Added a new parameter orthantwise_start so that users can protect some variables from being regularized.

git-svn-id: file:///home/svnrepos/software/liblbfgs/trunk@10 ecf4c44f-38d1-4fa4-9757-a0b4dd0349fc

include/lbfgs.h

@@ -105,6 +105,8 @@ enum {
     LBFGSERR_INVALID_MAXLINESEARCH,
     /** Invalid parameter lbfgs_parameter_t::orthantwise_c specified. */
     LBFGSERR_INVALID_ORTHANTWISE,
+    /** Invalid parameter lbfgs_parameter_t::orthantwise_start specified. */
+    LBFGSERR_INVALID_ORTHANTWISE_START,
     /** The line-search step went out of the interval of uncertainty. */
     LBFGSERR_OUTOFINTERVAL,
     /** A logic error occurred; alternatively, the interval of uncertainty
@@ -250,6 +252,8 @@ typedef struct {
      *  F(x) and gradients G(x) as usual. The default value is zero.
      */
     lbfgsfloatval_t orthantwise_c;
+
+    int             orthantwise_start;
 } lbfgs_parameter_t;
 
 

lib/lbfgs.c

@@ -113,7 +113,7 @@ typedef struct tag_iteration_data iteration_data_t;
 static const lbfgs_parameter_t _defparam = {
     6, 1e-5, 0, LBFGS_LINESEARCH_DEFAULT, 20,
     1e-20, 1e20, 1e-4, 0.9, 1.0e-16,
-    0.0,
+    0.0, 0,
 };
 
 /* Forward function declarations. */
@@ -267,6 +267,9 @@ int lbfgs(
     if (param->orthantwise_c < 0.) {
         return LBFGSERR_INVALID_ORTHANTWISE;
     }
+    if (param->orthantwise_start < 0 || n < param->orthantwise_start) {
+        return LBFGSERR_INVALID_ORTHANTWISE_START;
+    }
     switch (param->linesearch) {
     case LBFGS_LINESEARCH_MORETHUENTE:
         linesearch = line_search_morethuente;
@@ -314,7 +317,7 @@ int lbfgs(
     if (0. < param->orthantwise_c) {
         /* Compute L1-regularization factor and add it to the object value. */
         norm = 0.;
-        for (i = 0;i < n;++i) {
+        for (i = param->orthantwise_start;i < n;++i) {
             norm += fabs(x[i]);
         }
         fx += norm * param->orthantwise_c;
@@ -325,7 +328,7 @@ int lbfgs(
         vecncpy(d, g, n);
     } else {
         /* Compute the negative of psuedo-gradients. */
-        for (i = 0;i < n;++i) {
+        for (i = param->orthantwise_start;i < n;++i) {
             if (x[i] < 0.) {
                 /* Differentiable. */
                 d[i] = -g[i] + param->orthantwise_c;
@@ -430,7 +433,7 @@ int lbfgs(
             vecncpy(d, g, n);
         } else {
             /* Compute the negative of psuedo-gradients. */
-            for (i = 0;i < n;++i) {
+            for (i = param->orthantwise_start;i < n;++i) {
                 if (x[i] < 0.) {
                     /* Differentiable. */
                     d[i] = -g[i] + param->orthantwise_c;
@@ -480,7 +483,7 @@ int lbfgs(
             Constrain the search direction for orthant-wise updates.
          */
         if (param->orthantwise_c != 0.) {
-            for (i = 0;i < n;++i) {
+            for (i = param->orthantwise_start;i < n;++i) {
                 if (d[i] * w[i] <= 0) {
                     d[i] = 0;
                 }
@@ -542,7 +545,7 @@ static int line_search_backtracking(
     /* Compute the initial gradient in the search direction. */
     if (param->orthantwise_c != 0.) {
         /* Use psuedo-gradients for orthant-wise updates. */
-        for (i = 0;i < n;++i) {
+        for (i = param->orthantwise_start;i < n;++i) {
             /* Notice that:
                 (-s[i] < 0)  <==>  (g[i] < -param->orthantwise_c)
                 (-s[i] > 0)  <==>  (param->orthantwise_c < g[i])
@@ -586,7 +589,7 @@ static int line_search_backtracking(
 
         if (param->orthantwise_c != 0.) {
             /* The current point is projected onto the orthant of the initial one. */
-            for (i = 0;i < n;++i) {
+            for (i = param->orthantwise_start;i < n;++i) {
                 if (x[i] * xp[i] < 0.) {
                     x[i] = 0.;
                 }
@@ -598,7 +601,7 @@ static int line_search_backtracking(
         if (0. < param->orthantwise_c) {
             /* Compute L1-regularization factor and add it to the object value. */
             norm = 0.;
-            for (i = 0;i < n;++i) {
+            for (i = param->orthantwise_start;i < n;++i) {
                 norm += fabs(x[i]);
             }
             *f += norm * param->orthantwise_c;
@@ -662,7 +665,7 @@ static int line_search_morethuente(
     if (param->orthantwise_c != 0.) {
         /* Use psuedo-gradients for orthant-wise updates. */
         dginit = 0.;
-        for (i = 0;i < n;++i) {
+        for (i = param->orthantwise_start;i < n;++i) {
             /* Notice that:
                 (-s[i] < 0)  <==>  (g[i] < -param->orthantwise_c)
                 (-s[i] > 0)  <==>  (param->orthantwise_c < g[i])
@@ -751,7 +754,7 @@ static int line_search_morethuente(
 
         if (param->orthantwise_c != 0.) {
             /* The current point is projected onto the orthant of the previous one. */
-            for (i = 0;i < n;++i) {
+            for (i = param->orthantwise_start;i < n;++i) {
                 if (x[i] * wa[i] < 0.) {
                     x[i] = 0.;
                 }
@@ -763,14 +766,14 @@ static int line_search_morethuente(
         if (0. < param->orthantwise_c) {
             /* Compute L1-regularization factor and add it to the object value. */
             norm = 0.;
-            for (i = 0;i < n;++i) {
+            for (i = param->orthantwise_start;i < n;++i) {
                 norm += fabs(x[i]);
             }
             *f += norm * param->orthantwise_c;
 
             /* Use psuedo-gradients for orthant-wise updates. */
             dg = 0.;
-            for (i = 0;i < n;++i) {
+            for (i = param->orthantwise_start;i < n;++i) {
                 if (x[i] < 0.) {
                     /* Differentiable. */
                     dg += s[i] * (g[i] - param->orthantwise_c);