NAME
Algorithm::LBFGS - Perl extension for L-BFGS
SYNOPSIS
use Algorithm::LBFGS;
# f(x) = x^2
sub f() {
my $x = shift;
return $x->[0] * $x->[0];
}
# grad f(x) = 2x
sub g() {
my $x = shift;
return [ 2 * $x->[0] ];
}
# minimize
my $xt = fmin(\&f, \&g, [5]); # $xt = [0]
DESCRIPTION
L-BFGS is a limited-memory quasi-Newton method for unconstrained
optimization. This method is especially efficient on problems involving
a large number of variables.
It solves a problem described as following:
min f(x), x = (x1, x2, ..., xn)
This module is a Perl port of its Fortran 77 version by Jorge Nocedal.
fmin
"fmin(f, g, x0)" finds a vector "x" which minimize the function f(x).
* "f" - The reference to the f(x) function. This function is supposed to
accept an array reference (the vector of "x") and return a scalar (the
value f(x)).
* "g" - The reference to the "grad f(x)" function ("grad" for gradient).
This function is supposed to accept an array reference (the vector "x")
and return an array reference (the gradient vector of "f" at "x").
* "x0" - The initial value of "x". It is supposed to be an array
reference. The final result may depend on your choice of the initial
"x".
"fmin" returns the optimized "x" on success, otherwise returns "undef".
$Algorithm::LBFGS::m
"m" is an positive integer value that can be set by the user to the
number of corrections used in the BFGS update. Values of "m" less than 3
are not recommended; large values of "m" will result in excessive
computing time. "3 <= m <= 7" is recommended. The default value of "m"
is 5.
$Algorithm::LBFGS::xtol
"xtol" is a positive value that can be set by the user to an estimate of
the machine precision. The line search routine will terminate if the
relative width of the interval of uncertainty is less than "xtol". The
default value of "xtol" is equal to the "DBL_EPSILON" in float.h.
$Algorithm::LBFGS::eps
"eps" is a positive DOUBLE value that can be set by the user to
determine the accuracy with which the solution is to be found. The
subroutine terminates when
||G|| < eps max(1,||X||)
where "||.||" denotes the Euclidean norm.
The default value of "eps" is equal to the "DBL_EPSILON" in float.h.
$Algorithm::LBFGS::gtol
"gtol" is a value with default value 0.9, which controls the accuracy of
the line search. If the f(x) and "grad f(x)" evaluations are inexpensive
with respect to the cost of the iteration (which is sometimes the case
when solving very large problems) it may be advantageous to set "gtol"
to a small value. A typical small value is 0.1. "gtol" should be greater
than 1E-04.
$Algorithm::LBFGS::stpmin and $Algorithm::LBFGS::stpmax
"stpmin" and "stpmax" are non-negative value which specify lower and
upper bounds for the step in the line search. Their default values are
1.D-20 and 1.D+20, respectively. These values need not be modified
unless the exponents are too large for the machine being used, or unless
the problem is extremely badly scaled (in which case the exponents
should be increased).
$Algorithm::LBFGS::iprt1 and $Algorithm::LBFGS::iprt2
"iprt1" and "iprt2" can be specified to control the output.
"iprt1" specifies the frequency of the output:
* "iprt1 < 0" : no output is generated,
* "iprt1 = 0" : output only at first and last iteration,
* "iprt1 > 0" : output every iterations.
"iprt2" specifies the type of output generated:
* "iprt2 = 0" : iteration count, number of function evaluations,
function value, norm of the gradient, and steplength,
* "iprt2 = 1" : same as "iprt2 = 0", plus vector of variables and
gradient vector at the initial point,
* "iprt2 = 2" : same as "iprt2 = 1", plus vector of variables,
* "iprt2 = 3" : same as "iprt2 = 2", plus gradient vector.
The default value of "iprt1" and "iprt2" is 1, 0 respectively.
DEPENDENCY
To build the module, you need to install "libf2c" beforehand.
SEE ALSO
PDL, PDL::Opt::NonLinear
AUTHOR
Laye Suen,
COPYRIGHT AND LICENSE
Copyright (C) 2008 by Laye Suen
This library is free software; you can redistribute it and/or modify it
under the same terms as Perl itself, either Perl version 5.8.8 or, at
your option, any later version of Perl 5 you may have available.
REFERENCE
J. Nocedal. Updating Quasi-Newton Matrices with Limited Storage (1980) ,
Mathematics of Computation 35, pp. 773-782.
D.C. Liu and J. Nocedal. On the Limited Memory Method for Large Scale
Optimization (1989), Mathematical Programming B, 45, 3, pp. 503-528.