breeze.optimize

LBFGS

class LBFGS[T] extends FirstOrderMinimizer[T, DiffFunction[T]] with Logging

Port of LBFGS to Scala.

Special note for LBFGS: If you use it in published work, you must cite one of: * 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 mem Method for Large Scale Optimization (1989), Mathematical Programming B, 45, 3, pp. 503-528. *

Linear Supertypes
FirstOrderMinimizer[T, DiffFunction[T]], Logging, Minimizer[T, DiffFunction[T]], AnyRef, Any
Known Subclasses
OWLQN
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Inherited
  1. LBFGS
  2. FirstOrderMinimizer
  3. Logging
  4. Minimizer
  5. AnyRef
  6. Any
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  1. Public
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Instance Constructors

  1. new LBFGS(maxIter: Int = -1, m: Int = 10, tolerance: Double = 1.0E-9)(implicit space: MutableInnerProductSpace[T, Double])

Type Members

  1. type History = ApproximateInverseHessian[T]

    Definition Classes
    LBFGS → FirstOrderMinimizer

  2. case class State(x: T, value: Double, grad: T, adjustedValue: Double, adjustedGradient: T, iter: Int, initialAdjVal: Double, history: History, fVals: IndexedSeq[Double] = ..., numImprovementFailures: Int = 0, searchFailed: Boolean = false) extends Product with Serializable

    Definition Classes
    FirstOrderMinimizer

Value Members

  1. final def !=(arg0: AnyRef): Boolean

    Definition Classes
    AnyRef

  2. final def !=(arg0: Any): Boolean

    Definition Classes
    Any

  3. final def ##(): Int

    Definition Classes
    AnyRef → Any

  4. final def ==(arg0: AnyRef): Boolean

    Definition Classes
    AnyRef

  5. final def ==(arg0: Any): Boolean

    Definition Classes
    Any

  6. def adjust(newX: T, newGrad: T, newVal: Double): (Double, T)

    Attributes
    protected
    Definition Classes
    FirstOrderMinimizer

  7. final def asInstanceOf[T0]: T0

    Definition Classes
    Any

  8. def calculateObjective(f: DiffFunction[T], x: T, history: History): (Double, T)

    Attributes
    protected
    Definition Classes
    FirstOrderMinimizer

  9. def chooseDescentDirection(state: State, fn: DiffFunction[T]): T

    Attributes
    protected
    Definition Classes
    LBFGS → FirstOrderMinimizer

  10. def clone(): AnyRef

    Attributes
    protected[java.lang]
    Definition Classes
    AnyRef
    Annotations
    @throws( ... )

  11. def determineStepSize(state: State, f: DiffFunction[T], dir: T): Double

    Given a direction, perform a line search to find a direction to descend.

    Given a direction, perform a line search to find a direction to descend. At the moment, this just executes backtracking, so it does not fulfill the wolfe conditions.

    state

    the current state

    f

    The objective

    dir

    The step direction

    returns

    stepSize

    Attributes
    protected
    Definition Classes
    LBFGS → FirstOrderMinimizer

  12. final def eq(arg0: AnyRef): Boolean

    Definition Classes
    AnyRef

  13. def equals(arg0: Any): Boolean

    Definition Classes
    AnyRef → Any

  14. def finalize(): Unit

    Attributes
    protected[java.lang]
    Definition Classes
    AnyRef
    Annotations
    @throws( classOf[java.lang.Throwable] )

  15. final def getClass(): Class[_]

    Definition Classes
    AnyRef → Any

  16. def hashCode(): Int

    Definition Classes
    AnyRef → Any

  17. def initialHistory(f: DiffFunction[T], x: T): History

    Attributes
    protected
    Definition Classes
    LBFGS → FirstOrderMinimizer

  18. def initialState(f: DiffFunction[T], init: T): State

    Attributes
    protected
    Definition Classes
    FirstOrderMinimizer

  19. final def isInstanceOf[T0]: Boolean

    Definition Classes
    Any

  20. def iterations(f: DiffFunction[T], init: T): Iterator[State]

    Definition Classes
    FirstOrderMinimizer

  21. lazy val logger: Logger

    Attributes
    protected
    Definition Classes
    Logging

  22. val minImprovementWindow: Int

    Definition Classes
    FirstOrderMinimizer

  23. def minimize(f: DiffFunction[T], init: T): T

    Definition Classes
    FirstOrderMinimizer → Minimizer

  24. final def ne(arg0: AnyRef): Boolean

    Definition Classes
    AnyRef

  25. final def notify(): Unit

    Definition Classes
    AnyRef

  26. final def notifyAll(): Unit

    Definition Classes
    AnyRef

  27. val numberOfImprovementFailures: Int

    Definition Classes
    FirstOrderMinimizer

  28. final def synchronized[T0](arg0: ⇒ T0): T0

    Definition Classes
    AnyRef

  29. def takeStep(state: State, dir: T, stepSize: Double): T

    Attributes
    protected
    Definition Classes
    LBFGS → FirstOrderMinimizer

  30. def toString(): String

    Definition Classes
    AnyRef → Any

  31. def updateFValWindow(oldState: State, newAdjVal: Double): IndexedSeq[Double]

    Attributes
    protected
    Definition Classes
    FirstOrderMinimizer

  32. def updateHistory(newX: T, newGrad: T, newVal: Double, f: DiffFunction[T], oldState: State): History

    Attributes
    protected
    Definition Classes
    LBFGS → FirstOrderMinimizer

  33. final def wait(): Unit

    Definition Classes
    AnyRef
    Annotations
    @throws( ... )

  34. final def wait(arg0: Long, arg1: Int): Unit

    Definition Classes
    AnyRef
    Annotations
    @throws( ... )

  35. final def wait(arg0: Long): Unit

    Definition Classes
    AnyRef
    Annotations
    @throws( ... )

Inherited from FirstOrderMinimizer[T, DiffFunction[T]]

Inherited from Logging

Inherited from Minimizer[T, DiffFunction[T]]

Inherited from AnyRef

Inherited from Any

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