgsfloatval_t fx;
     lbfgsfloatval_t *x = lbfgs_malloc(N);
+    lbfgs_parameter_t param;
 
     if (x == NULL) {
         printf("ERROR: Failed to allocate a memory block for variables.\n");
@@ -61,11 +62,15 @@ int main(int argc, char *argv)
         x[i+1] = 1.0;
     }
 
+    /* Initialize the parameters for the L-BFGS optimization. */
+    lbfgs_parameter_init(&param);
+    /* param.linesearch = LBFGS_LINESEARCH_BACKTRACKING; */
+
     /*
         Start the L-BFGS optimization; this will invoke the callback functions
         evaluate() and progress() when necessary.
      */
-    ret = lbfgs(N, x, &fx, evaluate, progress, NULL, NULL);
+    ret = lbfgs(N, x, &fx, evaluate, progress, NULL, &param);
 
     /* Report the result. */
     printf("L-BFGS optimization terminated with status code = %d\n", ret);

sample/sample.cpp

@@ -0,0 +1,126 @@
+#include <stdio.h>
+#include <lbfgs.h>
+
+class objective_function
+{
+protected:
+    lbfgsfloatval_t *m_x;
+
+public:
+    objective_function() : m_x(NULL)
+    {
+    }
+
+    virtual ~objective_function()
+    {
+        if (m_x != NULL) {
+            lbfgs_free(m_x);
+            m_x = NULL;
+        }
+    }
+
+    int run(int N)
+    {
+        lbfgsfloatval_t fx;
+        lbfgsfloatval_t *m_x = lbfgs_malloc(N);
+
+        if (m_x == NULL) {
+            printf("ERROR: Failed to allocate a memory block for variables.\n");
+            return 1;
+        }
+
+        /* Initialize the variables. */
+        for (int i = 0;i < N;i += 2) {
+            m_x[i] = -1.2;
+            m_x[i+1] = 1.0;
+        }
+
+        /*
+            Start the L-BFGS optimization; this will invoke the callback functions
+            evaluate() and progress() when necessary.
+         */
+        int ret = lbfgs(N, m_x, &fx, _evaluate, _progress, this, NULL);
+
+        /* Report the result. */
+        printf("L-BFGS optimization terminated with status code = %d\n", ret);
+        printf("  fx = %f, x[0] = %f, x[1] = %f\n", fx, m_x[0], m_x[1]);
+        
+        return ret;
+    }
+
+protected:
+    static lbfgsfloatval_t _evaluate(
+        void *instance,
+        const lbfgsfloatval_t *x,
+        lbfgsfloatval_t *g,
+        const int n,
+        const lbfgsfloatval_t step
+        )
+    {
+        return reinterpret_cast<objective_function*>(instance)->evaluate(x, g, n, step);
+    }
+
+    lbfgsfloatval_t evaluate(
+        const lbfgsfloatval_t *x,
+        lbfgsfloatval_t *g,
+        const int n,
+        const lbfgsfloatval_t step
+        )
+    {
+        lbfgsfloatval_t fx = 0.0;
+
+        for (int i = 0;i < n;i += 2) {
+            lbfgsfloatval_t t1 = 1.0 - x[i];
+            lbfgsfloatval_t t2 = 10.0 * (x[i+1] - x[i] * x[i]);
+            g[i+1] = 20.0 * t2;
+            g[i] = -2.0 * (x[i] * g[i+1] + t1);
+            fx += t1 * t1 + t2 * t2;
+        }
+        return fx;
+    }
+
+    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<objective_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
+        )
+    {
+        printf("Iteration %d:\n", k);
+        printf("  fx = %f, x[0] = %f, x[1] = %f\n", fx, x[0], x[1]);
+        printf("  xnorm = %f, gnorm = %f, step = %f\n", xnorm, gnorm, step);
+        printf("\n");
+        return 0;
+    }
+};
+
+
+
+#define N   100
+
+int main(int argc, char *argv)
+{
+    objective_function obj;
+    return obj.run(N);
+}