#include <panoc-alm/inner/directions/decl/specialized-lbfgs.hpp>

Detailed Description

Limited memory Broyden–Fletcher–Goldfarb–Shanno (L-BFGS) algorithm that can handle updates of the γ parameter.

Definition at line 10 of file decl/specialized-lbfgs.hpp.

Collaboration diagram for SpecializedLBFGS:

Public Types
using	Params = LBFGSParams

Public Member Functions
	SpecializedLBFGS (Params params)

	SpecializedLBFGS (Params params, size_t n, size_t history)

bool	standard_update (crvec xₖ, crvec xₖ₊₁, crvec pₖ, crvec pₖ₊₁, crvec gradₖ₊₁)
	Standard L-BFGS update without changing the step size γ. More...

bool	full_update (crvec xₖ, crvec xₖ₊₁, crvec pₖ_old_γ, crvec pₖ₊₁, crvec gradₖ₊₁, const Box &C, real_t γ)
	L-BFGS update when changing the step size γ, recomputing everything. More...

bool	update (crvec xₖ, crvec xₖ₊₁, crvec pₖ, crvec pₖ₊₁, crvec gradₖ₊₁, const Box &C, real_t γ)
	Update the inverse Hessian approximation using the new vectors xₖ₊₁ and pₖ₊₁. More...

template<class Vec >
void	apply (Vec &&q)
	Apply the inverse Hessian approximation to the given vector q. More...

void	initialize (crvec x₀, crvec grad₀)
	Initialize with the starting point x₀ and the gradient in that point. More...

void	reset ()
	Throw away the approximation and all previous vectors s and y. More...

void	resize (size_t n, size_t history)
	Re-allocate storage for a problem with a different size. More...

std::string	get_name () const

size_t	n () const
	Get the size of the s, y, x and g vectors in the buffer. More...

size_t	history () const
	Get the number of previous vectors s, y, x and g stored in the buffer. More...

size_t	succ (size_t i) const
	Get the next index in the circular buffer of previous s, y, x and g vectors. More...

size_t	pred (size_t i) const
	Get the previous index in the circular buffer of previous s, y, x and g vectors. More...

auto	s (size_t i)

auto	s (size_t i) const

auto	y (size_t i)

auto	y (size_t i) const

auto	x (size_t i)

auto	x (size_t i) const

auto	g (size_t i)

auto	g (size_t i) const

auto	p ()

auto	p () const

auto	w ()

auto	w () const

real_t &	ρ (size_t i)

const real_t &	ρ (size_t i) const

real_t &	α (size_t i)

const real_t &	α (size_t i) const

Private Types
using	storage_t = Eigen::Matrix< real_t, Eigen::Dynamic, Eigen::Dynamic >

Private Attributes
storage_t	sto

size_t	idx = 0

bool	full = false

real_t	old_γ = 0

Params	params

Member Typedef Documentation

◆ Params

using Params = LBFGSParams

Definition at line 12 of file decl/specialized-lbfgs.hpp.

◆ storage_t

using storage_t = Eigen::Matrix<real_t, Eigen::Dynamic, Eigen::Dynamic>

private

Definition at line 78 of file decl/specialized-lbfgs.hpp.

Constructor & Destructor Documentation

◆ SpecializedLBFGS() [1/2]

SpecializedLBFGS ( Params params )

inline

Definition at line 14 of file decl/specialized-lbfgs.hpp.

◆ SpecializedLBFGS() [2/2]

SpecializedLBFGS	(	Params	params,
		size_t	n,
		size_t	history
	)

inline

Definition at line 15 of file decl/specialized-lbfgs.hpp.

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Member Function Documentation

◆ standard_update()

bool standard_update	(	crvec	xₖ,
		crvec	xₖ₊₁,
		crvec	pₖ,
		crvec	pₖ₊₁,
		crvec	gradₖ₊₁
	)

inline

Standard L-BFGS update without changing the step size γ.

Definition at line 19 of file specialized-lbfgs.hpp.

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◆ full_update()

bool full_update	(	crvec	xₖ,
		crvec	xₖ₊₁,
		crvec	pₖ_old_γ,
		crvec	pₖ₊₁,
		crvec	gradₖ₊₁,
		const Box &	C,
		real_t	γ
	)

inline

L-BFGS update when changing the step size γ, recomputing everything.

Definition at line 50 of file specialized-lbfgs.hpp.

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◆ update()

bool update	(	crvec	xₖ,
		crvec	xₖ₊₁,
		crvec	pₖ,
		crvec	pₖ₊₁,
		crvec	gradₖ₊₁,
		const Box &	C,
		real_t	γ
	)

inline

Update the inverse Hessian approximation using the new vectors xₖ₊₁ and pₖ₊₁.

Definition at line 97 of file specialized-lbfgs.hpp.

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◆ apply()

void apply ( Vec && q )

Apply the inverse Hessian approximation to the given vector q.

Definition at line 109 of file specialized-lbfgs.hpp.

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◆ initialize()

void initialize	(	crvec	x₀,
		crvec	grad₀
	)

inline

Initialize with the starting point x₀ and the gradient in that point.

Definition at line 11 of file specialized-lbfgs.hpp.

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◆ reset()

void reset ( )

inline

Throw away the approximation and all previous vectors s and y.

Definition at line 142 of file specialized-lbfgs.hpp.

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◆ resize()

void resize	(	size_t	n,
		size_t	history
	)

inline

Re-allocate storage for a problem with a different size.

Definition at line 135 of file specialized-lbfgs.hpp.

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◆ get_name()

std::string get_name ( ) const

inline

Definition at line 43 of file decl/specialized-lbfgs.hpp.

◆ n()

size_t n ( ) const

inline

Get the size of the s, y, x and g vectors in the buffer.

Definition at line 46 of file decl/specialized-lbfgs.hpp.

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◆ history()

size_t history ( ) const

inline

Get the number of previous vectors s, y, x and g stored in the buffer.

Definition at line 48 of file decl/specialized-lbfgs.hpp.

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◆ succ()

size_t succ ( size_t i ) const

inline

Get the next index in the circular buffer of previous s, y, x and g vectors.

Definition at line 51 of file decl/specialized-lbfgs.hpp.

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◆ pred()

size_t pred ( size_t i ) const

inline

Get the previous index in the circular buffer of previous s, y, x and g vectors.

Definition at line 54 of file decl/specialized-lbfgs.hpp.

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◆ s() [1/2]

auto s ( size_t i )

inline

Definition at line 56 of file decl/specialized-lbfgs.hpp.

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◆ s() [2/2]

auto s ( size_t i ) const

inline

Definition at line 57 of file decl/specialized-lbfgs.hpp.

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◆ y() [1/2]

auto y ( size_t i )

inline

Definition at line 58 of file decl/specialized-lbfgs.hpp.

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◆ y() [2/2]

auto y ( size_t i ) const

inline

Definition at line 59 of file decl/specialized-lbfgs.hpp.

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◆ x() [1/2]

auto x ( size_t i )

inline

Definition at line 60 of file decl/specialized-lbfgs.hpp.

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◆ x() [2/2]

auto x ( size_t i ) const

inline

Definition at line 61 of file decl/specialized-lbfgs.hpp.

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◆ g() [1/2]

auto g ( size_t i )

inline

Definition at line 64 of file decl/specialized-lbfgs.hpp.

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◆ g() [2/2]

auto g ( size_t i ) const

inline

Definition at line 65 of file decl/specialized-lbfgs.hpp.

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◆ p() [1/2]

auto p ( )

inline

Definition at line 68 of file decl/specialized-lbfgs.hpp.

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◆ p() [2/2]

auto p ( ) const

inline

Definition at line 69 of file decl/specialized-lbfgs.hpp.

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◆ w() [1/2]

auto w ( )

inline

Definition at line 70 of file decl/specialized-lbfgs.hpp.

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◆ w() [2/2]

auto w ( ) const

inline

Definition at line 71 of file decl/specialized-lbfgs.hpp.

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◆ ρ() [1/2]

real_t & ρ ( size_t i )

inline

Definition at line 72 of file decl/specialized-lbfgs.hpp.

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◆ ρ() [2/2]

const real_t & ρ ( size_t i ) const

inline

Definition at line 73 of file decl/specialized-lbfgs.hpp.

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◆ α() [1/2]

real_t & α ( size_t i )

inline

Definition at line 74 of file decl/specialized-lbfgs.hpp.

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◆ α() [2/2]

const real_t & α ( size_t i ) const

inline

Definition at line 75 of file decl/specialized-lbfgs.hpp.

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Member Data Documentation

◆ sto

storage_t sto

private

Definition at line 80 of file decl/specialized-lbfgs.hpp.

◆ idx

size_t idx = 0

private

Definition at line 81 of file decl/specialized-lbfgs.hpp.

◆ full

bool full = false

private

Definition at line 82 of file decl/specialized-lbfgs.hpp.

◆ old_γ

real_t old_γ = 0

private

Definition at line 83 of file decl/specialized-lbfgs.hpp.

◆ params

Params params

private

Definition at line 84 of file decl/specialized-lbfgs.hpp.

The documentation for this class was generated from the following files:

Detailed Description

Public Types

Public Member Functions

Private Types

Private Attributes

Member Typedef Documentation

◆ Params

◆ storage_t

Constructor & Destructor Documentation

◆ SpecializedLBFGS() [1/2]

◆ SpecializedLBFGS() [2/2]

Member Function Documentation

◆ standard_update()

◆ full_update()

◆ update()

◆ apply()

◆ initialize()

◆ reset()

◆ resize()

◆ get_name()

◆ n()

◆ history()

◆ succ()

◆ pred()

◆ s() [1/2]

◆ s() [2/2]

◆ y() [1/2]

◆ y() [2/2]

◆ x() [1/2]

◆ x() [2/2]

◆ g() [1/2]

◆ g() [2/2]

◆ p() [1/2]

◆ p() [2/2]

◆ w() [1/2]

◆ w() [2/2]

◆ ρ() [1/2]

◆ ρ() [2/2]

◆ α() [1/2]

◆ α() [2/2]

Member Data Documentation

◆ sto

◆ idx

◆ full

◆ old_γ

◆ params