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Constrain the search direction.

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git-svn-id: file:///home/svnrepos/software/liblbfgs/trunk@49 ecf4c44f-38d1-4fa4-9757-a0b4dd0349fc
This commit is contained in:
naoaki
2009-02-16 14:59:05 +00:00
parent 6a1b860ea3
commit f4362676e6
1 changed files with 104 additions and 85 deletions
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189
lib/lbfgs.c
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@@ -260,7 +260,9 @@ int lbfgs(
lbfgs_parameter_t param = (_param != NULL) ? (*_param) : _defparam; lbfgs_parameter_t param = (_param != NULL) ? (*_param) : _defparam;
const int m = param.m; const int m = param.m;
lbfgsfloatval_t *xp = NULL, *g = NULL, *gp = NULL, *pg = NULL, *d = NULL, *w = NULL, *pf = NULL; lbfgsfloatval_t *xp = NULL;
lbfgsfloatval_t *g = NULL, *gp = NULL, *pg = NULL;
lbfgsfloatval_t *d = NULL, *w = NULL, *pf = NULL;
iteration_data_t *lm = NULL, *it = NULL; iteration_data_t *lm = NULL, *it = NULL;
lbfgsfloatval_t ys, yy; lbfgsfloatval_t ys, yy;
lbfgsfloatval_t xnorm, gnorm, beta; lbfgsfloatval_t xnorm, gnorm, beta;
@@ -360,14 +362,22 @@ int lbfgs(
xp = (lbfgsfloatval_t*)vecalloc(n * sizeof(lbfgsfloatval_t)); xp = (lbfgsfloatval_t*)vecalloc(n * sizeof(lbfgsfloatval_t));
g = (lbfgsfloatval_t*)vecalloc(n * sizeof(lbfgsfloatval_t)); g = (lbfgsfloatval_t*)vecalloc(n * sizeof(lbfgsfloatval_t));
gp = (lbfgsfloatval_t*)vecalloc(n * sizeof(lbfgsfloatval_t)); gp = (lbfgsfloatval_t*)vecalloc(n * sizeof(lbfgsfloatval_t));
pg = (lbfgsfloatval_t*)vecalloc(n * sizeof(lbfgsfloatval_t));
d = (lbfgsfloatval_t*)vecalloc(n * sizeof(lbfgsfloatval_t)); d = (lbfgsfloatval_t*)vecalloc(n * sizeof(lbfgsfloatval_t));
w = (lbfgsfloatval_t*)vecalloc(n * sizeof(lbfgsfloatval_t)); w = (lbfgsfloatval_t*)vecalloc(n * sizeof(lbfgsfloatval_t));
if (xp == NULL || g == NULL || gp == NULL || pg == NULL || d == NULL || w == NULL) { if (xp == NULL || g == NULL || gp == NULL || d == NULL || w == NULL) {
ret = LBFGSERR_OUTOFMEMORY; ret = LBFGSERR_OUTOFMEMORY;
goto lbfgs_exit; goto lbfgs_exit;
} }
if (param.orthantwise_c != 0.) {
/* Allocate working space for OW-LQN. */
pg = (lbfgsfloatval_t*)vecalloc(n * sizeof(lbfgsfloatval_t));
if (pg == NULL) {
ret = LBFGSERR_OUTOFMEMORY;
goto lbfgs_exit;
}
}
/* Allocate limited memory storage. */ /* Allocate limited memory storage. */
lm = (iteration_data_t*)vecalloc(m * sizeof(iteration_data_t)); lm = (iteration_data_t*)vecalloc(m * sizeof(iteration_data_t));
if (lm == NULL) { if (lm == NULL) {
@@ -399,7 +409,10 @@ int lbfgs(
/* Compute the L1 norm of the variable and add it to the object value. */ /* Compute the L1 norm of the variable and add it to the object value. */
xnorm = owlqn_x1norm(x, param.orthantwise_start, param.orthantwise_end); xnorm = owlqn_x1norm(x, param.orthantwise_start, param.orthantwise_end);
fx += xnorm * param.orthantwise_c; fx += xnorm * param.orthantwise_c;
owlqn_pseudo_gradient(pg, x, g, n, param.orthantwise_c, param.orthantwise_start, param.orthantwise_end); owlqn_pseudo_gradient(
pg, x, g, n,
param.orthantwise_c, param.orthantwise_start, param.orthantwise_end
);
} }
/* Store the initial value of the objective function. */ /* Store the initial value of the objective function. */
@@ -449,7 +462,10 @@ int lbfgs(
ls = linesearch(n, x, &fx, g, d, &step, xp, gp, w, &cd, &param); ls = linesearch(n, x, &fx, g, d, &step, xp, gp, w, &cd, &param);
} else { } else {
ls = linesearch(n, x, &fx, g, d, &step, xp, pg, w, &cd, &param); ls = linesearch(n, x, &fx, g, d, &step, xp, pg, w, &cd, &param);
owlqn_pseudo_gradient(pg, x, g, n, param.orthantwise_c, param.orthantwise_start, param.orthantwise_end); owlqn_pseudo_gradient(
pg, x, g, n,
param.orthantwise_c, param.orthantwise_start, param.orthantwise_end
);
} }
if (ls < 0) { if (ls < 0) {
/* Revert to the previous point. */ /* Revert to the previous point. */
@@ -576,12 +592,15 @@ int lbfgs(
j = (j + 1) % m; /* if (++j == m) j = 0; */ j = (j + 1) % m; /* if (++j == m) j = 0; */
} }
/*
Constrain the search direction for orthant-wise updates.
*/
if (param.orthantwise_c != 0.) { if (param.orthantwise_c != 0.) {
vecdot(&gnorm, d, pg, n); for (i = param.orthantwise_start;i < param.orthantwise_end;++i) {
if (gnorm >= 0) { if (d[i] * pg[i] >= 0) {
vecncpy(gp, pg, n); d[i] = 0;
owlqn_project(d, gp, param.orthantwise_start, param.orthantwise_end); }
} }
} }
/* /*
@@ -606,9 +625,9 @@ lbfgs_exit:
} }
vecfree(lm); vecfree(lm);
} }
vecfree(pg);
vecfree(w); vecfree(w);
vecfree(d); vecfree(d);
vecfree(pg);
vecfree(gp); vecfree(gp);
vecfree(g); vecfree(g);
vecfree(xp); vecfree(xp);
@@ -618,80 +637,6 @@ lbfgs_exit:
static int line_search_backtracking_owlqn(
int n,
lbfgsfloatval_t *x,
lbfgsfloatval_t *f,
lbfgsfloatval_t *g,
lbfgsfloatval_t *s,
lbfgsfloatval_t *stp,
const lbfgsfloatval_t* xp,
const lbfgsfloatval_t* gp,
lbfgsfloatval_t *wp,
callback_data_t *cd,
const lbfgs_parameter_t *param
)
{
int i, ret = 0, count = 0;
lbfgsfloatval_t width = 0.5, norm = 0.;
lbfgsfloatval_t finit = *f, dgtest;
/* Check the input parameters for errors. */
if (*stp <= 0.) {
return LBFGSERR_INVALIDPARAMETERS;
}
/* Choose the orthant for the new point. */
for (i = 0;i < n;++i) {
wp[i] = (xp[i] == 0.) ? -gp[i] : xp[i];
}
for (;;) {
/* Update the current point. */
veccpy(x, xp, n);
vecadd(x, s, *stp, n);
/* The current point is projected onto the orthant. */
owlqn_project(x, wp, param->orthantwise_start, param->orthantwise_end);
/* Evaluate the function and gradient values. */
*f = cd->proc_evaluate(cd->instance, x, g, cd->n, *stp);
/* Compute the L1 norm of the variables and add it to the object value. */
norm = owlqn_x1norm(x, param->orthantwise_start, param->orthantwise_end);
*f += norm * param->orthantwise_c;
++count;
dgtest = 0.;
for (i = 0;i < n;++i) {
dgtest += (x[i] - xp[i]) * gp[i];
}
if (*f <= finit + param->ftol * dgtest) {
/* The sufficient decrease condition. */
return count;
}
if (*stp < param->min_step) {
/* The step is the minimum value. */
return LBFGSERR_MINIMUMSTEP;
}
if (*stp > param->max_step) {
/* The step is the maximum value. */
return LBFGSERR_MAXIMUMSTEP;
}
if (param->max_linesearch <= count) {
/* Maximum number of iteration. */
return LBFGSERR_MAXIMUMLINESEARCH;
}
(*stp) *= width;
}
}
static int line_search_backtracking( static int line_search_backtracking(
int n, int n,
lbfgsfloatval_t *x, lbfgsfloatval_t *x,
@@ -778,6 +723,80 @@ static int line_search_backtracking(
static int line_search_backtracking_owlqn(
int n,
lbfgsfloatval_t *x,
lbfgsfloatval_t *f,
lbfgsfloatval_t *g,
lbfgsfloatval_t *s,
lbfgsfloatval_t *stp,
const lbfgsfloatval_t* xp,
const lbfgsfloatval_t* gp,
lbfgsfloatval_t *wp,
callback_data_t *cd,
const lbfgs_parameter_t *param
)
{
int i, ret = 0, count = 0;
lbfgsfloatval_t width = 0.5, norm = 0.;
lbfgsfloatval_t finit = *f, dgtest;
/* Check the input parameters for errors. */
if (*stp <= 0.) {
return LBFGSERR_INVALIDPARAMETERS;
}
/* Choose the orthant for the new point. */
for (i = 0;i < n;++i) {
wp[i] = (xp[i] == 0.) ? -gp[i] : xp[i];
}
for (;;) {
/* Update the current point. */
veccpy(x, xp, n);
vecadd(x, s, *stp, n);
/* The current point is projected onto the orthant. */
owlqn_project(x, wp, param->orthantwise_start, param->orthantwise_end);
/* Evaluate the function and gradient values. */
*f = cd->proc_evaluate(cd->instance, x, g, cd->n, *stp);
/* Compute the L1 norm of the variables and add it to the object value. */
norm = owlqn_x1norm(x, param->orthantwise_start, param->orthantwise_end);
*f += norm * param->orthantwise_c;
++count;
dgtest = 0.;
for (i = 0;i < n;++i) {
dgtest += (x[i] - xp[i]) * gp[i];
}
if (*f <= finit + param->ftol * dgtest) {
/* The sufficient decrease condition. */
return count;
}
if (*stp < param->min_step) {
/* The step is the minimum value. */
return LBFGSERR_MINIMUMSTEP;
}
if (*stp > param->max_step) {
/* The step is the maximum value. */
return LBFGSERR_MAXIMUMSTEP;
}
if (param->max_linesearch <= count) {
/* Maximum number of iteration. */
return LBFGSERR_MAXIMUMLINESEARCH;
}
(*stp) *= width;
}
}
static int line_search_morethuente( static int line_search_morethuente(
int n, int n,
lbfgsfloatval_t *x, lbfgsfloatval_t *x,