lbfgs.h

/*
 *      C library of Limited memory BFGS (L-BFGS).
 *
 * Copyright (c) 1990, Jorge Nocedal
 * Copyright (c) 2007, 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.
 */

/* $Id: lbfgs.h 58 2007-12-16 09:25:33Z naoaki $ */

#ifndef  __LBFGS_H__
#define  __LBFGS_H__

#ifdef   __cplusplus
extern "C" {
#endif/*__cplusplus*/

/*
 * The default precision of floating point values is 64bit (double).
 */
#ifndef  LBFGS_FLOAT
#define  LBFGS_FLOAT    64
#endif/*LBFGS_FLOAT*/

/*
 * Activate optimization routines for IEEE754 floating point values.
 */
#ifndef  LBFGS_IEEE_FLOAT
#define  LBFGS_IEEE_FLOAT  1
#endif/*LBFGS_IEEE_FLOAT*/

#if      LBFGS_FLOAT == 32
typedef float lbfgsfloatval_t;

#elif LBFGS_FLOAT == 64
typedef double lbfgsfloatval_t;

#else
#error "liblbfgs supports single (float; LBFGS_FLOAT = 32) or double (double; LBFGS_FLOAT=64) precision only."

#endif


enum {
   LBFGSFALSE = 0,
   LBFGSTRUE,

   LBFGSERR_UNKNOWNERROR = -1024,
   LBFGSERR_LOGICERROR = -1023,
   LBFGSERR_OUTOFMEMORY = -1022,
   LBFGSERR_CANCELED = -1021,
   LBFGSERR_INVALID_N = -1020,
   LBFGSERR_INVALID_N_SSE = -1019,
   LBFGSERR_INVALID_MINSTEP = -1018,
   LBFGSERR_INVALID_MAXSTEP = -1017,
   LBFGSERR_INVALID_FTOL = -1016,
   LBFGSERR_INVALID_GTOL = -1015,
   LBFGSERR_INVALID_XTOL = -1014,
   LBFGSERR_INVALID_MAXLINESEARCH = -1013,
   LBFGSERR_INVALID_ORTHANTWISE = -1012,
   LBFGSERR_OUTOFINTERVAL = -1011,
   LBFGSERR_INCORRECT_TMINMAX = -1010,
   LBFGSERR_ROUNDING_ERROR = -1009,
   LBFGSERR_MINIMUMSTEP = -1008,
   LBFGSERR_MAXIMUMSTEP = -1007,
   LBFGSERR_MAXIMUMLINESEARCH = -1006,
   LBFGSERR_MAXIMUMITERATION = -1005,
   LBFGSERR_WIDTHTOOSMALL = -1004,
   LBFGSERR_INVALIDPARAMETERS = -1003,
   LBFGSERR_INCREASEGRADIENT = -1002,
};

typedef struct {
   int            m;

   lbfgsfloatval_t   epsilon;

   int            max_iterations;

   int            max_linesearch;

   lbfgsfloatval_t   min_step;

   lbfgsfloatval_t   max_step;

   lbfgsfloatval_t   ftol;

   lbfgsfloatval_t   gtol;

   lbfgsfloatval_t   xtol;

   lbfgsfloatval_t   orthantwise_c;
} lbfgs_parameter_t;


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

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.
*/

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
   );

void lbfgs_parameter_init(lbfgs_parameter_t *param);

#ifdef   __cplusplus
}
#endif/*__cplusplus*/



#endif/*__LBFGS_H__*/

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