Constrain the search direction.
git-svn-id: file:///home/svnrepos/software/liblbfgs/trunk@49 ecf4c44f-38d1-4fa4-9757-a0b4dd0349fc
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naoaki
parent
6a1b860ea3
commit
f4362676e6
189
lib/lbfgs.c
189
lib/lbfgs.c
@ -260,7 +260,9 @@ int lbfgs(
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lbfgs_parameter_t param = (_param != NULL) ? (*_param) : _defparam;
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const int m = param.m;
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lbfgsfloatval_t *xp = NULL, *g = NULL, *gp = NULL, *pg = NULL, *d = NULL, *w = NULL, *pf = NULL;
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lbfgsfloatval_t *xp = NULL;
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lbfgsfloatval_t *g = NULL, *gp = NULL, *pg = NULL;
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lbfgsfloatval_t *d = NULL, *w = NULL, *pf = NULL;
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iteration_data_t *lm = NULL, *it = NULL;
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lbfgsfloatval_t ys, yy;
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lbfgsfloatval_t xnorm, gnorm, beta;
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@ -360,14 +362,22 @@ int lbfgs(
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xp = (lbfgsfloatval_t*)vecalloc(n * sizeof(lbfgsfloatval_t));
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g = (lbfgsfloatval_t*)vecalloc(n * sizeof(lbfgsfloatval_t));
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gp = (lbfgsfloatval_t*)vecalloc(n * sizeof(lbfgsfloatval_t));
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pg = (lbfgsfloatval_t*)vecalloc(n * sizeof(lbfgsfloatval_t));
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d = (lbfgsfloatval_t*)vecalloc(n * sizeof(lbfgsfloatval_t));
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w = (lbfgsfloatval_t*)vecalloc(n * sizeof(lbfgsfloatval_t));
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if (xp == NULL || g == NULL || gp == NULL || pg == NULL || d == NULL || w == NULL) {
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if (xp == NULL || g == NULL || gp == NULL || d == NULL || w == NULL) {
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ret = LBFGSERR_OUTOFMEMORY;
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goto lbfgs_exit;
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}
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if (param.orthantwise_c != 0.) {
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/* Allocate working space for OW-LQN. */
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pg = (lbfgsfloatval_t*)vecalloc(n * sizeof(lbfgsfloatval_t));
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if (pg == NULL) {
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ret = LBFGSERR_OUTOFMEMORY;
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goto lbfgs_exit;
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}
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}
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/* Allocate limited memory storage. */
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lm = (iteration_data_t*)vecalloc(m * sizeof(iteration_data_t));
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if (lm == NULL) {
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@ -399,7 +409,10 @@ int lbfgs(
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/* Compute the L1 norm of the variable and add it to the object value. */
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xnorm = owlqn_x1norm(x, param.orthantwise_start, param.orthantwise_end);
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fx += xnorm * param.orthantwise_c;
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owlqn_pseudo_gradient(pg, x, g, n, param.orthantwise_c, param.orthantwise_start, param.orthantwise_end);
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owlqn_pseudo_gradient(
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pg, x, g, n,
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param.orthantwise_c, param.orthantwise_start, param.orthantwise_end
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);
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}
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/* Store the initial value of the objective function. */
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@ -449,7 +462,10 @@ int lbfgs(
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ls = linesearch(n, x, &fx, g, d, &step, xp, gp, w, &cd, ¶m);
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} else {
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ls = linesearch(n, x, &fx, g, d, &step, xp, pg, w, &cd, ¶m);
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owlqn_pseudo_gradient(pg, x, g, n, param.orthantwise_c, param.orthantwise_start, param.orthantwise_end);
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owlqn_pseudo_gradient(
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pg, x, g, n,
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param.orthantwise_c, param.orthantwise_start, param.orthantwise_end
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);
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}
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if (ls < 0) {
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/* Revert to the previous point. */
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@ -576,12 +592,15 @@ int lbfgs(
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j = (j + 1) % m; /* if (++j == m) j = 0; */
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}
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/*
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Constrain the search direction for orthant-wise updates.
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*/
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if (param.orthantwise_c != 0.) {
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vecdot(&gnorm, d, pg, n);
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if (gnorm >= 0) {
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vecncpy(gp, pg, n);
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owlqn_project(d, gp, param.orthantwise_start, param.orthantwise_end);
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}
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for (i = param.orthantwise_start;i < param.orthantwise_end;++i) {
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if (d[i] * pg[i] >= 0) {
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d[i] = 0;
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}
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}
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}
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/*
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@ -606,9 +625,9 @@ lbfgs_exit:
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}
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vecfree(lm);
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}
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vecfree(pg);
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vecfree(w);
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vecfree(d);
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vecfree(pg);
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vecfree(gp);
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vecfree(g);
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vecfree(xp);
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@ -618,80 +637,6 @@ lbfgs_exit:
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static int line_search_backtracking_owlqn(
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int n,
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lbfgsfloatval_t *x,
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lbfgsfloatval_t *f,
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lbfgsfloatval_t *g,
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lbfgsfloatval_t *s,
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lbfgsfloatval_t *stp,
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const lbfgsfloatval_t* xp,
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const lbfgsfloatval_t* gp,
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lbfgsfloatval_t *wp,
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callback_data_t *cd,
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const lbfgs_parameter_t *param
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)
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{
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int i, ret = 0, count = 0;
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lbfgsfloatval_t width = 0.5, norm = 0.;
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lbfgsfloatval_t finit = *f, dgtest;
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/* Check the input parameters for errors. */
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if (*stp <= 0.) {
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return LBFGSERR_INVALIDPARAMETERS;
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}
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/* Choose the orthant for the new point. */
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for (i = 0;i < n;++i) {
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wp[i] = (xp[i] == 0.) ? -gp[i] : xp[i];
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}
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for (;;) {
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/* Update the current point. */
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veccpy(x, xp, n);
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vecadd(x, s, *stp, n);
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/* The current point is projected onto the orthant. */
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owlqn_project(x, wp, param->orthantwise_start, param->orthantwise_end);
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/* Evaluate the function and gradient values. */
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*f = cd->proc_evaluate(cd->instance, x, g, cd->n, *stp);
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/* Compute the L1 norm of the variables and add it to the object value. */
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norm = owlqn_x1norm(x, param->orthantwise_start, param->orthantwise_end);
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*f += norm * param->orthantwise_c;
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++count;
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dgtest = 0.;
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for (i = 0;i < n;++i) {
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dgtest += (x[i] - xp[i]) * gp[i];
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}
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if (*f <= finit + param->ftol * dgtest) {
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/* The sufficient decrease condition. */
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return count;
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}
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if (*stp < param->min_step) {
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/* The step is the minimum value. */
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return LBFGSERR_MINIMUMSTEP;
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}
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if (*stp > param->max_step) {
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/* The step is the maximum value. */
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return LBFGSERR_MAXIMUMSTEP;
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}
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if (param->max_linesearch <= count) {
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/* Maximum number of iteration. */
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return LBFGSERR_MAXIMUMLINESEARCH;
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}
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(*stp) *= width;
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}
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}
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static int line_search_backtracking(
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int n,
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lbfgsfloatval_t *x,
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@ -778,6 +723,80 @@ static int line_search_backtracking(
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static int line_search_backtracking_owlqn(
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int n,
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lbfgsfloatval_t *x,
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lbfgsfloatval_t *f,
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lbfgsfloatval_t *g,
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lbfgsfloatval_t *s,
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lbfgsfloatval_t *stp,
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const lbfgsfloatval_t* xp,
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const lbfgsfloatval_t* gp,
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lbfgsfloatval_t *wp,
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callback_data_t *cd,
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const lbfgs_parameter_t *param
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)
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{
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int i, ret = 0, count = 0;
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lbfgsfloatval_t width = 0.5, norm = 0.;
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lbfgsfloatval_t finit = *f, dgtest;
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/* Check the input parameters for errors. */
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if (*stp <= 0.) {
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return LBFGSERR_INVALIDPARAMETERS;
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}
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/* Choose the orthant for the new point. */
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for (i = 0;i < n;++i) {
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wp[i] = (xp[i] == 0.) ? -gp[i] : xp[i];
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}
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for (;;) {
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/* Update the current point. */
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veccpy(x, xp, n);
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vecadd(x, s, *stp, n);
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/* The current point is projected onto the orthant. */
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owlqn_project(x, wp, param->orthantwise_start, param->orthantwise_end);
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/* Evaluate the function and gradient values. */
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*f = cd->proc_evaluate(cd->instance, x, g, cd->n, *stp);
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/* Compute the L1 norm of the variables and add it to the object value. */
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norm = owlqn_x1norm(x, param->orthantwise_start, param->orthantwise_end);
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*f += norm * param->orthantwise_c;
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++count;
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dgtest = 0.;
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for (i = 0;i < n;++i) {
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dgtest += (x[i] - xp[i]) * gp[i];
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}
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if (*f <= finit + param->ftol * dgtest) {
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/* The sufficient decrease condition. */
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return count;
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}
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if (*stp < param->min_step) {
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/* The step is the minimum value. */
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return LBFGSERR_MINIMUMSTEP;
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}
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if (*stp > param->max_step) {
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/* The step is the maximum value. */
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return LBFGSERR_MAXIMUMSTEP;
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}
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if (param->max_linesearch <= count) {
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/* Maximum number of iteration. */
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return LBFGSERR_MAXIMUMLINESEARCH;
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}
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(*stp) *= width;
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}
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}
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static int line_search_morethuente(
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int n,
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lbfgsfloatval_t *x,
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