LBFGSB

Full name Microsoft.VisualBasic.Math.Framework.Optimization.LBFGSB.LBFGSB Assembly Microsoft.VisualBasic.Math.Core Members 18

L-BFGS-B optimizer

LBFGSBJava

L-BFGS-B box constrained optimizer

Most of the code ported from LBFGS++ code.
MoreThuente line search ported from R source and Julia LineSearches.jl
MoreThuente can be used with strong or weak (default) Wolfe condition
LewisOverton (experimental, don't use) line search ported from LBFGS-Lite

LBFGSB is implemented without any dependencies.

See org.generateme.lbfgsb.examples for usage cases.

Target function

Each target function should implement IGradFunction interface.

default implementation of gradient uses finite differences method
implementing only evaluate(x) will use finite differences
there is a possibility to calculate function value and gradient in one call, implement gradient(x,grad) and implement in_place_gradient to return true. See Rosenbrock in examples.

Licence

The MIT Licence

00 Remarks

https://github.com/genmeblog/LBFGSBJava

01 Syntax

Microsoft.VisualBasic.Math.Framework.Optimization.LBFGSB.LBFGSB

02 Methods

Name	Overloads	Summary
minimize	1
reset	1
maxit	1
debug	1
force_bounds	1
proj_grad_norm	1
max_step_size	1

03 Fields

Name	Overloads	Summary
m_param	1
m_bfgs	1
m_fx	1
m_xp	1
m_grad	1
m_gradp	1
m_drt	1
m_projgnorm	1
fx	1
k	1
eps	1

04 Members

method minimize #

minimize(IGradFunction, Double(), Double(), Double())

Parameters

Name	Type	Description
`f`	IGradFunction	function
`[in]`	`Double()`	initial and final value
`lb`	`Double()`	lower bounds
`ub`	`Double()`	upper bounds

field m_param #

m_param

field m_bfgs #

m_bfgs

field m_fx #

m_fx

field m_xp #

m_xp

field m_grad #

m_grad

field m_gradp #

m_gradp

field m_drt #

m_drt

field m_projgnorm #

m_projgnorm

field fx #

field k #

field eps #

eps

method reset #

reset(Int32)

method maxit #

maxit(Int32)

method debug #

debug(Boolean)

method force_bounds #

force_bounds(Double(), Double(), Double())

method proj_grad_norm #

proj_grad_norm(Double(), Double(), Double(), Double())

method max_step_size #

max_step_size(Double(), Double(), Double(), Double())