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// Copyright ©2014 The Gonum Authors. All rights reserved.
// Use of this source code is governed by a BSD-style
// license that can be found in the LICENSE file.
package optimize
import (
"gonum.org/v1/gonum/floats"
)
var (
_ Method = (*LBFGS)(nil)
_ localMethod = (*LBFGS)(nil)
_ NextDirectioner = (*LBFGS)(nil)
)
// LBFGS implements the limited-memory BFGS method for gradient-based
// unconstrained minimization.
//
// It stores a modified version of the inverse Hessian approximation H
// implicitly from the last Store iterations while the normal BFGS method
// stores and manipulates H directly as a dense matrix. Therefore LBFGS is more
// appropriate than BFGS for large problems as the cost of LBFGS scales as
// O(Store * dim) while BFGS scales as O(dim^2). The "forgetful" nature of
// LBFGS may also make it perform better than BFGS for functions with Hessians
// that vary rapidly spatially.
type LBFGS struct {
// Linesearcher selects suitable steps along the descent direction.
// Accepted steps should satisfy the strong Wolfe conditions.
// If Linesearcher is nil, a reasonable default will be chosen.
Linesearcher Linesearcher
// Store is the size of the limited-memory storage.
// If Store is 0, it will be defaulted to 15.
Store int
// GradStopThreshold sets the threshold for stopping if the gradient norm
// gets too small. If GradStopThreshold is 0 it is defaulted to 1e-12, and
// if it is NaN the setting is not used.
GradStopThreshold float64
status Status
err error
ls *LinesearchMethod
dim int // Dimension of the problem
x []float64 // Location at the last major iteration
grad []float64 // Gradient at the last major iteration
// History
oldest int // Index of the oldest element of the history
y [][]float64 // Last Store values of y
s [][]float64 // Last Store values of s
rho []float64 // Last Store values of rho
a []float64 // Cache of Hessian updates
}
func (l *LBFGS) Status() (Status, error) {
return l.status, l.err
}
func (*LBFGS) Uses(has Available) (uses Available, err error) {
return has.gradient()
}
func (l *LBFGS) Init(dim, tasks int) int {
l.status = NotTerminated
l.err = nil
return 1
}
func (l *LBFGS) Run(operation chan<- Task, result <-chan Task, tasks []Task) {
l.status, l.err = localOptimizer{}.run(l, l.GradStopThreshold, operation, result, tasks)
close(operation)
}
func (l *LBFGS) initLocal(loc *Location) (Operation, error) {
if l.Linesearcher == nil {
l.Linesearcher = &Bisection{}
}
if l.Store == 0 {
l.Store = 15
}
if l.ls == nil {
l.ls = &LinesearchMethod{}
}
l.ls.Linesearcher = l.Linesearcher
l.ls.NextDirectioner = l
return l.ls.Init(loc)
}
func (l *LBFGS) iterateLocal(loc *Location) (Operation, error) {
return l.ls.Iterate(loc)
}
func (l *LBFGS) InitDirection(loc *Location, dir []float64) (stepSize float64) {
dim := len(loc.X)
l.dim = dim
l.oldest = 0
l.a = resize(l.a, l.Store)
l.rho = resize(l.rho, l.Store)
l.y = l.initHistory(l.y)
l.s = l.initHistory(l.s)
l.x = resize(l.x, dim)
copy(l.x, loc.X)
l.grad = resize(l.grad, dim)
copy(l.grad, loc.Gradient)
copy(dir, loc.Gradient)
floats.Scale(-1, dir)
return 1 / floats.Norm(dir, 2)
}
func (l *LBFGS) initHistory(hist [][]float64) [][]float64 {
c := cap(hist)
if c < l.Store {
n := make([][]float64, l.Store-c)
hist = append(hist[:c], n...)
}
hist = hist[:l.Store]
for i := range hist {
hist[i] = resize(hist[i], l.dim)
for j := range hist[i] {
hist[i][j] = 0
}
}
return hist
}
func (l *LBFGS) NextDirection(loc *Location, dir []float64) (stepSize float64) {
// Uses two-loop correction as described in
// Nocedal, J., Wright, S.: Numerical Optimization (2nd ed). Springer (2006), chapter 7, page 178.
if len(loc.X) != l.dim {
panic("lbfgs: unexpected size mismatch")
}
if len(loc.Gradient) != l.dim {
panic("lbfgs: unexpected size mismatch")
}
if len(dir) != l.dim {
panic("lbfgs: unexpected size mismatch")
}
y := l.y[l.oldest]
floats.SubTo(y, loc.Gradient, l.grad)
s := l.s[l.oldest]
floats.SubTo(s, loc.X, l.x)
sDotY := floats.Dot(s, y)
l.rho[l.oldest] = 1 / sDotY
l.oldest = (l.oldest + 1) % l.Store
copy(l.x, loc.X)
copy(l.grad, loc.Gradient)
copy(dir, loc.Gradient)
// Start with the most recent element and go backward,
for i := 0; i < l.Store; i++ {
idx := l.oldest - i - 1
if idx < 0 {
idx += l.Store
}
l.a[idx] = l.rho[idx] * floats.Dot(l.s[idx], dir)
floats.AddScaled(dir, -l.a[idx], l.y[idx])
}
// Scale the initial Hessian.
gamma := sDotY / floats.Dot(y, y)
floats.Scale(gamma, dir)
// Start with the oldest element and go forward.
for i := 0; i < l.Store; i++ {
idx := i + l.oldest
if idx >= l.Store {
idx -= l.Store
}
beta := l.rho[idx] * floats.Dot(l.y[idx], dir)
floats.AddScaled(dir, l.a[idx]-beta, l.s[idx])
}
// dir contains H^{-1} * g, so flip the direction for minimization.
floats.Scale(-1, dir)
return 1
}
func (*LBFGS) needs() struct {
Gradient bool
Hessian bool
} {
return struct {
Gradient bool
Hessian bool
}{true, false}
}
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