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git-svn-id: file:///home/svnrepos/software/liblbfgs/trunk@59 ecf4c44f-38d1-4fa4-9757-a0b4dd0349fc
This commit is contained in:
naoaki 2009-07-13 14:04:26 +00:00
parent 6375811810
commit 896f8cbc7c
2 changed files with 61 additions and 10 deletions
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57
include/lbfgs.h
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@ -107,6 +107,8 @@ enum {
LBFGSERR_INVALID_MAXSTEP,
/** Invalid parameter lbfgs_parameter_t::ftol specified. */
LBFGSERR_INVALID_FTOL,
/** Invalid parameter lbfgs_parameter_t::wolfe specified. */
LBFGSERR_INVALID_WOLFE,
/** Invalid parameter lbfgs_parameter_t::gtol specified. */
LBFGSERR_INVALID_GTOL,
/** Invalid parameter lbfgs_parameter_t::xtol specified. */
@ -152,13 +154,36 @@ enum {
LBFGS_LINESEARCH_DEFAULT = 0,
/** MoreThuente method proposd by More and Thuente. */
LBFGS_LINESEARCH_MORETHUENTE = 0,
/** Backtracking method with strong Wolfe condition. */
LBFGS_LINESEARCH_BACKTRACKING_STRONG_WOLFE = 1,
/** Backtracking method with regular Wolfe condition. */
LBFGS_LINESEARCH_BACKTRACKING = 2,
/**
* Backtracking method with the Armijo condition:
* The backtracking method finds the step length such that it satisfies
* the sufficient decrease (Armijo) condition,
* f(x + a * d) <= f(x) + lbfgs_parameter_t::ftol * a * g(x) \cdot d,
* where x is the current point, d is the current search direction, and
* a is the step length.
*/
LBFGS_LINESEARCH_BACKTRACKING_ARMIJO = 1,
LBFGS_LINESEARCH_BACKTRACKING = 1,
/**
* Backtracking method with regular Wolfe condition.
* The backtracking method finds the step length such that it satisfies
* both the Armijo condition (LBFGS_LINESEARCH_BACKTRACKING_ARMIJO)
* and the curvature condition,
* g(x + a * d) \cdot d >= lbfgs_parameter_t::wolfe * g(x) \cdot d,
* where x is the current point, d is the current search direction, and
* a is the step length.
*/
LBFGS_LINESEARCH_BACKTRACKING_WOLFE = 2,
/** Backtracking method with Armijo condition. */
LBFGS_LINESEARCH_BACKTRACKING_ARMIJO = 3,
/**
* Backtracking method with strong Wolfe condition.
* The backtracking method finds the step length such that it satisfies
* both the Armijo condition (LBFGS_LINESEARCH_BACKTRACKING_ARMIJO)
* and the following condition,
* |g(x + a * d) \cdot d| <= lbfgs_parameter_t::wolfe * |g(x) \cdot d|,
* where x is the current point, d is the current search direction, and
* a is the step length.
*/
LBFGS_LINESEARCH_BACKTRACKING_STRONG_WOLFE = 3,
};
/**
@ -257,6 +282,17 @@ typedef struct {
*/
lbfgsfloatval_t ftol;
/**
* A coefficient for the Wolfe condition.
* This parameter is valid only when the backtracking line-search
* algorithm is used with the Wolfe condition,
* ::LBFGS_LINESEARCH_BACKTRACKING_STRONG_WOLFE or
* ::LBFGS_LINESEARCH_BACKTRACKING_WOLFE .
* The default value is \c 0.9. This parameter should be greater
* the \ref ftol parameter and smaller than \c 1.0.
*/
lbfgsfloatval_t wolfe;
/**
* A parameter to control the accuracy of the line search routine.
* The default value is \c 0.9. If the function and gradient
@ -557,6 +593,15 @@ libLBFGS is distributed under the term of the
<a href="http://opensource.org/licenses/mit-license.php">MIT license</a>.
@section changelog History
- Version 1.8 (2009-07-13):
- The backtracking method now has three criteria for choosing the step
length:
- ::LBFGS_LINESEARCH_BACKTRACKING_ARMIJO: sufficient decrease condition
(Armijo condition)
- ::LBFGS_LINESEARCH_BACKTRACKING_WOLFE: regular Wolfe condition
(sufficient decrease condition + curvature condition)
- ::LBFGS_LINESEARCH_BACKTRACKING_STRONG_WOLFE: strong Wolfe condition
This is based on the patch submitted by Takashi Imamichi.
- Version 1.7 (2009-02-28):
- Improved OWL-QN routines for stability.
- Removed the support of OWL-QN method in MoreThuente algorithm because

14
lib/lbfgs.c
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@ -113,7 +113,7 @@ typedef struct tag_iteration_data iteration_data_t;
static const lbfgs_parameter_t _defparam = {
6, 1e-5, 0, 1e-5,
0, LBFGS_LINESEARCH_DEFAULT, 40,
1e-20, 1e20, 1e-4, 0.9, 1.0e-16,
1e-20, 1e20, 1e-4, 0.9, 0.9, 1.0e-16,
0.0, 0, -1,
};
@ -312,6 +312,12 @@ int lbfgs(
if (param.ftol < 0.) {
return LBFGSERR_INVALID_FTOL;
}
if (param.linesearch == LBFGS_LINESEARCH_BACKTRACKING_WOLFE &&
param.linesearch == LBFGS_LINESEARCH_BACKTRACKING_STRONG_WOLFE) {
if (param.wolfe <= param.ftol || 1. <= param.wolfe) {
return LBFGSERR_INVALID_WOLFE;
}
}
if (param.gtol < 0.) {
return LBFGSERR_INVALID_GTOL;
}
@ -653,7 +659,7 @@ static int line_search_backtracking(
int ret = 0, count = 0;
lbfgsfloatval_t width, dg, norm = 0.;
lbfgsfloatval_t finit, dginit = 0., dgtest;
const lbfgsfloatval_t wolfe = 0.9, dec = 0.5, inc = 2.1;
const lbfgsfloatval_t dec = 0.5, inc = 2.1;
/* Check the input parameters for errors. */
if (*stp <= 0.) {
@ -692,7 +698,7 @@ static int line_search_backtracking(
/* Check the Wolfe condition. */
vecdot(&dg, g, s, n);
if (dg < wolfe * dginit) {
if (dg < param->wolfe * dginit) {
width = inc;
} else {
if(param->linesearch == LBFGS_LINESEARCH_BACKTRACKING_WOLFE) {
@ -701,7 +707,7 @@ static int line_search_backtracking(
}
/* Check the strong Wolfe condition. */
if(dg > -wolfe * dginit) {
if(dg > -param->wolfe * dginit) {
width = dec;
} else {
/* Exit with the strong Wolfe condition. */