Algorithm-LBFGS
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*/
typedef lbfgsfloatval_t (*lbfgs_evaluate_t)(
void *instance,
const lbfgsfloatval_t *x,
lbfgsfloatval_t *g,
const int n,
const lbfgsfloatval_t step
);
/**
* Callback interface to receive the progress of the optimization process.
*
* The lbfgs() function call this function for each iteration. Implementing
* this function, a client program can store or display the current progress
* of the optimization process.
*
* @param instance The user data sent for lbfgs() function by the client.
* @param x The current values of variables.
* @param g The current gradient values of variables.
* @param fx The current value of the objective function.
* @param xnorm The Euclidean norm of the variables.
* @param gnorm The Euclidean norm of the gradients.
* @param step The line-search step used for this iteration.
* @param n The number of variables.
* @param k The iteration count.
* @param ls The number of evaluations called for this iteration.
* @retval int Zero to continue the optimization process. Returning a
* non-zero value will cancel the optimization process.
*/
typedef int (*lbfgs_progress_t)(
void *instance,
const lbfgsfloatval_t *x,
const lbfgsfloatval_t *g,
const lbfgsfloatval_t fx,
const lbfgsfloatval_t xnorm,
const lbfgsfloatval_t gnorm,
const lbfgsfloatval_t step,
int n,
int k,
int ls
);
/*
A user must implement a function compatible with ::lbfgs_evaluate_t (evaluation
callback) and pass the pointer to the callback function to lbfgs() arguments.
Similarly, a user can implement a function compatible with ::lbfgs_progress_t
(progress callback) to obtain the current progress (e.g., variables, function
value, ||G||, etc) and to cancel the iteration process if necessary.
Implementation of a progress callback is optional: a user can pass \c NULL if
progress notification is not necessary.
In addition, a user must preserve two requirements:
- The number of variables must be multiples of 16 (this is not 4).
- The memory block of variable array ::x must be aligned to 16.
This algorithm terminates an optimization
when:
||G|| < \epsilon \cdot \max(1, ||x||) .
In this formula, ||.|| denotes the Euclidean norm.
*/
/**
* Start a L-BFGS optimization.
*
* @param n The number of variables.
* @param x The array of variables. A client program can set
* default values for the optimization and receive the
* optimization result through this array.
* @param ptr_fx The pointer to the variable that receives the final
* value of the objective function for the variables.
* This argument can be set to \c NULL if the final
* value of the objective function is unnecessary.
* @param proc_evaluate The callback function to provide function and
* gradient evaluations given a current values of
* variables. A client program must implement a
* callback function compatible with \ref
* lbfgs_evaluate_t and pass the pointer to the
* callback function.
* @param proc_progress The callback function to receive the progress
* (the number of iterations, the current value of
* the objective function) of the minimization
* process. This argument can be set to \c NULL if
* a progress report is unnecessary.
* @param instance A user data for the client program. The callback
* functions will receive the value of this argument.
* @param param The pointer to a structure representing parameters for
* L-BFGS optimization. A client program can set this
* parameter to \c NULL to use the default parameters.
* Call lbfgs_parameter_init() function to fill a
* structure with the default values.
* @retval int The status code. This function returns zero if the
* minimization process terminates without an error. A
* non-zero value indicates an error.
*/
int lbfgs(
const int n,
lbfgsfloatval_t *x,
lbfgsfloatval_t *ptr_fx,
lbfgs_evaluate_t proc_evaluate,
lbfgs_progress_t proc_progress,
void *instance,
lbfgs_parameter_t *param
);
/**
* Initialize L-BFGS parameters to the default values.
*
* Call this function to fill a parameter structure with the default values
* and overwrite parameter values if necessary.
*
* @param param The pointer to the parameter structure.
*/
void lbfgs_parameter_init(lbfgs_parameter_t *param);
/** @} */
#ifdef __cplusplus
}
#endif/*__cplusplus*/
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