sample.c

This library is a C port of the implementation of Limited-memory Broyden-Fletcher-Goldfarb-Shanno (L

#include <stdio.h>
#include <lbfgs.h>

static lbfgsfloatval_t evaluate(
    void *instance,
    const lbfgsfloatval_t *x,
    lbfgsfloatval_t *g,
    const int n,
    const lbfgsfloatval_t step
    )
{
    int i;
    lbfgsfloatval_t fx = 0.0;

    for (i = 0;i < n;i += 2) {
        lbfgsfloatval_t t1 = 1.0 - x[i];
        lbfgsfloatval_t t2 = 10.0 * (x[i+1] - x[i] * x[i]);
        g[i+1] = 20.0 * t2;
        g[i] = -2.0 * (x[i] * g[i+1] + t1);
        fx += t1 * t1 + t2 * t2;
    }
    return fx;
}

static int progress(
    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
    )
{
    printf("Iteration %d:\n", k);
    printf("  fx = %f, x[0] = %f, x[1] = %f\n", fx, x[0], x[1]);
    printf("  xnorm = %f, gnorm = %f, step = %f\n", xnorm, gnorm, step);
    printf("\n");
    return 0;
}

#define N   100

int main(int argc, char *argv)
{
    int i, ret = 0;
    lbfgsfloatval_t fx;
    lbfgsfloatval_t *x = lbfgs_malloc(N);
    lbfgs_parameter_t param;

    if (x == NULL) {
        printf("ERROR: Failed to allocate a memory block for variables.\n");
        return 1;
    }

    /* Initialize the variables. */
    for (i = 0;i < N;i += 2) {
        x[i] = -1.2;
        x[i+1] = 1.0;
    }

    /* Initialize the parameters for the L-BFGS optimization. */
    lbfgs_parameter_init(&param);
    //param.orthantwise_c = 1;
    //param.linesearch = LBFGS_LINESEARCH_BACKTRACKING;

    /*
        Start the L-BFGS optimization; this will invoke the callback functions
        evaluate() and progress() when necessary.
     */
    ret = lbfgs(N, x, &fx, evaluate, progress, NULL, &param);

    /* Report the result. */
    printf("L-BFGS optimization terminated with status code = %d\n", ret);
    printf("  fx = %f, x[0] = %f, x[1] = %f\n", fx, x[0], x[1]);

    lbfgs_free(x);
    return 0;
}