decl/lbfgs.hpp File Reference

#include <quala/decl/lbfgs-fwd.hpp>
#include <quala/util/vec.hpp>

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Classes
struct	LBFGSParams
	Parameters for the LBFGS class. More...
struct	LBFGSParams::CBFGSParams
	Cautious BFGS update. More...
struct	LBFGSStorage
	Layout: More...
class	LBFGS
	Limited memory Broyden–Fletcher–Goldfarb–Shanno (L-BFGS) algorithm. More...

Namespaces
namespace	quala

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Class Documentation

quala::LBFGSParams

struct quala::LBFGSParams

Collaboration diagram for LBFGSParams:

Class Members
length_t	memory = 10	Length of the history to keep.
real_t	min_div_fac = 1e-10	Reject update if \( y^\top s \le \text{min_div_fac} \cdot s^\top s \).
real_t	min_abs_s = 1e-32	Reject update if \( s^\top s \le \text{min_abs_s} \).
CBFGSParams	cbfgs	Parameters in the cautious BFGS update condition. \[ \frac{y^\top s}{s^\top s} \ge \epsilon \| g \|^\alpha \] See also https://epubs.siam.org/doi/10.1137/S1052623499354242
bool	force_pos_def = true	If set to true, the inverse Hessian estimate should remain definite, i.e. a check is performed that rejects the update if \( y^\top s \le \text{min_div_fac} \cdot s^\top s \). If set to false, just try to prevent a singular Hessian by rejecting the update if \( \left| y^\top s \right| \le \text{min_div_fac} \cdot s^\top s \).