From 85c2de43840780b270588048d35b342c977b9cdf Mon Sep 17 00:00:00 2001 From: naoaki Date: Thu, 24 Apr 2008 15:04:59 +0000 Subject: [PATCH] Initial commit. git-svn-id: file:///home/svnrepos/software/liblbfgs/trunk@2 ecf4c44f-38d1-4fa4-9757-a0b4dd0349fc --- AUTHORS | 1 + COPYING | 22 + ChangeLog | 29 + Makefile.am | 32 + NEWS | 0 README | 42 ++ autogen.sh | 38 ++ configure.in | 93 +++ doc/doxyfile | 1252 +++++++++++++++++++++++++++++++++++ doc/footer.html | 7 + include/lbfgs.h | 539 +++++++++++++++ lib/arithmetic_ansi.h | 133 ++++ lib/arithmetic_sse_double.h | 275 ++++++++ lib/arithmetic_sse_float.h | 283 ++++++++ lib/lbfgs.c | 1144 ++++++++++++++++++++++++++++++++ sample/main.c | 69 ++ 16 files changed, 3959 insertions(+) create mode 100644 AUTHORS create mode 100644 COPYING create mode 100644 ChangeLog create mode 100644 Makefile.am create mode 100644 NEWS create mode 100644 README create mode 100755 autogen.sh create mode 100644 configure.in create mode 100644 doc/doxyfile create mode 100644 doc/footer.html create mode 100644 include/lbfgs.h create mode 100644 lib/arithmetic_ansi.h create mode 100644 lib/arithmetic_sse_double.h create mode 100644 lib/arithmetic_sse_float.h create mode 100644 lib/lbfgs.c create mode 100644 sample/main.c diff --git a/AUTHORS b/AUTHORS new file mode 100644 index 0000000..1a00104 --- /dev/null +++ b/AUTHORS @@ -0,0 +1 @@ +Naoaki Okazaki diff --git a/COPYING b/COPYING new file mode 100644 index 0000000..6940bf6 --- /dev/null +++ b/COPYING @@ -0,0 +1,22 @@ +The MIT License + +Copyright (c) 1990 Jorge Nocedal +Copyright (c) 2007 Naoaki Okazaki + +Permission is hereby granted, free of charge, to any person obtaining a +copy of this software and associated documentation files (the "Software"), +to deal in the Software without restriction, including without limitation +the rights to use, copy, modify, merge, publish, distribute, sublicense, +and/or sell copies of the Software, and to permit persons to whom the +Software is furnished to do so, subject to the following conditions: + +The above copyright notice and this permission notice shall be included in +all copies or substantial portions of the Software. + +THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR +IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, +FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE +AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER +LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, +OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN +THE SOFTWARE. diff --git a/ChangeLog b/ChangeLog new file mode 100644 index 0000000..04d0785 --- /dev/null +++ b/ChangeLog @@ -0,0 +1,29 @@ +2008-03-05 Naoaki Okazaki + + * CRFsuite 0.4 (the first public release): + - Website and documentation for CRFsuite. + - Tutorial on the CoNLL 2000 chunking shared task. + - Performance comparison on the CoNLL 2000 chunking shared task. + - Bug fix in L2 regularization. + - A number of small improvements for the public release. + + +2007-12-12 Naoaki Okazaki + + * CRFsuite 0.3 (internal release): + - Implemented scaling method for forward/backward algorithm. + - Removed the code for computing the forward/backward algorithm in logarithm domain. + + +2007-11-30 Naoaki Okazaki + + * CRFsuite 0.2 (internal release): + - Orthant-Wise Limited-memory Quasi-Newton (OW-LQN) method for L1 regularization. + - Configurable L-BFGS parameters (number of limited memories, epsilon). + + +2007-10-29 Naoaki Okazaki + + * CRFsuite 0.1 (internal release): + - Initial release. + diff --git a/Makefile.am b/Makefile.am new file mode 100644 index 0000000..5a1694e --- /dev/null +++ b/Makefile.am @@ -0,0 +1,32 @@ +# $Id$ + +docdir = $(prefix)/share/doc/@PACKAGE@ +doc_DATA = README INSTALL COPYING AUTHORS ChangeLog + +liblbfgsincludedir = $(includedir) +liblbfgsinclude_HEADERS = \ + include/lbfgs.h + +EXTRA_DIST = \ + autogen.sh + +lib_LTLIBRARIES = liblbfgs.la +noinst_PROGRAMS = lbfgssample + +liblbfgs_la_SOURCES = \ + lib/arithmetic_ansi.h \ + lib/arithmetic_sse_double.h \ + lib/arithmetic_sse_float.h \ + lib/lbfgs.c + +liblbfgs_la_LDFLAGS = \ + -no-undefined \ + -release @VERSION@ + +lbfgssample_SOURCES = \ + sample/sample.c + +lbfgssample_LDADD = ./liblbfgs.la + +AM_CFLAGS = @CFLAGS@ +INCLUDES = @INCLUDES@ diff --git a/NEWS b/NEWS new file mode 100644 index 0000000..e69de29 diff --git a/README b/README new file mode 100644 index 0000000..01f9afa --- /dev/null +++ b/README @@ -0,0 +1,42 @@ + + libLBFGS: C library of limited-memory BFGS (L-BFGS) + + Copyright (c) 1990, Jorge Nocedal + Copyright (c) 2007, Naoaki Okazaki + +========================================================================= +1. Introduction +========================================================================= +libLBFGS is a C port of the implementation of Limited-memory +Broyden-Fletcher-Goldfarb-Shanno (L-BFGS) method written by Jorge Nocedal. +The original FORTRAN source code is available at: +http://www.ece.northwestern.edu/~nocedal/lbfgs.html + +The L-BFGS method solves the unconstrainted minimization problem: + minimize F(x), x = (x1, x2, ..., xN), +only if the objective function F(x) and its gradient G(x) are computable. + +Refer to the libLBFGS web site for more information. +http://www.chokkan.org/software/liblbfgs/ + + + +========================================================================= +2. How to build the sample program +========================================================================= +[Microsoft Visual Studio 2005] +Open the solution file "test/lbfgs.sln" and build it. + +[GCC] +$ cd test +$ ./build.sh + + + +========================================================================= +3. License +========================================================================= +libLBFGS is distributed under the term of the MIT license. +Please refer to COPYING file in the distribution. + +$Id$ diff --git a/autogen.sh b/autogen.sh new file mode 100755 index 0000000..9c79051 --- /dev/null +++ b/autogen.sh @@ -0,0 +1,38 @@ +#!/bin/sh +# $Id$ + +if [ "$1" = "--force" ]; +then + FORCE=--force + NOFORCE= + FORCE_MISSING=--force-missing +else + FORCE= + NOFORCE=--no-force + FORCE_MISSING= +fi + +libtoolize --copy $FORCE 2>&1 | sed '/^You should/d' || { + echo "libtoolize failed!" + exit 1 +} + +aclocal $FORCE || { + echo "aclocal failed!" + exit 1 +} + +autoheader $FORCE || { + echo "autoheader failed!" + exit 1 +} + +automake -a -c $NOFORCE || { + echo "automake failed!" + exit 1 +} + +autoconf $FORCE || { + echo "autoconf failed!" + exit 1 +} diff --git a/configure.in b/configure.in new file mode 100644 index 0000000..5ce4a10 --- /dev/null +++ b/configure.in @@ -0,0 +1,93 @@ +dnl $Id:$ +dnl +dnl +dnl Exported and configured variables: +dnl CFLAGS +dnl LDFLAGS +dnl INCLUDES + + +dnl ------------------------------------------------------------------ +dnl Initialization for autoconf +dnl ------------------------------------------------------------------ +AC_PREREQ(2.59) +AC_INIT +AC_CONFIG_SRCDIR([lib/lbfgs.c]) + + +dnl ------------------------------------------------------------------ +dnl Initialization for automake +dnl ------------------------------------------------------------------ +AM_INIT_AUTOMAKE(liblbfgs, 1.4) +AC_CONFIG_HEADERS(config.h) +AM_MAINTAINER_MODE + + +dnl ------------------------------------------------------------------ +dnl Checks for program +dnl ------------------------------------------------------------------ +AC_PROG_LIBTOOL +AC_PROG_INSTALL +AC_PROG_LN_S +AC_PROG_MAKE_SET + + +dnl ------------------------------------------------------------------ +dnl Initialization for variables +dnl ------------------------------------------------------------------ +CFLAGS="${ac_save_CFLAGS}" +LDFLAGS="${ac_save_LDFLAGS}" +INCLUDES="-I\$(top_srcdir) -I\$(top_srcdir)/include" + + +dnl ------------------------------------------------------------------ +dnl Checks for header files. +dnl ------------------------------------------------------------------ +AC_HEADER_STDC +AC_CHECK_HEADERS(fcntl.h limits.h malloc.h strings.h unistd.h stdint.h) + + +dnl ------------------------------------------------------------------ +dnl Checks for debugging mode +dnl ------------------------------------------------------------------ +AC_ARG_ENABLE( + debug, + [AS_HELP_STRING([--enable-debug],[Turn on debugging])] +) + +if test "x$enable_debug" = "xyes"; then + CFLAGS="-DDEBUG -O -g ${CFLAGS}" +else + CFLAGS="-O3 -ffast-math ${CFLAGS}" +fi + +dnl ------------------------------------------------------------------ +dnl Checks for profiling mode +dnl ------------------------------------------------------------------ +AC_ARG_ENABLE( + profile, + [AS_HELP_STRING([--enable-profile],[Turn on profiling])] +) + +if test "x$enable_profile" = "xyes"; then + CFLAGS="-DPROFILE -pg ${CFLAGS}" +fi + + +dnl ------------------------------------------------------------------ +dnl Checks for library functions. +dnl ------------------------------------------------------------------ +AC_CHECK_LIB(m, fabs) + +dnl ------------------------------------------------------------------ +dnl Export variables +dnl ------------------------------------------------------------------ +AC_SUBST(CFLAGS) +AC_SUBST(LDFLAGS) +AC_SUBST(INCLUDES) + +dnl ------------------------------------------------------------------ +dnl Output the configure results. +dnl ------------------------------------------------------------------ +AC_CONFIG_FILES(Makefile) +AC_OUTPUT diff --git a/doc/doxyfile b/doc/doxyfile new file mode 100644 index 0000000..348cac6 --- /dev/null +++ b/doc/doxyfile @@ -0,0 +1,1252 @@ +# Doxyfile 1.5.1 + +# This file describes the settings to be used by the documentation system +# doxygen (www.doxygen.org) for a project +# +# All text after a hash (#) is considered a comment and will be ignored +# The format is: +# TAG = value [value, ...] +# For lists items can also be appended using: +# TAG += value [value, ...] +# Values that contain spaces should be placed between quotes (" ") + +#--------------------------------------------------------------------------- +# Project related configuration options +#--------------------------------------------------------------------------- + +# The PROJECT_NAME tag is a single word (or a sequence of words surrounded +# by quotes) that should identify the project. + +PROJECT_NAME = libLBFGS + +# The PROJECT_NUMBER tag can be used to enter a project or revision number. +# This could be handy for archiving the generated documentation or +# if some version control system is used. + +PROJECT_NUMBER = + +# The OUTPUT_DIRECTORY tag is used to specify the (relative or absolute) +# base path where the generated documentation will be put. +# If a relative path is entered, it will be relative to the location +# where doxygen was started. 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If set to NO (the default) doxygen will only warn about +# wrong or incomplete parameter documentation, but not about the absence of +# documentation. + +WARN_NO_PARAMDOC = NO + +# The WARN_FORMAT tag determines the format of the warning messages that +# doxygen can produce. The string should contain the $file, $line, and $text +# tags, which will be replaced by the file and line number from which the +# warning originated and the warning text. Optionally the format may contain +# $version, which will be replaced by the version of the file (if it could +# be obtained via FILE_VERSION_FILTER) + +WARN_FORMAT = "$file:$line: $text" + +# The WARN_LOGFILE tag can be used to specify a file to which warning +# and error messages should be written. If left blank the output is written +# to stderr. + +WARN_LOGFILE = + +#--------------------------------------------------------------------------- +# configuration options related to the input files +#--------------------------------------------------------------------------- + +# The INPUT tag can be used to specify the files and/or directories that contain +# documented source files. You may enter file names like "myfile.cpp" or +# directories like "/usr/src/myproject". Separate the files or directories +# with spaces. + +INPUT = ../include/lbfgs.h + +# If the value of the INPUT tag contains directories, you can use the +# FILE_PATTERNS tag to specify one or more wildcard pattern (like *.cpp +# and *.h) to filter out the source-files in the directories. If left +# blank the following patterns are tested: +# *.c *.cc *.cxx *.cpp *.c++ *.java *.ii *.ixx *.ipp *.i++ *.inl *.h *.hh *.hxx +# *.hpp *.h++ *.idl *.odl *.cs *.php *.php3 *.inc *.m *.mm *.py + +FILE_PATTERNS = + +# The RECURSIVE tag can be used to turn specify whether or not subdirectories +# should be searched for input files as well. Possible values are YES and NO. +# If left blank NO is used. + +RECURSIVE = NO + +# The EXCLUDE tag can be used to specify files and/or directories that should +# excluded from the INPUT source files. This way you can easily exclude a +# subdirectory from a directory tree whose root is specified with the INPUT tag. + +EXCLUDE = + +# The EXCLUDE_SYMLINKS tag can be used select whether or not files or +# directories that are symbolic links (a Unix filesystem feature) are excluded +# from the input. + +EXCLUDE_SYMLINKS = NO + +# If the value of the INPUT tag contains directories, you can use the +# EXCLUDE_PATTERNS tag to specify one or more wildcard patterns to exclude +# certain files from those directories. Note that the wildcards are matched +# against the file with absolute path, so to exclude all test directories +# for example use the pattern */test/* + +EXCLUDE_PATTERNS = + +# The EXAMPLE_PATH tag can be used to specify one or more files or +# directories that contain example code fragments that are included (see +# the \include command). + +EXAMPLE_PATH = ../test + +# If the value of the EXAMPLE_PATH tag contains directories, you can use the +# EXAMPLE_PATTERNS tag to specify one or more wildcard pattern (like *.cpp +# and *.h) to filter out the source-files in the directories. If left +# blank all files are included. + +EXAMPLE_PATTERNS = + +# If the EXAMPLE_RECURSIVE tag is set to YES then subdirectories will be +# searched for input files to be used with the \include or \dontinclude +# commands irrespective of the value of the RECURSIVE tag. +# Possible values are YES and NO. If left blank NO is used. + +EXAMPLE_RECURSIVE = NO + +# The IMAGE_PATH tag can be used to specify one or more files or +# directories that contain image that are included in the documentation (see +# the \image command). + +IMAGE_PATH = + +# The INPUT_FILTER tag can be used to specify a program that doxygen should +# invoke to filter for each input file. Doxygen will invoke the filter program +# by executing (via popen()) the command , where +# is the value of the INPUT_FILTER tag, and is the name of an +# input file. Doxygen will then use the output that the filter program writes +# to standard output. If FILTER_PATTERNS is specified, this tag will be +# ignored. + +INPUT_FILTER = + +# The FILTER_PATTERNS tag can be used to specify filters on a per file pattern +# basis. Doxygen will compare the file name with each pattern and apply the +# filter if there is a match. The filters are a list of the form: +# pattern=filter (like *.cpp=my_cpp_filter). See INPUT_FILTER for further +# info on how filters are used. If FILTER_PATTERNS is empty, INPUT_FILTER +# is applied to all files. + +FILTER_PATTERNS = + +# If the FILTER_SOURCE_FILES tag is set to YES, the input filter (if set using +# INPUT_FILTER) will be used to filter the input files when producing source +# files to browse (i.e. when SOURCE_BROWSER is set to YES). + +FILTER_SOURCE_FILES = NO + +#--------------------------------------------------------------------------- +# configuration options related to source browsing +#--------------------------------------------------------------------------- + +# If the SOURCE_BROWSER tag is set to YES then a list of source files will +# be generated. Documented entities will be cross-referenced with these sources. +# Note: To get rid of all source code in the generated output, make sure also +# VERBATIM_HEADERS is set to NO. + +SOURCE_BROWSER = NO + +# Setting the INLINE_SOURCES tag to YES will include the body +# of functions and classes directly in the documentation. + +INLINE_SOURCES = NO + +# Setting the STRIP_CODE_COMMENTS tag to YES (the default) will instruct +# doxygen to hide any special comment blocks from generated source code +# fragments. Normal C and C++ comments will always remain visible. + +STRIP_CODE_COMMENTS = YES + +# If the REFERENCED_BY_RELATION tag is set to YES (the default) +# then for each documented function all documented +# functions referencing it will be listed. + +REFERENCED_BY_RELATION = YES + +# If the REFERENCES_RELATION tag is set to YES (the default) +# then for each documented function all documented entities +# called/used by that function will be listed. + +REFERENCES_RELATION = YES + +# If the REFERENCES_LINK_SOURCE tag is set to YES (the default) +# and SOURCE_BROWSER tag is set to YES, then the hyperlinks from +# functions in REFERENCES_RELATION and REFERENCED_BY_RELATION lists will +# link to the source code. Otherwise they will link to the documentstion. + +REFERENCES_LINK_SOURCE = YES + +# If the USE_HTAGS tag is set to YES then the references to source code +# will point to the HTML generated by the htags(1) tool instead of doxygen +# built-in source browser. The htags tool is part of GNU's global source +# tagging system (see http://www.gnu.org/software/global/global.html). You +# will need version 4.8.6 or higher. + +USE_HTAGS = NO + +# If the VERBATIM_HEADERS tag is set to YES (the default) then Doxygen +# will generate a verbatim copy of the header file for each class for +# which an include is specified. Set to NO to disable this. + +VERBATIM_HEADERS = NO + +#--------------------------------------------------------------------------- +# configuration options related to the alphabetical class index +#--------------------------------------------------------------------------- + +# If the ALPHABETICAL_INDEX tag is set to YES, an alphabetical index +# of all compounds will be generated. Enable this if the project +# contains a lot of classes, structs, unions or interfaces. + +ALPHABETICAL_INDEX = NO + +# If the alphabetical index is enabled (see ALPHABETICAL_INDEX) then +# the COLS_IN_ALPHA_INDEX tag can be used to specify the number of columns +# in which this list will be split (can be a number in the range [1..20]) + +COLS_IN_ALPHA_INDEX = 5 + +# In case all classes in a project start with a common prefix, all +# classes will be put under the same header in the alphabetical index. +# The IGNORE_PREFIX tag can be used to specify one or more prefixes that +# should be ignored while generating the index headers. + +IGNORE_PREFIX = + +#--------------------------------------------------------------------------- +# configuration options related to the HTML output +#--------------------------------------------------------------------------- + +# If the GENERATE_HTML tag is set to YES (the default) Doxygen will +# generate HTML output. + +GENERATE_HTML = YES + +# The HTML_OUTPUT tag is used to specify where the HTML docs will be put. +# If a relative path is entered the value of OUTPUT_DIRECTORY will be +# put in front of it. If left blank `html' will be used as the default path. + +HTML_OUTPUT = html + +# The HTML_FILE_EXTENSION tag can be used to specify the file extension for +# each generated HTML page (for example: .htm,.php,.asp). If it is left blank +# doxygen will generate files with .html extension. + +HTML_FILE_EXTENSION = .html + +# The HTML_HEADER tag can be used to specify a personal HTML header for +# each generated HTML page. If it is left blank doxygen will generate a +# standard header. + +HTML_HEADER = + +# The HTML_FOOTER tag can be used to specify a personal HTML footer for +# each generated HTML page. If it is left blank doxygen will generate a +# standard footer. + +HTML_FOOTER = footer.html + +# The HTML_STYLESHEET tag can be used to specify a user-defined cascading +# style sheet that is used by each HTML page. It can be used to +# fine-tune the look of the HTML output. If the tag is left blank doxygen +# will generate a default style sheet. Note that doxygen will try to copy +# the style sheet file to the HTML output directory, so don't put your own +# stylesheet in the HTML output directory as well, or it will be erased! + +HTML_STYLESHEET = + +# If the HTML_ALIGN_MEMBERS tag is set to YES, the members of classes, +# files or namespaces will be aligned in HTML using tables. If set to +# NO a bullet list will be used. + +HTML_ALIGN_MEMBERS = YES + +# If the GENERATE_HTMLHELP tag is set to YES, additional index files +# will be generated that can be used as input for tools like the +# Microsoft HTML help workshop to generate a compressed HTML help file (.chm) +# of the generated HTML documentation. + +GENERATE_HTMLHELP = NO + +# If the GENERATE_HTMLHELP tag is set to YES, the CHM_FILE tag can +# be used to specify the file name of the resulting .chm file. You +# can add a path in front of the file if the result should not be +# written to the html output directory. + +CHM_FILE = + +# If the GENERATE_HTMLHELP tag is set to YES, the HHC_LOCATION tag can +# be used to specify the location (absolute path including file name) of +# the HTML help compiler (hhc.exe). If non-empty doxygen will try to run +# the HTML help compiler on the generated index.hhp. + +HHC_LOCATION = + +# If the GENERATE_HTMLHELP tag is set to YES, the GENERATE_CHI flag +# controls if a separate .chi index file is generated (YES) or that +# it should be included in the master .chm file (NO). + +GENERATE_CHI = NO + +# If the GENERATE_HTMLHELP tag is set to YES, the BINARY_TOC flag +# controls whether a binary table of contents is generated (YES) or a +# normal table of contents (NO) in the .chm file. + +BINARY_TOC = NO + +# The TOC_EXPAND flag can be set to YES to add extra items for group members +# to the contents of the HTML help documentation and to the tree view. + +TOC_EXPAND = NO + +# The DISABLE_INDEX tag can be used to turn on/off the condensed index at +# top of each HTML page. The value NO (the default) enables the index and +# the value YES disables it. + +DISABLE_INDEX = NO + +# This tag can be used to set the number of enum values (range [1..20]) +# that doxygen will group on one line in the generated HTML documentation. + +ENUM_VALUES_PER_LINE = 4 + +# If the GENERATE_TREEVIEW tag is set to YES, a side panel will be +# generated containing a tree-like index structure (just like the one that +# is generated for HTML Help). For this to work a browser that supports +# JavaScript, DHTML, CSS and frames is required (for instance Mozilla 1.0+, +# Netscape 6.0+, Internet explorer 5.0+, or Konqueror). Windows users are +# probably better off using the HTML help feature. + +GENERATE_TREEVIEW = NO + +# If the treeview is enabled (see GENERATE_TREEVIEW) then this tag can be +# used to set the initial width (in pixels) of the frame in which the tree +# is shown. + +TREEVIEW_WIDTH = 250 + +#--------------------------------------------------------------------------- +# configuration options related to the LaTeX output +#--------------------------------------------------------------------------- + +# If the GENERATE_LATEX tag is set to YES (the default) Doxygen will +# generate Latex output. + +GENERATE_LATEX = NO + +# The LATEX_OUTPUT tag is used to specify where the LaTeX docs will be put. +# If a relative path is entered the value of OUTPUT_DIRECTORY will be +# put in front of it. If left blank `latex' will be used as the default path. + +LATEX_OUTPUT = latex + +# The LATEX_CMD_NAME tag can be used to specify the LaTeX command name to be +# invoked. If left blank `latex' will be used as the default command name. + +LATEX_CMD_NAME = latex + +# The MAKEINDEX_CMD_NAME tag can be used to specify the command name to +# generate index for LaTeX. If left blank `makeindex' will be used as the +# default command name. + +MAKEINDEX_CMD_NAME = makeindex + +# If the COMPACT_LATEX tag is set to YES Doxygen generates more compact +# LaTeX documents. This may be useful for small projects and may help to +# save some trees in general. + +COMPACT_LATEX = NO + +# The PAPER_TYPE tag can be used to set the paper type that is used +# by the printer. Possible values are: a4, a4wide, letter, legal and +# executive. If left blank a4wide will be used. + +PAPER_TYPE = a4wide + +# The EXTRA_PACKAGES tag can be to specify one or more names of LaTeX +# packages that should be included in the LaTeX output. + +EXTRA_PACKAGES = + +# The LATEX_HEADER tag can be used to specify a personal LaTeX header for +# the generated latex document. The header should contain everything until +# the first chapter. If it is left blank doxygen will generate a +# standard header. Notice: only use this tag if you know what you are doing! + +LATEX_HEADER = + +# If the PDF_HYPERLINKS tag is set to YES, the LaTeX that is generated +# is prepared for conversion to pdf (using ps2pdf). The pdf file will +# contain links (just like the HTML output) instead of page references +# This makes the output suitable for online browsing using a pdf viewer. + +PDF_HYPERLINKS = NO + +# If the USE_PDFLATEX tag is set to YES, pdflatex will be used instead of +# plain latex in the generated Makefile. Set this option to YES to get a +# higher quality PDF documentation. + +USE_PDFLATEX = NO + +# If the LATEX_BATCHMODE tag is set to YES, doxygen will add the \\batchmode. +# command to the generated LaTeX files. This will instruct LaTeX to keep +# running if errors occur, instead of asking the user for help. +# This option is also used when generating formulas in HTML. + +LATEX_BATCHMODE = NO + +# If LATEX_HIDE_INDICES is set to YES then doxygen will not +# include the index chapters (such as File Index, Compound Index, etc.) +# in the output. + +LATEX_HIDE_INDICES = NO + +#--------------------------------------------------------------------------- +# configuration options related to the RTF output +#--------------------------------------------------------------------------- + +# If the GENERATE_RTF tag is set to YES Doxygen will generate RTF output +# The RTF output is optimized for Word 97 and may not look very pretty with +# other RTF readers or editors. + +GENERATE_RTF = NO + +# The RTF_OUTPUT tag is used to specify where the RTF docs will be put. +# If a relative path is entered the value of OUTPUT_DIRECTORY will be +# put in front of it. If left blank `rtf' will be used as the default path. + +RTF_OUTPUT = rtf + +# If the COMPACT_RTF tag is set to YES Doxygen generates more compact +# RTF documents. This may be useful for small projects and may help to +# save some trees in general. + +COMPACT_RTF = NO + +# If the RTF_HYPERLINKS tag is set to YES, the RTF that is generated +# will contain hyperlink fields. The RTF file will +# contain links (just like the HTML output) instead of page references. +# This makes the output suitable for online browsing using WORD or other +# programs which support those fields. +# Note: wordpad (write) and others do not support links. + +RTF_HYPERLINKS = NO + +# Load stylesheet definitions from file. Syntax is similar to doxygen's +# config file, i.e. a series of assignments. You only have to provide +# replacements, missing definitions are set to their default value. + +RTF_STYLESHEET_FILE = + +# Set optional variables used in the generation of an rtf document. +# Syntax is similar to doxygen's config file. + +RTF_EXTENSIONS_FILE = + +#--------------------------------------------------------------------------- +# configuration options related to the man page output +#--------------------------------------------------------------------------- + +# If the GENERATE_MAN tag is set to YES (the default) Doxygen will +# generate man pages + +GENERATE_MAN = NO + +# The MAN_OUTPUT tag is used to specify where the man pages will be put. +# If a relative path is entered the value of OUTPUT_DIRECTORY will be +# put in front of it. If left blank `man' will be used as the default path. + +MAN_OUTPUT = man + +# The MAN_EXTENSION tag determines the extension that is added to +# the generated man pages (default is the subroutine's section .3) + +MAN_EXTENSION = .3 + +# If the MAN_LINKS tag is set to YES and Doxygen generates man output, +# then it will generate one additional man file for each entity +# documented in the real man page(s). These additional files +# only source the real man page, but without them the man command +# would be unable to find the correct page. The default is NO. + +MAN_LINKS = NO + +#--------------------------------------------------------------------------- +# configuration options related to the XML output +#--------------------------------------------------------------------------- + +# If the GENERATE_XML tag is set to YES Doxygen will +# generate an XML file that captures the structure of +# the code including all documentation. + +GENERATE_XML = NO + +# The XML_OUTPUT tag is used to specify where the XML pages will be put. +# If a relative path is entered the value of OUTPUT_DIRECTORY will be +# put in front of it. If left blank `xml' will be used as the default path. + +XML_OUTPUT = xml + +# The XML_SCHEMA tag can be used to specify an XML schema, +# which can be used by a validating XML parser to check the +# syntax of the XML files. + +XML_SCHEMA = + +# The XML_DTD tag can be used to specify an XML DTD, +# which can be used by a validating XML parser to check the +# syntax of the XML files. + +XML_DTD = + +# If the XML_PROGRAMLISTING tag is set to YES Doxygen will +# dump the program listings (including syntax highlighting +# and cross-referencing information) to the XML output. Note that +# enabling this will significantly increase the size of the XML output. + +XML_PROGRAMLISTING = YES + +#--------------------------------------------------------------------------- +# configuration options for the AutoGen Definitions output +#--------------------------------------------------------------------------- + +# If the GENERATE_AUTOGEN_DEF tag is set to YES Doxygen will +# generate an AutoGen Definitions (see autogen.sf.net) file +# that captures the structure of the code including all +# documentation. Note that this feature is still experimental +# and incomplete at the moment. + +GENERATE_AUTOGEN_DEF = NO + +#--------------------------------------------------------------------------- +# configuration options related to the Perl module output +#--------------------------------------------------------------------------- + +# If the GENERATE_PERLMOD tag is set to YES Doxygen will +# generate a Perl module file that captures the structure of +# the code including all documentation. Note that this +# feature is still experimental and incomplete at the +# moment. + +GENERATE_PERLMOD = NO + +# If the PERLMOD_LATEX tag is set to YES Doxygen will generate +# the necessary Makefile rules, Perl scripts and LaTeX code to be able +# to generate PDF and DVI output from the Perl module output. + +PERLMOD_LATEX = NO + +# If the PERLMOD_PRETTY tag is set to YES the Perl module output will be +# nicely formatted so it can be parsed by a human reader. This is useful +# if you want to understand what is going on. On the other hand, if this +# tag is set to NO the size of the Perl module output will be much smaller +# and Perl will parse it just the same. + +PERLMOD_PRETTY = YES + +# The names of the make variables in the generated doxyrules.make file +# are prefixed with the string contained in PERLMOD_MAKEVAR_PREFIX. +# This is useful so different doxyrules.make files included by the same +# Makefile don't overwrite each other's variables. + +PERLMOD_MAKEVAR_PREFIX = + +#--------------------------------------------------------------------------- +# Configuration options related to the preprocessor +#--------------------------------------------------------------------------- + +# If the ENABLE_PREPROCESSING tag is set to YES (the default) Doxygen will +# evaluate all C-preprocessor directives found in the sources and include +# files. + +ENABLE_PREPROCESSING = YES + +# If the MACRO_EXPANSION tag is set to YES Doxygen will expand all macro +# names in the source code. If set to NO (the default) only conditional +# compilation will be performed. Macro expansion can be done in a controlled +# way by setting EXPAND_ONLY_PREDEF to YES. + +MACRO_EXPANSION = NO + +# If the EXPAND_ONLY_PREDEF and MACRO_EXPANSION tags are both set to YES +# then the macro expansion is limited to the macros specified with the +# PREDEFINED and EXPAND_AS_DEFINED tags. + +EXPAND_ONLY_PREDEF = NO + +# If the SEARCH_INCLUDES tag is set to YES (the default) the includes files +# in the INCLUDE_PATH (see below) will be search if a #include is found. + +SEARCH_INCLUDES = YES + +# The INCLUDE_PATH tag can be used to specify one or more directories that +# contain include files that are not input files but should be processed by +# the preprocessor. + +INCLUDE_PATH = + +# You can use the INCLUDE_FILE_PATTERNS tag to specify one or more wildcard +# patterns (like *.h and *.hpp) to filter out the header-files in the +# directories. If left blank, the patterns specified with FILE_PATTERNS will +# be used. + +INCLUDE_FILE_PATTERNS = + +# The PREDEFINED tag can be used to specify one or more macro names that +# are defined before the preprocessor is started (similar to the -D option of +# gcc). The argument of the tag is a list of macros of the form: name +# or name=definition (no spaces). If the definition and the = are +# omitted =1 is assumed. To prevent a macro definition from being +# undefined via #undef or recursively expanded use the := operator +# instead of the = operator. + +PREDEFINED = + +# If the MACRO_EXPANSION and EXPAND_ONLY_PREDEF tags are set to YES then +# this tag can be used to specify a list of macro names that should be expanded. +# The macro definition that is found in the sources will be used. +# Use the PREDEFINED tag if you want to use a different macro definition. + +EXPAND_AS_DEFINED = + +# If the SKIP_FUNCTION_MACROS tag is set to YES (the default) then +# doxygen's preprocessor will remove all function-like macros that are alone +# on a line, have an all uppercase name, and do not end with a semicolon. Such +# function macros are typically used for boiler-plate code, and will confuse +# the parser if not removed. + +SKIP_FUNCTION_MACROS = YES + +#--------------------------------------------------------------------------- +# Configuration::additions related to external references +#--------------------------------------------------------------------------- + +# The TAGFILES option can be used to specify one or more tagfiles. +# Optionally an initial location of the external documentation +# can be added for each tagfile. The format of a tag file without +# this location is as follows: +# TAGFILES = file1 file2 ... +# Adding location for the tag files is done as follows: +# TAGFILES = file1=loc1 "file2 = loc2" ... +# where "loc1" and "loc2" can be relative or absolute paths or +# URLs. If a location is present for each tag, the installdox tool +# does not have to be run to correct the links. +# Note that each tag file must have a unique name +# (where the name does NOT include the path) +# If a tag file is not located in the directory in which doxygen +# is run, you must also specify the path to the tagfile here. + +TAGFILES = + +# When a file name is specified after GENERATE_TAGFILE, doxygen will create +# a tag file that is based on the input files it reads. + +GENERATE_TAGFILE = + +# If the ALLEXTERNALS tag is set to YES all external classes will be listed +# in the class index. If set to NO only the inherited external classes +# will be listed. + +ALLEXTERNALS = NO + +# If the EXTERNAL_GROUPS tag is set to YES all external groups will be listed +# in the modules index. If set to NO, only the current project's groups will +# be listed. + +EXTERNAL_GROUPS = YES + +# The PERL_PATH should be the absolute path and name of the perl script +# interpreter (i.e. the result of `which perl'). + +PERL_PATH = /usr/bin/perl + +#--------------------------------------------------------------------------- +# Configuration options related to the dot tool +#--------------------------------------------------------------------------- + +# If the CLASS_DIAGRAMS tag is set to YES (the default) Doxygen will +# generate a inheritance diagram (in HTML, RTF and LaTeX) for classes with base +# or super classes. Setting the tag to NO turns the diagrams off. Note that +# this option is superseded by the HAVE_DOT option below. This is only a +# fallback. It is recommended to install and use dot, since it yields more +# powerful graphs. + +CLASS_DIAGRAMS = YES + +# If set to YES, the inheritance and collaboration graphs will hide +# inheritance and usage relations if the target is undocumented +# or is not a class. + +HIDE_UNDOC_RELATIONS = YES + +# If you set the HAVE_DOT tag to YES then doxygen will assume the dot tool is +# available from the path. This tool is part of Graphviz, a graph visualization +# toolkit from AT&T and Lucent Bell Labs. The other options in this section +# have no effect if this option is set to NO (the default) + +HAVE_DOT = NO + +# If the CLASS_GRAPH and HAVE_DOT tags are set to YES then doxygen +# will generate a graph for each documented class showing the direct and +# indirect inheritance relations. Setting this tag to YES will force the +# the CLASS_DIAGRAMS tag to NO. + +CLASS_GRAPH = YES + +# If the COLLABORATION_GRAPH and HAVE_DOT tags are set to YES then doxygen +# will generate a graph for each documented class showing the direct and +# indirect implementation dependencies (inheritance, containment, and +# class references variables) of the class with other documented classes. + +COLLABORATION_GRAPH = YES + +# If the GROUP_GRAPHS and HAVE_DOT tags are set to YES then doxygen +# will generate a graph for groups, showing the direct groups dependencies + +GROUP_GRAPHS = YES + +# If the UML_LOOK tag is set to YES doxygen will generate inheritance and +# collaboration diagrams in a style similar to the OMG's Unified Modeling +# Language. + +UML_LOOK = NO + +# If set to YES, the inheritance and collaboration graphs will show the +# relations between templates and their instances. + +TEMPLATE_RELATIONS = NO + +# If the ENABLE_PREPROCESSING, SEARCH_INCLUDES, INCLUDE_GRAPH, and HAVE_DOT +# tags are set to YES then doxygen will generate a graph for each documented +# file showing the direct and indirect include dependencies of the file with +# other documented files. + +INCLUDE_GRAPH = YES + +# If the ENABLE_PREPROCESSING, SEARCH_INCLUDES, INCLUDED_BY_GRAPH, and +# HAVE_DOT tags are set to YES then doxygen will generate a graph for each +# documented header file showing the documented files that directly or +# indirectly include this file. + +INCLUDED_BY_GRAPH = YES + +# If the CALL_GRAPH and HAVE_DOT tags are set to YES then doxygen will +# generate a call dependency graph for every global function or class method. +# Note that enabling this option will significantly increase the time of a run. +# So in most cases it will be better to enable call graphs for selected +# functions only using the \callgraph command. + +CALL_GRAPH = NO + +# If the CALLER_GRAPH and HAVE_DOT tags are set to YES then doxygen will +# generate a caller dependency graph for every global function or class method. +# Note that enabling this option will significantly increase the time of a run. +# So in most cases it will be better to enable caller graphs for selected +# functions only using the \callergraph command. + +CALLER_GRAPH = NO + +# If the GRAPHICAL_HIERARCHY and HAVE_DOT tags are set to YES then doxygen +# will graphical hierarchy of all classes instead of a textual one. + +GRAPHICAL_HIERARCHY = YES + +# If the DIRECTORY_GRAPH, SHOW_DIRECTORIES and HAVE_DOT tags are set to YES +# then doxygen will show the dependencies a directory has on other directories +# in a graphical way. The dependency relations are determined by the #include +# relations between the files in the directories. + +DIRECTORY_GRAPH = YES + +# The DOT_IMAGE_FORMAT tag can be used to set the image format of the images +# generated by dot. Possible values are png, jpg, or gif +# If left blank png will be used. + +DOT_IMAGE_FORMAT = png + +# The tag DOT_PATH can be used to specify the path where the dot tool can be +# found. If left blank, it is assumed the dot tool can be found in the path. + +DOT_PATH = + +# The DOTFILE_DIRS tag can be used to specify one or more directories that +# contain dot files that are included in the documentation (see the +# \dotfile command). + +DOTFILE_DIRS = + +# The MAX_DOT_GRAPH_WIDTH tag can be used to set the maximum allowed width +# (in pixels) of the graphs generated by dot. If a graph becomes larger than +# this value, doxygen will try to truncate the graph, so that it fits within +# the specified constraint. Beware that most browsers cannot cope with very +# large images. + +MAX_DOT_GRAPH_WIDTH = 1024 + +# The MAX_DOT_GRAPH_HEIGHT tag can be used to set the maximum allows height +# (in pixels) of the graphs generated by dot. If a graph becomes larger than +# this value, doxygen will try to truncate the graph, so that it fits within +# the specified constraint. Beware that most browsers cannot cope with very +# large images. + +MAX_DOT_GRAPH_HEIGHT = 1024 + +# The MAX_DOT_GRAPH_DEPTH tag can be used to set the maximum depth of the +# graphs generated by dot. A depth value of 3 means that only nodes reachable +# from the root by following a path via at most 3 edges will be shown. Nodes +# that lay further from the root node will be omitted. Note that setting this +# option to 1 or 2 may greatly reduce the computation time needed for large +# code bases. Also note that a graph may be further truncated if the graph's +# image dimensions are not sufficient to fit the graph (see MAX_DOT_GRAPH_WIDTH +# and MAX_DOT_GRAPH_HEIGHT). If 0 is used for the depth value (the default), +# the graph is not depth-constrained. + +MAX_DOT_GRAPH_DEPTH = 0 + +# Set the DOT_TRANSPARENT tag to YES to generate images with a transparent +# background. This is disabled by default, which results in a white background. +# Warning: Depending on the platform used, enabling this option may lead to +# badly anti-aliased labels on the edges of a graph (i.e. they become hard to +# read). + +DOT_TRANSPARENT = NO + +# Set the DOT_MULTI_TARGETS tag to YES allow dot to generate multiple output +# files in one run (i.e. multiple -o and -T options on the command line). This +# makes dot run faster, but since only newer versions of dot (>1.8.10) +# support this, this feature is disabled by default. + +DOT_MULTI_TARGETS = NO + +# If the GENERATE_LEGEND tag is set to YES (the default) Doxygen will +# generate a legend page explaining the meaning of the various boxes and +# arrows in the dot generated graphs. + +GENERATE_LEGEND = YES + +# If the DOT_CLEANUP tag is set to YES (the default) Doxygen will +# remove the intermediate dot files that are used to generate +# the various graphs. + +DOT_CLEANUP = YES + +#--------------------------------------------------------------------------- +# Configuration::additions related to the search engine +#--------------------------------------------------------------------------- + +# The SEARCHENGINE tag specifies whether or not a search engine should be +# used. If set to NO the values of all tags below this one will be ignored. + +SEARCHENGINE = YES diff --git a/doc/footer.html b/doc/footer.html new file mode 100644 index 0000000..fb1a333 --- /dev/null +++ b/doc/footer.html @@ -0,0 +1,7 @@ +
+
+Copyright (c) 2002-2008 by Naoaki Okazaki +
$datetime +
+ + diff --git a/include/lbfgs.h b/include/lbfgs.h new file mode 100644 index 0000000..d686700 --- /dev/null +++ b/include/lbfgs.h @@ -0,0 +1,539 @@ +/* + * C library of Limited memory BFGS (L-BFGS). + * + * Copyright (c) 1990, Jorge Nocedal + * Copyright (c) 2007,2008, Naoaki Okazaki + * All rights reserved. + * + * Permission is hereby granted, free of charge, to any person obtaining a copy + * of this software and associated documentation files (the "Software"), to deal + * in the Software without restriction, including without limitation the rights + * to use, copy, modify, merge, publish, distribute, sublicense, and/or sell + * copies of the Software, and to permit persons to whom the Software is + * furnished to do so, subject to the following conditions: + * + * The above copyright notice and this permission notice shall be included in + * all copies or substantial portions of the Software. + * + * THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR + * IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, + * FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE + * AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER + * LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, + * OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN + * THE SOFTWARE. + */ + +/* $Id$ */ + +#ifndef __LBFGS_H__ +#define __LBFGS_H__ + +#ifdef __cplusplus +extern "C" { +#endif/*__cplusplus*/ + +/* + * The default precision of floating point values is 64bit (double). + */ +#ifndef LBFGS_FLOAT +#define LBFGS_FLOAT 64 +#endif/*LBFGS_FLOAT*/ + +/* + * Activate optimization routines for IEEE754 floating point values. + */ +#ifndef LBFGS_IEEE_FLOAT +#define LBFGS_IEEE_FLOAT 1 +#endif/*LBFGS_IEEE_FLOAT*/ + +#if LBFGS_FLOAT == 32 +typedef float lbfgsfloatval_t; + +#elif LBFGS_FLOAT == 64 +typedef double lbfgsfloatval_t; + +#else +#error "liblbfgs supports single (float; LBFGS_FLOAT = 32) or double (double; LBFGS_FLOAT=64) precision only." + +#endif + + +/** + * \addtogroup liblbfgs_api libLBFGS API + * @{ + * + * The libLBFGS API. + */ + +/** + * Return values of lbfgs(). + */ +enum { + /** False value. */ + LBFGSFALSE = 0, + /** True value. */ + LBFGSTRUE, + + /** Unknown error. */ + LBFGSERR_UNKNOWNERROR = -1024, + /** Logic error. */ + LBFGSERR_LOGICERROR, + /** Insufficient memory. */ + LBFGSERR_OUTOFMEMORY, + /** The minimization process has been canceled. */ + LBFGSERR_CANCELED, + /** Invalid number of variables specified. */ + LBFGSERR_INVALID_N, + /** Invalid number of variables (for SSE) specified. */ + LBFGSERR_INVALID_N_SSE, + /** Invalid parameter lbfgs_parameter_t::linesearch specified. */ + LBFGSERR_INVALID_LINESEARCH, + /** Invalid parameter lbfgs_parameter_t::max_step specified. */ + LBFGSERR_INVALID_MINSTEP, + /** Invalid parameter lbfgs_parameter_t::max_step specified. */ + LBFGSERR_INVALID_MAXSTEP, + /** Invalid parameter lbfgs_parameter_t::ftol specified. */ + LBFGSERR_INVALID_FTOL, + /** Invalid parameter lbfgs_parameter_t::gtol specified. */ + LBFGSERR_INVALID_GTOL, + /** Invalid parameter lbfgs_parameter_t::xtol specified. */ + LBFGSERR_INVALID_XTOL, + /** Invalid parameter lbfgs_parameter_t::max_linesearch specified. */ + LBFGSERR_INVALID_MAXLINESEARCH, + /** Invalid parameter lbfgs_parameter_t::orthantwise_c specified. */ + LBFGSERR_INVALID_ORTHANTWISE, + /** The line-search step went out of the interval of uncertainty. */ + LBFGSERR_OUTOFINTERVAL, + /** A logic error occurred; alternatively, the interval of uncertainty + became too small. */ + LBFGSERR_INCORRECT_TMINMAX, + /** A rounding error occurred; alternatively, no line-search step + satisfies the sufficient decrease and curvature conditions. */ + LBFGSERR_ROUNDING_ERROR, + /** The line-search step became smaller than lbfgs_parameter_t::min_step. */ + LBFGSERR_MINIMUMSTEP, + /** The line-search step became larger than lbfgs_parameter_t::max_step. */ + LBFGSERR_MAXIMUMSTEP, + /** The line-search routine reaches the maximum number of evaluations. */ + LBFGSERR_MAXIMUMLINESEARCH, + /** The algorithm routine reaches the maximum number of iterations. */ + LBFGSERR_MAXIMUMITERATION, + /** Relative width of the interval of uncertainty is at most + lbfgs_parameter_t::xtol. */ + LBFGSERR_WIDTHTOOSMALL, + /** A logic error (negative line-search step) occurred. */ + LBFGSERR_INVALIDPARAMETERS, + /** The current search direction increases the objective function value. */ + LBFGSERR_INCREASEGRADIENT, +}; + +/** + * Line search algorithms. + */ +enum { + /** The default algorithm (MoreThuente method). */ + LBFGS_LINESEARCH_DEFAULT = 0, + /** MoreThuente method proposd by More and Thuente. */ + LBFGS_LINESEARCH_MORETHUENTE = 0, + /** Backtracking method. */ + LBFGS_LINESEARCH_BACKTRACKING, +}; + +/** + * L-BFGS optimization parameters. + * Call lbfgs_parameter_init() function to initialize parameters to the + * default values. + */ +typedef struct { + /** + * The number of corrections to approximate the inverse hessian matrix. + * The L-BFGS routine stores the computation results of previous \ref m + * iterations to approximate the inverse hessian matrix of the current + * iteration. This parameter controls the size of the limited memories + * (corrections). The default value is \c 6. Values less than \c 3 are + * not recommended. Large values will result in excessive computing time. + */ + int m; + + /** + * Epsilon for convergence test. + * This parameter determines the accuracy with which the solution is to + * be found. A minimization terminates when + * ||g|| < \ref epsilon * max(1, ||x||), + * where ||.|| denotes the Euclidean (L2) norm. The default value is + * \c 1e-5. + */ + lbfgsfloatval_t epsilon; + + /** + * The maximum number of iterations. + * The lbfgs() function terminates an optimization process with + * ::LBFGSERR_MAXIMUMITERATION status code when the iteration count + * exceedes this parameter. Setting this parameter to zero continues an + * optimization process until a convergence or error. The default value + * is \c 0. + */ + int max_iterations; + + /** + * The line search algorithm. + * This parameter specifies a line search algorithm to be used by the + * L-BFGS routine. + */ + int linesearch; + + /** + * The maximum number of trials for the line search. + * This parameter controls the number of function and gradients evaluations + * per iteration for the line search routine. The default value is \c 20. + */ + int max_linesearch; + + /** + * The minimum step of the line search routine. + * The default value is \c 1e-20. This value need not be modified unless + * the exponents are too large for the machine being used, or unless the + * problem is extremely badly scaled (in which case the exponents should + * be increased). + */ + lbfgsfloatval_t min_step; + + /** + * The maximum step of the line search. + * The default value is \c 1e+20. This value need not be modified unless + * the exponents are too large for the machine being used, or unless the + * problem is extremely badly scaled (in which case the exponents should + * be increased). + */ + lbfgsfloatval_t max_step; + + /** + * A parameter to control the accuracy of the line search routine. + * The default value is \c 1e-4. This parameter should be greater + * than zero and smaller than \c 0.5. + */ + lbfgsfloatval_t ftol; + + /** + * A parameter to control the accuracy of the line search routine. + * The default value is \c 0.9. If the function and gradient + * evaluations are inexpensive with respect to the cost of the + * iteration (which is sometimes the case when solving very large + * problems) it may be advantageous to set this parameter to a small + * value. A typical small value is \c 0.1. This parameter shuold be + * greater than the \ref ftol parameter (\c 1e-4) and smaller than + * \c 1.0. + */ + lbfgsfloatval_t gtol; + + /** + * The machine precision for floating-point values. + * This parameter must be a positive value set by a client program to + * estimate the machine precision. The line search routine will terminate + * with the status code (::LBFGSERR_ROUNDING_ERROR) if the relative width + * of the interval of uncertainty is less than this parameter. + */ + lbfgsfloatval_t xtol; + + /** + * Coeefficient for the L1 norm of variables. + * This parameter should be set to zero for standard minimization + * problems. Setting this parameter to a positive value minimizes the + * objective function F(x) combined with the L1 norm |x| of the variables, + * {F(x) + C |x|}. This parameter is the coeefficient for the |x|, i.e., + * C. As the L1 norm |x| is not differentiable at zero, the library + * modify function and gradient evaluations from a client program + * suitably; a client program thus have only to return the function value + * F(x) and gradients G(x) as usual. The default value is zero. + */ + lbfgsfloatval_t orthantwise_c; +} lbfgs_parameter_t; + + +/** + * 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. + * + * @param instance The user data sent for lbfgs() function by the client. + * @param x The current values of variables. + * @param g The gradient vector. The callback function must compute + * the gradient values for the current variables. + * @param n The number of variables. + * @param step The current step of the line search routine. + * @retval lbfgsfloatval_t The value of the objective function for the current + * 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 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. + * + * @param instance The user data sent for lbfgs() function by the client. + * @param x The current values of variables. + * @param g The current gradient values of variables. + * @param fx The current value of the objective function. + * @param xnorm The Euclidean norm of the variables. + * @param gnorm The Euclidean norm of the gradients. + * @param step The line-search step used for this iteration. + * @param n The number of variables. + * @param k The iteration count. + * @param ls The number of evaluations called for this iteration. + * @retval int Zero to continue the optimization process. Returning a + * non-zero value will cancel the optimization process. + */ +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 + ); + +/* +A user must implement a function compatible with ::lbfgs_evaluate_t (evaluation +callback) and pass the pointer to the callback function to lbfgs() arguments. +Similarly, a user can implement a function compatible with ::lbfgs_progress_t +(progress callback) to obtain the current progress (e.g., variables, function +value, ||G||, etc) and to cancel the iteration process if necessary. +Implementation of a progress callback is optional: a user can pass \c NULL if +progress notification is not necessary. + +In addition, a user must preserve two requirements: + - The number of variables must be multiples of 16 (this is not 4). + - The memory block of variable array ::x must be aligned to 16. + +This algorithm terminates an optimization +when: + + ||G|| < \epsilon \cdot \max(1, ||x||) . + +In this formula, ||.|| denotes the Euclidean norm. +*/ + +/** + * Start a L-BFGS optimization. + * + * @param n The number of variables. + * @param x The array of variables. A client program can set + * default values for the optimization and receive the + * optimization result through this array. + * @param 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 \c NULL if the final + * value of the objective function is unnecessary. + * @param 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 \ref + * lbfgs_evaluate_t and pass the pointer to the + * callback function. + * @param 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 \c NULL if + * a progress report is unnecessary. + * @param instance A user data for the client program. The callback + * functions will receive the value of this argument. + * @param param The pointer to a structure representing parameters for + * L-BFGS optimization. A client program can set this + * parameter to \c NULL to use the default parameters. + * Call lbfgs_parameter_init() function to fill a + * structure with the default values. + * @retval int The status code. This function returns zero if the + * minimization process terminates without an error. A + * non-zero value indicates an error. + */ +int lbfgs( + const 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 + ); + +/** + * 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 param The pointer to the parameter structure. + */ +void lbfgs_parameter_init(lbfgs_parameter_t *param); + +/** @} */ + +#ifdef __cplusplus +} +#endif/*__cplusplus*/ + + + +/** +@mainpage A library of Limited-memory Broyden-Fletcher-Goldfarb-Shanno (L-BFGS) + +@section intro Introduction + +This library is a C port of the implementation of Limited-memory +Broyden-Fletcher-Goldfarb-Shanno (L-BFGS) method written by Jorge Nocedal. +The original FORTRAN source code is available at: +http://www.ece.northwestern.edu/~nocedal/lbfgs.html + +The L-BFGS method solves the unconstrainted minimization problem, + +
+    minimize F(x), x = (x1, x2, ..., xN),
+
+ +only if the objective function F(x) and its gradient G(x) are computable. The +well-known Newton's method requires computation of the inverse of the hessian +matrix of the objective function. However, the computational cost for the +inverse hessian matrix is expensive especially when the objective function +takes a large number of variables. The L-BFGS method iteratively find a +minimizer by approximating the inverse hessian matrix by information from last +m iterations. This innovation saves the memory storage and computational time +drastically for large-scaled problems. + +Among the various ports of L-BFGS, this library provides several features: +- Optimization with L1-norm (orthant-wise L-BFGS): + In addition to standard minimization problems, the library can minimize + a function F(x) combined with L1-norm |x| of the variables, + {F(x) + C |x|}, where C is a constant scalar parameter. This feature is + useful for estimating parameters of log-linear models (e.g., logistic + regression and maximum entropy) with L1-regularization. +- Clean C code: + Unlike C codes generated automatically by f2c (Fortran 77 into C converter), + this port includes changes based on my interpretations, improvements, + optimizations, and clean-ups so that the ported code would be well-suited + for a C code. In addition to comments inherited from the original code, + a number of comments were added through my interpretations. +- Callback interface: + The library receives function and gradient values via a callback interface. + The library also notifies the progress of the optimization by invoking a + callback function. In the original implementation, a user had to set + function and gradient values every time the function returns for obtaining + updated values. +- Thread safe: + The library is thread-safe, which is the secondary gain from the callback + interface. +- Cross platform. The source code can be compiled on Microsoft Visual + Studio 2005, GNU C Compiler (gcc), etc. +- Configurable precision: A user can choose single-precision (float) + or double-precision (double) accuracy by changing ::LBFGS_FLOAT macro. +- SSE/SSE2 optimization: + This library includes SSE/SSE2 optimization (written in compiler intrinsics) + for vector arithmetic operations on Intel/AMD processors. The library uses + SSE for float values and SSE2 for double values. The SSE/SSE2 optimization + routine is disabled by default; compile the library with __SSE__ symbol + defined to activate the optimization routine. + +This library is used by: +- CRFsuite: A fast implementation of Conditional Random Fields (CRFs) +- mlegp: an R package for maximum likelihood estimates for Gaussian processes + +@section download Download + +- Source code + +libLBFGS is distributed under the term of the +MIT license. + +@section changelog History +- Version 1.4 (2008-04-25): + - Configurable line search algorithms. A member variable + ::lbfgs_parameter_t::linesearch was added to choose either MoreThuente + method (::LBFGS_LINESEARCH_MORETHUENTE) or backtracking algorithm + (::LBFGS_LINESEARCH_BACKTRACKING). + - Fixed a serious bug: the previous version did not compute + psuedo-gradients properly in the line search routine. This bug might + quit an iteration process too early when the orthant-wise L-BFGS routine + was activated (0 < ::lbfgs_parameter_t::orthantwise_c). +- Version 1.3 (2007-12-16): + - An API change. An argument was added to lbfgs() function to receive the + final value of the objective function. This argument can be set to + \c NULL if the final value is unnecessary. + - Fixed a null-pointer bug in the sample code (reported by Takashi Imamichi). + - Added build scripts for Microsoft Visual Studio 2005 and GCC. + - Added README file. +- Version 1.2 (2007-12-13): + - Fixed a serious bug in orthant-wise L-BFGS. + An important variable was used without initialization. +- Version 1.1 (2007-12-01): + - Implemented orthant-wise L-BFGS. + - Implemented lbfgs_parameter_init() function. + - Fixed several bugs. + - API documentation. +- Version 1.0 (2007-09-20): + - Initial release. + +@section api Documentation + +- @ref liblbfgs_api "libLBFGS API" + +@section sample Sample code + +@include sample.c + +@section ack Acknowledgements + +The L-BFGS algorithm is described in: + - Jorge Nocedal. + Updating Quasi-Newton Matrices with Limited Storage. + Mathematics of Computation, Vol. 35, No. 151, pp. 773--782, 1980. + - Dong C. Liu and Jorge Nocedal. + On the limited memory BFGS method for large scale optimization. + Mathematical Programming B, Vol. 45, No. 3, pp. 503-528, 1989. + +The line search algorithms used in this implementation are described in: + - John E. Dennis and Robert B. Schnabel. + Numerical Methods for Unconstrained Optimization and Nonlinear + Equations, Englewood Cliffs, 1983. + - Jorge J. More and David J. Thuente. + Line search algorithm with guaranteed sufficient decrease. + ACM Transactions on Mathematical Software (TOMS), Vol. 20, No. 3, + pp. 286-307, 1994. + +This library also implements Orthant-Wise Limited-memory Quasi-Newton (OW-LQN) +method presented in: + - Galen Andrew and Jianfeng Gao. + Scalable training of L1-regularized log-linear models. + In Proceedings of the 24th International Conference on Machine + Learning (ICML 2007), pp. 33-40, 2007. + +Finally I would like to thank the original author, Jorge Nocedal, who has been +distributing the effieicnt and explanatory implementation in an open source +licence. + +@section reference Reference + +- L-BFGS by Jorge Nocedal. +- OWL-QN by Galen Andrew. +- C port (via f2c) by Taku Kudo. +- C#/C++/Delphi/VisualBasic6 port in ALGLIB. +- Computational Crystallography Toolbox includes + scitbx::lbfgs. +*/ + +#endif/*__LBFGS_H__*/ diff --git a/lib/arithmetic_ansi.h b/lib/arithmetic_ansi.h new file mode 100644 index 0000000..c40a77d --- /dev/null +++ b/lib/arithmetic_ansi.h @@ -0,0 +1,133 @@ +/* + * ANSI C implementation of vector operations. + * + * Copyright (c) 2007,2008, Naoaki Okazaki + * All rights reserved. + * + * Permission is hereby granted, free of charge, to any person obtaining a copy + * of this software and associated documentation files (the "Software"), to deal + * in the Software without restriction, including without limitation the rights + * to use, copy, modify, merge, publish, distribute, sublicense, and/or sell + * copies of the Software, and to permit persons to whom the Software is + * furnished to do so, subject to the following conditions: + * + * The above copyright notice and this permission notice shall be included in + * all copies or substantial portions of the Software. + * + * THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR + * IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, + * FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE + * AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER + * LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, + * OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN + * THE SOFTWARE. + */ + +/* $Id$ */ + +#include +#include + +#if LBFGS_FLOAT == 32 && LBFGS_IEEE_FLOAT +#define fsigndiff(x, y) (((*(uint32_t*)(x)) ^ (*(uint32_t*)(y))) & 0x80000000U) +#else +#define fsigndiff(x, y) (*(x) * (*(y) / fabs(*(y))) < 0.) +#endif/*LBFGS_IEEE_FLOAT*/ + +inline static void* vecalloc(size_t size) +{ + void *memblock = malloc(size); + if (memblock) { + memset(memblock, 0, size); + } + return memblock; +} + +inline static void vecfree(void *memblock) +{ + free(memblock); +} + +inline static void vecset(lbfgsfloatval_t *x, const lbfgsfloatval_t c, const int n) +{ + int i; + + for (i = 0;i < n;++i) { + x[i] = c; + } +} + +inline static void veccpy(lbfgsfloatval_t *y, const lbfgsfloatval_t *x, const int n) +{ + int i; + + for (i = 0;i < n;++i) { + y[i] = x[i]; + } +} + +inline static void vecncpy(lbfgsfloatval_t *y, const lbfgsfloatval_t *x, const int n) +{ + int i; + + for (i = 0;i < n;++i) { + y[i] = -x[i]; + } +} + +inline static void vecadd(lbfgsfloatval_t *y, const lbfgsfloatval_t *x, const lbfgsfloatval_t c, const int n) +{ + int i; + + for (i = 0;i < n;++i) { + y[i] += c * x[i]; + } +} + +inline static void vecdiff(lbfgsfloatval_t *z, const lbfgsfloatval_t *x, const lbfgsfloatval_t *y, const int n) +{ + int i; + + for (i = 0;i < n;++i) { + z[i] = x[i] - y[i]; + } +} + +inline static void vecscale(lbfgsfloatval_t *y, const lbfgsfloatval_t c, const int n) +{ + int i; + + for (i = 0;i < n;++i) { + y[i] *= c; + } +} + +inline static void vecmul(lbfgsfloatval_t *y, const lbfgsfloatval_t *x, const int n) +{ + int i; + + for (i = 0;i < n;++i) { + y[i] *= x[i]; + } +} + +inline static void vecdot(lbfgsfloatval_t* s, const lbfgsfloatval_t *x, const lbfgsfloatval_t *y, const int n) +{ + int i; + *s = 0.; + for (i = 0;i < n;++i) { + *s += x[i] * y[i]; + } +} + +inline static void vecnorm(lbfgsfloatval_t* s, const lbfgsfloatval_t *x, const int n) +{ + vecdot(s, x, x, n); + *s = (lbfgsfloatval_t)sqrt(*s); +} + +inline static void vecrnorm(lbfgsfloatval_t* s, const lbfgsfloatval_t *x, const int n) +{ + vecnorm(s, x, n); + *s = (lbfgsfloatval_t)(1.0 / *s); +} diff --git a/lib/arithmetic_sse_double.h b/lib/arithmetic_sse_double.h new file mode 100644 index 0000000..d243ae8 --- /dev/null +++ b/lib/arithmetic_sse_double.h @@ -0,0 +1,275 @@ +/* + * SSE2 implementation of vector oprations (64bit double). + * + * Copyright (c) 2007,2008, Naoaki Okazaki + * All rights reserved. + * + * Permission is hereby granted, free of charge, to any person obtaining a copy + * of this software and associated documentation files (the "Software"), to deal + * in the Software without restriction, including without limitation the rights + * to use, copy, modify, merge, publish, distribute, sublicense, and/or sell + * copies of the Software, and to permit persons to whom the Software is + * furnished to do so, subject to the following conditions: + * + * The above copyright notice and this permission notice shall be included in + * all copies or substantial portions of the Software. + * + * THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR + * IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, + * FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE + * AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER + * LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, + * OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN + * THE SOFTWARE. + */ + +/* $Id$ */ + +#include +#include +#include + +#if 1400 <= _MSC_VER +#include +#endif + +inline static void* vecalloc(size_t size) +{ + void *memblock = _aligned_malloc(size, 16); + if (memblock != NULL) { + memset(memblock, 0, size); + } + return memblock; +} + +inline static void vecfree(void *memblock) +{ + _aligned_free(memblock); +} + +#define fsigndiff(x, y) \ + ((_mm_movemask_pd(_mm_set_pd(*(x), *(y))) + 1) & 0x002) + +#define vecset(x, c, n) \ +{ \ + int i; \ + __m128d XMM0 = _mm_set1_pd(c); \ + for (i = 0;i < (n);i += 8) { \ + _mm_store_pd((x)+i , XMM0); \ + _mm_store_pd((x)+i+2, XMM0); \ + _mm_store_pd((x)+i+4, XMM0); \ + _mm_store_pd((x)+i+6, XMM0); \ + } \ +} + +#define veccpy(y, x, n) \ +{ \ + int i; \ + for (i = 0;i < (n);i += 8) { \ + __m128d XMM0 = _mm_load_pd((x)+i ); \ + __m128d XMM1 = _mm_load_pd((x)+i+2); \ + __m128d XMM2 = _mm_load_pd((x)+i+4); \ + __m128d XMM3 = _mm_load_pd((x)+i+6); \ + _mm_store_pd((y)+i , XMM0); \ + _mm_store_pd((y)+i+2, XMM1); \ + _mm_store_pd((y)+i+4, XMM2); \ + _mm_store_pd((y)+i+6, XMM3); \ + } \ +} + +#define vecncpy(y, x, n) \ +{ \ + int i; \ + for (i = 0;i < (n);i += 8) { \ + __m128d XMM0 = _mm_setzero_pd(); \ + __m128d XMM1 = _mm_setzero_pd(); \ + __m128d XMM2 = _mm_setzero_pd(); \ + __m128d XMM3 = _mm_setzero_pd(); \ + __m128d XMM4 = _mm_load_pd((x)+i ); \ + __m128d XMM5 = _mm_load_pd((x)+i+2); \ + __m128d XMM6 = _mm_load_pd((x)+i+4); \ + __m128d XMM7 = _mm_load_pd((x)+i+6); \ + XMM0 = _mm_sub_pd(XMM0, XMM4); \ + XMM1 = _mm_sub_pd(XMM1, XMM5); \ + XMM2 = _mm_sub_pd(XMM2, XMM6); \ + XMM3 = _mm_sub_pd(XMM3, XMM7); \ + _mm_store_pd((y)+i , XMM0); \ + _mm_store_pd((y)+i+2, XMM1); \ + _mm_store_pd((y)+i+4, XMM2); \ + _mm_store_pd((y)+i+6, XMM3); \ + } \ +} + +#define vecadd(y, x, c, n) \ +{ \ + int i; \ + __m128d XMM7 = _mm_set1_pd(c); \ + for (i = 0;i < (n);i += 4) { \ + __m128d XMM0 = _mm_load_pd((x)+i ); \ + __m128d XMM1 = _mm_load_pd((x)+i+2); \ + __m128d XMM2 = _mm_load_pd((y)+i ); \ + __m128d XMM3 = _mm_load_pd((y)+i+2); \ + XMM0 = _mm_mul_pd(XMM0, XMM7); \ + XMM1 = _mm_mul_pd(XMM1, XMM7); \ + XMM2 = _mm_add_pd(XMM2, XMM0); \ + XMM3 = _mm_add_pd(XMM3, XMM1); \ + _mm_store_pd((y)+i , XMM2); \ + _mm_store_pd((y)+i+2, XMM3); \ + } \ +} + +#define vecdiff(z, x, y, n) \ +{ \ + int i; \ + for (i = 0;i < (n);i += 8) { \ + __m128d XMM0 = _mm_load_pd((x)+i ); \ + __m128d XMM1 = _mm_load_pd((x)+i+2); \ + __m128d XMM2 = _mm_load_pd((x)+i+4); \ + __m128d XMM3 = _mm_load_pd((x)+i+6); \ + __m128d XMM4 = _mm_load_pd((y)+i ); \ + __m128d XMM5 = _mm_load_pd((y)+i+2); \ + __m128d XMM6 = _mm_load_pd((y)+i+4); \ + __m128d XMM7 = _mm_load_pd((y)+i+6); \ + XMM0 = _mm_sub_pd(XMM0, XMM4); \ + XMM1 = _mm_sub_pd(XMM1, XMM5); \ + XMM2 = _mm_sub_pd(XMM2, XMM6); \ + XMM3 = _mm_sub_pd(XMM3, XMM7); \ + _mm_store_pd((z)+i , XMM0); \ + _mm_store_pd((z)+i+2, XMM1); \ + _mm_store_pd((z)+i+4, XMM2); \ + _mm_store_pd((z)+i+6, XMM3); \ + } \ +} + +#define vecscale(y, c, n) \ +{ \ + int i; \ + __m128d XMM7 = _mm_set1_pd(c); \ + for (i = 0;i < (n);i += 4) { \ + __m128d XMM0 = _mm_load_pd((y)+i ); \ + __m128d XMM1 = _mm_load_pd((y)+i+2); \ + XMM0 = _mm_mul_pd(XMM0, XMM7); \ + XMM1 = _mm_mul_pd(XMM1, XMM7); \ + _mm_store_pd((y)+i , XMM0); \ + _mm_store_pd((y)+i+2, XMM1); \ + } \ +} + +#define vecmul(y, x, n) \ +{ \ + int i; \ + for (i = 0;i < (n);i += 8) { \ + __m128d XMM0 = _mm_load_pd((x)+i ); \ + __m128d XMM1 = _mm_load_pd((x)+i+2); \ + __m128d XMM2 = _mm_load_pd((x)+i+4); \ + __m128d XMM3 = _mm_load_pd((x)+i+6); \ + __m128d XMM4 = _mm_load_pd((y)+i ); \ + __m128d XMM5 = _mm_load_pd((y)+i+2); \ + __m128d XMM6 = _mm_load_pd((y)+i+4); \ + __m128d XMM7 = _mm_load_pd((y)+i+6); \ + XMM4 = _mm_mul_pd(XMM4, XMM0); \ + XMM5 = _mm_mul_pd(XMM5, XMM1); \ + XMM6 = _mm_mul_pd(XMM6, XMM2); \ + XMM7 = _mm_mul_pd(XMM7, XMM3); \ + _mm_store_pd((y)+i , XMM4); \ + _mm_store_pd((y)+i+2, XMM5); \ + _mm_store_pd((y)+i+4, XMM6); \ + _mm_store_pd((y)+i+6, XMM7); \ + } \ +} + + + +#if 3 <= __SSE__ +/* + Horizontal add with haddps SSE3 instruction. The work register (rw) + is unused. + */ +#define __horizontal_sum(r, rw) \ + r = _mm_hadd_ps(r, r); \ + r = _mm_hadd_ps(r, r); + +#else +/* + Horizontal add with SSE instruction. The work register (rw) is used. + */ +#define __horizontal_sum(r, rw) \ + rw = r; \ + r = _mm_shuffle_ps(r, rw, _MM_SHUFFLE(1, 0, 3, 2)); \ + r = _mm_add_ps(r, rw); \ + rw = r; \ + r = _mm_shuffle_ps(r, rw, _MM_SHUFFLE(2, 3, 0, 1)); \ + r = _mm_add_ps(r, rw); + +#endif + +#define vecdot(s, x, y, n) \ +{ \ + int i; \ + __m128d XMM0 = _mm_setzero_pd(); \ + __m128d XMM1 = _mm_setzero_pd(); \ + __m128d XMM2, XMM3, XMM4, XMM5; \ + for (i = 0;i < (n);i += 4) { \ + XMM2 = _mm_load_pd((x)+i ); \ + XMM3 = _mm_load_pd((x)+i+2); \ + XMM4 = _mm_load_pd((y)+i ); \ + XMM5 = _mm_load_pd((y)+i+2); \ + XMM2 = _mm_mul_pd(XMM2, XMM4); \ + XMM3 = _mm_mul_pd(XMM3, XMM5); \ + XMM0 = _mm_add_pd(XMM0, XMM2); \ + XMM1 = _mm_add_pd(XMM1, XMM3); \ + } \ + XMM0 = _mm_add_pd(XMM0, XMM1); \ + XMM1 = _mm_shuffle_pd(XMM0, XMM0, _MM_SHUFFLE2(1, 1)); \ + XMM0 = _mm_add_pd(XMM0, XMM1); \ + _mm_store_sd((s), XMM0); \ +} + +#define vecnorm(s, x, n) \ +{ \ + int i; \ + __m128d XMM0 = _mm_setzero_pd(); \ + __m128d XMM1 = _mm_setzero_pd(); \ + __m128d XMM2, XMM3, XMM4, XMM5; \ + for (i = 0;i < (n);i += 4) { \ + XMM2 = _mm_load_pd((x)+i ); \ + XMM3 = _mm_load_pd((x)+i+2); \ + XMM4 = XMM2; \ + XMM5 = XMM3; \ + XMM2 = _mm_mul_pd(XMM2, XMM4); \ + XMM3 = _mm_mul_pd(XMM3, XMM5); \ + XMM0 = _mm_add_pd(XMM0, XMM2); \ + XMM1 = _mm_add_pd(XMM1, XMM3); \ + } \ + XMM0 = _mm_add_pd(XMM0, XMM1); \ + XMM1 = _mm_shuffle_pd(XMM0, XMM0, _MM_SHUFFLE2(1, 1)); \ + XMM0 = _mm_add_pd(XMM0, XMM1); \ + XMM0 = _mm_sqrt_pd(XMM0); \ + _mm_store_sd((s), XMM0); \ +} + + +#define vecrnorm(s, x, n) \ +{ \ + int i; \ + __m128d XMM0 = _mm_setzero_pd(); \ + __m128d XMM1 = _mm_setzero_pd(); \ + __m128d XMM2, XMM3, XMM4, XMM5; \ + for (i = 0;i < (n);i += 4) { \ + XMM2 = _mm_load_pd((x)+i ); \ + XMM3 = _mm_load_pd((x)+i+2); \ + XMM4 = XMM2; \ + XMM5 = XMM3; \ + XMM2 = _mm_mul_pd(XMM2, XMM4); \ + XMM3 = _mm_mul_pd(XMM3, XMM5); \ + XMM0 = _mm_add_pd(XMM0, XMM2); \ + XMM1 = _mm_add_pd(XMM1, XMM3); \ + } \ + XMM2 = _mm_set1_pd(1.0); \ + XMM0 = _mm_add_pd(XMM0, XMM1); \ + XMM1 = _mm_shuffle_pd(XMM0, XMM0, _MM_SHUFFLE2(1, 1)); \ + XMM0 = _mm_add_pd(XMM0, XMM1); \ + XMM0 = _mm_sqrt_pd(XMM0); \ + XMM2 = _mm_div_pd(XMM2, XMM0); \ + _mm_store_sd((s), XMM2); \ +} diff --git a/lib/arithmetic_sse_float.h b/lib/arithmetic_sse_float.h new file mode 100644 index 0000000..4a356bb --- /dev/null +++ b/lib/arithmetic_sse_float.h @@ -0,0 +1,283 @@ +/* + * SSE/SSE3 implementation of vector oprations (32bit float). + * + * Copyright (c) 2007,2008, Naoaki Okazaki + * All rights reserved. + * + * Permission is hereby granted, free of charge, to any person obtaining a copy + * of this software and associated documentation files (the "Software"), to deal + * in the Software without restriction, including without limitation the rights + * to use, copy, modify, merge, publish, distribute, sublicense, and/or sell + * copies of the Software, and to permit persons to whom the Software is + * furnished to do so, subject to the following conditions: + * + * The above copyright notice and this permission notice shall be included in + * all copies or substantial portions of the Software. + * + * THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR + * IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, + * FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE + * AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER + * LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, + * OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN + * THE SOFTWARE. + */ + +/* $Id$ */ + +#include +#include +#include + +#if 1400 <= _MSC_VER +#include +#endif + +#if LBFGS_FLOAT == 32 && LBFGS_IEEE_FLOAT +#define fsigndiff(x, y) (((*(uint32_t*)(x)) ^ (*(uint32_t*)(y))) & 0x80000000U) +#else +#define fsigndiff(x, y) (*(x) * (*(y) / fabs(*(y))) < 0.) +#endif/*LBFGS_IEEE_FLOAT*/ + +inline static void* vecalloc(size_t size) +{ + void *memblock = _aligned_malloc(size, 16); + if (memblock != NULL) { + memset(memblock, 0, size); + } + return memblock; +} + +inline static void vecfree(void *memblock) +{ + _aligned_free(memblock); +} + +#define vecset(x, c, n) \ +{ \ + int i; \ + __m128 XMM0 = _mm_set_ps1(c); \ + for (i = 0;i < (n);i += 16) { \ + _mm_store_ps((x)+i , XMM0); \ + _mm_store_ps((x)+i+ 4, XMM0); \ + _mm_store_ps((x)+i+ 8, XMM0); \ + _mm_store_ps((x)+i+12, XMM0); \ + } \ +} + +#define veccpy(y, x, n) \ +{ \ + int i; \ + for (i = 0;i < (n);i += 16) { \ + __m128 XMM0 = _mm_load_ps((x)+i ); \ + __m128 XMM1 = _mm_load_ps((x)+i+ 4); \ + __m128 XMM2 = _mm_load_ps((x)+i+ 8); \ + __m128 XMM3 = _mm_load_ps((x)+i+12); \ + _mm_store_ps((y)+i , XMM0); \ + _mm_store_ps((y)+i+ 4, XMM1); \ + _mm_store_ps((y)+i+ 8, XMM2); \ + _mm_store_ps((y)+i+12, XMM3); \ + } \ +} + +#define vecncpy(y, x, n) \ +{ \ + int i; \ + const uint32_t mask = 0x80000000; \ + __m128 XMM4 = _mm_load_ps1((float*)&mask); \ + for (i = 0;i < (n);i += 16) { \ + __m128 XMM0 = _mm_load_ps((x)+i ); \ + __m128 XMM1 = _mm_load_ps((x)+i+ 4); \ + __m128 XMM2 = _mm_load_ps((x)+i+ 8); \ + __m128 XMM3 = _mm_load_ps((x)+i+12); \ + XMM0 = _mm_xor_ps(XMM0, XMM4); \ + XMM1 = _mm_xor_ps(XMM1, XMM4); \ + XMM2 = _mm_xor_ps(XMM2, XMM4); \ + XMM3 = _mm_xor_ps(XMM3, XMM4); \ + _mm_store_ps((y)+i , XMM0); \ + _mm_store_ps((y)+i+ 4, XMM1); \ + _mm_store_ps((y)+i+ 8, XMM2); \ + _mm_store_ps((y)+i+12, XMM3); \ + } \ +} + +#define vecadd(y, x, c, n) \ +{ \ + int i; \ + __m128 XMM7 = _mm_set_ps1(c); \ + for (i = 0;i < (n);i += 8) { \ + __m128 XMM0 = _mm_load_ps((x)+i ); \ + __m128 XMM1 = _mm_load_ps((x)+i+4); \ + __m128 XMM2 = _mm_load_ps((y)+i ); \ + __m128 XMM3 = _mm_load_ps((y)+i+4); \ + XMM0 = _mm_mul_ps(XMM0, XMM7); \ + XMM1 = _mm_mul_ps(XMM1, XMM7); \ + XMM2 = _mm_add_ps(XMM2, XMM0); \ + XMM3 = _mm_add_ps(XMM3, XMM1); \ + _mm_store_ps((y)+i , XMM2); \ + _mm_store_ps((y)+i+4, XMM3); \ + } \ +} + +#define vecdiff(z, x, y, n) \ +{ \ + int i; \ + for (i = 0;i < (n);i += 16) { \ + __m128 XMM0 = _mm_load_ps((x)+i ); \ + __m128 XMM1 = _mm_load_ps((x)+i+ 4); \ + __m128 XMM2 = _mm_load_ps((x)+i+ 8); \ + __m128 XMM3 = _mm_load_ps((x)+i+12); \ + __m128 XMM4 = _mm_load_ps((y)+i ); \ + __m128 XMM5 = _mm_load_ps((y)+i+ 4); \ + __m128 XMM6 = _mm_load_ps((y)+i+ 8); \ + __m128 XMM7 = _mm_load_ps((y)+i+12); \ + XMM0 = _mm_sub_ps(XMM0, XMM4); \ + XMM1 = _mm_sub_ps(XMM1, XMM5); \ + XMM2 = _mm_sub_ps(XMM2, XMM6); \ + XMM3 = _mm_sub_ps(XMM3, XMM7); \ + _mm_store_ps((z)+i , XMM0); \ + _mm_store_ps((z)+i+ 4, XMM1); \ + _mm_store_ps((z)+i+ 8, XMM2); \ + _mm_store_ps((z)+i+12, XMM3); \ + } \ +} + +#define vecscale(y, c, n) \ +{ \ + int i; \ + __m128 XMM7 = _mm_set_ps1(c); \ + for (i = 0;i < (n);i += 8) { \ + __m128 XMM0 = _mm_load_ps((y)+i ); \ + __m128 XMM1 = _mm_load_ps((y)+i+4); \ + XMM0 = _mm_mul_ps(XMM0, XMM7); \ + XMM1 = _mm_mul_ps(XMM1, XMM7); \ + _mm_store_ps((y)+i , XMM0); \ + _mm_store_ps((y)+i+4, XMM1); \ + } \ +} + +#define vecmul(y, x, n) \ +{ \ + int i; \ + for (i = 0;i < (n);i += 16) { \ + __m128 XMM0 = _mm_load_ps((x)+i ); \ + __m128 XMM1 = _mm_load_ps((x)+i+ 4); \ + __m128 XMM2 = _mm_load_ps((x)+i+ 8); \ + __m128 XMM3 = _mm_load_ps((x)+i+12); \ + __m128 XMM4 = _mm_load_ps((y)+i ); \ + __m128 XMM5 = _mm_load_ps((y)+i+ 4); \ + __m128 XMM6 = _mm_load_ps((y)+i+ 8); \ + __m128 XMM7 = _mm_load_ps((y)+i+12); \ + XMM4 = _mm_mul_ps(XMM4, XMM0); \ + XMM5 = _mm_mul_ps(XMM5, XMM1); \ + XMM6 = _mm_mul_ps(XMM6, XMM2); \ + XMM7 = _mm_mul_ps(XMM7, XMM3); \ + _mm_store_ps((y)+i , XMM4); \ + _mm_store_ps((y)+i+ 4, XMM5); \ + _mm_store_ps((y)+i+ 8, XMM6); \ + _mm_store_ps((y)+i+12, XMM7); \ + } \ +} + + + +#if 3 <= __SSE__ +/* + Horizontal add with haddps SSE3 instruction. The work register (rw) + is unused. + */ +#define __horizontal_sum(r, rw) \ + r = _mm_hadd_ps(r, r); \ + r = _mm_hadd_ps(r, r); + +#else +/* + Horizontal add with SSE instruction. The work register (rw) is used. + */ +#define __horizontal_sum(r, rw) \ + rw = r; \ + r = _mm_shuffle_ps(r, rw, _MM_SHUFFLE(1, 0, 3, 2)); \ + r = _mm_add_ps(r, rw); \ + rw = r; \ + r = _mm_shuffle_ps(r, rw, _MM_SHUFFLE(2, 3, 0, 1)); \ + r = _mm_add_ps(r, rw); + +#endif + +#define vecdot(s, x, y, n) \ +{ \ + int i; \ + __m128 XMM0 = _mm_setzero_ps(); \ + __m128 XMM1 = _mm_setzero_ps(); \ + __m128 XMM2, XMM3, XMM4, XMM5; \ + for (i = 0;i < (n);i += 8) { \ + XMM2 = _mm_load_ps((x)+i ); \ + XMM3 = _mm_load_ps((x)+i+4); \ + XMM4 = _mm_load_ps((y)+i ); \ + XMM5 = _mm_load_ps((y)+i+4); \ + XMM2 = _mm_mul_ps(XMM2, XMM4); \ + XMM3 = _mm_mul_ps(XMM3, XMM5); \ + XMM0 = _mm_add_ps(XMM0, XMM2); \ + XMM1 = _mm_add_ps(XMM1, XMM3); \ + } \ + XMM0 = _mm_add_ps(XMM0, XMM1); \ + __horizontal_sum(XMM0, XMM1); \ + _mm_store_ss((s), XMM0); \ +} + +#define vecnorm(s, x, n) \ +{ \ + int i; \ + __m128 XMM0 = _mm_setzero_ps(); \ + __m128 XMM1 = _mm_setzero_ps(); \ + __m128 XMM2, XMM3; \ + for (i = 0;i < (n);i += 8) { \ + XMM2 = _mm_load_ps((x)+i ); \ + XMM3 = _mm_load_ps((x)+i+4); \ + XMM2 = _mm_mul_ps(XMM2, XMM2); \ + XMM3 = _mm_mul_ps(XMM3, XMM3); \ + XMM0 = _mm_add_ps(XMM0, XMM2); \ + XMM1 = _mm_add_ps(XMM1, XMM3); \ + } \ + XMM0 = _mm_add_ps(XMM0, XMM1); \ + __horizontal_sum(XMM0, XMM1); \ + XMM2 = XMM0; \ + XMM1 = _mm_rsqrt_ss(XMM0); \ + XMM3 = XMM1; \ + XMM1 = _mm_mul_ss(XMM1, XMM1); \ + XMM1 = _mm_mul_ss(XMM1, XMM3); \ + XMM1 = _mm_mul_ss(XMM1, XMM0); \ + XMM1 = _mm_mul_ss(XMM1, _mm_set_ss(-0.5f)); \ + XMM3 = _mm_mul_ss(XMM3, _mm_set_ss(1.5f)); \ + XMM3 = _mm_add_ss(XMM3, XMM1); \ + XMM3 = _mm_mul_ss(XMM3, XMM2); \ + _mm_store_ss((s), XMM3); \ +} + +#define vecrnorm(s, x, n) \ +{ \ + int i; \ + __m128 XMM0 = _mm_setzero_ps(); \ + __m128 XMM1 = _mm_setzero_ps(); \ + __m128 XMM2, XMM3; \ + for (i = 0;i < (n);i += 16) { \ + XMM2 = _mm_load_ps((x)+i ); \ + XMM3 = _mm_load_ps((x)+i+4); \ + XMM2 = _mm_mul_ps(XMM2, XMM2); \ + XMM3 = _mm_mul_ps(XMM3, XMM3); \ + XMM0 = _mm_add_ps(XMM0, XMM2); \ + XMM1 = _mm_add_ps(XMM1, XMM3); \ + } \ + XMM0 = _mm_add_ps(XMM0, XMM1); \ + __horizontal_sum(XMM0, XMM1); \ + XMM2 = XMM0; \ + XMM1 = _mm_rsqrt_ss(XMM0); \ + XMM3 = XMM1; \ + XMM1 = _mm_mul_ss(XMM1, XMM1); \ + XMM1 = _mm_mul_ss(XMM1, XMM3); \ + XMM1 = _mm_mul_ss(XMM1, XMM0); \ + XMM1 = _mm_mul_ss(XMM1, _mm_set_ss(-0.5f)); \ + XMM3 = _mm_mul_ss(XMM3, _mm_set_ss(1.5f)); \ + XMM3 = _mm_add_ss(XMM3, XMM1); \ + _mm_store_ss((s), XMM3); \ +} diff --git a/lib/lbfgs.c b/lib/lbfgs.c new file mode 100644 index 0000000..ca95380 --- /dev/null +++ b/lib/lbfgs.c @@ -0,0 +1,1144 @@ +/* + * Limited memory BFGS (L-BFGS). + * + * Copyright (c) 1990, Jorge Nocedal + * Copyright (c) 2007,2008, Naoaki Okazaki + * All rights reserved. + * + * Permission is hereby granted, free of charge, to any person obtaining a copy + * of this software and associated documentation files (the "Software"), to deal + * in the Software without restriction, including without limitation the rights + * to use, copy, modify, merge, publish, distribute, sublicense, and/or sell + * copies of the Software, and to permit persons to whom the Software is + * furnished to do so, subject to the following conditions: + * + * The above copyright notice and this permission notice shall be included in + * all copies or substantial portions of the Software. + * + * THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR + * IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, + * FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE + * AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER + * LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, + * OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN + * THE SOFTWARE. + */ + +/* $Id$ */ + +/* +This library is a C port of the FORTRAN implementation of Limited-memory +Broyden-Fletcher-Goldfarb-Shanno (L-BFGS) method written by Jorge Nocedal. +The original FORTRAN source code is available at: +http://www.ece.northwestern.edu/~nocedal/lbfgs.html + +The L-BFGS algorithm is described in: + - Jorge Nocedal. + Updating Quasi-Newton Matrices with Limited Storage. + Mathematics of Computation, Vol. 35, No. 151, pp. 773--782, 1980. + - Dong C. Liu and Jorge Nocedal. + On the limited memory BFGS method for large scale optimization. + Mathematical Programming B, Vol. 45, No. 3, pp. 503-528, 1989. + +The line search algorithms used in this implementation are described in: + - John E. Dennis and Robert B. Schnabel. + Numerical Methods for Unconstrained Optimization and Nonlinear + Equations, Englewood Cliffs, 1983. + - Jorge J. More and David J. Thuente. + Line search algorithm with guaranteed sufficient decrease. + ACM Transactions on Mathematical Software (TOMS), Vol. 20, No. 3, + pp. 286-307, 1994. + +This library also implements Orthant-Wise Limited-memory Quasi-Newton (OW-LQN) +method presented in: + - Galen Andrew and Jianfeng Gao. + Scalable training of L1-regularized log-linear models. + In Proceedings of the 24th International Conference on Machine + Learning (ICML 2007), pp. 33-40, 2007. + +I would like to thank the original author, Jorge Nocedal, who has been +distributing the effieicnt and explanatory implementation in an open source +licence. +*/ + +#ifdef HAVE_CONFIG_H +#include +#endif/*HAVE_CONFIG_H*/ + +#include +#include +#include + +#include + +#ifdef _MSC_VER +#define inline __inline +typedef unsigned int uint32_t; +#endif/*_MSC_VER*/ + +#if defined(USE_SSE) && defined(__SSE__) && LBFGS_FLOAT == 32 +/* Use SSE optimization for 32bit float precision. */ +#include "arithmetic_sse_float.h" + +#elif defined(USE_SSE) && defined(__SSE__) && LBFGS_FLOAT == 64 +/* Use SSE2 optimization for 64bit double precision. */ +#include "arithmetic_sse_double.h" + +#else +/* No CPU specific optimization. */ +#include "arithmetic_ansi.h" + +#endif + +#define min2(a, b) ((a) <= (b) ? (a) : (b)) +#define max2(a, b) ((a) >= (b) ? (a) : (b)) +#define max3(a, b, c) max2(max2((a), (b)), (c)); + +struct tag_iteration_data { + lbfgsfloatval_t alpha; + lbfgsfloatval_t *s; /* [n] */ + lbfgsfloatval_t *y; /* [n] */ + lbfgsfloatval_t ys; /* vecdot(y, s) */ +}; +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, +}; + +/* Forward function declarations. */ + +typedef int (*line_search_proc)( + int n, + lbfgsfloatval_t *x, + lbfgsfloatval_t *f, + lbfgsfloatval_t *g, + lbfgsfloatval_t *s, + lbfgsfloatval_t *stp, + lbfgsfloatval_t *wa, + lbfgs_evaluate_t proc_evaluate, + void *instance, + const lbfgs_parameter_t *param + ); + +static int line_search_backtracking( + int n, + lbfgsfloatval_t *x, + lbfgsfloatval_t *f, + lbfgsfloatval_t *g, + lbfgsfloatval_t *s, + lbfgsfloatval_t *stp, + lbfgsfloatval_t *wa, + lbfgs_evaluate_t proc_evaluate, + void *instance, + const lbfgs_parameter_t *param + ); + +static int line_search_morethuente( + int n, + lbfgsfloatval_t *x, + lbfgsfloatval_t *f, + lbfgsfloatval_t *g, + lbfgsfloatval_t *s, + lbfgsfloatval_t *stp, + lbfgsfloatval_t *wa, + lbfgs_evaluate_t proc_evaluate, + void *instance, + const lbfgs_parameter_t *param + ); + +static int update_trial_interval( + lbfgsfloatval_t *x, + lbfgsfloatval_t *fx, + lbfgsfloatval_t *dx, + lbfgsfloatval_t *y, + lbfgsfloatval_t *fy, + lbfgsfloatval_t *dy, + lbfgsfloatval_t *t, + lbfgsfloatval_t *ft, + lbfgsfloatval_t *dt, + const lbfgsfloatval_t tmin, + const lbfgsfloatval_t tmax, + int *brackt + ); + + + + +void lbfgs_parameter_init(lbfgs_parameter_t *param) +{ + memcpy(param, &_defparam, sizeof(*param)); +} + +int lbfgs( + const 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 + ) +{ + int ret; + int i, j, k, ls, end, bound; + lbfgsfloatval_t step; + + /* Constant parameters and their default values. */ + const 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; + iteration_data_t *lm = NULL, *it = NULL; + lbfgsfloatval_t ys, yy; + lbfgsfloatval_t norm, xnorm, gnorm, beta; + lbfgsfloatval_t fx = 0.; + line_search_proc linesearch = line_search_morethuente; + + /* Check the input parameters for errors. */ + if (n <= 0) { + return LBFGSERR_INVALID_N; + } +#if defined(USE_SSE) && defined(__SSE__) + if (n % 8 != 0) { + return LBFGSERR_INVALID_N_SSE; + } +#endif/*defined(__SSE__)*/ + if (param->min_step < 0.) { + return LBFGSERR_INVALID_MINSTEP; + } + if (param->max_step < param->min_step) { + return LBFGSERR_INVALID_MAXSTEP; + } + if (param->ftol < 0.) { + return LBFGSERR_INVALID_FTOL; + } + if (param->gtol < 0.) { + return LBFGSERR_INVALID_GTOL; + } + if (param->xtol < 0.) { + return LBFGSERR_INVALID_XTOL; + } + if (param->max_linesearch <= 0) { + return LBFGSERR_INVALID_MAXLINESEARCH; + } + if (param->orthantwise_c < 0.) { + return LBFGSERR_INVALID_ORTHANTWISE; + } + switch (param->linesearch) { + case LBFGS_LINESEARCH_MORETHUENTE: + linesearch = line_search_morethuente; + break; + case LBFGS_LINESEARCH_BACKTRACKING: + linesearch = line_search_backtracking; + break; + default: + return LBFGSERR_INVALID_LINESEARCH; + } + + /* Allocate working space. */ + xp = (lbfgsfloatval_t*)vecalloc(n * sizeof(lbfgsfloatval_t)); + g = (lbfgsfloatval_t*)vecalloc(n * sizeof(lbfgsfloatval_t)); + gp = (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) { + ret = LBFGSERR_OUTOFMEMORY; + goto lbfgs_exit; + } + + /* Allocate limited memory storage. */ + lm = (iteration_data_t*)vecalloc(m * sizeof(iteration_data_t)); + if (lm == NULL) { + ret = LBFGSERR_OUTOFMEMORY; + goto lbfgs_exit; + } + + /* Initialize the limited memory. */ + for (i = 0;i < m;++i) { + it = &lm[i]; + it->alpha = 0; + it->ys = 0; + it->s = (lbfgsfloatval_t*)vecalloc(n * sizeof(lbfgsfloatval_t)); + it->y = (lbfgsfloatval_t*)vecalloc(n * sizeof(lbfgsfloatval_t)); + if (it->s == NULL || it->y == NULL) { + ret = LBFGSERR_OUTOFMEMORY; + goto lbfgs_exit; + } + } + + /* Evaluate the function value and its gradient. */ + fx = proc_evaluate(instance, x, g, n, 0); + if (0. < param->orthantwise_c) { + /* Compute L1-regularization factor and add it to the object value. */ + norm = 0.; + for (i = 0;i < n;++i) { + norm += fabs(x[i]); + } + fx += norm * param->orthantwise_c; + } + + /* We assume the initial hessian matrix H_0 as the identity matrix. */ + if (param->orthantwise_c == 0.) { + vecncpy(d, g, n); + } else { + /* Compute the negative of psuedo-gradients. */ + for (i = 0;i < n;++i) { + if (x[i] < 0.) { + /* Differentiable. */ + d[i] = -g[i] + param->orthantwise_c; + } else if (0. < x[i]) { + /* Differentiable. */ + d[i] = -g[i] - param->orthantwise_c; + } else { + if (g[i] < -param->orthantwise_c) { + /* Take the right partial derivative. */ + d[i] = -g[i] - param->orthantwise_c; + } else if (param->orthantwise_c < g[i]) { + /* Take the left partial derivative. */ + d[i] = -g[i] + param->orthantwise_c; + } else { + d[i] = 0.; + } + } + } + } + + /* Compute the initial step: + step = 1.0 / sqrt(vecdot(d, d, n)) + */ + vecrnorm(&step, d, n); + + k = 1; + end = 0; + for (;;) { + /* Store the current position and gradient vectors. */ + veccpy(xp, x, n); + veccpy(gp, g, n); + + /* Search for an optimal step. */ + ls = linesearch( + n, x, &fx, g, d, &step, w, proc_evaluate, instance, param); + if (ls < 0) { + ret = ls; + goto lbfgs_exit; + } + + /* Compute x and g norms. */ + vecnorm(&gnorm, g, n); + vecnorm(&xnorm, x, n); + + /* Report the progress. */ + if (proc_progress) { + if (ret = proc_progress(instance, x, g, fx, xnorm, gnorm, step, n, k, ls)) { + goto lbfgs_exit; + } + } + + /* + Convergence test. + The criterion is given by the following formula: + |g(x)| / \max(1, |x|) < \epsilon + */ + if (xnorm < 1.0) xnorm = 1.0; + if (gnorm / xnorm <= param->epsilon) { + /* Convergence. */ + ret = 0; + break; + } + + if (param->max_iterations != 0 && param->max_iterations < k+1) { + /* Maximum number of iterations. */ + ret = LBFGSERR_MAXIMUMITERATION; + break; + } + + /* + Update vectors s and y: + s_{k+1} = x_{k+1} - x_{k} = \step * d_{k}. + y_{k+1} = g_{k+1} - g_{k}. + */ + it = &lm[end]; + vecdiff(it->s, x, xp, n); + vecdiff(it->y, g, gp, n); + + /* + Compute scalars ys and yy: + ys = y^t \cdot s = 1 / \rho. + yy = y^t \cdot y. + Notice that yy is used for scaling the hessian matrix H_0 (Cholesky factor). + */ + vecdot(&ys, it->y, it->s, n); + vecdot(&yy, it->y, it->y, n); + it->ys = ys; + + /* + Recursive formula to compute dir = -(H \cdot g). + This is described in page 779 of: + Jorge Nocedal. + Updating Quasi-Newton Matrices with Limited Storage. + Mathematics of Computation, Vol. 35, No. 151, + pp. 773--782, 1980. + */ + bound = (m <= k) ? m : k; + ++k; + end = (end + 1) % m; + + if (param->orthantwise_c == 0.) { + /* Compute the negative of gradients. */ + vecncpy(d, g, n); + } else { + /* Compute the negative of psuedo-gradients. */ + for (i = 0;i < n;++i) { + if (x[i] < 0.) { + /* Differentiable. */ + d[i] = -g[i] + param->orthantwise_c; + } else if (0. < x[i]) { + /* Differentiable. */ + d[i] = -g[i] - param->orthantwise_c; + } else { + if (g[i] < -param->orthantwise_c) { + /* Take the right partial derivative. */ + d[i] = -g[i] - param->orthantwise_c; + } else if (param->orthantwise_c < g[i]) { + /* Take the left partial derivative. */ + d[i] = -g[i] + param->orthantwise_c; + } else { + d[i] = 0.; + } + } + } + /* Store the steepest direction.*/ + veccpy(w, d, n); + } + + j = end; + for (i = 0;i < bound;++i) { + j = (j + m - 1) % m; /* if (--j == -1) j = m-1; */ + it = &lm[j]; + /* \alpha_{j} = \rho_{j} s^{t}_{j} \cdot q_{k+1}. */ + vecdot(&it->alpha, it->s, d, n); + it->alpha /= it->ys; + /* q_{i} = q_{i+1} - \alpha_{i} y_{i}. */ + vecadd(d, it->y, -it->alpha, n); + } + + vecscale(d, ys / yy, n); + + for (i = 0;i < bound;++i) { + it = &lm[j]; + /* \beta_{j} = \rho_{j} y^t_{j} \cdot \gamma_{i}. */ + vecdot(&beta, it->y, d, n); + beta /= it->ys; + /* \gamma_{i+1} = \gamma_{i} + (\alpha_{j} - \beta_{j}) s_{j}. */ + vecadd(d, it->s, it->alpha - beta, n); + j = (j + 1) % m; /* if (++j == m) j = 0; */ + } + + /* + Constrain the search direction for orthant-wise updates. + */ + if (param->orthantwise_c != 0.) { + for (i = 0;i < n;++i) { + if (d[i] * w[i] <= 0) { + d[i] = 0; + } + } + } + + /* + Now the search direction d is ready. We try step = 1 first. + */ + step = 1.0; + } + +lbfgs_exit: + /* Return the final value of the objective function. */ + if (ptr_fx != NULL) { + *ptr_fx = fx; + } + + /* Free memory blocks used by this function. */ + if (lm != NULL) { + for (i = 0;i < m;++i) { + vecfree(lm[i].s); + vecfree(lm[i].y); + } + vecfree(lm); + } + vecfree(w); + vecfree(d); + vecfree(gp); + vecfree(g); + vecfree(xp); + + return ret; +} + + + +static int line_search_backtracking( + int n, + lbfgsfloatval_t *x, + lbfgsfloatval_t *f, + lbfgsfloatval_t *g, + lbfgsfloatval_t *s, + lbfgsfloatval_t *stp, + lbfgsfloatval_t *xp, + lbfgs_evaluate_t proc_evaluate, + void *instance, + const lbfgs_parameter_t *param + ) +{ + int i, ret = 0, count = 0; + lbfgsfloatval_t width = 0.5, norm = 0.; + lbfgsfloatval_t finit, dginit = 0., dgtest; + + /* Check the input parameters for errors. */ + if (*stp <= 0.) { + return LBFGSERR_INVALIDPARAMETERS; + } + + /* 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) { + /* Notice that: + (-s[i] < 0) <==> (g[i] < -param->orthantwise_c) + (-s[i] > 0) <==> (param->orthantwise_c < g[i]) + as the result of the lbfgs() function for orthant-wise updates. + */ + if (s[i] != 0.) { + if (x[i] < 0.) { + /* Differentiable. */ + dginit += s[i] * (g[i] - param->orthantwise_c); + } else if (0. < x[i]) { + /* Differentiable. */ + dginit += s[i] * (g[i] + param->orthantwise_c); + } else if (s[i] < 0.) { + /* Take the left partial derivative. */ + dginit += s[i] * (g[i] - param->orthantwise_c); + } else if (0. < s[i]) { + /* Take the right partial derivative. */ + dginit += s[i] * (g[i] + param->orthantwise_c); + } + } + } + } else { + vecdot(&dginit, g, s, n); + } + + /* Make sure that s points to a descent direction. */ + if (0 < dginit) { + return LBFGSERR_INCREASEGRADIENT; + } + + /* The initial value of the objective function. */ + finit = *f; + dgtest = param->ftol * dginit; + + /* Copy the value of x to the work area. */ + veccpy(xp, x, n); + + for (;;) { + veccpy(x, xp, n); + vecadd(x, s, *stp, n); + + if (param->orthantwise_c != 0.) { + /* The current point is projected onto the orthant of the initial one. */ + for (i = 0;i < n;++i) { + if (x[i] * xp[i] < 0.) { + x[i] = 0.; + } + } + } + + /* Evaluate the function and gradient values. */ + *f = proc_evaluate(instance, x, g, n, *stp); + if (0. < param->orthantwise_c) { + /* Compute L1-regularization factor and add it to the object value. */ + norm = 0.; + for (i = 0;i < n;++i) { + norm += fabs(x[i]); + } + *f += norm * param->orthantwise_c; + } + + ++count; + + if (*f <= finit + *stp * dgtest) { + /* The sufficient decrease condition. */ + return count; + } + if (*stp < param->min_step) { + /* The step is the minimum value. */ + ret = LBFGSERR_MINIMUMSTEP; + break; + } + if (param->max_linesearch <= count) { + /* Maximum number of iteration. */ + ret = LBFGSERR_MAXIMUMLINESEARCH; + break; + } + + (*stp) *= width; + } + + /* Revert to the previous position. */ + veccpy(x, xp, n); + return ret; +} + + + +static int line_search_morethuente( + int n, + lbfgsfloatval_t *x, + lbfgsfloatval_t *f, + lbfgsfloatval_t *g, + lbfgsfloatval_t *s, + lbfgsfloatval_t *stp, + lbfgsfloatval_t *wa, + lbfgs_evaluate_t proc_evaluate, + void *instance, + const lbfgs_parameter_t *param + ) +{ + int i, count = 0; + int brackt, stage1, uinfo = 0; + lbfgsfloatval_t dg, norm; + lbfgsfloatval_t stx, fx, dgx; + lbfgsfloatval_t sty, fy, dgy; + lbfgsfloatval_t fxm, dgxm, fym, dgym, fm, dgm; + lbfgsfloatval_t finit, ftest1, dginit, dgtest; + lbfgsfloatval_t width, prev_width; + lbfgsfloatval_t stmin, stmax; + + /* Check the input parameters for errors. */ + if (*stp <= 0.) { + return LBFGSERR_INVALIDPARAMETERS; + } + + /* Compute the initial gradient in the search direction. */ + if (param->orthantwise_c != 0.) { + /* Use psuedo-gradients for orthant-wise updates. */ + dginit = 0.; + for (i = 0;i < n;++i) { + /* Notice that: + (-s[i] < 0) <==> (g[i] < -param->orthantwise_c) + (-s[i] > 0) <==> (param->orthantwise_c < g[i]) + as the result of the lbfgs() function for orthant-wise updates. + */ + if (s[i] != 0.) { + if (x[i] < 0.) { + /* Differentiable. */ + dginit += s[i] * (g[i] - param->orthantwise_c); + } else if (0. < x[i]) { + /* Differentiable. */ + dginit += s[i] * (g[i] + param->orthantwise_c); + } else if (s[i] < 0.) { + /* Take the left partial derivative. */ + dginit += s[i] * (g[i] - param->orthantwise_c); + } else if (0. < s[i]) { + /* Take the right partial derivative. */ + dginit += s[i] * (g[i] + param->orthantwise_c); + } + } + } + } else { + vecdot(&dginit, g, s, n); + } + + /* Make sure that s points to a descent direction. */ + if (0 < dginit) { + return LBFGSERR_INCREASEGRADIENT; + } + + /* Initialize local variables. */ + brackt = 0; + stage1 = 1; + finit = *f; + dgtest = param->ftol * dginit; + width = param->max_step - param->min_step; + prev_width = 2.0 * width; + + /* Copy the value of x to the work area. */ + veccpy(wa, x, n); + + /* + The variables stx, fx, dgx contain the values of the step, + function, and directional derivative at the best step. + The variables sty, fy, dgy contain the value of the step, + function, and derivative at the other endpoint of + the interval of uncertainty. + The variables stp, f, dg contain the values of the step, + function, and derivative at the current step. + */ + stx = sty = 0.; + fx = fy = finit; + dgx = dgy = dginit; + + for (;;) { + /* + Set the minimum and maximum steps to correspond to the + present interval of uncertainty. + */ + if (brackt) { + stmin = min2(stx, sty); + stmax = max2(stx, sty); + } else { + stmin = stx; + stmax = *stp + 4.0 * (*stp - stx); + } + + /* Clip the step in the range of [stpmin, stpmax]. */ + if (*stp < param->min_step) *stp = param->min_step; + if (param->max_step < *stp) *stp = param->max_step; + + /* + If an unusual termination is to occur then let + stp be the lowest point obtained so far. + */ + if ((brackt && ((*stp <= stmin || stmax <= *stp) || param->max_linesearch <= count + 1 || uinfo != 0)) || (brackt && (stmax - stmin <= param->xtol * stmax))) { + *stp = stx; + } + + /* + Compute the current value of x: + x <- x + (*stp) * s. + */ + veccpy(x, wa, n); + vecadd(x, s, *stp, n); + + if (param->orthantwise_c != 0.) { + /* The current point is projected onto the orthant of the previous one. */ + for (i = 0;i < n;++i) { + if (x[i] * wa[i] < 0.) { + x[i] = 0.; + } + } + } + + /* Evaluate the function and gradient values. */ + *f = proc_evaluate(instance, x, g, n, *stp); + if (0. < param->orthantwise_c) { + /* Compute L1-regularization factor and add it to the object value. */ + norm = 0.; + for (i = 0;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) { + if (x[i] < 0.) { + /* Differentiable. */ + dg += s[i] * (g[i] - param->orthantwise_c); + } else if (0. < x[i]) { + /* Differentiable. */ + dg += s[i] * (g[i] + param->orthantwise_c); + } else { + if (g[i] < -param->orthantwise_c) { + /* Take the right partial derivative. */ + dg += s[i] * (g[i] + param->orthantwise_c); + } else if (param->orthantwise_c < g[i]) { + /* Take the left partial derivative. */ + dg += s[i] * (g[i] - param->orthantwise_c); + } else { + /* dg += 0.; */ + } + } + } + } else { + vecdot(&dg, g, s, n); + } + ftest1 = finit + *stp * dgtest; + ++count; + + /* Test for errors and convergence. */ + if (brackt && ((*stp <= stmin || stmax <= *stp) || uinfo != 0)) { + /* Rounding errors prevent further progress. */ + return LBFGSERR_ROUNDING_ERROR; + } + if (*stp == param->max_step && *f <= ftest1 && dg <= dgtest) { + /* The step is the maximum value. */ + return LBFGSERR_MAXIMUMSTEP; + } + if (*stp == param->min_step && (ftest1 < *f || dgtest <= dg)) { + /* The step is the minimum value. */ + return LBFGSERR_MINIMUMSTEP; + } + if (brackt && (stmax - stmin) <= param->xtol * stmax) { + /* Relative width of the interval of uncertainty is at most xtol. */ + return LBFGSERR_WIDTHTOOSMALL; + } + if (param->max_linesearch <= count) { + /* Maximum number of iteration. */ + return LBFGSERR_MAXIMUMLINESEARCH; + } + if (*f <= ftest1 && fabs(dg) <= param->gtol * (-dginit)) { + /* The sufficient decrease condition and the directional derivative condition hold. */ + return count; + } + + /* + In the first stage we seek a step for which the modified + function has a nonpositive value and nonnegative derivative. + */ + if (stage1 && *f <= ftest1 && min2(param->ftol, param->gtol) * dginit <= dg) { + stage1 = 0; + } + + /* + A modified function is used to predict the step only if + we have not obtained a step for which the modified + function has a nonpositive function value and nonnegative + derivative, and if a lower function value has been + obtained but the decrease is not sufficient. + */ + if (stage1 && ftest1 < *f && *f <= fx) { + /* Define the modified function and derivative values. */ + fm = *f - *stp * dgtest; + fxm = fx - stx * dgtest; + fym = fy - sty * dgtest; + dgm = dg - dgtest; + dgxm = dgx - dgtest; + dgym = dgy - dgtest; + + /* + Call update_trial_interval() to update the interval of + uncertainty and to compute the new step. + */ + uinfo = update_trial_interval( + &stx, &fxm, &dgxm, + &sty, &fym, &dgym, + stp, &fm, &dgm, + stmin, stmax, &brackt + ); + + /* Reset the function and gradient values for f. */ + fx = fxm + stx * dgtest; + fy = fym + sty * dgtest; + dgx = dgxm + dgtest; + dgy = dgym + dgtest; + } else { + /* + Call update_trial_interval() to update the interval of + uncertainty and to compute the new step. + */ + uinfo = update_trial_interval( + &stx, &fx, &dgx, + &sty, &fy, &dgy, + stp, f, &dg, + stmin, stmax, &brackt + ); + } + + /* + Force a sufficient decrease in the interval of uncertainty. + */ + if (brackt) { + if (0.66 * prev_width <= fabs(sty - stx)) { + *stp = stx + 0.5 * (sty - stx); + } + prev_width = width; + width = fabs(sty - stx); + } + } + + return LBFGSERR_LOGICERROR; +} + + + +/** + * Define the local variables for computing minimizers. + */ +#define USES_MINIMIZER \ + lbfgsfloatval_t a, d, gamma, theta, p, q, r, s; + +/** + * Find a minimizer of an interpolated cubic function. + * @param cm The minimizer of the interpolated cubic. + * @param u The value of one point, u. + * @param fu The value of f(u). + * @param du The value of f'(u). + * @param v The value of another point, v. + * @param fv The value of f(v). + * @param du The value of f'(v). + */ +#define CUBIC_MINIMIZER(cm, u, fu, du, v, fv, dv) \ + d = (v) - (u); \ + theta = ((fu) - (fv)) * 3 / d + (du) + (dv); \ + p = fabs(theta); \ + q = fabs(du); \ + r = fabs(dv); \ + s = max3(p, q, r); \ + /* gamma = s*sqrt((theta/s)**2 - (du/s) * (dv/s)) */ \ + a = theta / s; \ + gamma = s * sqrt(a * a - ((du) / s) * ((dv) / s)); \ + if ((v) < (u)) gamma = -gamma; \ + p = gamma - (du) + theta; \ + q = gamma - (du) + gamma + (dv); \ + r = p / q; \ + (cm) = (u) + r * d; + +/** + * Find a minimizer of an interpolated cubic function. + * @param cm The minimizer of the interpolated cubic. + * @param u The value of one point, u. + * @param fu The value of f(u). + * @param du The value of f'(u). + * @param v The value of another point, v. + * @param fv The value of f(v). + * @param du The value of f'(v). + * @param xmin The maximum value. + * @param xmin The minimum value. + */ +#define CUBIC_MINIMIZER2(cm, u, fu, du, v, fv, dv, xmin, xmax) \ + d = (v) - (u); \ + theta = ((fu) - (fv)) * 3 / d + (du) + (dv); \ + p = fabs(theta); \ + q = fabs(du); \ + r = fabs(dv); \ + s = max3(p, q, r); \ + /* gamma = s*sqrt((theta/s)**2 - (du/s) * (dv/s)) */ \ + a = theta / s; \ + gamma = s * sqrt(max2(0, a * a - ((du) / s) * ((dv) / s))); \ + if ((u) < (v)) gamma = -gamma; \ + p = gamma - (dv) + theta; \ + q = gamma - (dv) + gamma + (du); \ + r = p / q; \ + if (r < 0. && gamma != 0.) { \ + (cm) = (v) - r * d; \ + } else if (a < 0) { \ + (cm) = (xmax); \ + } else { \ + (cm) = (xmin); \ + } + +/** + * Find a minimizer of an interpolated quadratic function. + * @param qm The minimizer of the interpolated quadratic. + * @param u The value of one point, u. + * @param fu The value of f(u). + * @param du The value of f'(u). + * @param v The value of another point, v. + * @param fv The value of f(v). + */ +#define QUARD_MINIMIZER(qm, u, fu, du, v, fv) \ + a = (v) - (u); \ + (qm) = (u) + (du) / (((fu) - (fv)) / a + (du)) / 2 * a; + +/** + * Find a minimizer of an interpolated quadratic function. + * @param qm The minimizer of the interpolated quadratic. + * @param u The value of one point, u. + * @param du The value of f'(u). + * @param v The value of another point, v. + * @param dv The value of f'(v). + */ +#define QUARD_MINIMIZER2(qm, u, du, v, dv) \ + a = (u) - (v); \ + (qm) = (v) + (dv) / ((dv) - (du)) * a; + +/** + * Update a safeguarded trial value and interval for line search. + * + * The parameter x represents the step with the least function value. + * The parameter t represents the current step. This function assumes + * that the derivative at the point of x in the direction of the step. + * If the bracket is set to true, the minimizer has been bracketed in + * an interval of uncertainty with endpoints between x and y. + * + * @param x The pointer to the value of one endpoint. + * @param fx The pointer to the value of f(x). + * @param dx The pointer to the value of f'(x). + * @param y The pointer to the value of another endpoint. + * @param fy The pointer to the value of f(y). + * @param dy The pointer to the value of f'(y). + * @param t The pointer to the value of the trial value, t. + * @param ft The pointer to the value of f(t). + * @param dt The pointer to the value of f'(t). + * @param tmin The minimum value for the trial value, t. + * @param tmax The maximum value for the trial value, t. + * @param brackt The pointer to the predicate if the trial value is + * bracketed. + * @retval int Status value. Zero indicates a normal termination. + * + * @see + * Jorge J. More and David J. Thuente. Line search algorithm with + * guaranteed sufficient decrease. ACM Transactions on Mathematical + * Software (TOMS), Vol 20, No 3, pp. 286-307, 1994. + */ +static int update_trial_interval( + lbfgsfloatval_t *x, + lbfgsfloatval_t *fx, + lbfgsfloatval_t *dx, + lbfgsfloatval_t *y, + lbfgsfloatval_t *fy, + lbfgsfloatval_t *dy, + lbfgsfloatval_t *t, + lbfgsfloatval_t *ft, + lbfgsfloatval_t *dt, + const lbfgsfloatval_t tmin, + const lbfgsfloatval_t tmax, + int *brackt + ) +{ + int bound; + int dsign = fsigndiff(dt, dx); + lbfgsfloatval_t mc; /* minimizer of an interpolated cubic. */ + lbfgsfloatval_t mq; /* minimizer of an interpolated quadratic. */ + lbfgsfloatval_t newt; /* new trial value. */ + USES_MINIMIZER; /* for CUBIC_MINIMIZER and QUARD_MINIMIZER. */ + + /* Check the input parameters for errors. */ + if (*brackt) { + if (*t <= min2(*x, *y) || max2(*x, *y) <= *t) { + /* The trival value t is out of the interval. */ + return LBFGSERR_OUTOFINTERVAL; + } + if (0. <= *dx * (*t - *x)) { + /* The function must decrease from x. */ + return LBFGSERR_INCREASEGRADIENT; + } + if (tmax < tmin) { + /* Incorrect tmin and tmax specified. */ + return LBFGSERR_INCORRECT_TMINMAX; + } + } + + /* + Trial value selection. + */ + if (*fx < *ft) { + /* + Case 1: a higher function value. + The minimum is brackt. If the cubic minimizer is closer + to x than the quadratic one, the cubic one is taken, else + the average of the minimizers is taken. + */ + *brackt = 1; + bound = 1; + CUBIC_MINIMIZER(mc, *x, *fx, *dx, *t, *ft, *dt); + QUARD_MINIMIZER(mq, *x, *fx, *dx, *t, *ft); + if (fabs(mc - *x) < fabs(mq - *x)) { + newt = mc; + } else { + newt = mc + 0.5 * (mq - mc); + } + } else if (dsign) { + /* + Case 2: a lower function value and derivatives of + opposite sign. The minimum is brackt. If the cubic + minimizer is closer to x than the quadratic (secant) one, + the cubic one is taken, else the quadratic one is taken. + */ + *brackt = 1; + bound = 0; + CUBIC_MINIMIZER(mc, *x, *fx, *dx, *t, *ft, *dt); + QUARD_MINIMIZER2(mq, *x, *dx, *t, *dt); + if (fabs(mc - *t) > fabs(mq - *t)) { + newt = mc; + } else { + newt = mq; + } + } else if (fabs(*dt) < fabs(*dx)) { + /* + Case 3: a lower function value, derivatives of the + same sign, and the magnitude of the derivative decreases. + The cubic minimizer is only used if the cubic tends to + infinity in the direction of the minimizer or if the minimum + of the cubic is beyond t. Otherwise the cubic minimizer is + defined to be either tmin or tmax. The quadratic (secant) + minimizer is also computed and if the minimum is brackt + then the the minimizer closest to x is taken, else the one + farthest away is taken. + */ + bound = 1; + CUBIC_MINIMIZER2(mc, *x, *fx, *dx, *t, *ft, *dt, tmin, tmax); + QUARD_MINIMIZER2(mq, *x, *dx, *t, *dt); + if (*brackt) { + if (fabs(*t - mc) < fabs(*t - mq)) { + newt = mc; + } else { + newt = mq; + } + } else { + if (fabs(*t - mc) > fabs(*t - mq)) { + newt = mc; + } else { + newt = mq; + } + } + } else { + /* + Case 4: a lower function value, derivatives of the + same sign, and the magnitude of the derivative does + not decrease. If the minimum is not brackt, the step + is either tmin or tmax, else the cubic minimizer is taken. + */ + bound = 0; + if (*brackt) { + CUBIC_MINIMIZER(newt, *t, *ft, *dt, *y, *fy, *dy); + } else if (*x < *t) { + newt = tmax; + } else { + newt = tmin; + } + } + + /* + Update the interval of uncertainty. This update does not + depend on the new step or the case analysis above. + + - Case a: if f(x) < f(t), + x <- x, y <- t. + - Case b: if f(t) <= f(x) && f'(t)*f'(x) > 0, + x <- t, y <- y. + - Case c: if f(t) <= f(x) && f'(t)*f'(x) < 0, + x <- t, y <- x. + */ + if (*fx < *ft) { + /* Case a */ + *y = *t; + *fy = *ft; + *dy = *dt; + } else { + /* Case c */ + if (dsign) { + *y = *x; + *fy = *fx; + *dy = *dx; + } + /* Cases b and c */ + *x = *t; + *fx = *ft; + *dx = *dt; + } + + /* Clip the new trial value in [tmin, tmax]. */ + if (tmax < newt) newt = tmax; + if (newt < tmin) newt = tmin; + + /* + Redefine the new trial value if it is close to the upper bound + of the interval. + */ + if (*brackt && bound) { + mq = *x + 0.66 * (*y - *x); + if (*x < *y) { + if (mq < newt) newt = mq; + } else { + if (newt < mq) newt = mq; + } + } + + /* Return the new trial value. */ + *t = newt; + return 0; +} diff --git a/sample/main.c b/sample/main.c new file mode 100644 index 0000000..22068ec --- /dev/null +++ b/sample/main.c @@ -0,0 +1,69 @@ +#include +#include + +static lbfgsfloatval_t evaluate( + void *instance, + const lbfgsfloatval_t *x, + lbfgsfloatval_t *g, + const int n, + const lbfgsfloatval_t step + ) +{ + int i; + lbfgsfloatval_t fx = 0.0; + + for (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 + ) +{ + 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 8 + +int main(int argc, char *argv) +{ + int i, ret = 0; + lbfgsfloatval_t x[N], fx; + + /* Initialize the variables. */ + for (i = 0;i < N;i += 2) { + x[i] = -1.2; + x[i+1] = 1.0; + } + + /* + 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); + + /* 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, x[0], x[1]); + + return 0; +}