Algorithm-LBFGS
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(f, g) = evaluation_cb(x, step, user_data)
"x" (array ref) is the current values of variables, "step" is the
current step of the line search routine, "user_data" is the extra user
data specified when calling "fmin".
The evaluation callback subroutine is supposed to return both the
function value "f" and the gradient vector "g" (array ref) at current
"x".
x0
The initial point of the optimization algorithm. The final result may
depend on your choice of "x0".
NOTE: The content of "x0" will be modified after calling "fmin". When
the algorithm terminates successfully, the content of "x0" will be
replaced by the optimized variables, otherwise, the content of "x0" is
undefined.
progress_cb
The ref to the progress callback subroutine.
The progress callback subroutine is called by "fmin" at the end of each
iteration, with information of current iteration. It is very useful for
a client program to monitor the optimization progress.
The client program need to make sure their progress callback subroutine
has a prototype like
s = progress_cb(x, g, fx, xnorm, gnorm, step, k, ls, user_data)
"x" (array ref) is the current values of variables. "g" (array ref) is
the current gradient vector. "fx" is the current function value. "xnorm"
and "gnorm" is the L2 norm of "x" and "g". "step" is the line-search
step used for this iteration. "k" is the iteration count. "ls" is the
number of evaluations in this iteration. "user_data" is the extra user
data specified when calling "fmin".
The progress callback subroutine is supposed to return an indicating
value "s" for "fmin" to decide whether the optimization should continue
or stop. "fmin" continues to the next iteration when "s=0", otherwise,
it terminates with status code "LBFGSERR_CANCELED".
The client program can also pass string values to "progress_cb", which
means it want to use a predefined progress callback subroutine. There
are two predefined progress callback subroutines, 'verbose' and
'logging'. 'verbose' just prints out all information of each iteration,
while 'logging' logs the same information in an array ref provided by
"user_data".
...
# print out the iterations
fmin($eval_cb, $x0, 'verbose');
# log iterations information in the array ref $log
my $log = [];
fmin($eval_cb, $x0, 'logging', $log);
use Data::Dumper;
print Dumper $log;
user_data
The extra user data. It will be sent to both "evaluation_cb" and
"progress_cb".
get_status
Get the status of previous call of "fmin".
...
$o->fmin(...);
# check the status
if ($o->get_status eq 'LBFGS_OK') {
...
}
# print the status out
print $o->get_status;
The status code is a string, which could be one of those in the "List of
Status Codes".
status_ok
This is a shortcut of saying "get_status" eq "LBFGS_OK".
...
if ($o->fmin(...), $o->status_ok) {
...
}
List of Parameters
m
The number of corrections to approximate the inverse hessian matrix.
The L-BFGS algorithm stores the computation results of previous "m"
iterations to approximate the inverse hessian matrix of the current
iteration. This parameter controls the size of the limited memories
(corrections). The default value is 6. Values less than 3 are not
recommended. Large values will result in excessive computing time.
epsilon
Epsilon for convergence test.
This parameter determines the accuracy with which the solution is to be
found. A minimization terminates when
||grad f(x)|| < epsilon * max(1, ||x||)
where ||.|| denotes the Euclidean (L2) norm. The default value is 1e-5.
max_iterations
The maximum number of iterations.
The L-BFGS algorithm terminates an optimization process with
"LBFGSERR_MAXIMUMITERATION" status code when the iteration count
exceedes this parameter. Setting this parameter to zero continues an
optimization process until a convergence or error. The default value is
0.
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