lbfgs.h

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/*
 *      C library of Limited memory BFGS (L-BFGS).
 *
 * Copyright (c) 1990, Jorge Nocedal
 * Copyright (c) 2007-2010 Naoaki Okazaki
 * All rights reserved.
 *
 * Permission is hereby granted, free of charge, to any person obtaining a copy
 * of this software and associated documentation files (the "Software"), to deal
 * in the Software without restriction, including without limitation the rights
 * to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
 * copies of the Software, and to permit persons to whom the Software is
 * furnished to do so, subject to the following conditions:
 *
 * The above copyright notice and this permission notice shall be included in
 * all copies or substantial portions of the Software.
 *
 * THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
 * IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
 * FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
 * AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
 * LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
 * OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN
 * THE SOFTWARE.
 */

#ifndef __LBFGS_H__
#define __LBFGS_H__

#include <shogun/lib/config.h>

#include <shogun/lib/common.h>

namespace shogun
{

enum {
    LBFGS_SUCCESS = 0,
    LBFGS_CONVERGENCE = 0,
    LBFGS_STOP,
    LBFGS_ALREADY_MINIMIZED,

    LBFGSERR_UNKNOWNERROR = -1024,
    LBFGSERR_LOGICERROR,
    LBFGSERR_OUTOFMEMORY,
    LBFGSERR_CANCELED,
    LBFGSERR_INVALID_N,
    LBFGSERR_INVALID_N_SSE,
    LBFGSERR_INVALID_X_SSE,
    LBFGSERR_INVALID_EPSILON,
    LBFGSERR_INVALID_TESTPERIOD,
    LBFGSERR_INVALID_DELTA,
    LBFGSERR_INVALID_LINESEARCH,
    LBFGSERR_INVALID_MINSTEP,
    LBFGSERR_INVALID_MAXSTEP,
    LBFGSERR_INVALID_FTOL,
    LBFGSERR_INVALID_WOLFE,
    LBFGSERR_INVALID_GTOL,
    LBFGSERR_INVALID_XTOL,
    LBFGSERR_INVALID_MAXLINESEARCH,
    LBFGSERR_INVALID_ORTHANTWISE,
    LBFGSERR_INVALID_ORTHANTWISE_START,
    LBFGSERR_INVALID_ORTHANTWISE_END,
    LBFGSERR_OUTOFINTERVAL,
    LBFGSERR_INCORRECT_TMINMAX,
    LBFGSERR_ROUNDING_ERROR,
    LBFGSERR_MINIMUMSTEP,
    LBFGSERR_MAXIMUMSTEP,
    LBFGSERR_MAXIMUMLINESEARCH,
    LBFGSERR_MAXIMUMITERATION,
    LBFGSERR_WIDTHTOOSMALL,
    LBFGSERR_INVALIDPARAMETERS,
    LBFGSERR_INCREASEGRADIENT,
    LBFGSERR_INVALID_VALUE
};

enum {
    LBFGS_LINESEARCH_DEFAULT = 0,
    LBFGS_LINESEARCH_MORETHUENTE = 0,
    LBFGS_LINESEARCH_BACKTRACKING_ARMIJO = 1,
    LBFGS_LINESEARCH_BACKTRACKING = 2,
    LBFGS_LINESEARCH_BACKTRACKING_WOLFE = 2,
    LBFGS_LINESEARCH_BACKTRACKING_STRONG_WOLFE = 3,
};

typedef struct {
    int             m;

    float64_t epsilon;

    int             past;

    float64_t delta;

    int             max_iterations;

    int             linesearch;

    int             max_linesearch;

    float64_t min_step;

    float64_t max_step;

    float64_t ftol;

    float64_t wolfe;

    float64_t gtol;

    float64_t xtol;

    float64_t orthantwise_c;

    int             orthantwise_start;

    int             orthantwise_end;
} lbfgs_parameter_t;


typedef float64_t (*lbfgs_evaluate_t)(
    void *instance,
    const float64_t *x,
    float64_t *g,
    const int n,
    const float64_t step
    );

typedef int (*lbfgs_progress_t)(
    void *instance,
    const float64_t *x,
    const float64_t *g,
    const float64_t fx,
    const float64_t xnorm,
    const float64_t gnorm,
    const float64_t step,
    int n,
    int k,
    int ls
    );

typedef float64_t (*lbfgs_adjust_step_t)(
    void *instance,
    const float64_t *x,
    const float64_t *d,
    const int n,
    const float64_t step
    );

/*
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.
*/

int lbfgs(
    int n,
    float64_t *x,
    float64_t *ptr_fx,
    lbfgs_evaluate_t proc_evaluate,
    lbfgs_progress_t proc_progress,
    void *instance,
    lbfgs_parameter_t *param,
    lbfgs_adjust_step_t proc_adjust_step=NULL
    );

void lbfgs_parameter_init(lbfgs_parameter_t *param);

} // namespace shogun

#endif/*__LBFGS_H__*/