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Simplification for OW-LQN: functions owlqn_xnorm1, owlqn_gnorm, owlqn_direction were added.

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git-svn-id: file:///home/svnrepos/software/liblbfgs/trunk@18 ecf4c44f-38d1-4fa4-9757-a0b4dd0349fc
This commit is contained in:
naoaki
2008-07-10 05:30:34 +00:00
parent 83b5fd9801
commit 85e940b2ca
2 changed files with 91 additions and 74 deletions
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163
lib/lbfgs.c
View File

@@ -169,7 +169,22 @@ static int update_trial_interval(
int *brackt
);
static lbfgsfloatval_t orthantwise_gnorm(
static lbfgsfloatval_t owlqn_xnorm1(
const lbfgsfloatval_t* x,
const int start,
const int n
);
static lbfgsfloatval_t owlqn_gnorm(
const lbfgsfloatval_t* x,
const lbfgsfloatval_t* g,
const lbfgsfloatval_t c,
const int start,
const int n
);
static void owlqn_direction(
lbfgsfloatval_t* d,
const lbfgsfloatval_t* x,
const lbfgsfloatval_t* g,
const lbfgsfloatval_t c,
@@ -324,53 +339,29 @@ int lbfgs(
/* Evaluate the function value and its gradient. */
fx = cd.proc_evaluate(cd.instance, x, g, cd.n, 0);
if (0. < param->orthantwise_c) {
/* Compute L1-regularization factor and add it to the object value. */
norm = 0.;
for (i = param->orthantwise_start;i < n;++i) {
norm += fabs(x[i]);
}
/* Compute the L1 norm of the variable and add it to the object value. */
norm = owlqn_xnorm1(x, param->orthantwise_start, n);
fx += norm * param->orthantwise_c;
}
/* We assume the initial hessian matrix H_0 as the identity matrix. */
/*
Compute the direction;
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 gradients. */
for (i = 0;i < param->orthantwise_start;++i) {
d[i] = -g[i];
}
/* Compute the negative of psuedo-gradients. */
for (i = param->orthantwise_start;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.;
}
}
}
owlqn_direction(d, x, g, param->orthantwise_c, param->orthantwise_start, n);
}
/*
Make sure that the initial variables are not a minimizer.
*/
vecnorm(&xnorm, x, n);
if (param->orthantwise_c != 0.) {
gnorm = orthantwise_gnorm(x, g, param->orthantwise_c, param->orthantwise_start, n);
} else {
if (param->orthantwise_c == 0.) {
vecnorm(&gnorm, g, n);
} else {
gnorm = owlqn_gnorm(x, g, param->orthantwise_c, param->orthantwise_start, n);
}
if (xnorm < 1.0) xnorm = 1.0;
if (gnorm / xnorm <= param->epsilon) {
@@ -400,7 +391,7 @@ int lbfgs(
/* Compute x and g norms. */
vecnorm(&xnorm, x, n);
if (param->orthantwise_c != 0.) {
gnorm = orthantwise_gnorm(x, g, param->orthantwise_c, param->orthantwise_start, n);
gnorm = owlqn_gnorm(x, g, param->orthantwise_c, param->orthantwise_start, n);
} else {
vecnorm(&gnorm, g, n);
}
@@ -461,36 +452,13 @@ int lbfgs(
++k;
end = (end + 1) % m;
/* Compute the steepest direction. */
if (param->orthantwise_c == 0.) {
/* Compute the negative of gradients. */
vecncpy(d, g, n);
} else {
/* Compute the negative of gradients. */
for (i = 0;i < param->orthantwise_start;++i) {
d[i] = -g[i];
}
/* Compute the negative of psuedo-gradients. */
for (i = param->orthantwise_start;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.*/
owlqn_direction(d, x, g, param->orthantwise_c, param->orthantwise_start, n);
/* Store the steepest direction to w.*/
veccpy(w, d, n);
}
@@ -642,11 +610,8 @@ static int line_search_backtracking(
/* Evaluate the function and gradient values. */
*f = cd->proc_evaluate(cd->instance, x, g, cd->n, *stp);
if (0. < param->orthantwise_c) {
/* Compute L1-regularization factor and add it to the object value. */
norm = 0.;
for (i = param->orthantwise_start;i < n;++i) {
norm += fabs(x[i]);
}
/* Compute the L1 norm of the variables and add it to the object value. */
norm = owlqn_xnorm1(x, param->orthantwise_start, n);
*f += norm * param->orthantwise_c;
}
@@ -812,11 +777,8 @@ static int line_search_morethuente(
/* Evaluate the function and gradient values. */
*f = cd->proc_evaluate(cd->instance, x, g, cd->n, *stp);
if (0. < param->orthantwise_c) {
/* Compute L1-regularization factor and add it to the object value. */
norm = 0.;
for (i = param->orthantwise_start;i < n;++i) {
norm += fabs(x[i]);
}
/* Compute the L1 norm of the variables and add it to the object value. */
norm = owlqn_xnorm1(x, param->orthantwise_start, n);
*f += norm * param->orthantwise_c;
dg = 0.;
@@ -1235,7 +1197,24 @@ static int update_trial_interval(
return 0;
}
static lbfgsfloatval_t orthantwise_gnorm(
static lbfgsfloatval_t owlqn_xnorm1(
const lbfgsfloatval_t* x,
const int start,
const int n
)
{
int i;
lbfgsfloatval_t norm = 0.;
for (i = start;i < n;++i) {
norm += fabs(x[i]);
}
return norm;
}
static lbfgsfloatval_t owlqn_gnorm(
const lbfgsfloatval_t* x,
const lbfgsfloatval_t* g,
const lbfgsfloatval_t c,
@@ -1263,3 +1242,41 @@ static lbfgsfloatval_t orthantwise_gnorm(
return sqrt(norm);
}
static void owlqn_direction(
lbfgsfloatval_t* d,
const lbfgsfloatval_t* x,
const lbfgsfloatval_t* g,
const lbfgsfloatval_t c,
const int start,
const int n
)
{
int i;
/* Compute the negative of gradients. */
for (i = 0;i < start;++i) {
d[i] = -g[i];
}
/* Compute the negative of psuedo-gradients. */
for (i = start;i < n;++i) {
if (x[i] < 0.) {
/* Differentiable. */
d[i] = -g[i] + c;
} else if (0. < x[i]) {
/* Differentiable. */
d[i] = -g[i] - c;
} else {
if (g[i] < -c) {
/* Take the right partial derivative. */
d[i] = -g[i] - c;
} else if (c < g[i]) {
/* Take the left partial derivative. */
d[i] = -g[i] + c;
} else {
d[i] = 0.;
}
}
}
}

2
sample/sample.vcproj
View File

@@ -173,7 +173,7 @@
UniqueIdentifier="{4FC737F1-C7A5-4376-A066-2A32D752A2FF}"
>
<File
RelativePath=".\sample.c"
RelativePath=".\sample2.c"
>
</File>
</Filter>