#include <alpaqa/inner/directions/decl/lbfgs.hpp>

Detailed Description

Limited memory Broyden–Fletcher–Goldfarb–Shanno (L-BFGS) algorithm.

Definition at line 29 of file decl/lbfgs.hpp.

Collaboration diagram for LBFGS:

Public Types
enum class	Sign { Positive , Negative }
	The sign of the vectors \( p \) passed to the LBFGS::update method. More...

using	Params = LBFGSParams

Public Member Functions
	LBFGS (Params params)

	LBFGS (Params params, size_t n)

bool	update (crvec xₖ, crvec xₖ₊₁, crvec pₖ, crvec pₖ₊₁, Sign sign, bool forced=false)
	Update the inverse Hessian approximation using the new vectors xₖ₊₁ and pₖ₊₁. More...

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

template<class Vec , class IndexVec >
bool	apply (Vec &&q, real_t γ, const IndexVec &J)
	Apply the inverse Hessian approximation to the given vector q, applying only the columns and rows of the Hessian in the index set J. More...

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

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

void	scale_y (real_t factor)
	Scale the stored y vectors by the given factor. More...

std::string	get_name () const

const Params &	get_params () const

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

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

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

auto	s (size_t i)

auto	s (size_t i) const

auto	y (size_t i)

auto	y (size_t i) 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

Static Public Member Functions
static bool	update_valid (LBFGSParams params, real_t yᵀs, real_t sᵀs, real_t pᵀp)
	Check if the new vectors s and y allow for a valid BFGS update that preserves the positive definiteness of the Hessian approximation. More...

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

Params	params

Member Typedef Documentation

◆ Params

using Params = LBFGSParams

Definition at line 31 of file decl/lbfgs.hpp.

◆ storage_t

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

private

Definition at line 92 of file decl/lbfgs.hpp.

Member Enumeration Documentation

◆ Sign

enum class Sign

strong

The sign of the vectors \( p \) passed to the LBFGS::update method.

Enumerator
Positive	\( p \sim \nabla \psi(x) \)
Negative	\( p \sim -\nabla \psi(x) \)

Definition at line 35 of file decl/lbfgs.hpp.

Constructor & Destructor Documentation

◆ LBFGS() [1/2]

LBFGS ( Params params )

inline

Definition at line 40 of file decl/lbfgs.hpp.

◆ LBFGS() [2/2]

LBFGS	(	Params	params,
		size_t	n
	)

inline

Definition at line 41 of file decl/lbfgs.hpp.

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Member Function Documentation

◆ update_valid()

bool update_valid	(	LBFGSParams	params,
		real_t	yᵀs,
		real_t	sᵀs,
		real_t	pᵀp
	)

inlinestatic

Check if the new vectors s and y allow for a valid BFGS update that preserves the positive definiteness of the Hessian approximation.

Definition at line 9 of file lbfgs.hpp.

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◆ update()

bool update	(	crvec	xₖ,
		crvec	xₖ₊₁,
		crvec	pₖ,
		crvec	pₖ₊₁,
		Sign	sign,
		bool	forced = `false`
	)

inline

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

Definition at line 33 of file lbfgs.hpp.

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◆ apply() [1/2]

bool apply	(	Vec &&	q,
		real_t	γ
	)

Apply the inverse Hessian approximation to the given vector q.

Definition at line 59 of file lbfgs.hpp.

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◆ apply() [2/2]

bool apply	(	Vec &&	q,
		real_t	γ,
		const IndexVec &	J
	)

Apply the inverse Hessian approximation to the given vector q, applying only the columns and rows of the Hessian in the index set J.

Definition at line 99 of file lbfgs.hpp.

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◆ reset()

void reset ( )

inline

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

Definition at line 183 of file lbfgs.hpp.

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◆ resize()

void resize ( size_t n )

inline

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

Causes a reset.

Definition at line 188 of file lbfgs.hpp.

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◆ scale_y()

void scale_y ( real_t factor )

inline

Scale the stored y vectors by the given factor.

Definition at line 195 of file lbfgs.hpp.

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◆ get_name()

std::string get_name ( ) const

inline

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

◆ get_params()

const Params & get_params ( ) const

inline

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

◆ n()

size_t n ( ) const

inline

Get the size of the s and y vectors in the buffer.

Definition at line 76 of file decl/lbfgs.hpp.

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◆ history()

size_t history ( ) const

inline

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

Definition at line 78 of file decl/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 and y vectors.

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

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◆ s() [1/2]

auto s ( size_t i )

inline

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

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◆ s() [2/2]

auto s ( size_t i ) const

inline

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

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◆ y() [1/2]

auto y ( size_t i )

inline

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

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◆ y() [2/2]

auto y ( size_t i ) const

inline

Definition at line 85 of file decl/lbfgs.hpp.

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◆ ρ() [1/2]

real_t & ρ ( size_t i )

inline

Definition at line 86 of file decl/lbfgs.hpp.

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◆ ρ() [2/2]

const real_t & ρ ( size_t i ) const

inline

Definition at line 87 of file decl/lbfgs.hpp.

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◆ α() [1/2]

real_t & α ( size_t i )

inline

Definition at line 88 of file decl/lbfgs.hpp.

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◆ α() [2/2]

const real_t & α ( size_t i ) const

inline

Definition at line 89 of file decl/lbfgs.hpp.

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Member Data Documentation

◆ sto

storage_t sto

private

Definition at line 94 of file decl/lbfgs.hpp.

◆ idx

size_t idx = 0

private

Definition at line 95 of file decl/lbfgs.hpp.

◆ full

bool full = false

private

Definition at line 96 of file decl/lbfgs.hpp.

◆ params

Params params

private

Definition at line 97 of file decl/lbfgs.hpp.

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

Detailed Description

Public Types

Public Member Functions

Static Public Member Functions

Private Types

Private Attributes

Member Typedef Documentation

◆ Params

◆ storage_t

Member Enumeration Documentation

◆ Sign

Constructor & Destructor Documentation

◆ LBFGS() [1/2]

◆ LBFGS() [2/2]

Member Function Documentation

◆ update_valid()

◆ update()

◆ apply() [1/2]

◆ apply() [2/2]

◆ reset()

◆ resize()

◆ scale_y()

◆ get_name()

◆ get_params()

◆ n()

◆ history()

◆ succ()

◆ s() [1/2]

◆ s() [2/2]

◆ y() [1/2]

◆ y() [2/2]

◆ ρ() [1/2]

◆ ρ() [2/2]

◆ α() [1/2]

◆ α() [2/2]

Member Data Documentation

◆ sto

◆ idx

◆ full

◆ params