lbfgs.h

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/******************************************************************************
 * Copyright 2014 Micah C Chambers (micahc.vt@gmail.com)
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at
 *
 *  http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
 *
 * @file lbfgs.cpp Declaration of the LBFGSOpt class which implements 
 * a LBFGS optimization (energy minimization) algorithm.
 * 
 *****************************************************************************/

#ifndef LBFGS_H
#define LBFGS_H

#include <list>
#include <tuple>
#include <iostream>
#include <cmath>
#include <Eigen/Dense>

#include "opt.h"
#include "linesearch.h"

namespace npl {  

class LBFGSOpt : virtual public Optimizer
{
public:
    

    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();

    void reset_history() { m_hist.clear(); };

    int opt_histsize;
    
    double opt_ls_s;

    double opt_ls_beta;

    double opt_ls_sigma;

    VectorXd opt_H0inv;

private:

//    Wolfe m_lsearch;
    Armijo m_lsearch;

    std::list<std::tuple<double,VectorXd,VectorXd>> m_hist;

    VectorXd hessFunc(double gamma, const VectorXd& d, 
        std::list<std::tuple<double,VectorXd,VectorXd>>::const_iterator it);

    VectorXd hessFuncTwoLoop(double gamma, const VectorXd& g);
};

}

#endif // LBFGS_H