Limited-Memory Broyden–Fletcher–Goldfarb–Shanno Algorithm based on "A Limited Memory Algorithm for Bound Constrained Optimization" Richard H. Byrd, Peihuang Lu, Jorge Nocedal, and Ciyou Zhu http://dx.doi.org/10.1137/0916069. More...

#include <lbfgs.h>

Inherits npl::Optimizer.

Public Member Functions
	LBFGSOpt (size_t dim, const ValFunc &valfunc, const GradFunc &gradfunc, const CallBackFunc &callback=noopCallback)

	LBFGSOpt (size_t dim, const ValFunc &valfunc, const GradFunc &gradfunc, const ValGradFunc &gradAndValFunc, const CallBackFunc &callback=noopCallback)

StopReason	optimize ()
	Perform LBFGS optimization. More...

void	reset_history ()
	Reset the history. More...

Static Public Member Functions
static std::string	explainStop (StopReason r)
	Provides a string that describes the stop reason. More...

Public Attributes
int	opt_histsize
	Number of updates to store for the purposes of estimating the hessian matrix. More...

double	opt_ls_s
	Maximum step during line search. More...

double	opt_ls_beta
	How quickly to reduce linesearch distance. Power function base, values closer to 0 will decrease step size faster than ones close to 1. More...

double	opt_ls_sigma
	Theshold for stopping linesearch. More...

VectorXd	opt_H0inv
	Default (initial) value for inverse hessian matrix. More...

VectorXd	state_x
	State variable, set to initialize. More...

double	stop_G
	Stop when graient magnitde falls below this value. More...

double	stop_X
	Stop when step size drops below this value. More...

double	stop_F
	Stop when change in function value drops below this value. More...

double	stop_F_over
	Stop immediately when value goes above this. More...

double	stop_F_under
	Stop immediately when value goes below this. More...

int	stop_Its
	Stop after this many iterations (does not include linesearch) More...

Protected Attributes
ValGradFunc	m_compFG

GradFunc	m_compG

ValFunc	m_compF

CallBackFunc	m_callback

Detailed Description

Limited-Memory Broyden–Fletcher–Goldfarb–Shanno Algorithm based on "A Limited Memory Algorithm for Bound Constrained Optimization" Richard H. Byrd, Peihuang Lu, Jorge Nocedal, and Ciyou Zhu http://dx.doi.org/10.1137/0916069.

Definition at line 45 of file lbfgs.h.

Constructor & Destructor Documentation

npl::LBFGSOpt::LBFGSOpt	(	size_t	dim,
		const ValFunc &	valfunc,
		const GradFunc &	gradfunc,
		const CallBackFunc &	callback = `noopCallback`
	)

npl::LBFGSOpt::LBFGSOpt	(	size_t	dim,
		const ValFunc &	valfunc,
		const GradFunc &	gradfunc,
		const ValGradFunc &	gradAndValFunc,
		const CallBackFunc &	callback = `noopCallback`
	)

Member Function Documentation

static std::string npl::Optimizer::explainStop ( StopReason r )

staticinherited

Provides a string that describes the stop reason.

Parameters

r

StopReason npl::LBFGSOpt::optimize ( )

virtual

Perform LBFGS optimization.

Returns

Reimplemented from npl::Optimizer.

void npl::LBFGSOpt::reset_history ( )

inline

Reset the history.

Definition at line 69 of file lbfgs.h.

Member Data Documentation

CallBackFunc npl::Optimizer::m_callback

protectedinherited

Definition at line 245 of file opt.h.

ValFunc npl::Optimizer::m_compF

protectedinherited

Definition at line 244 of file opt.h.

ValGradFunc npl::Optimizer::m_compFG

protectedinherited

Definition at line 242 of file opt.h.

GradFunc npl::Optimizer::m_compG

protectedinherited

Definition at line 243 of file opt.h.

VectorXd npl::LBFGSOpt::opt_H0inv

Default (initial) value for inverse hessian matrix.

Definition at line 96 of file lbfgs.h.

int npl::LBFGSOpt::opt_histsize

Number of updates to store for the purposes of estimating the hessian matrix.

Definition at line 69 of file lbfgs.h.

double npl::LBFGSOpt::opt_ls_beta

How quickly to reduce linesearch distance. Power function base, values closer to 0 will decrease step size faster than ones close to 1.

Definition at line 86 of file lbfgs.h.

double npl::LBFGSOpt::opt_ls_s

Maximum step during line search.

Definition at line 80 of file lbfgs.h.

double npl::LBFGSOpt::opt_ls_sigma

Theshold for stopping linesearch.

Definition at line 91 of file lbfgs.h.

VectorXd npl::Optimizer::state_x

inherited

State variable, set to initialize.

Definition at line 162 of file opt.h.

double npl::Optimizer::stop_F

inherited

Stop when change in function value drops below this value.

Definition at line 177 of file opt.h.

double npl::Optimizer::stop_F_over

inherited

Stop immediately when value goes above this.

Definition at line 182 of file opt.h.

double npl::Optimizer::stop_F_under

inherited

Stop immediately when value goes below this.

Definition at line 187 of file opt.h.

double npl::Optimizer::stop_G

inherited

Stop when graient magnitde falls below this value.

Definition at line 167 of file opt.h.

int npl::Optimizer::stop_Its

inherited

Stop after this many iterations (does not include linesearch)

Definition at line 192 of file opt.h.

double npl::Optimizer::stop_X

inherited

Stop when step size drops below this value.

Definition at line 172 of file opt.h.

The documentation for this class was generated from the following file:

/home/micahc/coding/npl/deps/optimizers/lib/lbfgs.h

Public Member Functions

Static Public Member Functions

Public Attributes

Protected Attributes

Detailed Description

Constructor & Destructor Documentation

Member Function Documentation

Member Data Documentation