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Experimental code for OWLQN.

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git-svn-id: file:///home/svnrepos/software/liblbfgs/trunk@32 ecf4c44f-38d1-4fa4-9757-a0b4dd0349fc
This commit is contained in:
naoaki 2009-02-16 06:35:52 +00:00
parent 3567c3a888
commit 768d2cdd79
1 changed files with 62 additions and 19 deletions
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81
lib/lbfgs.c
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@ -227,6 +227,15 @@ static void owlqn_direction(
const int n
);
static void owlqn_pseudo_gradient(
lbfgsfloatval_t* pg,
const lbfgsfloatval_t* x,
const lbfgsfloatval_t* g,
const lbfgsfloatval_t c,
const int start,
const int n
);
static lbfgsfloatval_t owlqn_direction_line(
const lbfgsfloatval_t* x,
const lbfgsfloatval_t* g,
@ -290,7 +299,7 @@ int lbfgs(
lbfgs_parameter_t param = (_param != NULL) ? (*_param) : _defparam;
const int m = param.m;
lbfgsfloatval_t *xp = NULL, *g = NULL, *gp = NULL, *d = NULL, *w = NULL, *pf = NULL;
lbfgsfloatval_t *xp = NULL, *g = NULL, *gp = NULL, *pg = NULL, *d = NULL, *w = NULL, *pf = NULL;
iteration_data_t *lm = NULL, *it = NULL;
lbfgsfloatval_t ys, yy;
lbfgsfloatval_t xnorm, gnorm, beta;
@ -380,9 +389,10 @@ int lbfgs(
xp = (lbfgsfloatval_t*)vecalloc(n * sizeof(lbfgsfloatval_t));
g = (lbfgsfloatval_t*)vecalloc(n * sizeof(lbfgsfloatval_t));
gp = (lbfgsfloatval_t*)vecalloc(n * sizeof(lbfgsfloatval_t));
pg = (lbfgsfloatval_t*)vecalloc(n * sizeof(lbfgsfloatval_t));
d = (lbfgsfloatval_t*)vecalloc(n * sizeof(lbfgsfloatval_t));
w = (lbfgsfloatval_t*)vecalloc(n * sizeof(lbfgsfloatval_t));
if (xp == NULL || g == NULL || gp == NULL || d == NULL || w == NULL) {
if (xp == NULL || g == NULL || gp == NULL || pg == NULL || d == NULL || w == NULL) {
ret = LBFGSERR_OUTOFMEMORY;
goto lbfgs_exit;
}
@ -418,6 +428,7 @@ int lbfgs(
/* Compute the L1 norm of the variable and add it to the object value. */
xnorm = owlqn_x1norm(x, param.orthantwise_start, param.orthantwise_end);
fx += xnorm * param.orthantwise_c;
owlqn_pseudo_gradient(pg, x, g, param.orthantwise_c, param.orthantwise_start, param.orthantwise_end);
}
/* Store the initial value of the objective function. */
@ -432,7 +443,7 @@ int lbfgs(
if (param.orthantwise_c == 0.) {
vecncpy(d, g, n);
} else {
owlqn_direction(d, x, g, param.orthantwise_c, param.orthantwise_start, param.orthantwise_end);
vecncpy(d, pg, n);
}
/*
@ -442,7 +453,7 @@ int lbfgs(
if (param.orthantwise_c == 0.) {
vec2norm(&gnorm, g, n);
} else {
gnorm = owlqn_g2norm(x, g, param.orthantwise_c, param.orthantwise_start, param.orthantwise_end);
vec2norm(&gnorm, pg, n);
}
if (xnorm < 1.0) xnorm = 1.0;
if (gnorm / xnorm <= param.epsilon) {
@ -463,7 +474,11 @@ int lbfgs(
veccpy(gp, g, n);
/* Search for an optimal step. */
ls = linesearch(n, x, &fx, g, d, &step, xp, gp, w, &cd, &param);
if (param.orthantwise_c == 0.) {
ls = linesearch(n, x, &fx, g, d, &step, xp, gp, w, &cd, &param);
} else {
ls = linesearch(n, x, &fx, g, d, &step, xp, pg, w, &cd, &param);
}
if (ls < 0) {
ret = ls;
goto lbfgs_exit;
@ -474,7 +489,7 @@ int lbfgs(
if (param.orthantwise_c == 0.) {
vec2norm(&gnorm, g, n);
} else {
gnorm = owlqn_g2norm(x, g, param.orthantwise_c, param.orthantwise_start, param.orthantwise_end);
vec2norm(&gnorm, pg, n);
}
/* Report the progress. */
@ -560,8 +575,7 @@ int lbfgs(
/* Compute the negative of gradients. */
vecncpy(d, g, n);
} else {
owlqn_direction(d, x, g, param.orthantwise_c, param.orthantwise_start, param.orthantwise_end);
veccpy(w, d, n);
vecncpy(d, pg, n);
}
j = end;
@ -587,17 +601,6 @@ int lbfgs(
j = (j + 1) % m; /* if (++j == m) j = 0; */
}
/*
Constrain the search direction for orthant-wise updates.
*/
if (param.orthantwise_c != 0.) {
for (i = param.orthantwise_start;i < param.orthantwise_end;++i) {
if (d[i] * w[i] <= 0) {
d[i] = 0;
}
}
}
/*
Now the search direction d is ready. We try step = 1 first.
*/
@ -622,6 +625,7 @@ lbfgs_exit:
}
vecfree(w);
vecfree(d);
vecfree(pg);
vecfree(gp);
vecfree(g);
vecfree(xp);
@ -1488,6 +1492,45 @@ static void owlqn_direction(
}
}
static void owlqn_pseudo_gradient(
lbfgsfloatval_t* pg,
const lbfgsfloatval_t* x,
const lbfgsfloatval_t* g,
const lbfgsfloatval_t c,
const int start,
const int n
)
{
int i;
/* Compute the negative of gradients. */
for (i = 0;i < start;++i) {
pg[i] = g[i];
}
/* Compute the negative of psuedo-gradients. */
for (i = start;i < n;++i) {
if (x[i] < 0.) {
/* Differentiable. */
pg[i] = g[i] - c;
} else if (0. < x[i]) {
/* Differentiable. */
pg[i] = g[i] + c;
} else {
if (g[i] < -c) {
/* Take the right partial derivative. */
pg[i] = g[i] + c;
} else if (c < g[i]) {
/* Take the left partial derivative. */
pg[i] = g[i] - c;
} else {
pg[i] = 0.;
}
}
}
}
static lbfgsfloatval_t owlqn_direction_line(
const lbfgsfloatval_t* x,
const lbfgsfloatval_t* g,