diff --git a/Config/Build.hs b/Config/Build.hs new file mode 100644 --- /dev/null +++ b/Config/Build.hs @@ -0,0 +1,336 @@ +-- Shamelessly copied from Cabal-1.14.0 by Ivan Labáth +----------------------------------------------------------------------------- +-- | +-- Module : Distribution.Simple.Build +-- Copyright : Isaac Jones 2003-2005, +-- Ross Paterson 2006, +-- Duncan Coutts 2007-2008 +-- +-- Maintainer : cabal-devel@haskell.org +-- Portability : portable +-- +-- This is the entry point to actually building the modules in a package. It +-- doesn't actually do much itself, most of the work is delegated to +-- compiler-specific actions. It does do some non-compiler specific bits like +-- running pre-processors. +-- + +{- Copyright (c) 2003-2005, Isaac Jones +All rights reserved. + +Redistribution and use in source and binary forms, with or without +modification, are permitted provided that the following conditions are +met: + + * Redistributions of source code must retain the above copyright + notice, this list of conditions and the following disclaimer. + + * Redistributions in binary form must reproduce the above + copyright notice, this list of conditions and the following + disclaimer in the documentation and/or other materials provided + with the distribution. + + * Neither the name of Isaac Jones nor the names of other + contributors may be used to endorse or promote products derived + from this software without specific prior written permission. + +THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS +"AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT +LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR +A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT +OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, +SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT +LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, +DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY +THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT +(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE +OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE. -} + +module Config.Build ( + build, + ) where + +import qualified Config.GHC as GHC +import qualified Distribution.Simple.JHC as JHC +import qualified Distribution.Simple.LHC as LHC +import qualified Distribution.Simple.NHC as NHC +import qualified Distribution.Simple.Hugs as Hugs +import qualified Distribution.Simple.UHC as UHC + +import qualified Distribution.Simple.Build.Macros as Build.Macros +import qualified Distribution.Simple.Build.PathsModule as Build.PathsModule + +import Distribution.Package + ( Package(..), PackageName(..), PackageIdentifier(..) + , Dependency(..), thisPackageVersion ) +import Distribution.Simple.Compiler + ( CompilerFlavor(..), compilerFlavor, PackageDB(..) ) +import Distribution.PackageDescription + ( PackageDescription(..), BuildInfo(..), Library(..), Executable(..) + , TestSuite(..), TestSuiteInterface(..), Benchmark(..) + , BenchmarkInterface(..) ) +import qualified Distribution.InstalledPackageInfo as IPI +import qualified Distribution.ModuleName as ModuleName + +import Distribution.Simple.Setup + ( BuildFlags(..), fromFlag ) +import Distribution.Simple.PreProcess + ( preprocessComponent, PPSuffixHandler ) +import Distribution.Simple.LocalBuildInfo + ( LocalBuildInfo(compiler, buildDir, withPackageDB, withPrograms) + , Component(..), ComponentLocalBuildInfo(..), withComponentsLBI + , inplacePackageId ) +import Distribution.Simple.Program.Types +import Distribution.Simple.Program.Db +import Distribution.Simple.BuildPaths + ( autogenModulesDir, autogenModuleName, cppHeaderName, exeExtension ) +import Distribution.Simple.Register + ( registerPackage, inplaceInstalledPackageInfo ) +import Distribution.Simple.Test ( stubFilePath, stubName ) +import Distribution.Simple.Utils + ( createDirectoryIfMissingVerbose, rewriteFile + , die, info, setupMessage ) + +import Distribution.Verbosity + ( Verbosity ) +import Distribution.Text + ( display ) + +import Data.Maybe + ( maybeToList ) +import Data.List + ( intersect ) +import Control.Monad + ( unless ) +import System.FilePath + ( (), (<.>) ) +import System.Directory + ( getCurrentDirectory ) + +-- ----------------------------------------------------------------------------- +-- |Build the libraries and executables in this package. + +build :: PackageDescription -- ^ Mostly information from the .cabal file + -> LocalBuildInfo -- ^ Configuration information + -> BuildFlags -- ^ Flags that the user passed to build + -> [ PPSuffixHandler ] -- ^ preprocessors to run before compiling + -> IO () +build pkg_descr lbi flags suffixes = do + let distPref = fromFlag (buildDistPref flags) + verbosity = fromFlag (buildVerbosity flags) + initialBuildSteps distPref pkg_descr lbi verbosity + setupMessage verbosity "Building" (packageId pkg_descr) + + internalPackageDB <- createInternalPackageDB distPref + + let pre c lbi' = preprocessComponent pkg_descr c lbi' False verbosity suffixes + withComponentsLBI pkg_descr lbi $ \comp clbi -> + case comp of + CLib lib -> do + let bi = libBuildInfo lib + progs' = addInternalBuildTools pkg_descr lbi bi (withPrograms lbi) + lbi' = lbi { withPrograms = progs' } + pre comp lbi' + info verbosity "Building library..." + buildLib verbosity pkg_descr lbi' lib clbi + + -- Register the library in-place, so exes can depend + -- on internally defined libraries. + pwd <- getCurrentDirectory + let installedPkgInfo = + (inplaceInstalledPackageInfo pwd distPref pkg_descr lib lbi clbi) { + -- The inplace registration uses the "-inplace" suffix, + -- not an ABI hash. + IPI.installedPackageId = inplacePackageId (packageId installedPkgInfo) + } + registerPackage verbosity + installedPkgInfo pkg_descr lbi True -- True meaning inplace + (withPackageDB lbi ++ [internalPackageDB]) + + CExe exe -> do + let bi = buildInfo exe + progs' = addInternalBuildTools pkg_descr lbi bi (withPrograms lbi) + lbi' = lbi { + withPrograms = progs', + withPackageDB = withPackageDB lbi ++ [internalPackageDB] + } + pre comp lbi' + info verbosity $ "Building executable " ++ exeName exe ++ "..." + buildExe verbosity pkg_descr lbi' exe clbi + + CTest test -> do + case testInterface test of + TestSuiteExeV10 _ f -> do + let bi = testBuildInfo test + exe = Executable + { exeName = testName test + , modulePath = f + , buildInfo = bi + } + progs' = addInternalBuildTools pkg_descr lbi bi (withPrograms lbi) + lbi' = lbi { + withPrograms = progs', + withPackageDB = withPackageDB lbi ++ [internalPackageDB] + } + pre comp lbi' + info verbosity $ "Building test suite " ++ testName test ++ "..." + buildExe verbosity pkg_descr lbi' exe clbi + TestSuiteLibV09 _ m -> do + pwd <- getCurrentDirectory + let bi = testBuildInfo test + lib = Library + { exposedModules = [ m ] + , libExposed = True + , libBuildInfo = bi + } + pkg = pkg_descr + { package = (package pkg_descr) + { pkgName = PackageName $ testName test + } + , buildDepends = targetBuildDepends $ testBuildInfo test + , executables = [] + , testSuites = [] + , library = Just lib + } + ipi = (inplaceInstalledPackageInfo + pwd distPref pkg lib lbi clbi) + { IPI.installedPackageId = inplacePackageId $ packageId ipi + } + testDir = buildDir lbi' stubName test + stubName test ++ "-tmp" + testLibDep = thisPackageVersion $ package pkg + exe = Executable + { exeName = stubName test + , modulePath = stubFilePath test + , buildInfo = (testBuildInfo test) + { hsSourceDirs = [ testDir ] + , targetBuildDepends = testLibDep + : (targetBuildDepends $ testBuildInfo test) + } + } + -- | The stub executable needs a new 'ComponentLocalBuildInfo' + -- that exposes the relevant test suite library. + exeClbi = clbi + { componentPackageDeps = + (IPI.installedPackageId ipi, packageId ipi) + : (filter (\(_, x) -> let PackageName name = pkgName x in name == "Cabal" || name == "base") + $ componentPackageDeps clbi) + } + progs' = addInternalBuildTools pkg_descr lbi bi (withPrograms lbi) + lbi' = lbi { + withPrograms = progs', + withPackageDB = withPackageDB lbi ++ [internalPackageDB] + } + + pre comp lbi' + info verbosity $ "Building test suite " ++ testName test ++ "..." + buildLib verbosity pkg lbi' lib clbi + registerPackage verbosity ipi pkg lbi' True $ withPackageDB lbi' + buildExe verbosity pkg_descr lbi' exe exeClbi + TestSuiteUnsupported tt -> die $ "No support for building test suite " + ++ "type " ++ display tt + + CBench bm -> do + case benchmarkInterface bm of + BenchmarkExeV10 _ f -> do + let bi = benchmarkBuildInfo bm + exe = Executable + { exeName = benchmarkName bm + , modulePath = f + , buildInfo = bi + } + progs' = addInternalBuildTools pkg_descr lbi bi (withPrograms lbi) + lbi' = lbi { + withPrograms = progs', + withPackageDB = withPackageDB lbi ++ [internalPackageDB] + } + pre comp lbi' + info verbosity $ "Building benchmark " ++ benchmarkName bm ++ "..." + buildExe verbosity pkg_descr lbi' exe clbi + BenchmarkUnsupported tt -> die $ "No support for building benchmark " + ++ "type " ++ display tt + +-- | Initialize a new package db file for libraries defined +-- internally to the package. +createInternalPackageDB :: FilePath -> IO PackageDB +createInternalPackageDB distPref = do + let dbFile = distPref "package.conf.inplace" + packageDB = SpecificPackageDB dbFile + writeFile dbFile "[]" + return packageDB + +addInternalBuildTools :: PackageDescription -> LocalBuildInfo -> BuildInfo + -> ProgramDb -> ProgramDb +addInternalBuildTools pkg lbi bi progs = + foldr updateProgram progs internalBuildTools + where + internalBuildTools = + [ simpleConfiguredProgram toolName (FoundOnSystem toolLocation) + | toolName <- toolNames + , let toolLocation = buildDir lbi toolName toolName <.> exeExtension ] + toolNames = intersect buildToolNames internalExeNames + internalExeNames = map exeName (executables pkg) + buildToolNames = map buildToolName (buildTools bi) + where + buildToolName (Dependency (PackageName name) _ ) = name + + +-- TODO: build separate libs in separate dirs so that we can build +-- multiple libs, e.g. for 'LibTest' library-style testsuites +buildLib :: Verbosity -> PackageDescription -> LocalBuildInfo + -> Library -> ComponentLocalBuildInfo -> IO () +buildLib verbosity pkg_descr lbi lib clbi = + case compilerFlavor (compiler lbi) of + GHC -> GHC.buildLib verbosity pkg_descr lbi lib clbi + JHC -> JHC.buildLib verbosity pkg_descr lbi lib clbi + LHC -> LHC.buildLib verbosity pkg_descr lbi lib clbi + Hugs -> Hugs.buildLib verbosity pkg_descr lbi lib clbi + NHC -> NHC.buildLib verbosity pkg_descr lbi lib clbi + UHC -> UHC.buildLib verbosity pkg_descr lbi lib clbi + _ -> die "Building is not supported with this compiler." + +buildExe :: Verbosity -> PackageDescription -> LocalBuildInfo + -> Executable -> ComponentLocalBuildInfo -> IO () +buildExe verbosity pkg_descr lbi exe clbi = + case compilerFlavor (compiler lbi) of + GHC -> GHC.buildExe verbosity pkg_descr lbi exe clbi + JHC -> JHC.buildExe verbosity pkg_descr lbi exe clbi + LHC -> LHC.buildExe verbosity pkg_descr lbi exe clbi + Hugs -> Hugs.buildExe verbosity pkg_descr lbi exe clbi + NHC -> NHC.buildExe verbosity pkg_descr lbi exe clbi + UHC -> UHC.buildExe verbosity pkg_descr lbi exe clbi + _ -> die "Building is not supported with this compiler." + +initialBuildSteps :: FilePath -- ^"dist" prefix + -> PackageDescription -- ^mostly information from the .cabal file + -> LocalBuildInfo -- ^Configuration information + -> Verbosity -- ^The verbosity to use + -> IO () +initialBuildSteps _distPref pkg_descr lbi verbosity = do + -- check that there's something to build + let buildInfos = + map libBuildInfo (maybeToList (library pkg_descr)) ++ + map buildInfo (executables pkg_descr) + unless (any buildable buildInfos) $ do + let name = display (packageId pkg_descr) + die ("Package " ++ name ++ " can't be built on this system.") + + createDirectoryIfMissingVerbose verbosity True (buildDir lbi) + + writeAutogenFiles verbosity pkg_descr lbi + +-- | Generate and write out the Paths_.hs and cabal_macros.h files +-- +writeAutogenFiles :: Verbosity + -> PackageDescription + -> LocalBuildInfo + -> IO () +writeAutogenFiles verbosity pkg lbi = do + createDirectoryIfMissingVerbose verbosity True (autogenModulesDir lbi) + + let pathsModulePath = autogenModulesDir lbi + ModuleName.toFilePath (autogenModuleName pkg) <.> "hs" + rewriteFile pathsModulePath (Build.PathsModule.generate pkg lbi) + + let cppHeaderPath = autogenModulesDir lbi cppHeaderName + rewriteFile cppHeaderPath (Build.Macros.generate pkg lbi) diff --git a/Config/Exception.hs b/Config/Exception.hs new file mode 100644 --- /dev/null +++ b/Config/Exception.hs @@ -0,0 +1,62 @@ +-- Shamelessly copied from Cabal-1.14.0 by Ivan Labáth +{-# OPTIONS -cpp #-} +-- OPTIONS required for ghc-6.4.x compat, and must appear first +{-# LANGUAGE CPP #-} +{-# OPTIONS_GHC -cpp #-} +{-# OPTIONS_NHC98 -cpp #-} +{-# OPTIONS_JHC -fcpp #-} + +#if !(defined(__HUGS__) || (defined(__GLASGOW_HASKELL__) && __GLASGOW_HASKELL__ < 610)) +#define NEW_EXCEPTION +#endif + +module Config.Exception ( + Exception.IOException, + onException, + catchIO, + catchExit, + throwIOIO, + tryIO, + ) where + +import System.Exit +import qualified Control.Exception as Exception + +onException :: IO a -> IO b -> IO a +#ifdef NEW_EXCEPTION +onException = Exception.onException +#else +onException io what = io `Exception.catch` \e -> do what + Exception.throw e +#endif + +throwIOIO :: Exception.IOException -> IO a +#ifdef NEW_EXCEPTION +throwIOIO = Exception.throwIO +#else +throwIOIO = Exception.throwIO . Exception.IOException +#endif + +tryIO :: IO a -> IO (Either Exception.IOException a) +#ifdef NEW_EXCEPTION +tryIO = Exception.try +#else +tryIO = Exception.tryJust Exception.ioErrors +#endif + +catchIO :: IO a -> (Exception.IOException -> IO a) -> IO a +#ifdef NEW_EXCEPTION +catchIO = Exception.catch +#else +catchIO = Exception.catchJust Exception.ioErrors +#endif + +catchExit :: IO a -> (ExitCode -> IO a) -> IO a +#ifdef NEW_EXCEPTION +catchExit = Exception.catch +#else +catchExit = Exception.catchJust exitExceptions + where exitExceptions (Exception.ExitException ee) = Just ee + exitExceptions _ = Nothing +#endif + diff --git a/Config/GHC.hs b/Config/GHC.hs new file mode 100644 --- /dev/null +++ b/Config/GHC.hs @@ -0,0 +1,444 @@ +-- Shamelessly copied from Cabal-1.14.0 by Ivan Labáth +----------------------------------------------------------------------------- +-- | +-- Module : Distribution.Simple.GHC +-- Copyright : Isaac Jones 2003-2007 +-- +-- Maintainer : cabal-devel@haskell.org +-- Portability : portable +-- +-- This is a fairly large module. It contains most of the GHC-specific code for +-- configuring, building and installing packages. It also exports a function +-- for finding out what packages are already installed. Configuring involves +-- finding the @ghc@ and @ghc-pkg@ programs, finding what language extensions +-- this version of ghc supports and returning a 'Compiler' value. +-- +-- 'getInstalledPackages' involves calling the @ghc-pkg@ program to find out +-- what packages are installed. +-- +-- Building is somewhat complex as there is quite a bit of information to take +-- into account. We have to build libs and programs, possibly for profiling and +-- shared libs. We have to support building libraries that will be usable by +-- GHCi and also ghc's @-split-objs@ feature. We have to compile any C files +-- using ghc. Linking, especially for @split-objs@ is remarkably complex, +-- partly because there tend to be 1,000's of @.o@ files and this can often be +-- more than we can pass to the @ld@ or @ar@ programs in one go. +-- +-- Installing for libs and exes involves finding the right files and copying +-- them to the right places. One of the more tricky things about this module is +-- remembering the layout of files in the build directory (which is not +-- explicitly documented) and thus what search dirs are used for various kinds +-- of files. + +{- Copyright (c) 2003-2005, Isaac Jones +All rights reserved. + +Redistribution and use in source and binary forms, with or without +modiication, are permitted provided that the following conditions are +met: + + * Redistributions of source code must retain the above copyright + notice, this list of conditions and the following disclaimer. + + * Redistributions in binary form must reproduce the above + copyright notice, this list of conditions and the following + disclaimer in the documentation and/or other materials provided + with the distribution. + + * Neither the name of Isaac Jones nor the names of other + contributors may be used to endorse or promote products derived + from this software without specific prior written permission. + +THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS +"AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT +LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR +A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT +OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, +SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT +LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, +DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY +THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT +(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE +OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE. -} + +module Config.GHC ( + configure, getInstalledPackages, + buildLib, buildExe, + installLib, installExe, + libAbiHash, + registerPackage, + ghcOptions, + ghcVerbosityOptions, + ghcPackageDbOptions, + ghcLibDir, + ) where + +import Distribution.Simple.GHC ( + configure, getInstalledPackages, + {-buildLib,-} buildExe, + installLib, installExe, + libAbiHash, + registerPackage, + ghcOptions, + ghcVerbosityOptions, + ghcPackageDbOptions, + ghcLibDir, + ) + +import Config.Program + +import Distribution.PackageDescription as PD + ( PackageDescription(..), BuildInfo(..) + , Library(..), libModules, hcOptions, allExtensions ) +import Distribution.Simple.LocalBuildInfo + ( LocalBuildInfo(..), ComponentLocalBuildInfo(..) + , absoluteInstallDirs ) +import Distribution.Simple.InstallDirs hiding ( absoluteInstallDirs ) +import Distribution.Simple.BuildPaths +import Distribution.Simple.Utils +import Distribution.Package + ( PackageIdentifier, Package(..) ) +import qualified Distribution.ModuleName as ModuleName +import Distribution.Simple.Program + ( Program(..), ConfiguredProgram(..), ProgramConfiguration, ProgArg + , ProgramLocation(..), rawSystemProgram, rawSystemProgramConf + , rawSystemProgramStdout, rawSystemProgramStdoutConf + , requireProgramVersion, requireProgram, getProgramOutput + , userMaybeSpecifyPath, programPath, lookupProgram, addKnownProgram + , ghcProgram, ghcPkgProgram, arProgram, ranlibProgram, ldProgram ) +import qualified Distribution.Simple.Program.Ar as Ar +import qualified Distribution.Simple.Program.Ld as Ld +import Distribution.Simple.Compiler + ( CompilerFlavor(..), Compiler(..), compilerVersion + , OptimisationLevel(..) ) +import Distribution.Version + ( Version(..) ) +import Distribution.System + ( OS(..), buildOS ) +import Distribution.Verbosity +import Distribution.Text + ( display ) +import Language.Haskell.Extension (Extension(..), KnownExtension(..)) + +import Control.Monad ( unless, when ) +import Data.Char ( isSpace ) +import Data.Maybe ( catMaybes ) +import System.Directory + ( removeFile, getDirectoryContents ) +import System.FilePath ( (), (<.>), takeExtension, + takeDirectory, replaceExtension ) +import Config.Exception (catchIO) + +-- Utilities for fortran + + +splitUp :: String -> [String] +splitUp s = case dropWhile edge s of + "" -> [] + s' -> w : splitUp s'' + where (w, s'') = + break edge s' + where + edge '\n' = True + edge ',' = True + edge _ = False + +trim :: String -> String +trim = reverse . dropWhile isSpace . reverse . dropWhile isSpace + +fSources :: BuildInfo -> [FilePath] +fSources BuildInfo { customFieldsBI = custom } = + concatMap expand [ paths | ("x-fortran-sources", paths) <- custom ] + where + expand = filter (/= "") . map trim . splitUp + +constructFortranCmdLine :: LocalBuildInfo -> BuildInfo -> ComponentLocalBuildInfo + -> FilePath -> FilePath -> Verbosity -> Bool -> Bool + ->(FilePath,[String]) +constructFortranCmdLine lbi bi clbi pref filename verbosity dynamic profiling = (path, args) + where + path = pref takeDirectory filename + args = +-- ghcCcOptions lbi bi clbi odir + (if verbosity >= deafening then ["-v"] else []) + ++ (case withOptimization lbi of + NoOptimisation -> [] + NormalOptimisation -> ["-O"] + MaximumOptimisation -> ["-O2"]) + ++ ["-c",filename] + ++ ["-o", pref filename `replaceExtension` ".o" ] + ++ ["-dynamic" | dynamic] + +-- ----------------------------------------------------------------------------- +-- Building + +-- | Build a library with GHC. +-- +buildLib :: Verbosity -> PackageDescription -> LocalBuildInfo + -> Library -> ComponentLocalBuildInfo -> IO () +buildLib verbosity pkg_descr lbi lib clbi = do + let pref = buildDir lbi + pkgid = packageId pkg_descr + runGhcProg = rawSystemProgramConf verbosity ghcProgram (withPrograms lbi) + runFortranProg = rawSystemProgramConf verbosity gfortranProgram (withPrograms lbi) + ifVanillaLib forceVanilla = when (forceVanilla || withVanillaLib lbi) + ifProfLib = when (withProfLib lbi) + ifSharedLib = when (withSharedLib lbi) + ifGHCiLib = when (withGHCiLib lbi && withVanillaLib lbi) + comp = compiler lbi + ghcVersion = compilerVersion comp + + libBi <- hackThreadedFlag verbosity + comp (withProfLib lbi) (libBuildInfo lib) + + let libTargetDir = pref + forceVanillaLib = EnableExtension TemplateHaskell `elem` allExtensions libBi + -- TH always needs vanilla libs, even when building for profiling + + createDirectoryIfMissingVerbose verbosity True libTargetDir + -- TODO: do we need to put hs-boot files into place for mutually recurive modules? + let ghcArgs = + "--make" + : ["-package-name", display pkgid ] + ++ constructGHCCmdLine lbi libBi clbi libTargetDir verbosity + ++ map display (libModules lib) + ghcArgsProf = ghcArgs + ++ ["-prof", + "-hisuf", "p_hi", + "-osuf", "p_o" + ] + ++ ghcProfOptions libBi + ghcArgsShared = ghcArgs + ++ ["-dynamic", + "-hisuf", "dyn_hi", + "-osuf", "dyn_o", "-fPIC" + ] + ++ ghcSharedOptions libBi + unless (null (libModules lib)) $ + do ifVanillaLib forceVanillaLib (runGhcProg ghcArgs) + ifProfLib (runGhcProg ghcArgsProf) + ifSharedLib (runGhcProg ghcArgsShared) + + -- build any C sources + unless (null (cSources libBi)) $ do + info verbosity "Building C Sources..." + sequence_ [do let (odir,args) = constructCcCmdLine lbi libBi clbi pref + filename verbosity + False + (withProfLib lbi) + createDirectoryIfMissingVerbose verbosity True odir + runGhcProg args + ifSharedLib (runGhcProg (args ++ ["-fPIC", "-osuf dyn_o"])) + | filename <- cSources libBi] + + -- build any fortran sources + unless (null (fSources libBi)) $ do + info verbosity "Building fortran Sources..." + sequence_ [do let (odir,args) = constructFortranCmdLine lbi libBi clbi pref + filename verbosity + False + (withProfLib lbi) + createDirectoryIfMissingVerbose verbosity True odir + runFortranProg args + ifSharedLib (runFortranProg (args ++ ["-fPIC", "-osuf dyn_o"])) + | filename <- fSources libBi] + + -- link: + info verbosity "Linking..." + let cObjs = map (`replaceExtension` objExtension) (cSources libBi ++ fSources libBi) + cSharedObjs = map (`replaceExtension` ("dyn_" ++ objExtension)) (cSources libBi ++ fSources libBi) + vanillaLibFilePath = libTargetDir mkLibName pkgid + profileLibFilePath = libTargetDir mkProfLibName pkgid + sharedLibFilePath = libTargetDir mkSharedLibName pkgid + (compilerId (compiler lbi)) + ghciLibFilePath = libTargetDir mkGHCiLibName pkgid + libInstallPath = libdir $ absoluteInstallDirs pkg_descr lbi NoCopyDest + sharedLibInstallPath = libInstallPath mkSharedLibName pkgid + (compilerId (compiler lbi)) + + stubObjs <- fmap catMaybes $ sequence + [ findFileWithExtension [objExtension] [libTargetDir] + (ModuleName.toFilePath x ++"_stub") + | ghcVersion < Version [7,2] [] -- ghc-7.2+ does not make _stub.o files + , x <- libModules lib ] + stubProfObjs <- fmap catMaybes $ sequence + [ findFileWithExtension ["p_" ++ objExtension] [libTargetDir] + (ModuleName.toFilePath x ++"_stub") + | ghcVersion < Version [7,2] [] -- ghc-7.2+ does not make _stub.o files + , x <- libModules lib ] + stubSharedObjs <- fmap catMaybes $ sequence + [ findFileWithExtension ["dyn_" ++ objExtension] [libTargetDir] + (ModuleName.toFilePath x ++"_stub") + | ghcVersion < Version [7,2] [] -- ghc-7.2+ does not make _stub.o files + , x <- libModules lib ] + + hObjs <- getHaskellObjects lib lbi + pref objExtension True + hProfObjs <- + if (withProfLib lbi) + then getHaskellObjects lib lbi + pref ("p_" ++ objExtension) True + else return [] + hSharedObjs <- + if (withSharedLib lbi) + then getHaskellObjects lib lbi + pref ("dyn_" ++ objExtension) False + else return [] + + unless (null hObjs && null cObjs && null stubObjs) $ do + -- first remove library files if they exists + sequence_ + [ removeFile libFilePath `catchIO` \_ -> return () + | libFilePath <- [vanillaLibFilePath, profileLibFilePath + ,sharedLibFilePath, ghciLibFilePath] ] + + let staticObjectFiles = + hObjs + ++ map (pref ) cObjs + ++ stubObjs + profObjectFiles = + hProfObjs + ++ map (pref ) cObjs + ++ stubProfObjs + ghciObjFiles = + hObjs + ++ map (pref ) cObjs + ++ stubObjs + dynamicObjectFiles = + hSharedObjs + ++ map (pref ) cSharedObjs + ++ stubSharedObjs + -- After the relocation lib is created we invoke ghc -shared + -- with the dependencies spelled out as -package arguments + -- and ghc invokes the linker with the proper library paths + ghcSharedLinkArgs = + [ "-no-auto-link-packages", + "-shared", + "-dynamic", + "-o", sharedLibFilePath ] + -- For dynamic libs, Mac OS/X needs to know the install location + -- at build time. + ++ (if buildOS == OSX + then ["-dylib-install-name", sharedLibInstallPath] + else []) + ++ dynamicObjectFiles + ++ ["-package-name", display pkgid ] + ++ ghcPackageFlags lbi clbi + ++ ["-l"++extraLib | extraLib <- extraLibs libBi] + ++ ["-L"++extraLibDir | extraLibDir <- extraLibDirs libBi] + + ifVanillaLib False $ do + (arProg, _) <- requireProgram verbosity arProgram (withPrograms lbi) + Ar.createArLibArchive verbosity arProg + vanillaLibFilePath staticObjectFiles + + ifProfLib $ do + (arProg, _) <- requireProgram verbosity arProgram (withPrograms lbi) + Ar.createArLibArchive verbosity arProg + profileLibFilePath profObjectFiles + + ifGHCiLib $ do + (ldProg, _) <- requireProgram verbosity ldProgram (withPrograms lbi) + Ld.combineObjectFiles verbosity ldProg + ghciLibFilePath ghciObjFiles + + ifSharedLib $ + runGhcProg ghcSharedLinkArgs + +-- | Filter the "-threaded" flag when profiling as it does not +-- work with ghc-6.8 and older. +hackThreadedFlag :: Verbosity -> Compiler -> Bool -> BuildInfo -> IO BuildInfo +hackThreadedFlag verbosity comp prof bi + | not mustFilterThreaded = return bi + | otherwise = do + warn verbosity $ "The ghc flag '-threaded' is not compatible with " + ++ "profiling in ghc-6.8 and older. It will be disabled." + return bi { options = filterHcOptions (/= "-threaded") (options bi) } + where + mustFilterThreaded = prof && compilerVersion comp < Version [6, 10] [] + && "-threaded" `elem` hcOptions GHC bi + filterHcOptions p hcoptss = + [ (hc, if hc == GHC then filter p opts else opts) + | (hc, opts) <- hcoptss ] + +-- when using -split-objs, we need to search for object files in the +-- Module_split directory for each module. +getHaskellObjects :: Library -> LocalBuildInfo + -> FilePath -> String -> Bool -> IO [FilePath] +getHaskellObjects lib lbi pref wanted_obj_ext allow_split_objs + | splitObjs lbi && allow_split_objs = do + let splitSuffix = if compilerVersion (compiler lbi) < + Version [6, 11] [] + then "_split" + else "_" ++ wanted_obj_ext ++ "_split" + dirs = [ pref (ModuleName.toFilePath x ++ splitSuffix) + | x <- libModules lib ] + objss <- mapM getDirectoryContents dirs + let objs = [ dir obj + | (objs',dir) <- zip objss dirs, obj <- objs', + let obj_ext = takeExtension obj, + '.':wanted_obj_ext == obj_ext ] + return objs + | otherwise = + return [ pref ModuleName.toFilePath x <.> wanted_obj_ext + | x <- libModules lib ] + + +constructGHCCmdLine + :: LocalBuildInfo + -> BuildInfo + -> ComponentLocalBuildInfo + -> FilePath + -> Verbosity + -> [String] +constructGHCCmdLine lbi bi clbi odir verbosity = + ghcVerbosityOptions verbosity + -- Unsupported extensions have already been checked by configure + ++ ghcOptions lbi bi clbi odir + +ghcPackageFlags :: LocalBuildInfo -> ComponentLocalBuildInfo -> [String] +ghcPackageFlags lbi clbi + | ghcVer >= Version [6,11] [] + = concat [ ["-package-id", display ipkgid] + | (ipkgid, _) <- componentPackageDeps clbi ] + + | otherwise = concat [ ["-package", display pkgid] + | (_, pkgid) <- componentPackageDeps clbi ] + where + ghcVer = compilerVersion (compiler lbi) + +constructCcCmdLine :: LocalBuildInfo -> BuildInfo -> ComponentLocalBuildInfo + -> FilePath -> FilePath -> Verbosity -> Bool -> Bool + ->(FilePath,[String]) +constructCcCmdLine lbi bi clbi pref filename verbosity dynamic profiling + = let odir | compilerVersion (compiler lbi) >= Version [6,4,1] [] = pref + | otherwise = pref takeDirectory filename + -- ghc 6.4.1 fixed a bug in -odir handling + -- for C compilations. + in + (odir, + ghcCcOptions lbi bi clbi odir + ++ (if verbosity >= deafening then ["-v"] else []) + ++ ["-c",filename] + -- Note: When building with profiling enabled, we pass the -prof + -- option to ghc here when compiling C code, so that the PROFILING + -- macro gets defined. The macro is used in ghc's Rts.h in the + -- definitions of closure layouts (Closures.h). + ++ ["-dynamic" | dynamic] + ++ ["-prof" | profiling]) + +ghcCcOptions :: LocalBuildInfo -> BuildInfo -> ComponentLocalBuildInfo + -> FilePath -> [String] +ghcCcOptions lbi bi clbi odir + = ["-I" ++ dir | dir <- odir : PD.includeDirs bi] + ++ ghcPackageDbOptions (withPackageDB lbi) + ++ ghcPackageFlags lbi clbi + ++ ["-optc" ++ opt | opt <- PD.ccOptions bi] + ++ (case withOptimization lbi of + NoOptimisation -> [] + _ -> ["-optc-O2"]) + ++ ["-odir", odir] + +mkGHCiLibName :: PackageIdentifier -> String +mkGHCiLibName lib = "HS" ++ display lib <.> "o" + diff --git a/Config/Program.hs b/Config/Program.hs new file mode 100644 --- /dev/null +++ b/Config/Program.hs @@ -0,0 +1,8 @@ +module Config.Program + ( gfortranProgram + ) where + +import Distribution.Simple.Program + +gfortranProgram :: Program +gfortranProgram = simpleProgram "gfortran" diff --git a/Config/Simple.hs b/Config/Simple.hs new file mode 100644 --- /dev/null +++ b/Config/Simple.hs @@ -0,0 +1,27 @@ +module Config.Simple where + +import Config.Build as Build + +import Distribution.Simple +import Distribution.Simple.Setup(BuildFlags(..)) +import Distribution.Simple.PreProcess +import Distribution.PackageDescription +import Distribution.Simple.LocalBuildInfo ( LocalBuildInfo(..) ) + +import Data.List + +-- | Combine the preprocessors in the given hooks with the +-- preprocessors built into cabal. +allSuffixHandlers :: UserHooks + -> [PPSuffixHandler] +allSuffixHandlers hooks + = overridesPP (hookedPreProcessors hooks) knownSuffixHandlers + where + overridesPP :: [PPSuffixHandler] -> [PPSuffixHandler] -> [PPSuffixHandler] + overridesPP = unionBy (\x y -> fst x == fst y) + + +defaultBuildHook :: PackageDescription -> LocalBuildInfo + -> UserHooks -> BuildFlags -> IO () +defaultBuildHook pkg_descr localbuildinfo hooks flags = + Build.build pkg_descr localbuildinfo flags (allSuffixHandlers hooks) diff --git a/LICENSE b/LICENSE new file mode 100644 --- /dev/null +++ b/LICENSE @@ -0,0 +1,47 @@ +Presumably, all content is provided under BSD3. + +Fortran code is from http://users.eecs.northwestern.edu/~nocedal/lbfgsb.html, +downloaded 2012-03-13 containing the following statement: + +Condition for Use: This software is freely available, but we expect that all +publications describing work using this software, or all commercial products +using it, quote at least one of the references given below. This software is +released under the BSD License + + +All other package content unless stated otherwise is Copyright (c) 2012, Ivan Labáth +released under BSD3 or alternatively just do whatever you want with it. + + +For your convenience the BSD3 template follows: + +Copyright (c) , + +All rights reserved. + +Redistribution and use in source and binary forms, with or without +modification, are permitted provided that the following conditions are met: + + * Redistributions of source code must retain the above copyright + notice, this list of conditions and the following disclaimer. + + * Redistributions in binary form must reproduce the above + copyright notice, this list of conditions and the following + disclaimer in the documentation and/or other materials provided + with the distribution. + + * Neither the name of nor the names of other + contributors may be used to endorse or promote products derived + from this software without specific prior written permission. + +THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS +"AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT +LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR +A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT +OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, +SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT +LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, +DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY +THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT +(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE +OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE. diff --git a/Setup.hs b/Setup.hs new file mode 100644 --- /dev/null +++ b/Setup.hs @@ -0,0 +1,14 @@ +import qualified Config.Simple as FortranizedSimple +import Config.Program + +import Distribution.Simple + +main :: IO () +main = defaultMainWithHooks simpleUserHooks + { hookedPrograms = gfortranProgram : hookedPrograms simpleUserHooks, + confHook = myConfHook, + buildHook = FortranizedSimple.defaultBuildHook } + +myConfHook (pkg0, pbi) flags = do + lbi <- confHook simpleUserHooks (pkg0, pbi) flags + return lbi diff --git a/hlbfgsb.cabal b/hlbfgsb.cabal new file mode 100644 --- /dev/null +++ b/hlbfgsb.cabal @@ -0,0 +1,74 @@ +name: hlbfgsb +version: 0.0.1.0 +synopsis: Haskell binding to L-BFGS-B version 3.0 +description: + Haskell bindings to Nocedal's 3.0 version + of the Limited memory - Broyden Fletcher Goldfarb Shanno - Bounded + optimization algorithm. + . + Initial version, but functional. So far no support for limiting iteration + count. A more powerful interface should be developed. + . + Notice: The fortran code is marked pure, althugh it tends to write + to standard output at troubled times (should be fixed at some point in time). + . + From homepage: + Software for Large-scale Bound-constrained Optimization L-BFGS-B is a + limited-memory quasi-Newton code for bound-constrained optimization, i.e. + for problems where the only constraints are of the form l <= x <= u. The + current release is version 3.0. The distribution file was last changed on + 2011-08-02. + +homepage: http://people.ksp.sk/~ivan/hlbfgsb +license: BSD3 +license-file: LICENSE +author: Ivan Labáth +maintainer: ivan@hlbfgsb.ksp.sk +-- copyright: +category: Math +build-type: Custom +cabal-version: >=1.10 + +extra-source-files: + Config/Build.hs, + Config/Exception.hs, + Config/GHC.hs, + Config/Program.hs, + Config/Simple.hs, + src/blas.f, + src/lbfgsb.f, + src/linpack.f, + lbfgsb.html + +library + exposed-modules: Numeric.Lbfgsb + default-language: Haskell2010 + build-depends: base >= 4 && < 5, + vector >= 0.9 + hs-source-dirs: src + extra-libraries: gfortran + build-tools: gfortran + x-fortran-sources: src/blas.f, + src/lbfgsb.f, + src/linpack.f + +test-suite test + type: exitcode-stdio-1.0 + main-is: Tests.hs + default-language: Haskell2010 + build-depends: base >= 4 && < 5, + vector >= 0.9, + hlbfgsb, + HUnit, + test-framework, + test-framework-hunit + hs-source-dirs: test + +source-repository head + type: darcs + location: http://people.ksp.sk/~ivan/hlbfgsb + +source-repository this + type: darcs + location: http://people.ksp.sk/~ivan/hlbfgsb + tag: 0.0.1.0 diff --git a/lbfgsb.html b/lbfgsb.html new file mode 100644 --- /dev/null +++ b/lbfgsb.html @@ -0,0 +1,94 @@ + + + + + + L-BFGS-B Nonlinear Optimization Code + + + +

+L-BFGS-B

+ +
+

+Software for Large-scale Bound-constrained Optimization

+L-BFGS-B is a limited-memory quasi-Newton code for bound-constrained +optimization, i.e. for problems where the only constraints +are of the form l<= x <= u. +The current release is version 3.0. The distribution file was +last changed on 02/08/11. + +

+(If you have an optimization problem with general constraints, +try KNITRO® + )
+

+Downloading and Installing L-BFGS-B

+ +
Condition for Use: +This software is freely available, but we expect that all publications +describing  work using this software , or all commercial products +using it, quote at least one of the references given below. This software +is released under the BSD License
+You are welcome to grab the full Unix distribution, containing source code, +Makefiles and User Guide. + +

+ + L-BFGS-B was upgraded on August 2, 2011 from version Lbfgsb.2.1 to version Lbfgsb.3.0 (see + reference 3. below).

Click here to download L-BFGS-B +version Lbfgsb.2.1 + +

Click here to download L-BFGS-B +version Lbfgsb.3.0 +

Both versions can be installed using the same commands: +

Save the gz file in a fresh subdirectory on your system. To install, +first type +

gunzip Lbfgsb.m.n.tar.gz
+to produce a file Lbfgsb.m.n.tar.  Then, type +
tar -xvf Lbfgsb.m.n.tar
+to create the directory Lbfgsb.m.n containing the source code, +Makefiles and User Guide. +

+Authors

+ +
Ciyou Zhu, +Richard Byrd, +Jorge Nocedal and +Jose Luis +Morales. +
+Test results comparing L-BFGS-B (version Lbfgsb.2.1) and MINOS can be found here +

References +

    +
  1. +R. H. Byrd, P. Lu and J. Nocedal. A +Limited Memory Algorithm for Bound Constrained Optimization, (1995), +SIAM Journal on Scientific and Statistical Computing , 16, 5, pp. 1190-1208.
    2. + +
  2. +C. Zhu, R. H. Byrd and J. Nocedal. L-BFGS-B: +Algorithm 778: L-BFGS-B, FORTRAN routines for large scale bound constrained +optimization (1997), ACM Transactions on Mathematical Software, Vol +23, Num. 4, pp. 550 - 560.
    3. + +
  3. +J.L. Morales and J. Nocedal. + L-BFGS-B: +Remark on Algorithm 778: L-BFGS-B, FORTRAN routines for large scale bound constrained +optimization (2011), to appear in ACM Transactions on Mathematical Software.
    4. +
+ +
+
+

+ + + diff --git a/src/Numeric/Lbfgsb.hs b/src/Numeric/Lbfgsb.hs new file mode 100644 --- /dev/null +++ b/src/Numeric/Lbfgsb.hs @@ -0,0 +1,126 @@ +module Numeric.Lbfgsb + ( minimize + , minimizeV + ) where + +import Control.Arrow hiding (loop) +import Control.Monad +import Data.Char +import qualified Data.Vector.Generic as V +import qualified Data.Vector.Storable as SV +import Foreign hiding (unsafePerformIO) +import System.IO.Unsafe (unsafePerformIO) + +readTask :: Int -> Ptr Word8 -> IO String +readTask n a = do + s <- peekArray n a + return $ map (chr . fromIntegral) s + +expandConstraints :: [(Maybe Double, Maybe Double)] + -> ([Double], [Double], [Int]) +expandConstraints cs = unzip3 . map conv $ cs + where + conv (Nothing, Nothing) = (47, 47, 0) + conv (Just x, Nothing) = (x, 47, 1) + conv (Just x, Just y) = (x, y, 2) + conv (Nothing, Just y) = (47, y, 3) + +vectorize :: ([Double] -> (Double, [Double])) -> SV.Vector Double -> (Double, SV.Vector Double) +vectorize fg = second V.fromList . fg . V.toList + +unvectorize :: (SV.Vector Double -> (Double, SV.Vector Double)) -> [Double] -> (Double, [Double]) +unvectorize fg = second V.toList . fg . V.fromList + +minimizeV :: Int -- m - number of past iterations + -> Double -- factr - accuracy factor e.g. 1e3 + -> Double -- pgtol - gradiant tolerance e.g. 1e-10 + -> SV.Vector Double -- x + -> [(Maybe Double, Maybe Double)] -- bounds + -> (SV.Vector Double -> (Double, SV.Vector Double)) -- fg + -> SV.Vector Double +minimizeV m factr pgtol x bounds fg = unsafePerformIO $ minimizeIO (-1) m factr pgtol x bounds fg + +minimize :: Int + -> Double + -> Double + -> [Double] + -> [(Maybe Double, Maybe Double)] + -> ([Double] -> (Double, [Double])) + -> [Double] +minimize m factr pgtol x bounds fg = V.toList $ minimizeV m factr pgtol (V.fromList x) bounds (vectorize fg) + +minimizeIO :: Int -- verbosity + -> Int -- m + -> Double -- factr + -> Double -- pgtol + -> SV.Vector Double -- x + -> [(Maybe Double, Maybe Double)] -- bounds + -> (SV.Vector Double -> (Double, SV.Vector Double)) -- fg + -> IO (SV.Vector Double) +minimizeIO verbosity m factr pgtol x bounds fg = + with n $ \n' -> + with m $ \m' -> + withArray (V.toList x) $ \x' -> + withArray ls $ \l -> + withArray us $ \u -> + withArray nbds $ \nbd -> + alloca $ \f -> + allocaArray n $ \g -> + with factr $ \factr' -> + with pgtol $ \pgtol' -> + allocaArray ((2*m+5)*n + 11*m*m + 8*m) $ \wa -> + allocaArray (3*n + 470) $ \iwa -> + withArray sTART $ \task -> + with verbosity $ \iprint -> + allocaArray 60 $ \csave -> + allocaArray 4 $ \lsave -> + allocaArray 44 $ \isave -> + allocaArray 29 $ \dsave -> do + res <- loop n' m' x' l u nbd f g factr' pgtol' wa iwa task iprint csave lsave isave dsave + return res + where + loop n' m' x' l u nbd f g factr' pgtol' wa iwa task iprint csave lsave isave dsave = loop' + where + loop' = do + setulb_ n' m' x' l u nbd f g factr' pgtol' wa iwa task iprint csave lsave isave dsave 60 60 + when (verbosity > 1) $ print =<< readTask 50 task + readTask 5 task >>= \t -> case t of + 'F':'G':_ -> updateFg >> loop' + "NEW_X" -> (when (verbosity > 1) $ print =<< readDoubles n x') >> + updateFg >> loop' + _ -> readDoubles n x' + updateFg = do + xs <- readDoubles n x' + let (fnew, gnew) = fg xs + poke f fnew + pokeArray g (V.toList gnew) + + n = V.length x + readDoubles :: Int -> Ptr Double -> IO (SV.Vector Double) + readDoubles n' ds = (return . V.fromList) =<< peekArray n' ds + (ls, us, nbds) = expandConstraints . take n $ bounds ++ repeat (Nothing, Nothing) + sTART = map (fromIntegral . ord) . take 60 $ "START" ++ repeat ' ' + + +foreign import ccall setulb_ + :: Ptr Int -- n - number of variables + -> Ptr Int -- m - memory - number of corrections + -> Ptr Double -- x[n] - estimate + -> Ptr Double -- l[n] - lower bound + -> Ptr Double -- u[n] - upper bound + -> Ptr Int -- nbd[n] - has bound (lb | up << 1) + -> Ptr Double -- f - function value + -> Ptr Double -- g[n] - gradient + -> Ptr Double -- factr - accuracy factor + -> Ptr Double -- pgtol - stop condition gradient tolerance + -> Ptr Double -- wa[(2m+5)n + 11m^2 + 8m] - working array + -> Ptr Int -- iwa[3n] - working array + -> Ptr Word8 -- task[60] + -> Ptr Int -- iprint - output + -> Ptr Word8 -- csave[60] - char working array + -> Ptr Bool -- lsave[4] + -> Ptr Int -- isave[44] + -> Ptr Double -- dsave[29] + -> Int -- task length + -> Int -- csave length + -> IO () diff --git a/src/blas.f b/src/blas.f new file mode 100644 --- /dev/null +++ b/src/blas.f @@ -0,0 +1,256 @@ + + double precision function dnrm2(n,x,incx) + integer n,incx + double precision x(n) +c ********** +c +c Function dnrm2 +c +c Given a vector x of length n, this function calculates the +c Euclidean norm of x with stride incx. +c +c The function statement is +c +c double precision function dnrm2(n,x,incx) +c +c where +c +c n is a positive integer input variable. +c +c x is an input array of length n. +c +c incx is a positive integer variable that specifies the +c stride of the vector. +c +c Subprograms called +c +c FORTRAN-supplied ... abs, max, sqrt +c +c MINPACK-2 Project. February 1991. +c Argonne National Laboratory. +c Brett M. Averick. +c +c ********** + integer i + double precision scale + + dnrm2 = 0.0d0 + scale = 0.0d0 + + do 10 i = 1, n, incx + scale = max(scale, abs(x(i))) + 10 continue + + if (scale .eq. 0.0d0) return + + do 20 i = 1, n, incx + dnrm2 = dnrm2 + (x(i)/scale)**2 + 20 continue + + dnrm2 = scale*sqrt(dnrm2) + + + return + + end + +c====================== The end of dnrm2 =============================== + + subroutine daxpy(n,da,dx,incx,dy,incy) +c +c constant times a vector plus a vector. +c uses unrolled loops for increments equal to one. +c jack dongarra, linpack, 3/11/78. +c + double precision dx(*),dy(*),da + integer i,incx,incy,ix,iy,m,mp1,n +c + if(n.le.0)return + if (da .eq. 0.0d0) return + if(incx.eq.1.and.incy.eq.1)go to 20 +c +c code for unequal increments or equal increments +c not equal to 1 +c + ix = 1 + iy = 1 + if(incx.lt.0)ix = (-n+1)*incx + 1 + if(incy.lt.0)iy = (-n+1)*incy + 1 + do 10 i = 1,n + dy(iy) = dy(iy) + da*dx(ix) + ix = ix + incx + iy = iy + incy + 10 continue + return +c +c code for both increments equal to 1 +c +c +c clean-up loop +c + 20 m = mod(n,4) + if( m .eq. 0 ) go to 40 + do 30 i = 1,m + dy(i) = dy(i) + da*dx(i) + 30 continue + if( n .lt. 4 ) return + 40 mp1 = m + 1 + do 50 i = mp1,n,4 + dy(i) = dy(i) + da*dx(i) + dy(i + 1) = dy(i + 1) + da*dx(i + 1) + dy(i + 2) = dy(i + 2) + da*dx(i + 2) + dy(i + 3) = dy(i + 3) + da*dx(i + 3) + 50 continue + return + end + +c====================== The end of daxpy =============================== + + subroutine dcopy(n,dx,incx,dy,incy) +c +c copies a vector, x, to a vector, y. +c uses unrolled loops for increments equal to one. +c jack dongarra, linpack, 3/11/78. +c + double precision dx(*),dy(*) + integer i,incx,incy,ix,iy,m,mp1,n +c + if(n.le.0)return + if(incx.eq.1.and.incy.eq.1)go to 20 +c +c code for unequal increments or equal increments +c not equal to 1 +c + ix = 1 + iy = 1 + if(incx.lt.0)ix = (-n+1)*incx + 1 + if(incy.lt.0)iy = (-n+1)*incy + 1 + do 10 i = 1,n + dy(iy) = dx(ix) + ix = ix + incx + iy = iy + incy + 10 continue + return +c +c code for both increments equal to 1 +c +c +c clean-up loop +c + 20 m = mod(n,7) + if( m .eq. 0 ) go to 40 + do 30 i = 1,m + dy(i) = dx(i) + 30 continue + if( n .lt. 7 ) return + 40 mp1 = m + 1 + do 50 i = mp1,n,7 + dy(i) = dx(i) + dy(i + 1) = dx(i + 1) + dy(i + 2) = dx(i + 2) + dy(i + 3) = dx(i + 3) + dy(i + 4) = dx(i + 4) + dy(i + 5) = dx(i + 5) + dy(i + 6) = dx(i + 6) + 50 continue + return + end + +c====================== The end of dcopy =============================== + + double precision function ddot(n,dx,incx,dy,incy) +c +c forms the dot product of two vectors. +c uses unrolled loops for increments equal to one. +c jack dongarra, linpack, 3/11/78. +c + double precision dx(*),dy(*),dtemp + integer i,incx,incy,ix,iy,m,mp1,n +c + ddot = 0.0d0 + dtemp = 0.0d0 + if(n.le.0)return + if(incx.eq.1.and.incy.eq.1)go to 20 +c +c code for unequal increments or equal increments +c not equal to 1 +c + ix = 1 + iy = 1 + if(incx.lt.0)ix = (-n+1)*incx + 1 + if(incy.lt.0)iy = (-n+1)*incy + 1 + do 10 i = 1,n + dtemp = dtemp + dx(ix)*dy(iy) + ix = ix + incx + iy = iy + incy + 10 continue + ddot = dtemp + return +c +c code for both increments equal to 1 +c +c +c clean-up loop +c + 20 m = mod(n,5) + if( m .eq. 0 ) go to 40 + do 30 i = 1,m + dtemp = dtemp + dx(i)*dy(i) + 30 continue + if( n .lt. 5 ) go to 60 + 40 mp1 = m + 1 + do 50 i = mp1,n,5 + dtemp = dtemp + dx(i)*dy(i) + dx(i + 1)*dy(i + 1) + + * dx(i + 2)*dy(i + 2) + dx(i + 3)*dy(i + 3) + dx(i + 4)*dy(i + 4) + 50 continue + 60 ddot = dtemp + return + end + +c====================== The end of ddot ================================ + + subroutine dscal(n,da,dx,incx) +c +c scales a vector by a constant. +c uses unrolled loops for increment equal to one. +c jack dongarra, linpack, 3/11/78. +c modified 3/93 to return if incx .le. 0. +c + double precision da,dx(*) + integer i,incx,m,mp1,n,nincx +c + if( n.le.0 .or. incx.le.0 )return + if(incx.eq.1)go to 20 +c +c code for increment not equal to 1 +c + nincx = n*incx + do 10 i = 1,nincx,incx + dx(i) = da*dx(i) + 10 continue + return +c +c code for increment equal to 1 +c +c +c clean-up loop +c + 20 m = mod(n,5) + if( m .eq. 0 ) go to 40 + do 30 i = 1,m + dx(i) = da*dx(i) + 30 continue + if( n .lt. 5 ) return + 40 mp1 = m + 1 + do 50 i = mp1,n,5 + dx(i) = da*dx(i) + dx(i + 1) = da*dx(i + 1) + dx(i + 2) = da*dx(i + 2) + dx(i + 3) = da*dx(i + 3) + dx(i + 4) = da*dx(i + 4) + 50 continue + return + end + +c====================== The end of dscal =============================== + diff --git a/src/lbfgsb.f b/src/lbfgsb.f new file mode 100644 --- /dev/null +++ b/src/lbfgsb.f @@ -0,0 +1,3945 @@ +c=========== L-BFGS-B (version 3.0. April 25, 2011 =================== +c +c This is a modified version of L-BFGS-B. Minor changes in the updated +c code appear preceded by a line comment as follows +c +c c-jlm-jn +c +c Major changes are described in the accompanying paper: +c +c Jorge Nocedal and Jose Luis Morales, Remark on "Algorithm 778: +c L-BFGS-B: Fortran Subroutines for Large-Scale Bound Constrained +c Optimization" (2011). To appear in ACM Transactions on +c Mathematical Software, +c +c The paper describes an improvement and a correction to Algorithm 778. +c It is shown that the performance of the algorithm can be improved +c significantly by making a relatively simple modication to the subspace +c minimization phase. The correction concerns an error caused by the use +c of routine dpmeps to estimate machine precision. +c +c The total work space **wa** required by the new version is +c +c 2*m*n + 11m*m + 5*n + 8*m +c +c the old version required +c +c 2*m*n + 12m*m + 4*n + 12*m +c +c +c J. Nocedal Department of Electrical Engineering and +c Computer Science. +c Northwestern University. Evanston, IL. USA +c +c +c J.L Morales Departamento de Matematicas, +c Instituto Tecnologico Autonomo de Mexico +c Mexico D.F. Mexico. +c +c March 2011 +c +c============================================================================= + subroutine setulb(n, m, x, l, u, nbd, f, g, factr, pgtol, wa, iwa, + + task, iprint, csave, lsave, isave, dsave) + + character*60 task, csave + logical lsave(4) + integer n, m, iprint, + + nbd(n), iwa(3*n), isave(44) + double precision f, factr, pgtol, x(n), l(n), u(n), g(n), +c +c-jlm-jn + + wa(2*m*n + 5*n + 11*m*m + 8*m), dsave(29) + +c ************ +c +c Subroutine setulb +c +c This subroutine partitions the working arrays wa and iwa, and +c then uses the limited memory BFGS method to solve the bound +c constrained optimization problem by calling mainlb. +c (The direct method will be used in the subspace minimization.) +c +c n is an integer variable. +c On entry n is the dimension of the problem. +c On exit n is unchanged. +c +c m is an integer variable. +c On entry m is the maximum number of variable metric corrections +c used to define the limited memory matrix. +c On exit m is unchanged. +c +c x is a double precision array of dimension n. +c On entry x is an approximation to the solution. +c On exit x is the current approximation. +c +c l is a double precision array of dimension n. +c On entry l is the lower bound on x. +c On exit l is unchanged. +c +c u is a double precision array of dimension n. +c On entry u is the upper bound on x. +c On exit u is unchanged. +c +c nbd is an integer array of dimension n. +c On entry nbd represents the type of bounds imposed on the +c variables, and must be specified as follows: +c nbd(i)=0 if x(i) is unbounded, +c 1 if x(i) has only a lower bound, +c 2 if x(i) has both lower and upper bounds, and +c 3 if x(i) has only an upper bound. +c On exit nbd is unchanged. +c +c f is a double precision variable. +c On first entry f is unspecified. +c On final exit f is the value of the function at x. +c +c g is a double precision array of dimension n. +c On first entry g is unspecified. +c On final exit g is the value of the gradient at x. +c +c factr is a double precision variable. +c On entry factr >= 0 is specified by the user. The iteration +c will stop when +c +c (f^k - f^{k+1})/max{|f^k|,|f^{k+1}|,1} <= factr*epsmch +c +c where epsmch is the machine precision, which is automatically +c generated by the code. Typical values for factr: 1.d+12 for +c low accuracy; 1.d+7 for moderate accuracy; 1.d+1 for extremely +c high accuracy. +c On exit factr is unchanged. +c +c pgtol is a double precision variable. +c On entry pgtol >= 0 is specified by the user. The iteration +c will stop when +c +c max{|proj g_i | i = 1, ..., n} <= pgtol +c +c where pg_i is the ith component of the projected gradient. +c On exit pgtol is unchanged. +c +c wa is a double precision working array of length +c (2mmax + 5)nmax + 12mmax^2 + 12mmax. +c +c iwa is an integer working array of length 3nmax. +c +c task is a working string of characters of length 60 indicating +c the current job when entering and quitting this subroutine. +c +c iprint is an integer variable that must be set by the user. +c It controls the frequency and type of output generated: +c iprint<0 no output is generated; +c iprint=0 print only one line at the last iteration; +c 0100 print details of every iteration including x and g; +c When iprint > 0, the file iterate.dat will be created to +c summarize the iteration. +c +c csave is a working string of characters of length 60. +c +c lsave is a logical working array of dimension 4. +c On exit with 'task' = NEW_X, the following information is +c available: +c If lsave(1) = .true. then the initial X has been replaced by +c its projection in the feasible set; +c If lsave(2) = .true. then the problem is constrained; +c If lsave(3) = .true. then each variable has upper and lower +c bounds; +c +c isave is an integer working array of dimension 44. +c On exit with 'task' = NEW_X, the following information is +c available: +c isave(22) = the total number of intervals explored in the +c search of Cauchy points; +c isave(26) = the total number of skipped BFGS updates before +c the current iteration; +c isave(30) = the number of current iteration; +c isave(31) = the total number of BFGS updates prior the current +c iteration; +c isave(33) = the number of intervals explored in the search of +c Cauchy point in the current iteration; +c isave(34) = the total number of function and gradient +c evaluations; +c isave(36) = the number of function value or gradient +c evaluations in the current iteration; +c if isave(37) = 0 then the subspace argmin is within the box; +c if isave(37) = 1 then the subspace argmin is beyond the box; +c isave(38) = the number of free variables in the current +c iteration; +c isave(39) = the number of active constraints in the current +c iteration; +c n + 1 - isave(40) = the number of variables leaving the set of +c active constraints in the current iteration; +c isave(41) = the number of variables entering the set of active +c constraints in the current iteration. +c +c dsave is a double precision working array of dimension 29. +c On exit with 'task' = NEW_X, the following information is +c available: +c dsave(1) = current 'theta' in the BFGS matrix; +c dsave(2) = f(x) in the previous iteration; +c dsave(3) = factr*epsmch; +c dsave(4) = 2-norm of the line search direction vector; +c dsave(5) = the machine precision epsmch generated by the code; +c dsave(7) = the accumulated time spent on searching for +c Cauchy points; +c dsave(8) = the accumulated time spent on +c subspace minimization; +c dsave(9) = the accumulated time spent on line search; +c dsave(11) = the slope of the line search function at +c the current point of line search; +c dsave(12) = the maximum relative step length imposed in +c line search; +c dsave(13) = the infinity norm of the projected gradient; +c dsave(14) = the relative step length in the line search; +c dsave(15) = the slope of the line search function at +c the starting point of the line search; +c dsave(16) = the square of the 2-norm of the line search +c direction vector. +c +c Subprograms called: +c +c L-BFGS-B Library ... mainlb. +c +c +c References: +c +c [1] R. H. Byrd, P. Lu, J. Nocedal and C. Zhu, ``A limited +c memory algorithm for bound constrained optimization'', +c SIAM J. Scientific Computing 16 (1995), no. 5, pp. 1190--1208. +c +c [2] C. Zhu, R.H. Byrd, P. Lu, J. Nocedal, ``L-BFGS-B: a +c limited memory FORTRAN code for solving bound constrained +c optimization problems'', Tech. Report, NAM-11, EECS Department, +c Northwestern University, 1994. +c +c (Postscript files of these papers are available via anonymous +c ftp to eecs.nwu.edu in the directory pub/lbfgs/lbfgs_bcm.) +c +c * * * +c +c NEOS, November 1994. (Latest revision June 1996.) +c Optimization Technology Center. +c Argonne National Laboratory and Northwestern University. +c Written by +c Ciyou Zhu +c in collaboration with R.H. Byrd, P. Lu-Chen and J. Nocedal. +c +c +c ************ +c-jlm-jn + integer lws,lr,lz,lt,ld,lxp,lwa, + + lwy,lsy,lss,lwt,lwn,lsnd + + + if (task .eq. 'START') then + isave(1) = m*n + isave(2) = m**2 + isave(3) = 4*m**2 + isave(4) = 1 ! ws m*n + isave(5) = isave(4) + isave(1) ! wy m*n + isave(6) = isave(5) + isave(1) ! wsy m**2 + isave(7) = isave(6) + isave(2) ! wss m**2 + isave(8) = isave(7) + isave(2) ! wt m**2 + isave(9) = isave(8) + isave(2) ! wn 4*m**2 + isave(10) = isave(9) + isave(3) ! wsnd 4*m**2 + isave(11) = isave(10) + isave(3) ! wz n + isave(12) = isave(11) + n ! wr n + isave(13) = isave(12) + n ! wd n + isave(14) = isave(13) + n ! wt n + isave(15) = isave(14) + n ! wxp n + isave(16) = isave(15) + n ! wa 8*m + endif + lws = isave(4) + lwy = isave(5) + lsy = isave(6) + lss = isave(7) + lwt = isave(8) + lwn = isave(9) + lsnd = isave(10) + lz = isave(11) + lr = isave(12) + ld = isave(13) + lt = isave(14) + lxp = isave(15) + lwa = isave(16) + + call mainlb(n,m,x,l,u,nbd,f,g,factr,pgtol, + + wa(lws),wa(lwy),wa(lsy),wa(lss), wa(lwt), + + wa(lwn),wa(lsnd),wa(lz),wa(lr),wa(ld),wa(lt),wa(lxp), + + wa(lwa), + + iwa(1),iwa(n+1),iwa(2*n+1),task,iprint, + + csave,lsave,isave(22),dsave) + + return + + end + +c======================= The end of setulb ============================= + + subroutine mainlb(n, m, x, l, u, nbd, f, g, factr, pgtol, ws, wy, + + sy, ss, wt, wn, snd, z, r, d, t, xp, wa, + + index, iwhere, indx2, task, + + iprint, csave, lsave, isave, dsave) + implicit none + character*60 task, csave + logical lsave(4) + integer n, m, iprint, nbd(n), index(n), + + iwhere(n), indx2(n), isave(23) + double precision f, factr, pgtol, + + x(n), l(n), u(n), g(n), z(n), r(n), d(n), t(n), +c-jlm-jn + + xp(n), + + wa(8*m), + + ws(n, m), wy(n, m), sy(m, m), ss(m, m), + + wt(m, m), wn(2*m, 2*m), snd(2*m, 2*m), dsave(29) + +c ************ +c +c Subroutine mainlb +c +c This subroutine solves bound constrained optimization problems by +c using the compact formula of the limited memory BFGS updates. +c +c n is an integer variable. +c On entry n is the number of variables. +c On exit n is unchanged. +c +c m is an integer variable. +c On entry m is the maximum number of variable metric +c corrections allowed in the limited memory matrix. +c On exit m is unchanged. +c +c x is a double precision array of dimension n. +c On entry x is an approximation to the solution. +c On exit x is the current approximation. +c +c l is a double precision array of dimension n. +c On entry l is the lower bound of x. +c On exit l is unchanged. +c +c u is a double precision array of dimension n. +c On entry u is the upper bound of x. +c On exit u is unchanged. +c +c nbd is an integer array of dimension n. +c On entry nbd represents the type of bounds imposed on the +c variables, and must be specified as follows: +c nbd(i)=0 if x(i) is unbounded, +c 1 if x(i) has only a lower bound, +c 2 if x(i) has both lower and upper bounds, +c 3 if x(i) has only an upper bound. +c On exit nbd is unchanged. +c +c f is a double precision variable. +c On first entry f is unspecified. +c On final exit f is the value of the function at x. +c +c g is a double precision array of dimension n. +c On first entry g is unspecified. +c On final exit g is the value of the gradient at x. +c +c factr is a double precision variable. +c On entry factr >= 0 is specified by the user. The iteration +c will stop when +c +c (f^k - f^{k+1})/max{|f^k|,|f^{k+1}|,1} <= factr*epsmch +c +c where epsmch is the machine precision, which is automatically +c generated by the code. +c On exit factr is unchanged. +c +c pgtol is a double precision variable. +c On entry pgtol >= 0 is specified by the user. The iteration +c will stop when +c +c max{|proj g_i | i = 1, ..., n} <= pgtol +c +c where pg_i is the ith component of the projected gradient. +c On exit pgtol is unchanged. +c +c ws, wy, sy, and wt are double precision working arrays used to +c store the following information defining the limited memory +c BFGS matrix: +c ws, of dimension n x m, stores S, the matrix of s-vectors; +c wy, of dimension n x m, stores Y, the matrix of y-vectors; +c sy, of dimension m x m, stores S'Y; +c ss, of dimension m x m, stores S'S; +c yy, of dimension m x m, stores Y'Y; +c wt, of dimension m x m, stores the Cholesky factorization +c of (theta*S'S+LD^(-1)L'); see eq. +c (2.26) in [3]. +c +c wn is a double precision working array of dimension 2m x 2m +c used to store the LEL^T factorization of the indefinite matrix +c K = [-D -Y'ZZ'Y/theta L_a'-R_z' ] +c [L_a -R_z theta*S'AA'S ] +c +c where E = [-I 0] +c [ 0 I] +c +c snd is a double precision working array of dimension 2m x 2m +c used to store the lower triangular part of +c N = [Y' ZZ'Y L_a'+R_z'] +c [L_a +R_z S'AA'S ] +c +c z(n),r(n),d(n),t(n), xp(n),wa(8*m) are double precision working arrays. +c z is used at different times to store the Cauchy point and +c the Newton point. +c xp is used to safeguard the projected Newton direction +c +c sg(m),sgo(m),yg(m),ygo(m) are double precision working arrays. +c +c index is an integer working array of dimension n. +c In subroutine freev, index is used to store the free and fixed +c variables at the Generalized Cauchy Point (GCP). +c +c iwhere is an integer working array of dimension n used to record +c the status of the vector x for GCP computation. +c iwhere(i)=0 or -3 if x(i) is free and has bounds, +c 1 if x(i) is fixed at l(i), and l(i) .ne. u(i) +c 2 if x(i) is fixed at u(i), and u(i) .ne. l(i) +c 3 if x(i) is always fixed, i.e., u(i)=x(i)=l(i) +c -1 if x(i) is always free, i.e., no bounds on it. +c +c indx2 is an integer working array of dimension n. +c Within subroutine cauchy, indx2 corresponds to the array iorder. +c In subroutine freev, a list of variables entering and leaving +c the free set is stored in indx2, and it is passed on to +c subroutine formk with this information. +c +c task is a working string of characters of length 60 indicating +c the current job when entering and leaving this subroutine. +c +c iprint is an INTEGER variable that must be set by the user. +c It controls the frequency and type of output generated: +c iprint<0 no output is generated; +c iprint=0 print only one line at the last iteration; +c 0100 print details of every iteration including x and g; +c When iprint > 0, the file iterate.dat will be created to +c summarize the iteration. +c +c csave is a working string of characters of length 60. +c +c lsave is a logical working array of dimension 4. +c +c isave is an integer working array of dimension 23. +c +c dsave is a double precision working array of dimension 29. +c +c +c Subprograms called +c +c L-BFGS-B Library ... cauchy, subsm, lnsrlb, formk, +c +c errclb, prn1lb, prn2lb, prn3lb, active, projgr, +c +c freev, cmprlb, matupd, formt. +c +c Minpack2 Library ... timer +c +c Linpack Library ... dcopy, ddot. +c +c +c References: +c +c [1] R. H. Byrd, P. Lu, J. Nocedal and C. Zhu, ``A limited +c memory algorithm for bound constrained optimization'', +c SIAM J. Scientific Computing 16 (1995), no. 5, pp. 1190--1208. +c +c [2] C. Zhu, R.H. Byrd, P. Lu, J. Nocedal, ``L-BFGS-B: FORTRAN +c Subroutines for Large Scale Bound Constrained Optimization'' +c Tech. Report, NAM-11, EECS Department, Northwestern University, +c 1994. +c +c [3] R. Byrd, J. Nocedal and R. Schnabel "Representations of +c Quasi-Newton Matrices and their use in Limited Memory Methods'', +c Mathematical Programming 63 (1994), no. 4, pp. 129-156. +c +c (Postscript files of these papers are available via anonymous +c ftp to eecs.nwu.edu in the directory pub/lbfgs/lbfgs_bcm.) +c +c * * * +c +c NEOS, November 1994. (Latest revision June 1996.) +c Optimization Technology Center. +c Argonne National Laboratory and Northwestern University. +c Written by +c Ciyou Zhu +c in collaboration with R.H. Byrd, P. Lu-Chen and J. Nocedal. +c +c +c ************ + + logical prjctd,cnstnd,boxed,updatd,wrk + character*3 word + integer i,k,nintol,itfile,iback,nskip, + + head,col,iter,itail,iupdat, + + nseg,nfgv,info,ifun, + + iword,nfree,nact,ileave,nenter + double precision theta,fold,ddot,dr,rr,tol, + + xstep,sbgnrm,ddum,dnorm,dtd,epsmch, + + cpu1,cpu2,cachyt,sbtime,lnscht,time1,time2, + + gd,gdold,stp,stpmx,time + double precision one,zero + parameter (one=1.0d0,zero=0.0d0) + + if (task .eq. 'START') then + + epsmch = epsilon(one) + +c call timer(time1) + +c Initialize counters and scalars when task='START'. + +c for the limited memory BFGS matrices: + col = 0 + head = 1 + theta = one + iupdat = 0 + updatd = .false. + iback = 0 + itail = 0 + iword = 0 + nact = 0 + ileave = 0 + nenter = 0 + fold = zero + dnorm = zero + cpu1 = zero + gd = zero + stpmx = zero + sbgnrm = zero + stp = zero + gdold = zero + dtd = zero + +c for operation counts: + iter = 0 + nfgv = 0 + nseg = 0 + nintol = 0 + nskip = 0 + nfree = n + ifun = 0 +c for stopping tolerance: + tol = factr*epsmch + +c for measuring running time: + cachyt = 0 + sbtime = 0 + lnscht = 0 + +c 'word' records the status of subspace solutions. + word = '---' + +c 'info' records the termination information. + info = 0 + + itfile = 8 + if (iprint .ge. 1) then +c open a summary file 'iterate.dat' + open (8, file = 'iterate.dat', status = 'unknown') + endif + +c Check the input arguments for errors. + + call errclb(n,m,factr,l,u,nbd,task,info,k) + if (task(1:5) .eq. 'ERROR') then + call prn3lb(n,x,f,task,iprint,info,itfile, + + iter,nfgv,nintol,nskip,nact,sbgnrm, + + zero,nseg,word,iback,stp,xstep,k, + + cachyt,sbtime,lnscht) + return + endif + + call prn1lb(n,m,l,u,x,iprint,itfile,epsmch) + +c Initialize iwhere & project x onto the feasible set. + + call active(n,l,u,nbd,x,iwhere,iprint,prjctd,cnstnd,boxed) + +c The end of the initialization. + + else +c restore local variables. + + prjctd = lsave(1) + cnstnd = lsave(2) + boxed = lsave(3) + updatd = lsave(4) + + nintol = isave(1) + itfile = isave(3) + iback = isave(4) + nskip = isave(5) + head = isave(6) + col = isave(7) + itail = isave(8) + iter = isave(9) + iupdat = isave(10) + nseg = isave(12) + nfgv = isave(13) + info = isave(14) + ifun = isave(15) + iword = isave(16) + nfree = isave(17) + nact = isave(18) + ileave = isave(19) + nenter = isave(20) + + theta = dsave(1) + fold = dsave(2) + tol = dsave(3) + dnorm = dsave(4) + epsmch = dsave(5) + cpu1 = dsave(6) + cachyt = dsave(7) + sbtime = dsave(8) + lnscht = dsave(9) + time1 = dsave(10) + gd = dsave(11) + stpmx = dsave(12) + sbgnrm = dsave(13) + stp = dsave(14) + gdold = dsave(15) + dtd = dsave(16) + +c After returning from the driver go to the point where execution +c is to resume. + + if (task(1:5) .eq. 'FG_LN') goto 666 + if (task(1:5) .eq. 'NEW_X') goto 777 + if (task(1:5) .eq. 'FG_ST') goto 111 + if (task(1:4) .eq. 'STOP') then + if (task(7:9) .eq. 'CPU') then +c restore the previous iterate. + call dcopy(n,t,1,x,1) + call dcopy(n,r,1,g,1) + f = fold + endif + goto 999 + endif + endif + +c Compute f0 and g0. + + task = 'FG_START' +c return to the driver to calculate f and g; reenter at 111. + goto 1000 + 111 continue + nfgv = 1 + +c Compute the infinity norm of the (-) projected gradient. + + call projgr(n,l,u,nbd,x,g,sbgnrm) + + if (iprint .ge. 1) then + write (6,1002) iter,f,sbgnrm + write (itfile,1003) iter,nfgv,sbgnrm,f + endif + if (sbgnrm .le. pgtol) then +c terminate the algorithm. + task = 'CONVERGENCE: NORM_OF_PROJECTED_GRADIENT_<=_PGTOL' + goto 999 + endif + +c ----------------- the beginning of the loop -------------------------- + + 222 continue + if (iprint .ge. 99) write (6,1001) iter + 1 + iword = -1 +c + if (.not. cnstnd .and. col .gt. 0) then +c skip the search for GCP. + call dcopy(n,x,1,z,1) + wrk = updatd + nseg = 0 + goto 333 + endif + +cccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccc +c +c Compute the Generalized Cauchy Point (GCP). +c +cccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccc + +c call timer(cpu1) + call cauchy(n,x,l,u,nbd,g,indx2,iwhere,t,d,z, + + m,wy,ws,sy,wt,theta,col,head, + + wa(1),wa(2*m+1),wa(4*m+1),wa(6*m+1),nseg, + + iprint, sbgnrm, info, epsmch) + if (info .ne. 0) then +c singular triangular system detected; refresh the lbfgs memory. + if(iprint .ge. 1) write (6, 1005) + info = 0 + col = 0 + head = 1 + theta = one + iupdat = 0 + updatd = .false. +c call timer(cpu2) + cachyt = cachyt + cpu2 - cpu1 + goto 222 + endif +c call timer(cpu2) + cachyt = cachyt + cpu2 - cpu1 + nintol = nintol + nseg + +c Count the entering and leaving variables for iter > 0; +c find the index set of free and active variables at the GCP. + + call freev(n,nfree,index,nenter,ileave,indx2, + + iwhere,wrk,updatd,cnstnd,iprint,iter) + nact = n - nfree + + 333 continue + +c If there are no free variables or B=theta*I, then +c skip the subspace minimization. + + if (nfree .eq. 0 .or. col .eq. 0) goto 555 + +cccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccc +c +c Subspace minimization. +c +cccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccc + +c call timer(cpu1) + +c Form the LEL^T factorization of the indefinite +c matrix K = [-D -Y'ZZ'Y/theta L_a'-R_z' ] +c [L_a -R_z theta*S'AA'S ] +c where E = [-I 0] +c [ 0 I] + + if (wrk) call formk(n,nfree,index,nenter,ileave,indx2,iupdat, + + updatd,wn,snd,m,ws,wy,sy,theta,col,head,info) + if (info .ne. 0) then +c nonpositive definiteness in Cholesky factorization; +c refresh the lbfgs memory and restart the iteration. + if(iprint .ge. 1) write (6, 1006) + info = 0 + col = 0 + head = 1 + theta = one + iupdat = 0 + updatd = .false. +c call timer(cpu2) + sbtime = sbtime + cpu2 - cpu1 + goto 222 + endif + +c compute r=-Z'B(xcp-xk)-Z'g (using wa(2m+1)=W'(xcp-x) +c from 'cauchy'). + call cmprlb(n,m,x,g,ws,wy,sy,wt,z,r,wa,index, + + theta,col,head,nfree,cnstnd,info) + if (info .ne. 0) goto 444 + +c-jlm-jn call the direct method. + + call subsm( n, m, nfree, index, l, u, nbd, z, r, xp, ws, wy, + + theta, x, g, col, head, iword, wa, wn, iprint, info) + 444 continue + if (info .ne. 0) then +c singular triangular system detected; +c refresh the lbfgs memory and restart the iteration. + if(iprint .ge. 1) write (6, 1005) + info = 0 + col = 0 + head = 1 + theta = one + iupdat = 0 + updatd = .false. +c call timer(cpu2) + sbtime = sbtime + cpu2 - cpu1 + goto 222 + endif + +c call timer(cpu2) + sbtime = sbtime + cpu2 - cpu1 + 555 continue + +cccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccc +c +c Line search and optimality tests. +c +cccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccc + +c Generate the search direction d:=z-x. + + do 40 i = 1, n + d(i) = z(i) - x(i) + 40 continue +c call timer(cpu1) + 666 continue + call lnsrlb(n,l,u,nbd,x,f,fold,gd,gdold,g,d,r,t,z,stp,dnorm, + + dtd,xstep,stpmx,iter,ifun,iback,nfgv,info,task, + + boxed,cnstnd,csave,isave(22),dsave(17)) + if (info .ne. 0 .or. iback .ge. 20) then +c restore the previous iterate. + call dcopy(n,t,1,x,1) + call dcopy(n,r,1,g,1) + f = fold + if (col .eq. 0) then +c abnormal termination. + if (info .eq. 0) then + info = -9 +c restore the actual number of f and g evaluations etc. + nfgv = nfgv - 1 + ifun = ifun - 1 + iback = iback - 1 + endif + task = 'ABNORMAL_TERMINATION_IN_LNSRCH' + iter = iter + 1 + goto 999 + else +c refresh the lbfgs memory and restart the iteration. + if(iprint .ge. 1) write (6, 1008) + if (info .eq. 0) nfgv = nfgv - 1 + info = 0 + col = 0 + head = 1 + theta = one + iupdat = 0 + updatd = .false. + task = 'RESTART_FROM_LNSRCH' +c call timer(cpu2) + lnscht = lnscht + cpu2 - cpu1 + goto 222 + endif + else if (task(1:5) .eq. 'FG_LN') then +c return to the driver for calculating f and g; reenter at 666. + goto 1000 + else +c calculate and print out the quantities related to the new X. +c call timer(cpu2) + lnscht = lnscht + cpu2 - cpu1 + iter = iter + 1 + +c Compute the infinity norm of the projected (-)gradient. + + call projgr(n,l,u,nbd,x,g,sbgnrm) + +c Print iteration information. + + call prn2lb(n,x,f,g,iprint,itfile,iter,nfgv,nact, + + sbgnrm,nseg,word,iword,iback,stp,xstep) + goto 1000 + endif + 777 continue + +c Test for termination. + + if (sbgnrm .le. pgtol) then +c terminate the algorithm. + task = 'CONVERGENCE: NORM_OF_PROJECTED_GRADIENT_<=_PGTOL' + goto 999 + endif + + ddum = max(abs(fold), abs(f), one) + if ((fold - f) .le. tol*ddum) then +c terminate the algorithm. + task = 'CONVERGENCE: REL_REDUCTION_OF_F_<=_FACTR*EPSMCH' + if (iback .ge. 10) info = -5 +c i.e., to issue a warning if iback>10 in the line search. + goto 999 + endif + +c Compute d=newx-oldx, r=newg-oldg, rr=y'y and dr=y's. + + do 42 i = 1, n + r(i) = g(i) - r(i) + 42 continue + rr = ddot(n,r,1,r,1) + if (stp .eq. one) then + dr = gd - gdold + ddum = -gdold + else + dr = (gd - gdold)*stp + call dscal(n,stp,d,1) + ddum = -gdold*stp + endif + + if (dr .le. epsmch*ddum) then +c skip the L-BFGS update. + nskip = nskip + 1 + updatd = .false. + if (iprint .ge. 1) write (6,1004) dr, ddum + goto 888 + endif + +cccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccc +c +c Update the L-BFGS matrix. +c +cccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccc + + updatd = .true. + iupdat = iupdat + 1 + +c Update matrices WS and WY and form the middle matrix in B. + + call matupd(n,m,ws,wy,sy,ss,d,r,itail, + + iupdat,col,head,theta,rr,dr,stp,dtd) + +c Form the upper half of the pds T = theta*SS + L*D^(-1)*L'; +c Store T in the upper triangular of the array wt; +c Cholesky factorize T to J*J' with +c J' stored in the upper triangular of wt. + + call formt(m,wt,sy,ss,col,theta,info) + + if (info .ne. 0) then +c nonpositive definiteness in Cholesky factorization; +c refresh the lbfgs memory and restart the iteration. + if(iprint .ge. 1) write (6, 1007) + info = 0 + col = 0 + head = 1 + theta = one + iupdat = 0 + updatd = .false. + goto 222 + endif + +c Now the inverse of the middle matrix in B is + +c [ D^(1/2) O ] [ -D^(1/2) D^(-1/2)*L' ] +c [ -L*D^(-1/2) J ] [ 0 J' ] + + 888 continue + +c -------------------- the end of the loop ----------------------------- + + goto 222 + 999 continue +c call timer(time2) + time = time2 - time1 + call prn3lb(n,x,f,task,iprint,info,itfile, + + iter,nfgv,nintol,nskip,nact,sbgnrm, + + time,nseg,word,iback,stp,xstep,k, + + cachyt,sbtime,lnscht) + 1000 continue + +c Save local variables. + + lsave(1) = prjctd + lsave(2) = cnstnd + lsave(3) = boxed + lsave(4) = updatd + + isave(1) = nintol + isave(3) = itfile + isave(4) = iback + isave(5) = nskip + isave(6) = head + isave(7) = col + isave(8) = itail + isave(9) = iter + isave(10) = iupdat + isave(12) = nseg + isave(13) = nfgv + isave(14) = info + isave(15) = ifun + isave(16) = iword + isave(17) = nfree + isave(18) = nact + isave(19) = ileave + isave(20) = nenter + + dsave(1) = theta + dsave(2) = fold + dsave(3) = tol + dsave(4) = dnorm + dsave(5) = epsmch + dsave(6) = cpu1 + dsave(7) = cachyt + dsave(8) = sbtime + dsave(9) = lnscht + dsave(10) = time1 + dsave(11) = gd + dsave(12) = stpmx + dsave(13) = sbgnrm + dsave(14) = stp + dsave(15) = gdold + dsave(16) = dtd + + 1001 format (//,'ITERATION ',i5) + 1002 format + + (/,'At iterate',i5,4x,'f= ',1p,d12.5,4x,'|proj g|= ',1p,d12.5) + 1003 format (2(1x,i4),5x,'-',5x,'-',3x,'-',5x,'-',5x,'-',8x,'-',3x, + + 1p,2(1x,d10.3)) + 1004 format (' ys=',1p,e10.3,' -gs=',1p,e10.3,' BFGS update SKIPPED') + 1005 format (/, + +' Singular triangular system detected;',/, + +' refresh the lbfgs memory and restart the iteration.') + 1006 format (/, + +' Nonpositive definiteness in Cholesky factorization in formk;',/, + +' refresh the lbfgs memory and restart the iteration.') + 1007 format (/, + +' Nonpositive definiteness in Cholesky factorization in formt;',/, + +' refresh the lbfgs memory and restart the iteration.') + 1008 format (/, + +' Bad direction in the line search;',/, + +' refresh the lbfgs memory and restart the iteration.') + + return + + end + +c======================= The end of mainlb ============================= + + subroutine active(n, l, u, nbd, x, iwhere, iprint, + + prjctd, cnstnd, boxed) + + logical prjctd, cnstnd, boxed + integer n, iprint, nbd(n), iwhere(n) + double precision x(n), l(n), u(n) + +c ************ +c +c Subroutine active +c +c This subroutine initializes iwhere and projects the initial x to +c the feasible set if necessary. +c +c iwhere is an integer array of dimension n. +c On entry iwhere is unspecified. +c On exit iwhere(i)=-1 if x(i) has no bounds +c 3 if l(i)=u(i) +c 0 otherwise. +c In cauchy, iwhere is given finer gradations. +c +c +c * * * +c +c NEOS, November 1994. (Latest revision June 1996.) +c Optimization Technology Center. +c Argonne National Laboratory and Northwestern University. +c Written by +c Ciyou Zhu +c in collaboration with R.H. Byrd, P. Lu-Chen and J. Nocedal. +c +c +c ************ + + integer nbdd,i + double precision zero + parameter (zero=0.0d0) + +c Initialize nbdd, prjctd, cnstnd and boxed. + + nbdd = 0 + prjctd = .false. + cnstnd = .false. + boxed = .true. + +c Project the initial x to the easible set if necessary. + + do 10 i = 1, n + if (nbd(i) .gt. 0) then + if (nbd(i) .le. 2 .and. x(i) .le. l(i)) then + if (x(i) .lt. l(i)) then + prjctd = .true. + x(i) = l(i) + endif + nbdd = nbdd + 1 + else if (nbd(i) .ge. 2 .and. x(i) .ge. u(i)) then + if (x(i) .gt. u(i)) then + prjctd = .true. + x(i) = u(i) + endif + nbdd = nbdd + 1 + endif + endif + 10 continue + +c Initialize iwhere and assign values to cnstnd and boxed. + + do 20 i = 1, n + if (nbd(i) .ne. 2) boxed = .false. + if (nbd(i) .eq. 0) then +c this variable is always free + iwhere(i) = -1 + +c otherwise set x(i)=mid(x(i), u(i), l(i)). + else + cnstnd = .true. + if (nbd(i) .eq. 2 .and. u(i) - l(i) .le. zero) then +c this variable is always fixed + iwhere(i) = 3 + else + iwhere(i) = 0 + endif + endif + 20 continue + + if (iprint .ge. 0) then + if (prjctd) write (6,*) + + 'The initial X is infeasible. Restart with its projection.' + if (.not. cnstnd) + + write (6,*) 'This problem is unconstrained.' + endif + + if (iprint .gt. 0) write (6,1001) nbdd + + 1001 format (/,'At X0 ',i9,' variables are exactly at the bounds') + + return + + end + +c======================= The end of active ============================= + + subroutine bmv(m, sy, wt, col, v, p, info) + + integer m, col, info + double precision sy(m, m), wt(m, m), v(2*col), p(2*col) + +c ************ +c +c Subroutine bmv +c +c This subroutine computes the product of the 2m x 2m middle matrix +c in the compact L-BFGS formula of B and a 2m vector v; +c it returns the product in p. +c +c m is an integer variable. +c On entry m is the maximum number of variable metric corrections +c used to define the limited memory matrix. +c On exit m is unchanged. +c +c sy is a double precision array of dimension m x m. +c On entry sy specifies the matrix S'Y. +c On exit sy is unchanged. +c +c wt is a double precision array of dimension m x m. +c On entry wt specifies the upper triangular matrix J' which is +c the Cholesky factor of (thetaS'S+LD^(-1)L'). +c On exit wt is unchanged. +c +c col is an integer variable. +c On entry col specifies the number of s-vectors (or y-vectors) +c stored in the compact L-BFGS formula. +c On exit col is unchanged. +c +c v is a double precision array of dimension 2col. +c On entry v specifies vector v. +c On exit v is unchanged. +c +c p is a double precision array of dimension 2col. +c On entry p is unspecified. +c On exit p is the product Mv. +c +c info is an integer variable. +c On entry info is unspecified. +c On exit info = 0 for normal return, +c = nonzero for abnormal return when the system +c to be solved by dtrsl is singular. +c +c Subprograms called: +c +c Linpack ... dtrsl. +c +c +c * * * +c +c NEOS, November 1994. (Latest revision June 1996.) +c Optimization Technology Center. +c Argonne National Laboratory and Northwestern University. +c Written by +c Ciyou Zhu +c in collaboration with R.H. Byrd, P. Lu-Chen and J. Nocedal. +c +c +c ************ + + integer i,k,i2 + double precision sum + + if (col .eq. 0) return + +c PART I: solve [ D^(1/2) O ] [ p1 ] = [ v1 ] +c [ -L*D^(-1/2) J ] [ p2 ] [ v2 ]. + +c solve Jp2=v2+LD^(-1)v1. + p(col + 1) = v(col + 1) + do 20 i = 2, col + i2 = col + i + sum = 0.0d0 + do 10 k = 1, i - 1 + sum = sum + sy(i,k)*v(k)/sy(k,k) + 10 continue + p(i2) = v(i2) + sum + 20 continue +c Solve the triangular system + call dtrsl(wt,m,col,p(col+1),11,info) + if (info .ne. 0) return + +c solve D^(1/2)p1=v1. + do 30 i = 1, col + p(i) = v(i)/sqrt(sy(i,i)) + 30 continue + +c PART II: solve [ -D^(1/2) D^(-1/2)*L' ] [ p1 ] = [ p1 ] +c [ 0 J' ] [ p2 ] [ p2 ]. + +c solve J^Tp2=p2. + call dtrsl(wt,m,col,p(col+1),01,info) + if (info .ne. 0) return + +c compute p1=-D^(-1/2)(p1-D^(-1/2)L'p2) +c =-D^(-1/2)p1+D^(-1)L'p2. + do 40 i = 1, col + p(i) = -p(i)/sqrt(sy(i,i)) + 40 continue + do 60 i = 1, col + sum = 0.d0 + do 50 k = i + 1, col + sum = sum + sy(k,i)*p(col+k)/sy(i,i) + 50 continue + p(i) = p(i) + sum + 60 continue + + return + + end + +c======================== The end of bmv =============================== + + subroutine cauchy(n, x, l, u, nbd, g, iorder, iwhere, t, d, xcp, + + m, wy, ws, sy, wt, theta, col, head, p, c, wbp, + + v, nseg, iprint, sbgnrm, info, epsmch) + implicit none + integer n, m, head, col, nseg, iprint, info, + + nbd(n), iorder(n), iwhere(n) + double precision theta, epsmch, + + x(n), l(n), u(n), g(n), t(n), d(n), xcp(n), + + wy(n, col), ws(n, col), sy(m, m), + + wt(m, m), p(2*m), c(2*m), wbp(2*m), v(2*m) + +c ************ +c +c Subroutine cauchy +c +c For given x, l, u, g (with sbgnrm > 0), and a limited memory +c BFGS matrix B defined in terms of matrices WY, WS, WT, and +c scalars head, col, and theta, this subroutine computes the +c generalized Cauchy point (GCP), defined as the first local +c minimizer of the quadratic +c +c Q(x + s) = g's + 1/2 s'Bs +c +c along the projected gradient direction P(x-tg,l,u). +c The routine returns the GCP in xcp. +c +c n is an integer variable. +c On entry n is the dimension of the problem. +c On exit n is unchanged. +c +c x is a double precision array of dimension n. +c On entry x is the starting point for the GCP computation. +c On exit x is unchanged. +c +c l is a double precision array of dimension n. +c On entry l is the lower bound of x. +c On exit l is unchanged. +c +c u is a double precision array of dimension n. +c On entry u is the upper bound of x. +c On exit u is unchanged. +c +c nbd is an integer array of dimension n. +c On entry nbd represents the type of bounds imposed on the +c variables, and must be specified as follows: +c nbd(i)=0 if x(i) is unbounded, +c 1 if x(i) has only a lower bound, +c 2 if x(i) has both lower and upper bounds, and +c 3 if x(i) has only an upper bound. +c On exit nbd is unchanged. +c +c g is a double precision array of dimension n. +c On entry g is the gradient of f(x). g must be a nonzero vector. +c On exit g is unchanged. +c +c iorder is an integer working array of dimension n. +c iorder will be used to store the breakpoints in the piecewise +c linear path and free variables encountered. On exit, +c iorder(1),...,iorder(nleft) are indices of breakpoints +c which have not been encountered; +c iorder(nleft+1),...,iorder(nbreak) are indices of +c encountered breakpoints; and +c iorder(nfree),...,iorder(n) are indices of variables which +c have no bound constraits along the search direction. +c +c iwhere is an integer array of dimension n. +c On entry iwhere indicates only the permanently fixed (iwhere=3) +c or free (iwhere= -1) components of x. +c On exit iwhere records the status of the current x variables. +c iwhere(i)=-3 if x(i) is free and has bounds, but is not moved +c 0 if x(i) is free and has bounds, and is moved +c 1 if x(i) is fixed at l(i), and l(i) .ne. u(i) +c 2 if x(i) is fixed at u(i), and u(i) .ne. l(i) +c 3 if x(i) is always fixed, i.e., u(i)=x(i)=l(i) +c -1 if x(i) is always free, i.e., it has no bounds. +c +c t is a double precision working array of dimension n. +c t will be used to store the break points. +c +c d is a double precision array of dimension n used to store +c the Cauchy direction P(x-tg)-x. +c +c xcp is a double precision array of dimension n used to return the +c GCP on exit. +c +c m is an integer variable. +c On entry m is the maximum number of variable metric corrections +c used to define the limited memory matrix. +c On exit m is unchanged. +c +c ws, wy, sy, and wt are double precision arrays. +c On entry they store information that defines the +c limited memory BFGS matrix: +c ws(n,m) stores S, a set of s-vectors; +c wy(n,m) stores Y, a set of y-vectors; +c sy(m,m) stores S'Y; +c wt(m,m) stores the +c Cholesky factorization of (theta*S'S+LD^(-1)L'). +c On exit these arrays are unchanged. +c +c theta is a double precision variable. +c On entry theta is the scaling factor specifying B_0 = theta I. +c On exit theta is unchanged. +c +c col is an integer variable. +c On entry col is the actual number of variable metric +c corrections stored so far. +c On exit col is unchanged. +c +c head is an integer variable. +c On entry head is the location of the first s-vector (or y-vector) +c in S (or Y). +c On exit col is unchanged. +c +c p is a double precision working array of dimension 2m. +c p will be used to store the vector p = W^(T)d. +c +c c is a double precision working array of dimension 2m. +c c will be used to store the vector c = W^(T)(xcp-x). +c +c wbp is a double precision working array of dimension 2m. +c wbp will be used to store the row of W corresponding +c to a breakpoint. +c +c v is a double precision working array of dimension 2m. +c +c nseg is an integer variable. +c On exit nseg records the number of quadratic segments explored +c in searching for the GCP. +c +c sg and yg are double precision arrays of dimension m. +c On entry sg and yg store S'g and Y'g correspondingly. +c On exit they are unchanged. +c +c iprint is an INTEGER variable that must be set by the user. +c It controls the frequency and type of output generated: +c iprint<0 no output is generated; +c iprint=0 print only one line at the last iteration; +c 0100 print details of every iteration including x and g; +c When iprint > 0, the file iterate.dat will be created to +c summarize the iteration. +c +c sbgnrm is a double precision variable. +c On entry sbgnrm is the norm of the projected gradient at x. +c On exit sbgnrm is unchanged. +c +c info is an integer variable. +c On entry info is 0. +c On exit info = 0 for normal return, +c = nonzero for abnormal return when the the system +c used in routine bmv is singular. +c +c Subprograms called: +c +c L-BFGS-B Library ... hpsolb, bmv. +c +c Linpack ... dscal dcopy, daxpy. +c +c +c References: +c +c [1] R. H. Byrd, P. Lu, J. Nocedal and C. Zhu, ``A limited +c memory algorithm for bound constrained optimization'', +c SIAM J. Scientific Computing 16 (1995), no. 5, pp. 1190--1208. +c +c [2] C. Zhu, R.H. Byrd, P. Lu, J. Nocedal, ``L-BFGS-B: FORTRAN +c Subroutines for Large Scale Bound Constrained Optimization'' +c Tech. Report, NAM-11, EECS Department, Northwestern University, +c 1994. +c +c (Postscript files of these papers are available via anonymous +c ftp to eecs.nwu.edu in the directory pub/lbfgs/lbfgs_bcm.) +c +c * * * +c +c NEOS, November 1994. (Latest revision June 1996.) +c Optimization Technology Center. +c Argonne National Laboratory and Northwestern University. +c Written by +c Ciyou Zhu +c in collaboration with R.H. Byrd, P. Lu-Chen and J. Nocedal. +c +c +c ************ + + logical xlower,xupper,bnded + integer i,j,col2,nfree,nbreak,pointr, + + ibp,nleft,ibkmin,iter + double precision f1,f2,dt,dtm,tsum,dibp,zibp,dibp2,bkmin, + + tu,tl,wmc,wmp,wmw,ddot,tj,tj0,neggi,sbgnrm, + + f2_org + double precision one,zero + parameter (one=1.0d0,zero=0.0d0) + +c Check the status of the variables, reset iwhere(i) if necessary; +c compute the Cauchy direction d and the breakpoints t; initialize +c the derivative f1 and the vector p = W'd (for theta = 1). + + if (sbgnrm .le. zero) then + if (iprint .ge. 0) write (6,*) 'Subgnorm = 0. GCP = X.' + call dcopy(n,x,1,xcp,1) + return + endif + bnded = .true. + nfree = n + 1 + nbreak = 0 + ibkmin = 0 + bkmin = zero + col2 = 2*col + f1 = zero + if (iprint .ge. 99) write (6,3010) + +c We set p to zero and build it up as we determine d. + + do 20 i = 1, col2 + p(i) = zero + 20 continue + +c In the following loop we determine for each variable its bound +c status and its breakpoint, and update p accordingly. +c Smallest breakpoint is identified. + + do 50 i = 1, n + neggi = -g(i) + if (iwhere(i) .ne. 3 .and. iwhere(i) .ne. -1) then +c if x(i) is not a constant and has bounds, +c compute the difference between x(i) and its bounds. + if (nbd(i) .le. 2) tl = x(i) - l(i) + if (nbd(i) .ge. 2) tu = u(i) - x(i) + +c If a variable is close enough to a bound +c we treat it as at bound. + xlower = nbd(i) .le. 2 .and. tl .le. zero + xupper = nbd(i) .ge. 2 .and. tu .le. zero + +c reset iwhere(i). + iwhere(i) = 0 + if (xlower) then + if (neggi .le. zero) iwhere(i) = 1 + else if (xupper) then + if (neggi .ge. zero) iwhere(i) = 2 + else + if (abs(neggi) .le. zero) iwhere(i) = -3 + endif + endif + pointr = head + if (iwhere(i) .ne. 0 .and. iwhere(i) .ne. -1) then + d(i) = zero + else + d(i) = neggi + f1 = f1 - neggi*neggi +c calculate p := p - W'e_i* (g_i). + do 40 j = 1, col + p(j) = p(j) + wy(i,pointr)* neggi + p(col + j) = p(col + j) + ws(i,pointr)*neggi + pointr = mod(pointr,m) + 1 + 40 continue + if (nbd(i) .le. 2 .and. nbd(i) .ne. 0 + + .and. neggi .lt. zero) then +c x(i) + d(i) is bounded; compute t(i). + nbreak = nbreak + 1 + iorder(nbreak) = i + t(nbreak) = tl/(-neggi) + if (nbreak .eq. 1 .or. t(nbreak) .lt. bkmin) then + bkmin = t(nbreak) + ibkmin = nbreak + endif + else if (nbd(i) .ge. 2 .and. neggi .gt. zero) then +c x(i) + d(i) is bounded; compute t(i). + nbreak = nbreak + 1 + iorder(nbreak) = i + t(nbreak) = tu/neggi + if (nbreak .eq. 1 .or. t(nbreak) .lt. bkmin) then + bkmin = t(nbreak) + ibkmin = nbreak + endif + else +c x(i) + d(i) is not bounded. + nfree = nfree - 1 + iorder(nfree) = i + if (abs(neggi) .gt. zero) bnded = .false. + endif + endif + 50 continue + +c The indices of the nonzero components of d are now stored +c in iorder(1),...,iorder(nbreak) and iorder(nfree),...,iorder(n). +c The smallest of the nbreak breakpoints is in t(ibkmin)=bkmin. + + if (theta .ne. one) then +c complete the initialization of p for theta not= one. + call dscal(col,theta,p(col+1),1) + endif + +c Initialize GCP xcp = x. + + call dcopy(n,x,1,xcp,1) + + if (nbreak .eq. 0 .and. nfree .eq. n + 1) then +c is a zero vector, return with the initial xcp as GCP. + if (iprint .gt. 100) write (6,1010) (xcp(i), i = 1, n) + return + endif + +c Initialize c = W'(xcp - x) = 0. + + do 60 j = 1, col2 + c(j) = zero + 60 continue + +c Initialize derivative f2. + + f2 = -theta*f1 + f2_org = f2 + if (col .gt. 0) then + call bmv(m,sy,wt,col,p,v,info) + if (info .ne. 0) return + f2 = f2 - ddot(col2,v,1,p,1) + endif + dtm = -f1/f2 + tsum = zero + nseg = 1 + if (iprint .ge. 99) + + write (6,*) 'There are ',nbreak,' breakpoints ' + +c If there are no breakpoints, locate the GCP and return. + + if (nbreak .eq. 0) goto 888 + + nleft = nbreak + iter = 1 + + + tj = zero + +c------------------- the beginning of the loop ------------------------- + + 777 continue + +c Find the next smallest breakpoint; +c compute dt = t(nleft) - t(nleft + 1). + + tj0 = tj + if (iter .eq. 1) then +c Since we already have the smallest breakpoint we need not do +c heapsort yet. Often only one breakpoint is used and the +c cost of heapsort is avoided. + tj = bkmin + ibp = iorder(ibkmin) + else + if (iter .eq. 2) then +c Replace the already used smallest breakpoint with the +c breakpoint numbered nbreak > nlast, before heapsort call. + if (ibkmin .ne. nbreak) then + t(ibkmin) = t(nbreak) + iorder(ibkmin) = iorder(nbreak) + endif +c Update heap structure of breakpoints +c (if iter=2, initialize heap). + endif + call hpsolb(nleft,t,iorder,iter-2) + tj = t(nleft) + ibp = iorder(nleft) + endif + + dt = tj - tj0 + + if (dt .ne. zero .and. iprint .ge. 100) then + write (6,4011) nseg,f1,f2 + write (6,5010) dt + write (6,6010) dtm + endif + +c If a minimizer is within this interval, locate the GCP and return. + + if (dtm .lt. dt) goto 888 + +c Otherwise fix one variable and +c reset the corresponding component of d to zero. + + tsum = tsum + dt + nleft = nleft - 1 + iter = iter + 1 + dibp = d(ibp) + d(ibp) = zero + if (dibp .gt. zero) then + zibp = u(ibp) - x(ibp) + xcp(ibp) = u(ibp) + iwhere(ibp) = 2 + else + zibp = l(ibp) - x(ibp) + xcp(ibp) = l(ibp) + iwhere(ibp) = 1 + endif + if (iprint .ge. 100) write (6,*) 'Variable ',ibp,' is fixed.' + if (nleft .eq. 0 .and. nbreak .eq. n) then +c all n variables are fixed, +c return with xcp as GCP. + dtm = dt + goto 999 + endif + +c Update the derivative information. + + nseg = nseg + 1 + dibp2 = dibp**2 + +c Update f1 and f2. + +c temporarily set f1 and f2 for col=0. + f1 = f1 + dt*f2 + dibp2 - theta*dibp*zibp + f2 = f2 - theta*dibp2 + + if (col .gt. 0) then +c update c = c + dt*p. + call daxpy(col2,dt,p,1,c,1) + +c choose wbp, +c the row of W corresponding to the breakpoint encountered. + pointr = head + do 70 j = 1,col + wbp(j) = wy(ibp,pointr) + wbp(col + j) = theta*ws(ibp,pointr) + pointr = mod(pointr,m) + 1 + 70 continue + +c compute (wbp)Mc, (wbp)Mp, and (wbp)M(wbp)'. + call bmv(m,sy,wt,col,wbp,v,info) + if (info .ne. 0) return + wmc = ddot(col2,c,1,v,1) + wmp = ddot(col2,p,1,v,1) + wmw = ddot(col2,wbp,1,v,1) + +c update p = p - dibp*wbp. + call daxpy(col2,-dibp,wbp,1,p,1) + +c complete updating f1 and f2 while col > 0. + f1 = f1 + dibp*wmc + f2 = f2 + 2.0d0*dibp*wmp - dibp2*wmw + endif + + f2 = max(epsmch*f2_org,f2) + if (nleft .gt. 0) then + dtm = -f1/f2 + goto 777 +c to repeat the loop for unsearched intervals. + else if(bnded) then + f1 = zero + f2 = zero + dtm = zero + else + dtm = -f1/f2 + endif + +c------------------- the end of the loop ------------------------------- + + 888 continue + if (iprint .ge. 99) then + write (6,*) + write (6,*) 'GCP found in this segment' + write (6,4010) nseg,f1,f2 + write (6,6010) dtm + endif + if (dtm .le. zero) dtm = zero + tsum = tsum + dtm + +c Move free variables (i.e., the ones w/o breakpoints) and +c the variables whose breakpoints haven't been reached. + + call daxpy(n,tsum,d,1,xcp,1) + + 999 continue + +c Update c = c + dtm*p = W'(x^c - x) +c which will be used in computing r = Z'(B(x^c - x) + g). + + if (col .gt. 0) call daxpy(col2,dtm,p,1,c,1) + if (iprint .gt. 100) write (6,1010) (xcp(i),i = 1,n) + if (iprint .ge. 99) write (6,2010) + + 1010 format ('Cauchy X = ',/,(4x,1p,6(1x,d11.4))) + 2010 format (/,'---------------- exit CAUCHY----------------------',/) + 3010 format (/,'---------------- CAUCHY entered-------------------') + 4010 format ('Piece ',i3,' --f1, f2 at start point ',1p,2(1x,d11.4)) + 4011 format (/,'Piece ',i3,' --f1, f2 at start point ', + + 1p,2(1x,d11.4)) + 5010 format ('Distance to the next break point = ',1p,d11.4) + 6010 format ('Distance to the stationary point = ',1p,d11.4) + + return + + end + +c====================== The end of cauchy ============================== + + subroutine cmprlb(n, m, x, g, ws, wy, sy, wt, z, r, wa, index, + + theta, col, head, nfree, cnstnd, info) + + logical cnstnd + integer n, m, col, head, nfree, info, index(n) + double precision theta, + + x(n), g(n), z(n), r(n), wa(4*m), + + ws(n, m), wy(n, m), sy(m, m), wt(m, m) + +c ************ +c +c Subroutine cmprlb +c +c This subroutine computes r=-Z'B(xcp-xk)-Z'g by using +c wa(2m+1)=W'(xcp-x) from subroutine cauchy. +c +c Subprograms called: +c +c L-BFGS-B Library ... bmv. +c +c +c * * * +c +c NEOS, November 1994. (Latest revision June 1996.) +c Optimization Technology Center. +c Argonne National Laboratory and Northwestern University. +c Written by +c Ciyou Zhu +c in collaboration with R.H. Byrd, P. Lu-Chen and J. Nocedal. +c +c +c ************ + + integer i,j,k,pointr + double precision a1,a2 + + if (.not. cnstnd .and. col .gt. 0) then + do 26 i = 1, n + r(i) = -g(i) + 26 continue + else + do 30 i = 1, nfree + k = index(i) + r(i) = -theta*(z(k) - x(k)) - g(k) + 30 continue + call bmv(m,sy,wt,col,wa(2*m+1),wa(1),info) + if (info .ne. 0) then + info = -8 + return + endif + pointr = head + do 34 j = 1, col + a1 = wa(j) + a2 = theta*wa(col + j) + do 32 i = 1, nfree + k = index(i) + r(i) = r(i) + wy(k,pointr)*a1 + ws(k,pointr)*a2 + 32 continue + pointr = mod(pointr,m) + 1 + 34 continue + endif + + return + + end + +c======================= The end of cmprlb ============================= + + subroutine errclb(n, m, factr, l, u, nbd, task, info, k) + + character*60 task + integer n, m, info, k, nbd(n) + double precision factr, l(n), u(n) + +c ************ +c +c Subroutine errclb +c +c This subroutine checks the validity of the input data. +c +c +c * * * +c +c NEOS, November 1994. (Latest revision June 1996.) +c Optimization Technology Center. +c Argonne National Laboratory and Northwestern University. +c Written by +c Ciyou Zhu +c in collaboration with R.H. Byrd, P. Lu-Chen and J. Nocedal. +c +c +c ************ + + integer i + double precision one,zero + parameter (one=1.0d0,zero=0.0d0) + +c Check the input arguments for errors. + + if (n .le. 0) task = 'ERROR: N .LE. 0' + if (m .le. 0) task = 'ERROR: M .LE. 0' + if (factr .lt. zero) task = 'ERROR: FACTR .LT. 0' + +c Check the validity of the arrays nbd(i), u(i), and l(i). + + do 10 i = 1, n + if (nbd(i) .lt. 0 .or. nbd(i) .gt. 3) then +c return + task = 'ERROR: INVALID NBD' + info = -6 + k = i + endif + if (nbd(i) .eq. 2) then + if (l(i) .gt. u(i)) then +c return + task = 'ERROR: NO FEASIBLE SOLUTION' + info = -7 + k = i + endif + endif + 10 continue + + return + + end + +c======================= The end of errclb ============================= + + subroutine formk(n, nsub, ind, nenter, ileave, indx2, iupdat, + + updatd, wn, wn1, m, ws, wy, sy, theta, col, + + head, info) + + integer n, nsub, m, col, head, nenter, ileave, iupdat, + + info, ind(n), indx2(n) + double precision theta, wn(2*m, 2*m), wn1(2*m, 2*m), + + ws(n, m), wy(n, m), sy(m, m) + logical updatd + +c ************ +c +c Subroutine formk +c +c This subroutine forms the LEL^T factorization of the indefinite +c +c matrix K = [-D -Y'ZZ'Y/theta L_a'-R_z' ] +c [L_a -R_z theta*S'AA'S ] +c where E = [-I 0] +c [ 0 I] +c The matrix K can be shown to be equal to the matrix M^[-1]N +c occurring in section 5.1 of [1], as well as to the matrix +c Mbar^[-1] Nbar in section 5.3. +c +c n is an integer variable. +c On entry n is the dimension of the problem. +c On exit n is unchanged. +c +c nsub is an integer variable +c On entry nsub is the number of subspace variables in free set. +c On exit nsub is not changed. +c +c ind is an integer array of dimension nsub. +c On entry ind specifies the indices of subspace variables. +c On exit ind is unchanged. +c +c nenter is an integer variable. +c On entry nenter is the number of variables entering the +c free set. +c On exit nenter is unchanged. +c +c ileave is an integer variable. +c On entry indx2(ileave),...,indx2(n) are the variables leaving +c the free set. +c On exit ileave is unchanged. +c +c indx2 is an integer array of dimension n. +c On entry indx2(1),...,indx2(nenter) are the variables entering +c the free set, while indx2(ileave),...,indx2(n) are the +c variables leaving the free set. +c On exit indx2 is unchanged. +c +c iupdat is an integer variable. +c On entry iupdat is the total number of BFGS updates made so far. +c On exit iupdat is unchanged. +c +c updatd is a logical variable. +c On entry 'updatd' is true if the L-BFGS matrix is updatd. +c On exit 'updatd' is unchanged. +c +c wn is a double precision array of dimension 2m x 2m. +c On entry wn is unspecified. +c On exit the upper triangle of wn stores the LEL^T factorization +c of the 2*col x 2*col indefinite matrix +c [-D -Y'ZZ'Y/theta L_a'-R_z' ] +c [L_a -R_z theta*S'AA'S ] +c +c wn1 is a double precision array of dimension 2m x 2m. +c On entry wn1 stores the lower triangular part of +c [Y' ZZ'Y L_a'+R_z'] +c [L_a+R_z S'AA'S ] +c in the previous iteration. +c On exit wn1 stores the corresponding updated matrices. +c The purpose of wn1 is just to store these inner products +c so they can be easily updated and inserted into wn. +c +c m is an integer variable. +c On entry m is the maximum number of variable metric corrections +c used to define the limited memory matrix. +c On exit m is unchanged. +c +c ws, wy, sy, and wtyy are double precision arrays; +c theta is a double precision variable; +c col is an integer variable; +c head is an integer variable. +c On entry they store the information defining the +c limited memory BFGS matrix: +c ws(n,m) stores S, a set of s-vectors; +c wy(n,m) stores Y, a set of y-vectors; +c sy(m,m) stores S'Y; +c wtyy(m,m) stores the Cholesky factorization +c of (theta*S'S+LD^(-1)L') +c theta is the scaling factor specifying B_0 = theta I; +c col is the number of variable metric corrections stored; +c head is the location of the 1st s- (or y-) vector in S (or Y). +c On exit they are unchanged. +c +c info is an integer variable. +c On entry info is unspecified. +c On exit info = 0 for normal return; +c = -1 when the 1st Cholesky factorization failed; +c = -2 when the 2st Cholesky factorization failed. +c +c Subprograms called: +c +c Linpack ... dcopy, dpofa, dtrsl. +c +c +c References: +c [1] R. H. Byrd, P. Lu, J. Nocedal and C. Zhu, ``A limited +c memory algorithm for bound constrained optimization'', +c SIAM J. Scientific Computing 16 (1995), no. 5, pp. 1190--1208. +c +c [2] C. Zhu, R.H. Byrd, P. Lu, J. Nocedal, ``L-BFGS-B: a +c limited memory FORTRAN code for solving bound constrained +c optimization problems'', Tech. Report, NAM-11, EECS Department, +c Northwestern University, 1994. +c +c (Postscript files of these papers are available via anonymous +c ftp to eecs.nwu.edu in the directory pub/lbfgs/lbfgs_bcm.) +c +c * * * +c +c NEOS, November 1994. (Latest revision June 1996.) +c Optimization Technology Center. +c Argonne National Laboratory and Northwestern University. +c Written by +c Ciyou Zhu +c in collaboration with R.H. Byrd, P. Lu-Chen and J. Nocedal. +c +c +c ************ + + integer m2,ipntr,jpntr,iy,is,jy,js,is1,js1,k1,i,k, + + col2,pbegin,pend,dbegin,dend,upcl + double precision ddot,temp1,temp2,temp3,temp4 + double precision one,zero + parameter (one=1.0d0,zero=0.0d0) + +c Form the lower triangular part of +c WN1 = [Y' ZZ'Y L_a'+R_z'] +c [L_a+R_z S'AA'S ] +c where L_a is the strictly lower triangular part of S'AA'Y +c R_z is the upper triangular part of S'ZZ'Y. + + if (updatd) then + if (iupdat .gt. m) then +c shift old part of WN1. + do 10 jy = 1, m - 1 + js = m + jy + call dcopy(m-jy,wn1(jy+1,jy+1),1,wn1(jy,jy),1) + call dcopy(m-jy,wn1(js+1,js+1),1,wn1(js,js),1) + call dcopy(m-1,wn1(m+2,jy+1),1,wn1(m+1,jy),1) + 10 continue + endif + +c put new rows in blocks (1,1), (2,1) and (2,2). + pbegin = 1 + pend = nsub + dbegin = nsub + 1 + dend = n + iy = col + is = m + col + ipntr = head + col - 1 + if (ipntr .gt. m) ipntr = ipntr - m + jpntr = head + do 20 jy = 1, col + js = m + jy + temp1 = zero + temp2 = zero + temp3 = zero +c compute element jy of row 'col' of Y'ZZ'Y + do 15 k = pbegin, pend + k1 = ind(k) + temp1 = temp1 + wy(k1,ipntr)*wy(k1,jpntr) + 15 continue +c compute elements jy of row 'col' of L_a and S'AA'S + do 16 k = dbegin, dend + k1 = ind(k) + temp2 = temp2 + ws(k1,ipntr)*ws(k1,jpntr) + temp3 = temp3 + ws(k1,ipntr)*wy(k1,jpntr) + 16 continue + wn1(iy,jy) = temp1 + wn1(is,js) = temp2 + wn1(is,jy) = temp3 + jpntr = mod(jpntr,m) + 1 + 20 continue + +c put new column in block (2,1). + jy = col + jpntr = head + col - 1 + if (jpntr .gt. m) jpntr = jpntr - m + ipntr = head + do 30 i = 1, col + is = m + i + temp3 = zero +c compute element i of column 'col' of R_z + do 25 k = pbegin, pend + k1 = ind(k) + temp3 = temp3 + ws(k1,ipntr)*wy(k1,jpntr) + 25 continue + ipntr = mod(ipntr,m) + 1 + wn1(is,jy) = temp3 + 30 continue + upcl = col - 1 + else + upcl = col + endif + +c modify the old parts in blocks (1,1) and (2,2) due to changes +c in the set of free variables. + ipntr = head + do 45 iy = 1, upcl + is = m + iy + jpntr = head + do 40 jy = 1, iy + js = m + jy + temp1 = zero + temp2 = zero + temp3 = zero + temp4 = zero + do 35 k = 1, nenter + k1 = indx2(k) + temp1 = temp1 + wy(k1,ipntr)*wy(k1,jpntr) + temp2 = temp2 + ws(k1,ipntr)*ws(k1,jpntr) + 35 continue + do 36 k = ileave, n + k1 = indx2(k) + temp3 = temp3 + wy(k1,ipntr)*wy(k1,jpntr) + temp4 = temp4 + ws(k1,ipntr)*ws(k1,jpntr) + 36 continue + wn1(iy,jy) = wn1(iy,jy) + temp1 - temp3 + wn1(is,js) = wn1(is,js) - temp2 + temp4 + jpntr = mod(jpntr,m) + 1 + 40 continue + ipntr = mod(ipntr,m) + 1 + 45 continue + +c modify the old parts in block (2,1). + ipntr = head + do 60 is = m + 1, m + upcl + jpntr = head + do 55 jy = 1, upcl + temp1 = zero + temp3 = zero + do 50 k = 1, nenter + k1 = indx2(k) + temp1 = temp1 + ws(k1,ipntr)*wy(k1,jpntr) + 50 continue + do 51 k = ileave, n + k1 = indx2(k) + temp3 = temp3 + ws(k1,ipntr)*wy(k1,jpntr) + 51 continue + if (is .le. jy + m) then + wn1(is,jy) = wn1(is,jy) + temp1 - temp3 + else + wn1(is,jy) = wn1(is,jy) - temp1 + temp3 + endif + jpntr = mod(jpntr,m) + 1 + 55 continue + ipntr = mod(ipntr,m) + 1 + 60 continue + +c Form the upper triangle of WN = [D+Y' ZZ'Y/theta -L_a'+R_z' ] +c [-L_a +R_z S'AA'S*theta] + + m2 = 2*m + do 70 iy = 1, col + is = col + iy + is1 = m + iy + do 65 jy = 1, iy + js = col + jy + js1 = m + jy + wn(jy,iy) = wn1(iy,jy)/theta + wn(js,is) = wn1(is1,js1)*theta + 65 continue + do 66 jy = 1, iy - 1 + wn(jy,is) = -wn1(is1,jy) + 66 continue + do 67 jy = iy, col + wn(jy,is) = wn1(is1,jy) + 67 continue + wn(iy,iy) = wn(iy,iy) + sy(iy,iy) + 70 continue + +c Form the upper triangle of WN= [ LL' L^-1(-L_a'+R_z')] +c [(-L_a +R_z)L'^-1 S'AA'S*theta ] + +c first Cholesky factor (1,1) block of wn to get LL' +c with L' stored in the upper triangle of wn. + call dpofa(wn,m2,col,info) + if (info .ne. 0) then + info = -1 + return + endif +c then form L^-1(-L_a'+R_z') in the (1,2) block. + col2 = 2*col + do 71 js = col+1 ,col2 + call dtrsl(wn,m2,col,wn(1,js),11,info) + 71 continue + +c Form S'AA'S*theta + (L^-1(-L_a'+R_z'))'L^-1(-L_a'+R_z') in the +c upper triangle of (2,2) block of wn. + + + do 72 is = col+1, col2 + do 74 js = is, col2 + wn(is,js) = wn(is,js) + ddot(col,wn(1,is),1,wn(1,js),1) + 74 continue + 72 continue + +c Cholesky factorization of (2,2) block of wn. + + call dpofa(wn(col+1,col+1),m2,col,info) + if (info .ne. 0) then + info = -2 + return + endif + + return + + end + +c======================= The end of formk ============================== + + subroutine formt(m, wt, sy, ss, col, theta, info) + + integer m, col, info + double precision theta, wt(m, m), sy(m, m), ss(m, m) + +c ************ +c +c Subroutine formt +c +c This subroutine forms the upper half of the pos. def. and symm. +c T = theta*SS + L*D^(-1)*L', stores T in the upper triangle +c of the array wt, and performs the Cholesky factorization of T +c to produce J*J', with J' stored in the upper triangle of wt. +c +c Subprograms called: +c +c Linpack ... dpofa. +c +c +c * * * +c +c NEOS, November 1994. (Latest revision June 1996.) +c Optimization Technology Center. +c Argonne National Laboratory and Northwestern University. +c Written by +c Ciyou Zhu +c in collaboration with R.H. Byrd, P. Lu-Chen and J. Nocedal. +c +c +c ************ + + integer i,j,k,k1 + double precision ddum + double precision zero + parameter (zero=0.0d0) + + +c Form the upper half of T = theta*SS + L*D^(-1)*L', +c store T in the upper triangle of the array wt. + + do 52 j = 1, col + wt(1,j) = theta*ss(1,j) + 52 continue + do 55 i = 2, col + do 54 j = i, col + k1 = min(i,j) - 1 + ddum = zero + do 53 k = 1, k1 + ddum = ddum + sy(i,k)*sy(j,k)/sy(k,k) + 53 continue + wt(i,j) = ddum + theta*ss(i,j) + 54 continue + 55 continue + +c Cholesky factorize T to J*J' with +c J' stored in the upper triangle of wt. + + call dpofa(wt,m,col,info) + if (info .ne. 0) then + info = -3 + endif + + return + + end + +c======================= The end of formt ============================== + + subroutine freev(n, nfree, index, nenter, ileave, indx2, + + iwhere, wrk, updatd, cnstnd, iprint, iter) + + integer n, nfree, nenter, ileave, iprint, iter, + + index(n), indx2(n), iwhere(n) + logical wrk, updatd, cnstnd + +c ************ +c +c Subroutine freev +c +c This subroutine counts the entering and leaving variables when +c iter > 0, and finds the index set of free and active variables +c at the GCP. +c +c cnstnd is a logical variable indicating whether bounds are present +c +c index is an integer array of dimension n +c for i=1,...,nfree, index(i) are the indices of free variables +c for i=nfree+1,...,n, index(i) are the indices of bound variables +c On entry after the first iteration, index gives +c the free variables at the previous iteration. +c On exit it gives the free variables based on the determination +c in cauchy using the array iwhere. +c +c indx2 is an integer array of dimension n +c On entry indx2 is unspecified. +c On exit with iter>0, indx2 indicates which variables +c have changed status since the previous iteration. +c For i= 1,...,nenter, indx2(i) have changed from bound to free. +c For i= ileave+1,...,n, indx2(i) have changed from free to bound. +c +c +c * * * +c +c NEOS, November 1994. (Latest revision June 1996.) +c Optimization Technology Center. +c Argonne National Laboratory and Northwestern University. +c Written by +c Ciyou Zhu +c in collaboration with R.H. Byrd, P. Lu-Chen and J. Nocedal. +c +c +c ************ + + integer iact,i,k + + nenter = 0 + ileave = n + 1 + if (iter .gt. 0 .and. cnstnd) then +c count the entering and leaving variables. + do 20 i = 1, nfree + k = index(i) + +c write(6,*) ' k = index(i) ', k +c write(6,*) ' index = ', i + + if (iwhere(k) .gt. 0) then + ileave = ileave - 1 + indx2(ileave) = k + if (iprint .ge. 100) write (6,*) + + 'Variable ',k,' leaves the set of free variables' + endif + 20 continue + do 22 i = 1 + nfree, n + k = index(i) + if (iwhere(k) .le. 0) then + nenter = nenter + 1 + indx2(nenter) = k + if (iprint .ge. 100) write (6,*) + + 'Variable ',k,' enters the set of free variables' + endif + 22 continue + if (iprint .ge. 99) write (6,*) + + n+1-ileave,' variables leave; ',nenter,' variables enter' + endif + wrk = (ileave .lt. n+1) .or. (nenter .gt. 0) .or. updatd + +c Find the index set of free and active variables at the GCP. + + nfree = 0 + iact = n + 1 + do 24 i = 1, n + if (iwhere(i) .le. 0) then + nfree = nfree + 1 + index(nfree) = i + else + iact = iact - 1 + index(iact) = i + endif + 24 continue + if (iprint .ge. 99) write (6,*) + + nfree,' variables are free at GCP ',iter + 1 + + return + + end + +c======================= The end of freev ============================== + + subroutine hpsolb(n, t, iorder, iheap) + integer iheap, n, iorder(n) + double precision t(n) + +c ************ +c +c Subroutine hpsolb +c +c This subroutine sorts out the least element of t, and puts the +c remaining elements of t in a heap. +c +c n is an integer variable. +c On entry n is the dimension of the arrays t and iorder. +c On exit n is unchanged. +c +c t is a double precision array of dimension n. +c On entry t stores the elements to be sorted, +c On exit t(n) stores the least elements of t, and t(1) to t(n-1) +c stores the remaining elements in the form of a heap. +c +c iorder is an integer array of dimension n. +c On entry iorder(i) is the index of t(i). +c On exit iorder(i) is still the index of t(i), but iorder may be +c permuted in accordance with t. +c +c iheap is an integer variable specifying the task. +c On entry iheap should be set as follows: +c iheap .eq. 0 if t(1) to t(n) is not in the form of a heap, +c iheap .ne. 0 if otherwise. +c On exit iheap is unchanged. +c +c +c References: +c Algorithm 232 of CACM (J. W. J. Williams): HEAPSORT. +c +c * * * +c +c NEOS, November 1994. (Latest revision June 1996.) +c Optimization Technology Center. +c Argonne National Laboratory and Northwestern University. +c Written by +c Ciyou Zhu +c in collaboration with R.H. Byrd, P. Lu-Chen and J. Nocedal. +c +c ************ + + integer i,j,k,indxin,indxou + double precision ddum,out + + if (iheap .eq. 0) then + +c Rearrange the elements t(1) to t(n) to form a heap. + + do 20 k = 2, n + ddum = t(k) + indxin = iorder(k) + +c Add ddum to the heap. + i = k + 10 continue + if (i.gt.1) then + j = i/2 + if (ddum .lt. t(j)) then + t(i) = t(j) + iorder(i) = iorder(j) + i = j + goto 10 + endif + endif + t(i) = ddum + iorder(i) = indxin + 20 continue + endif + +c Assign to 'out' the value of t(1), the least member of the heap, +c and rearrange the remaining members to form a heap as +c elements 1 to n-1 of t. + + if (n .gt. 1) then + i = 1 + out = t(1) + indxou = iorder(1) + ddum = t(n) + indxin = iorder(n) + +c Restore the heap + 30 continue + j = i+i + if (j .le. n-1) then + if (t(j+1) .lt. t(j)) j = j+1 + if (t(j) .lt. ddum ) then + t(i) = t(j) + iorder(i) = iorder(j) + i = j + goto 30 + endif + endif + t(i) = ddum + iorder(i) = indxin + +c Put the least member in t(n). + + t(n) = out + iorder(n) = indxou + endif + + return + + end + +c====================== The end of hpsolb ============================== + + subroutine lnsrlb(n, l, u, nbd, x, f, fold, gd, gdold, g, d, r, t, + + z, stp, dnorm, dtd, xstep, stpmx, iter, ifun, + + iback, nfgv, info, task, boxed, cnstnd, csave, + + isave, dsave) + + character*60 task, csave + logical boxed, cnstnd + integer n, iter, ifun, iback, nfgv, info, + + nbd(n), isave(2) + double precision f, fold, gd, gdold, stp, dnorm, dtd, xstep, + + stpmx, x(n), l(n), u(n), g(n), d(n), r(n), t(n), + + z(n), dsave(13) +c ********** +c +c Subroutine lnsrlb +c +c This subroutine calls subroutine dcsrch from the Minpack2 library +c to perform the line search. Subroutine dscrch is safeguarded so +c that all trial points lie within the feasible region. +c +c Subprograms called: +c +c Minpack2 Library ... dcsrch. +c +c Linpack ... dtrsl, ddot. +c +c +c * * * +c +c NEOS, November 1994. (Latest revision June 1996.) +c Optimization Technology Center. +c Argonne National Laboratory and Northwestern University. +c Written by +c Ciyou Zhu +c in collaboration with R.H. Byrd, P. Lu-Chen and J. Nocedal. +c +c +c ********** + + integer i + double precision ddot,a1,a2 + double precision one,zero,big + parameter (one=1.0d0,zero=0.0d0,big=1.0d+10) + double precision ftol,gtol,xtol + parameter (ftol=1.0d-3,gtol=0.9d0,xtol=0.1d0) + + if (task(1:5) .eq. 'FG_LN') goto 556 + + dtd = ddot(n,d,1,d,1) + dnorm = sqrt(dtd) + +c Determine the maximum step length. + + stpmx = big + if (cnstnd) then + if (iter .eq. 0) then + stpmx = one + else + do 43 i = 1, n + a1 = d(i) + if (nbd(i) .ne. 0) then + if (a1 .lt. zero .and. nbd(i) .le. 2) then + a2 = l(i) - x(i) + if (a2 .ge. zero) then + stpmx = zero + else if (a1*stpmx .lt. a2) then + stpmx = a2/a1 + endif + else if (a1 .gt. zero .and. nbd(i) .ge. 2) then + a2 = u(i) - x(i) + if (a2 .le. zero) then + stpmx = zero + else if (a1*stpmx .gt. a2) then + stpmx = a2/a1 + endif + endif + endif + 43 continue + endif + endif + + if (iter .eq. 0 .and. .not. boxed) then + stp = min(one/dnorm, stpmx) + else + stp = one + endif + + call dcopy(n,x,1,t,1) + call dcopy(n,g,1,r,1) + fold = f + ifun = 0 + iback = 0 + csave = 'START' + 556 continue + gd = ddot(n,g,1,d,1) + if (ifun .eq. 0) then + gdold=gd + if (gd .ge. zero) then +c the directional derivative >=0. +c Line search is impossible. + write(6,*)' ascent direction in projection gd = ', gd + info = -4 + return + endif + endif + + call dcsrch(f,gd,stp,ftol,gtol,xtol,zero,stpmx,csave,isave,dsave) + + xstep = stp*dnorm + if (csave(1:4) .ne. 'CONV' .and. csave(1:4) .ne. 'WARN') then + task = 'FG_LNSRCH' + ifun = ifun + 1 + nfgv = nfgv + 1 + iback = ifun - 1 + if (stp .eq. one) then + call dcopy(n,z,1,x,1) + else + do 41 i = 1, n + x(i) = stp*d(i) + t(i) + 41 continue + endif + else + task = 'NEW_X' + endif + + return + + end + +c======================= The end of lnsrlb ============================= + + subroutine matupd(n, m, ws, wy, sy, ss, d, r, itail, + + iupdat, col, head, theta, rr, dr, stp, dtd) + + integer n, m, itail, iupdat, col, head + double precision theta, rr, dr, stp, dtd, d(n), r(n), + + ws(n, m), wy(n, m), sy(m, m), ss(m, m) + +c ************ +c +c Subroutine matupd +c +c This subroutine updates matrices WS and WY, and forms the +c middle matrix in B. +c +c Subprograms called: +c +c Linpack ... dcopy, ddot. +c +c +c * * * +c +c NEOS, November 1994. (Latest revision June 1996.) +c Optimization Technology Center. +c Argonne National Laboratory and Northwestern University. +c Written by +c Ciyou Zhu +c in collaboration with R.H. Byrd, P. Lu-Chen and J. Nocedal. +c +c +c ************ + + integer j,pointr + double precision ddot + double precision one + parameter (one=1.0d0) + +c Set pointers for matrices WS and WY. + + if (iupdat .le. m) then + col = iupdat + itail = mod(head+iupdat-2,m) + 1 + else + itail = mod(itail,m) + 1 + head = mod(head,m) + 1 + endif + +c Update matrices WS and WY. + + call dcopy(n,d,1,ws(1,itail),1) + call dcopy(n,r,1,wy(1,itail),1) + +c Set theta=yy/ys. + + theta = rr/dr + +c Form the middle matrix in B. + +c update the upper triangle of SS, +c and the lower triangle of SY: + if (iupdat .gt. m) then +c move old information + do 50 j = 1, col - 1 + call dcopy(j,ss(2,j+1),1,ss(1,j),1) + call dcopy(col-j,sy(j+1,j+1),1,sy(j,j),1) + 50 continue + endif +c add new information: the last row of SY +c and the last column of SS: + pointr = head + do 51 j = 1, col - 1 + sy(col,j) = ddot(n,d,1,wy(1,pointr),1) + ss(j,col) = ddot(n,ws(1,pointr),1,d,1) + pointr = mod(pointr,m) + 1 + 51 continue + if (stp .eq. one) then + ss(col,col) = dtd + else + ss(col,col) = stp*stp*dtd + endif + sy(col,col) = dr + + return + + end + +c======================= The end of matupd ============================= + + subroutine prn1lb(n, m, l, u, x, iprint, itfile, epsmch) + + integer n, m, iprint, itfile + double precision epsmch, x(n), l(n), u(n) + +c ************ +c +c Subroutine prn1lb +c +c This subroutine prints the input data, initial point, upper and +c lower bounds of each variable, machine precision, as well as +c the headings of the output. +c +c +c * * * +c +c NEOS, November 1994. (Latest revision June 1996.) +c Optimization Technology Center. +c Argonne National Laboratory and Northwestern University. +c Written by +c Ciyou Zhu +c in collaboration with R.H. Byrd, P. Lu-Chen and J. Nocedal. +c +c +c ************ + + integer i + + if (iprint .ge. 0) then + write (6,7001) epsmch + write (6,*) 'N = ',n,' M = ',m + if (iprint .ge. 1) then + write (itfile,2001) epsmch + write (itfile,*)'N = ',n,' M = ',m + write (itfile,9001) + if (iprint .gt. 100) then + write (6,1004) 'L =',(l(i),i = 1,n) + write (6,1004) 'X0 =',(x(i),i = 1,n) + write (6,1004) 'U =',(u(i),i = 1,n) + endif + endif + endif + + 1004 format (/,a4, 1p, 6(1x,d11.4),/,(4x,1p,6(1x,d11.4))) + 2001 format ('RUNNING THE L-BFGS-B CODE',/,/, + + 'it = iteration number',/, + + 'nf = number of function evaluations',/, + + 'nseg = number of segments explored during the Cauchy search',/, + + 'nact = number of active bounds at the generalized Cauchy point' + + ,/, + + 'sub = manner in which the subspace minimization terminated:' + + ,/,' con = converged, bnd = a bound was reached',/, + + 'itls = number of iterations performed in the line search',/, + + 'stepl = step length used',/, + + 'tstep = norm of the displacement (total step)',/, + + 'projg = norm of the projected gradient',/, + + 'f = function value',/,/, + + ' * * *',/,/, + + 'Machine precision =',1p,d10.3) + 7001 format ('RUNNING THE L-BFGS-B CODE',/,/, + + ' * * *',/,/, + + 'Machine precision =',1p,d10.3) + 9001 format (/,3x,'it',3x,'nf',2x,'nseg',2x,'nact',2x,'sub',2x,'itls', + + 2x,'stepl',4x,'tstep',5x,'projg',8x,'f') + + return + + end + +c======================= The end of prn1lb ============================= + + subroutine prn2lb(n, x, f, g, iprint, itfile, iter, nfgv, nact, + + sbgnrm, nseg, word, iword, iback, stp, xstep) + + character*3 word + integer n, iprint, itfile, iter, nfgv, nact, nseg, + + iword, iback + double precision f, sbgnrm, stp, xstep, x(n), g(n) + +c ************ +c +c Subroutine prn2lb +c +c This subroutine prints out new information after a successful +c line search. +c +c +c * * * +c +c NEOS, November 1994. (Latest revision June 1996.) +c Optimization Technology Center. +c Argonne National Laboratory and Northwestern University. +c Written by +c Ciyou Zhu +c in collaboration with R.H. Byrd, P. Lu-Chen and J. Nocedal. +c +c +c ************ + + integer i,imod + +c 'word' records the status of subspace solutions. + if (iword .eq. 0) then +c the subspace minimization converged. + word = 'con' + else if (iword .eq. 1) then +c the subspace minimization stopped at a bound. + word = 'bnd' + else if (iword .eq. 5) then +c the truncated Newton step has been used. + word = 'TNT' + else + word = '---' + endif + if (iprint .ge. 99) then + write (6,*) 'LINE SEARCH',iback,' times; norm of step = ',xstep + write (6,2001) iter,f,sbgnrm + if (iprint .gt. 100) then + write (6,1004) 'X =',(x(i), i = 1, n) + write (6,1004) 'G =',(g(i), i = 1, n) + endif + else if (iprint .gt. 0) then + imod = mod(iter,iprint) + if (imod .eq. 0) write (6,2001) iter,f,sbgnrm + endif + if (iprint .ge. 1) write (itfile,3001) + + iter,nfgv,nseg,nact,word,iback,stp,xstep,sbgnrm,f + + 1004 format (/,a4, 1p, 6(1x,d11.4),/,(4x,1p,6(1x,d11.4))) + 2001 format + + (/,'At iterate',i5,4x,'f= ',1p,d12.5,4x,'|proj g|= ',1p,d12.5) + 3001 format(2(1x,i4),2(1x,i5),2x,a3,1x,i4,1p,2(2x,d7.1),1p,2(1x,d10.3)) + + return + + end + +c======================= The end of prn2lb ============================= + + subroutine prn3lb(n, x, f, task, iprint, info, itfile, + + iter, nfgv, nintol, nskip, nact, sbgnrm, + + time, nseg, word, iback, stp, xstep, k, + + cachyt, sbtime, lnscht) + + character*60 task + character*3 word + integer n, iprint, info, itfile, iter, nfgv, nintol, + + nskip, nact, nseg, iback, k + double precision f, sbgnrm, time, stp, xstep, cachyt, sbtime, + + lnscht, x(n) + +c ************ +c +c Subroutine prn3lb +c +c This subroutine prints out information when either a built-in +c convergence test is satisfied or when an error message is +c generated. +c +c +c * * * +c +c NEOS, November 1994. (Latest revision June 1996.) +c Optimization Technology Center. +c Argonne National Laboratory and Northwestern University. +c Written by +c Ciyou Zhu +c in collaboration with R.H. Byrd, P. Lu-Chen and J. Nocedal. +c +c +c ************ + + integer i + + if (task(1:5) .eq. 'ERROR') goto 999 + + if (iprint .ge. 0) then + write (6,3003) + write (6,3004) + write(6,3005) n,iter,nfgv,nintol,nskip,nact,sbgnrm,f + if (iprint .ge. 100) then + write (6,1004) 'X =',(x(i),i = 1,n) + endif + if (iprint .ge. 1) write (6,*) ' F =',f + endif + 999 continue + if (iprint .ge. 0) then + write (6,3009) task + if (info .ne. 0) then + if (info .eq. -1) write (6,9011) + if (info .eq. -2) write (6,9012) + if (info .eq. -3) write (6,9013) + if (info .eq. -4) write (6,9014) + if (info .eq. -5) write (6,9015) + if (info .eq. -6) write (6,*)' Input nbd(',k,') is invalid.' + if (info .eq. -7) + + write (6,*)' l(',k,') > u(',k,'). No feasible solution.' + if (info .eq. -8) write (6,9018) + if (info .eq. -9) write (6,9019) + endif + if (iprint .ge. 1) write (6,3007) cachyt,sbtime,lnscht + write (6,3008) time + if (iprint .ge. 1) then + if (info .eq. -4 .or. info .eq. -9) then + write (itfile,3002) + + iter,nfgv,nseg,nact,word,iback,stp,xstep + endif + write (itfile,3009) task + if (info .ne. 0) then + if (info .eq. -1) write (itfile,9011) + if (info .eq. -2) write (itfile,9012) + if (info .eq. -3) write (itfile,9013) + if (info .eq. -4) write (itfile,9014) + if (info .eq. -5) write (itfile,9015) + if (info .eq. -8) write (itfile,9018) + if (info .eq. -9) write (itfile,9019) + endif + write (itfile,3008) time + endif + endif + + 1004 format (/,a4, 1p, 6(1x,d11.4),/,(4x,1p,6(1x,d11.4))) + 3002 format(2(1x,i4),2(1x,i5),2x,a3,1x,i4,1p,2(2x,d7.1),6x,'-',10x,'-') + 3003 format (/, + + ' * * *',/,/, + + 'Tit = total number of iterations',/, + + 'Tnf = total number of function evaluations',/, + + 'Tnint = total number of segments explored during', + + ' Cauchy searches',/, + + 'Skip = number of BFGS updates skipped',/, + + 'Nact = number of active bounds at final generalized', + + ' Cauchy point',/, + + 'Projg = norm of the final projected gradient',/, + + 'F = final function value',/,/, + + ' * * *') + 3004 format (/,3x,'N',4x,'Tit',5x,'Tnf',2x,'Tnint',2x, + + 'Skip',2x,'Nact',5x,'Projg',8x,'F') + 3005 format (i5,2(1x,i6),(1x,i6),(2x,i4),(1x,i5),1p,2(2x,d10.3)) + 3007 format (/,' Cauchy time',1p,e10.3,' seconds.',/ + + ' Subspace minimization time',1p,e10.3,' seconds.',/ + + ' Line search time',1p,e10.3,' seconds.') + 3008 format (/,' Total User time',1p,e10.3,' seconds.',/) + 3009 format (/,a60) + 9011 format (/, + +' Matrix in 1st Cholesky factorization in formk is not Pos. Def.') + 9012 format (/, + +' Matrix in 2st Cholesky factorization in formk is not Pos. Def.') + 9013 format (/, + +' Matrix in the Cholesky factorization in formt is not Pos. Def.') + 9014 format (/, + +' Derivative >= 0, backtracking line search impossible.',/, + +' Previous x, f and g restored.',/, + +' Possible causes: 1 error in function or gradient evaluation;',/, + +' 2 rounding errors dominate computation.') + 9015 format (/, + +' Warning: more than 10 function and gradient',/, + +' evaluations in the last line search. Termination',/, + +' may possibly be caused by a bad search direction.') + 9018 format (/,' The triangular system is singular.') + 9019 format (/, + +' Line search cannot locate an adequate point after 20 function',/ + +,' and gradient evaluations. Previous x, f and g restored.',/, + +' Possible causes: 1 error in function or gradient evaluation;',/, + +' 2 rounding error dominate computation.') + + return + + end + +c======================= The end of prn3lb ============================= + + subroutine projgr(n, l, u, nbd, x, g, sbgnrm) + + integer n, nbd(n) + double precision sbgnrm, x(n), l(n), u(n), g(n) + +c ************ +c +c Subroutine projgr +c +c This subroutine computes the infinity norm of the projected +c gradient. +c +c +c * * * +c +c NEOS, November 1994. (Latest revision June 1996.) +c Optimization Technology Center. +c Argonne National Laboratory and Northwestern University. +c Written by +c Ciyou Zhu +c in collaboration with R.H. Byrd, P. Lu-Chen and J. Nocedal. +c +c +c ************ + + integer i + double precision gi + double precision one,zero + parameter (one=1.0d0,zero=0.0d0) + + sbgnrm = zero + do 15 i = 1, n + gi = g(i) + if (nbd(i) .ne. 0) then + if (gi .lt. zero) then + if (nbd(i) .ge. 2) gi = max((x(i)-u(i)),gi) + else + if (nbd(i) .le. 2) gi = min((x(i)-l(i)),gi) + endif + endif + sbgnrm = max(sbgnrm,abs(gi)) + 15 continue + + return + + end + +c======================= The end of projgr ============================= + + subroutine subsm ( n, m, nsub, ind, l, u, nbd, x, d, xp, ws, wy, + + theta, xx, gg, + + col, head, iword, wv, wn, iprint, info ) + implicit none + integer n, m, nsub, col, head, iword, iprint, info, + + ind(nsub), nbd(n) + double precision theta, + + l(n), u(n), x(n), d(n), xp(n), xx(n), gg(n), + + ws(n, m), wy(n, m), + + wv(2*m), wn(2*m, 2*m) + +c ********************************************************************** +c +c This routine contains the major changes in the updated version. +c The changes are described in the accompanying paper +c +c Jose Luis Morales, Jorge Nocedal +c "Remark On Algorithm 788: L-BFGS-B: Fortran Subroutines for Large-Scale +c Bound Constrained Optimization". Decemmber 27, 2010. +c +c J.L. Morales Departamento de Matematicas, +c Instituto Tecnologico Autonomo de Mexico +c Mexico D.F. +c +c J, Nocedal Department of Electrical Engineering and +c Computer Science. +c Northwestern University. Evanston, IL. USA +c +c January 17, 2011 +c +c ********************************************************************** +c +c +c Subroutine subsm +c +c Given xcp, l, u, r, an index set that specifies +c the active set at xcp, and an l-BFGS matrix B +c (in terms of WY, WS, SY, WT, head, col, and theta), +c this subroutine computes an approximate solution +c of the subspace problem +c +c (P) min Q(x) = r'(x-xcp) + 1/2 (x-xcp)' B (x-xcp) +c +c subject to l<=x<=u +c x_i=xcp_i for all i in A(xcp) +c +c along the subspace unconstrained Newton direction +c +c d = -(Z'BZ)^(-1) r. +c +c The formula for the Newton direction, given the L-BFGS matrix +c and the Sherman-Morrison formula, is +c +c d = (1/theta)r + (1/theta*2) Z'WK^(-1)W'Z r. +c +c where +c K = [-D -Y'ZZ'Y/theta L_a'-R_z' ] +c [L_a -R_z theta*S'AA'S ] +c +c Note that this procedure for computing d differs +c from that described in [1]. One can show that the matrix K is +c equal to the matrix M^[-1]N in that paper. +c +c n is an integer variable. +c On entry n is the dimension of the problem. +c On exit n is unchanged. +c +c m is an integer variable. +c On entry m is the maximum number of variable metric corrections +c used to define the limited memory matrix. +c On exit m is unchanged. +c +c nsub is an integer variable. +c On entry nsub is the number of free variables. +c On exit nsub is unchanged. +c +c ind is an integer array of dimension nsub. +c On entry ind specifies the coordinate indices of free variables. +c On exit ind is unchanged. +c +c l is a double precision array of dimension n. +c On entry l is the lower bound of x. +c On exit l is unchanged. +c +c u is a double precision array of dimension n. +c On entry u is the upper bound of x. +c On exit u is unchanged. +c +c nbd is a integer array of dimension n. +c On entry nbd represents the type of bounds imposed on the +c variables, and must be specified as follows: +c nbd(i)=0 if x(i) is unbounded, +c 1 if x(i) has only a lower bound, +c 2 if x(i) has both lower and upper bounds, and +c 3 if x(i) has only an upper bound. +c On exit nbd is unchanged. +c +c x is a double precision array of dimension n. +c On entry x specifies the Cauchy point xcp. +c On exit x(i) is the minimizer of Q over the subspace of +c free variables. +c +c d is a double precision array of dimension n. +c On entry d is the reduced gradient of Q at xcp. +c On exit d is the Newton direction of Q. +c +c xp is a double precision array of dimension n. +c used to safeguard the projected Newton direction +c +c xx is a double precision array of dimension n +c On entry it holds the current iterate +c On output it is unchanged + +c gg is a double precision array of dimension n +c On entry it holds the gradient at the current iterate +c On output it is unchanged +c +c ws and wy are double precision arrays; +c theta is a double precision variable; +c col is an integer variable; +c head is an integer variable. +c On entry they store the information defining the +c limited memory BFGS matrix: +c ws(n,m) stores S, a set of s-vectors; +c wy(n,m) stores Y, a set of y-vectors; +c theta is the scaling factor specifying B_0 = theta I; +c col is the number of variable metric corrections stored; +c head is the location of the 1st s- (or y-) vector in S (or Y). +c On exit they are unchanged. +c +c iword is an integer variable. +c On entry iword is unspecified. +c On exit iword specifies the status of the subspace solution. +c iword = 0 if the solution is in the box, +c 1 if some bound is encountered. +c +c wv is a double precision working array of dimension 2m. +c +c wn is a double precision array of dimension 2m x 2m. +c On entry the upper triangle of wn stores the LEL^T factorization +c of the indefinite matrix +c +c K = [-D -Y'ZZ'Y/theta L_a'-R_z' ] +c [L_a -R_z theta*S'AA'S ] +c where E = [-I 0] +c [ 0 I] +c On exit wn is unchanged. +c +c iprint is an INTEGER variable that must be set by the user. +c It controls the frequency and type of output generated: +c iprint<0 no output is generated; +c iprint=0 print only one line at the last iteration; +c 0100 print details of every iteration including x and g; +c When iprint > 0, the file iterate.dat will be created to +c summarize the iteration. +c +c info is an integer variable. +c On entry info is unspecified. +c On exit info = 0 for normal return, +c = nonzero for abnormal return +c when the matrix K is ill-conditioned. +c +c Subprograms called: +c +c Linpack dtrsl. +c +c +c References: +c +c [1] R. H. Byrd, P. Lu, J. Nocedal and C. Zhu, ``A limited +c memory algorithm for bound constrained optimization'', +c SIAM J. Scientific Computing 16 (1995), no. 5, pp. 1190--1208. +c +c +c +c * * * +c +c NEOS, November 1994. (Latest revision June 1996.) +c Optimization Technology Center. +c Argonne National Laboratory and Northwestern University. +c Written by +c Ciyou Zhu +c in collaboration with R.H. Byrd, P. Lu-Chen and J. Nocedal. +c +c +c ************ + + integer pointr,m2,col2,ibd,jy,js,i,j,k + double precision alpha, xk, dk, temp1, temp2 + double precision one,zero + parameter (one=1.0d0,zero=0.0d0) +c + double precision dd_p + + if (nsub .le. 0) return + if (iprint .ge. 99) write (6,1001) + +c Compute wv = W'Zd. + + pointr = head + do 20 i = 1, col + temp1 = zero + temp2 = zero + do 10 j = 1, nsub + k = ind(j) + temp1 = temp1 + wy(k,pointr)*d(j) + temp2 = temp2 + ws(k,pointr)*d(j) + 10 continue + wv(i) = temp1 + wv(col + i) = theta*temp2 + pointr = mod(pointr,m) + 1 + 20 continue + +c Compute wv:=K^(-1)wv. + + m2 = 2*m + col2 = 2*col + call dtrsl(wn,m2,col2,wv,11,info) + if (info .ne. 0) return + do 25 i = 1, col + wv(i) = -wv(i) + 25 continue + call dtrsl(wn,m2,col2,wv,01,info) + if (info .ne. 0) return + +c Compute d = (1/theta)d + (1/theta**2)Z'W wv. + + pointr = head + do 40 jy = 1, col + js = col + jy + do 30 i = 1, nsub + k = ind(i) + d(i) = d(i) + wy(k,pointr)*wv(jy)/theta + + + ws(k,pointr)*wv(js) + 30 continue + pointr = mod(pointr,m) + 1 + 40 continue + + call dscal( nsub, one/theta, d, 1 ) +c +c----------------------------------------------------------------- +c Let us try the projection, d is the Newton direction + + iword = 0 + + call dcopy ( n, x, 1, xp, 1 ) +c + do 50 i=1, nsub + k = ind(i) + dk = d(i) + xk = x(k) + if ( nbd(k) .ne. 0 ) then +c + if ( nbd(k).eq.1 ) then ! lower bounds only + x(k) = max( l(k), xk + dk ) + if ( x(k).eq.l(k) ) iword = 1 + else +c + if ( nbd(k).eq.2 ) then ! upper and lower bounds + xk = max( l(k), xk + dk ) + x(k) = min( u(k), xk ) + if ( x(k).eq.l(k) .or. x(k).eq.u(k) ) iword = 1 + else +c + if ( nbd(k).eq.3 ) then ! upper bounds only + x(k) = min( u(k), xk + dk ) + if ( x(k).eq.u(k) ) iword = 1 + end if + end if + end if +c + else ! free variables + x(k) = xk + dk + end if + 50 continue +c + if ( iword.eq.0 ) then + go to 911 + end if +c +c check sign of the directional derivative +c + dd_p = zero + do 55 i=1, n + dd_p = dd_p + (x(i) - xx(i))*gg(i) + 55 continue + if ( dd_p .gt.zero ) then + call dcopy( n, xp, 1, x, 1 ) + write(6,*) ' Positive dir derivative in projection ' + write(6,*) ' Using the backtracking step ' + else + go to 911 + endif +c +c----------------------------------------------------------------- +c + alpha = one + temp1 = alpha + ibd = 0 + do 60 i = 1, nsub + k = ind(i) + dk = d(i) + if (nbd(k) .ne. 0) then + if (dk .lt. zero .and. nbd(k) .le. 2) then + temp2 = l(k) - x(k) + if (temp2 .ge. zero) then + temp1 = zero + else if (dk*alpha .lt. temp2) then + temp1 = temp2/dk + endif + else if (dk .gt. zero .and. nbd(k) .ge. 2) then + temp2 = u(k) - x(k) + if (temp2 .le. zero) then + temp1 = zero + else if (dk*alpha .gt. temp2) then + temp1 = temp2/dk + endif + endif + if (temp1 .lt. alpha) then + alpha = temp1 + ibd = i + endif + endif + 60 continue + + if (alpha .lt. one) then + dk = d(ibd) + k = ind(ibd) + if (dk .gt. zero) then + x(k) = u(k) + d(ibd) = zero + else if (dk .lt. zero) then + x(k) = l(k) + d(ibd) = zero + endif + endif + do 70 i = 1, nsub + k = ind(i) + x(k) = x(k) + alpha*d(i) + 70 continue +cccccc + 911 continue + + if (iprint .ge. 99) write (6,1004) + + 1001 format (/,'----------------SUBSM entered-----------------',/) + 1004 format (/,'----------------exit SUBSM --------------------',/) + + return + + end +c====================== The end of subsm =============================== + + subroutine dcsrch(f,g,stp,ftol,gtol,xtol,stpmin,stpmax, + + task,isave,dsave) + character*(*) task + integer isave(2) + double precision f,g,stp,ftol,gtol,xtol,stpmin,stpmax + double precision dsave(13) +c ********** +c +c Subroutine dcsrch +c +c This subroutine finds a step that satisfies a sufficient +c decrease condition and a curvature condition. +c +c Each call of the subroutine updates an interval with +c endpoints stx and sty. The interval is initially chosen +c so that it contains a minimizer of the modified function +c +c psi(stp) = f(stp) - f(0) - ftol*stp*f'(0). +c +c If psi(stp) <= 0 and f'(stp) >= 0 for some step, then the +c interval is chosen so that it contains a minimizer of f. +c +c The algorithm is designed to find a step that satisfies +c the sufficient decrease condition +c +c f(stp) <= f(0) + ftol*stp*f'(0), +c +c and the curvature condition +c +c abs(f'(stp)) <= gtol*abs(f'(0)). +c +c If ftol is less than gtol and if, for example, the function +c is bounded below, then there is always a step which satisfies +c both conditions. +c +c If no step can be found that satisfies both conditions, then +c the algorithm stops with a warning. In this case stp only +c satisfies the sufficient decrease condition. +c +c A typical invocation of dcsrch has the following outline: +c +c task = 'START' +c 10 continue +c call dcsrch( ... ) +c if (task .eq. 'FG') then +c Evaluate the function and the gradient at stp +c goto 10 +c end if +c +c NOTE: The user must no alter work arrays between calls. +c +c The subroutine statement is +c +c subroutine dcsrch(f,g,stp,ftol,gtol,xtol,stpmin,stpmax, +c task,isave,dsave) +c where +c +c f is a double precision variable. +c On initial entry f is the value of the function at 0. +c On subsequent entries f is the value of the +c function at stp. +c On exit f is the value of the function at stp. +c +c g is a double precision variable. +c On initial entry g is the derivative of the function at 0. +c On subsequent entries g is the derivative of the +c function at stp. +c On exit g is the derivative of the function at stp. +c +c stp is a double precision variable. +c On entry stp is the current estimate of a satisfactory +c step. On initial entry, a positive initial estimate +c must be provided. +c On exit stp is the current estimate of a satisfactory step +c if task = 'FG'. If task = 'CONV' then stp satisfies +c the sufficient decrease and curvature condition. +c +c ftol is a double precision variable. +c On entry ftol specifies a nonnegative tolerance for the +c sufficient decrease condition. +c On exit ftol is unchanged. +c +c gtol is a double precision variable. +c On entry gtol specifies a nonnegative tolerance for the +c curvature condition. +c On exit gtol is unchanged. +c +c xtol is a double precision variable. +c On entry xtol specifies a nonnegative relative tolerance +c for an acceptable step. The subroutine exits with a +c warning if the relative difference between sty and stx +c is less than xtol. +c On exit xtol is unchanged. +c +c stpmin is a double precision variable. +c On entry stpmin is a nonnegative lower bound for the step. +c On exit stpmin is unchanged. +c +c stpmax is a double precision variable. +c On entry stpmax is a nonnegative upper bound for the step. +c On exit stpmax is unchanged. +c +c task is a character variable of length at least 60. +c On initial entry task must be set to 'START'. +c On exit task indicates the required action: +c +c If task(1:2) = 'FG' then evaluate the function and +c derivative at stp and call dcsrch again. +c +c If task(1:4) = 'CONV' then the search is successful. +c +c If task(1:4) = 'WARN' then the subroutine is not able +c to satisfy the convergence conditions. The exit value of +c stp contains the best point found during the search. +c +c If task(1:5) = 'ERROR' then there is an error in the +c input arguments. +c +c On exit with convergence, a warning or an error, the +c variable task contains additional information. +c +c isave is an integer work array of dimension 2. +c +c dsave is a double precision work array of dimension 13. +c +c Subprograms called +c +c MINPACK-2 ... dcstep +c +c MINPACK-1 Project. June 1983. +c Argonne National Laboratory. +c Jorge J. More' and David J. Thuente. +c +c MINPACK-2 Project. October 1993. +c Argonne National Laboratory and University of Minnesota. +c Brett M. Averick, Richard G. Carter, and Jorge J. More'. +c +c ********** + double precision zero,p5,p66 + parameter(zero=0.0d0,p5=0.5d0,p66=0.66d0) + double precision xtrapl,xtrapu + parameter(xtrapl=1.1d0,xtrapu=4.0d0) + + logical brackt + integer stage + double precision finit,ftest,fm,fx,fxm,fy,fym,ginit,gtest, + + gm,gx,gxm,gy,gym,stx,sty,stmin,stmax,width,width1 + +c Initialization block. + + if (task(1:5) .eq. 'START') then + +c Check the input arguments for errors. + + if (stp .lt. stpmin) task = 'ERROR: STP .LT. STPMIN' + if (stp .gt. stpmax) task = 'ERROR: STP .GT. STPMAX' + if (g .ge. zero) task = 'ERROR: INITIAL G .GE. ZERO' + if (ftol .lt. zero) task = 'ERROR: FTOL .LT. ZERO' + if (gtol .lt. zero) task = 'ERROR: GTOL .LT. ZERO' + if (xtol .lt. zero) task = 'ERROR: XTOL .LT. ZERO' + if (stpmin .lt. zero) task = 'ERROR: STPMIN .LT. ZERO' + if (stpmax .lt. stpmin) task = 'ERROR: STPMAX .LT. STPMIN' + +c Exit if there are errors on input. + + if (task(1:5) .eq. 'ERROR') return + +c Initialize local variables. + + brackt = .false. + stage = 1 + finit = f + ginit = g + gtest = ftol*ginit + width = stpmax - stpmin + width1 = width/p5 + +c The variables stx, fx, gx contain the values of the step, +c function, and derivative at the best step. +c The variables sty, fy, gy contain the value of the step, +c function, and derivative at sty. +c The variables stp, f, g contain the values of the step, +c function, and derivative at stp. + + stx = zero + fx = finit + gx = ginit + sty = zero + fy = finit + gy = ginit + stmin = zero + stmax = stp + xtrapu*stp + task = 'FG' + + goto 1000 + + else + +c Restore local variables. + + if (isave(1) .eq. 1) then + brackt = .true. + else + brackt = .false. + endif + stage = isave(2) + ginit = dsave(1) + gtest = dsave(2) + gx = dsave(3) + gy = dsave(4) + finit = dsave(5) + fx = dsave(6) + fy = dsave(7) + stx = dsave(8) + sty = dsave(9) + stmin = dsave(10) + stmax = dsave(11) + width = dsave(12) + width1 = dsave(13) + + endif + +c If psi(stp) <= 0 and f'(stp) >= 0 for some step, then the +c algorithm enters the second stage. + + ftest = finit + stp*gtest + if (stage .eq. 1 .and. f .le. ftest .and. g .ge. zero) + + stage = 2 + +c Test for warnings. + + if (brackt .and. (stp .le. stmin .or. stp .ge. stmax)) + + task = 'WARNING: ROUNDING ERRORS PREVENT PROGRESS' + if (brackt .and. stmax - stmin .le. xtol*stmax) + + task = 'WARNING: XTOL TEST SATISFIED' + if (stp .eq. stpmax .and. f .le. ftest .and. g .le. gtest) + + task = 'WARNING: STP = STPMAX' + if (stp .eq. stpmin .and. (f .gt. ftest .or. g .ge. gtest)) + + task = 'WARNING: STP = STPMIN' + +c Test for convergence. + + if (f .le. ftest .and. abs(g) .le. gtol*(-ginit)) + + task = 'CONVERGENCE' + +c Test for termination. + + if (task(1:4) .eq. 'WARN' .or. task(1:4) .eq. 'CONV') goto 1000 + +c A modified function is used to predict the step during the +c first stage if a lower function value has been obtained but +c the decrease is not sufficient. + + if (stage .eq. 1 .and. f .le. fx .and. f .gt. ftest) then + +c Define the modified function and derivative values. + + fm = f - stp*gtest + fxm = fx - stx*gtest + fym = fy - sty*gtest + gm = g - gtest + gxm = gx - gtest + gym = gy - gtest + +c Call dcstep to update stx, sty, and to compute the new step. + + call dcstep(stx,fxm,gxm,sty,fym,gym,stp,fm,gm, + + brackt,stmin,stmax) + +c Reset the function and derivative values for f. + + fx = fxm + stx*gtest + fy = fym + sty*gtest + gx = gxm + gtest + gy = gym + gtest + + else + +c Call dcstep to update stx, sty, and to compute the new step. + + call dcstep(stx,fx,gx,sty,fy,gy,stp,f,g, + + brackt,stmin,stmax) + + endif + +c Decide if a bisection step is needed. + + if (brackt) then + if (abs(sty-stx) .ge. p66*width1) stp = stx + p5*(sty - stx) + width1 = width + width = abs(sty-stx) + endif + +c Set the minimum and maximum steps allowed for stp. + + if (brackt) then + stmin = min(stx,sty) + stmax = max(stx,sty) + else + stmin = stp + xtrapl*(stp - stx) + stmax = stp + xtrapu*(stp - stx) + endif + +c Force the step to be within the bounds stpmax and stpmin. + + stp = max(stp,stpmin) + stp = min(stp,stpmax) + +c If further progress is not possible, let stp be the best +c point obtained during the search. + + if (brackt .and. (stp .le. stmin .or. stp .ge. stmax) + + .or. (brackt .and. stmax-stmin .le. xtol*stmax)) stp = stx + +c Obtain another function and derivative. + + task = 'FG' + + 1000 continue + +c Save local variables. + + if (brackt) then + isave(1) = 1 + else + isave(1) = 0 + endif + isave(2) = stage + dsave(1) = ginit + dsave(2) = gtest + dsave(3) = gx + dsave(4) = gy + dsave(5) = finit + dsave(6) = fx + dsave(7) = fy + dsave(8) = stx + dsave(9) = sty + dsave(10) = stmin + dsave(11) = stmax + dsave(12) = width + dsave(13) = width1 + + return + end + +c====================== The end of dcsrch ============================== + + subroutine dcstep(stx,fx,dx,sty,fy,dy,stp,fp,dp,brackt, + + stpmin,stpmax) + logical brackt + double precision stx,fx,dx,sty,fy,dy,stp,fp,dp,stpmin,stpmax +c ********** +c +c Subroutine dcstep +c +c This subroutine computes a safeguarded step for a search +c procedure and updates an interval that contains a step that +c satisfies a sufficient decrease and a curvature condition. +c +c The parameter stx contains the step with the least function +c value. If brackt is set to .true. then a minimizer has +c been bracketed in an interval with endpoints stx and sty. +c The parameter stp contains the current step. +c The subroutine assumes that if brackt is set to .true. then +c +c min(stx,sty) < stp < max(stx,sty), +c +c and that the derivative at stx is negative in the direction +c of the step. +c +c The subroutine statement is +c +c subroutine dcstep(stx,fx,dx,sty,fy,dy,stp,fp,dp,brackt, +c stpmin,stpmax) +c +c where +c +c stx is a double precision variable. +c On entry stx is the best step obtained so far and is an +c endpoint of the interval that contains the minimizer. +c On exit stx is the updated best step. +c +c fx is a double precision variable. +c On entry fx is the function at stx. +c On exit fx is the function at stx. +c +c dx is a double precision variable. +c On entry dx is the derivative of the function at +c stx. The derivative must be negative in the direction of +c the step, that is, dx and stp - stx must have opposite +c signs. +c On exit dx is the derivative of the function at stx. +c +c sty is a double precision variable. +c On entry sty is the second endpoint of the interval that +c contains the minimizer. +c On exit sty is the updated endpoint of the interval that +c contains the minimizer. +c +c fy is a double precision variable. +c On entry fy is the function at sty. +c On exit fy is the function at sty. +c +c dy is a double precision variable. +c On entry dy is the derivative of the function at sty. +c On exit dy is the derivative of the function at the exit sty. +c +c stp is a double precision variable. +c On entry stp is the current step. If brackt is set to .true. +c then on input stp must be between stx and sty. +c On exit stp is a new trial step. +c +c fp is a double precision variable. +c On entry fp is the function at stp +c On exit fp is unchanged. +c +c dp is a double precision variable. +c On entry dp is the the derivative of the function at stp. +c On exit dp is unchanged. +c +c brackt is an logical variable. +c On entry brackt specifies if a minimizer has been bracketed. +c Initially brackt must be set to .false. +c On exit brackt specifies if a minimizer has been bracketed. +c When a minimizer is bracketed brackt is set to .true. +c +c stpmin is a double precision variable. +c On entry stpmin is a lower bound for the step. +c On exit stpmin is unchanged. +c +c stpmax is a double precision variable. +c On entry stpmax is an upper bound for the step. +c On exit stpmax is unchanged. +c +c MINPACK-1 Project. June 1983 +c Argonne National Laboratory. +c Jorge J. More' and David J. Thuente. +c +c MINPACK-2 Project. October 1993. +c Argonne National Laboratory and University of Minnesota. +c Brett M. Averick and Jorge J. More'. +c +c ********** + double precision zero,p66,two,three + parameter(zero=0.0d0,p66=0.66d0,two=2.0d0,three=3.0d0) + + double precision gamma,p,q,r,s,sgnd,stpc,stpf,stpq,theta + + sgnd = dp*(dx/abs(dx)) + +c First case: A higher function value. The minimum is bracketed. +c If the cubic step is closer to stx than the quadratic step, the +c cubic step is taken, otherwise the average of the cubic and +c quadratic steps is taken. + + if (fp .gt. fx) then + theta = three*(fx - fp)/(stp - stx) + dx + dp + s = max(abs(theta),abs(dx),abs(dp)) + gamma = s*sqrt((theta/s)**2 - (dx/s)*(dp/s)) + if (stp .lt. stx) gamma = -gamma + p = (gamma - dx) + theta + q = ((gamma - dx) + gamma) + dp + r = p/q + stpc = stx + r*(stp - stx) + stpq = stx + ((dx/((fx - fp)/(stp - stx) + dx))/two)* + + (stp - stx) + if (abs(stpc-stx) .lt. abs(stpq-stx)) then + stpf = stpc + else + stpf = stpc + (stpq - stpc)/two + endif + brackt = .true. + +c Second case: A lower function value and derivatives of opposite +c sign. The minimum is bracketed. If the cubic step is farther from +c stp than the secant step, the cubic step is taken, otherwise the +c secant step is taken. + + else if (sgnd .lt. zero) then + theta = three*(fx - fp)/(stp - stx) + dx + dp + s = max(abs(theta),abs(dx),abs(dp)) + gamma = s*sqrt((theta/s)**2 - (dx/s)*(dp/s)) + if (stp .gt. stx) gamma = -gamma + p = (gamma - dp) + theta + q = ((gamma - dp) + gamma) + dx + r = p/q + stpc = stp + r*(stx - stp) + stpq = stp + (dp/(dp - dx))*(stx - stp) + if (abs(stpc-stp) .gt. abs(stpq-stp)) then + stpf = stpc + else + stpf = stpq + endif + brackt = .true. + +c Third case: A lower function value, derivatives of the same sign, +c and the magnitude of the derivative decreases. + + else if (abs(dp) .lt. abs(dx)) then + +c The cubic step is computed only if the cubic tends to infinity +c in the direction of the step or if the minimum of the cubic +c is beyond stp. Otherwise the cubic step is defined to be the +c secant step. + + theta = three*(fx - fp)/(stp - stx) + dx + dp + s = max(abs(theta),abs(dx),abs(dp)) + +c The case gamma = 0 only arises if the cubic does not tend +c to infinity in the direction of the step. + + gamma = s*sqrt(max(zero,(theta/s)**2-(dx/s)*(dp/s))) + if (stp .gt. stx) gamma = -gamma + p = (gamma - dp) + theta + q = (gamma + (dx - dp)) + gamma + r = p/q + if (r .lt. zero .and. gamma .ne. zero) then + stpc = stp + r*(stx - stp) + else if (stp .gt. stx) then + stpc = stpmax + else + stpc = stpmin + endif + stpq = stp + (dp/(dp - dx))*(stx - stp) + + if (brackt) then + +c A minimizer has been bracketed. If the cubic step is +c closer to stp than the secant step, the cubic step is +c taken, otherwise the secant step is taken. + + if (abs(stpc-stp) .lt. abs(stpq-stp)) then + stpf = stpc + else + stpf = stpq + endif + if (stp .gt. stx) then + stpf = min(stp+p66*(sty-stp),stpf) + else + stpf = max(stp+p66*(sty-stp),stpf) + endif + else + +c A minimizer has not been bracketed. If the cubic step is +c farther from stp than the secant step, the cubic step is +c taken, otherwise the secant step is taken. + + if (abs(stpc-stp) .gt. abs(stpq-stp)) then + stpf = stpc + else + stpf = stpq + endif + stpf = min(stpmax,stpf) + stpf = max(stpmin,stpf) + endif + +c Fourth case: A lower function value, derivatives of the same sign, +c and the magnitude of the derivative does not decrease. If the +c minimum is not bracketed, the step is either stpmin or stpmax, +c otherwise the cubic step is taken. + + else + if (brackt) then + theta = three*(fp - fy)/(sty - stp) + dy + dp + s = max(abs(theta),abs(dy),abs(dp)) + gamma = s*sqrt((theta/s)**2 - (dy/s)*(dp/s)) + if (stp .gt. sty) gamma = -gamma + p = (gamma - dp) + theta + q = ((gamma - dp) + gamma) + dy + r = p/q + stpc = stp + r*(sty - stp) + stpf = stpc + else if (stp .gt. stx) then + stpf = stpmax + else + stpf = stpmin + endif + endif + +c Update the interval which contains a minimizer. + + if (fp .gt. fx) then + sty = stp + fy = fp + dy = dp + else + if (sgnd .lt. zero) then + sty = stx + fy = fx + dy = dx + endif + stx = stp + fx = fp + dx = dp + endif + +c Compute the new step. + + stp = stpf + + return + end + diff --git a/src/linpack.f b/src/linpack.f new file mode 100644 --- /dev/null +++ b/src/linpack.f @@ -0,0 +1,214 @@ + + subroutine dpofa(a,lda,n,info) + integer lda,n,info + double precision a(lda,*) +c +c dpofa factors a double precision symmetric positive definite +c matrix. +c +c dpofa is usually called by dpoco, but it can be called +c directly with a saving in time if rcond is not needed. +c (time for dpoco) = (1 + 18/n)*(time for dpofa) . +c +c on entry +c +c a double precision(lda, n) +c the symmetric matrix to be factored. only the +c diagonal and upper triangle are used. +c +c lda integer +c the leading dimension of the array a . +c +c n integer +c the order of the matrix a . +c +c on return +c +c a an upper triangular matrix r so that a = trans(r)*r +c where trans(r) is the transpose. +c the strict lower triangle is unaltered. +c if info .ne. 0 , the factorization is not complete. +c +c info integer +c = 0 for normal return. +c = k signals an error condition. the leading minor +c of order k is not positive definite. +c +c linpack. this version dated 08/14/78 . +c cleve moler, university of new mexico, argonne national lab. +c +c subroutines and functions +c +c blas ddot +c fortran sqrt +c +c internal variables +c + double precision ddot,t + double precision s + integer j,jm1,k +c begin block with ...exits to 40 +c +c + do 30 j = 1, n + info = j + s = 0.0d0 + jm1 = j - 1 + if (jm1 .lt. 1) go to 20 + do 10 k = 1, jm1 + t = a(k,j) - ddot(k-1,a(1,k),1,a(1,j),1) + t = t/a(k,k) + a(k,j) = t + s = s + t*t + 10 continue + 20 continue + s = a(j,j) - s +c ......exit + if (s .le. 0.0d0) go to 40 + a(j,j) = sqrt(s) + 30 continue + info = 0 + 40 continue + return + end + +c====================== The end of dpofa =============================== + + subroutine dtrsl(t,ldt,n,b,job,info) + integer ldt,n,job,info + double precision t(ldt,*),b(*) +c +c +c dtrsl solves systems of the form +c +c t * x = b +c or +c trans(t) * x = b +c +c where t is a triangular matrix of order n. here trans(t) +c denotes the transpose of the matrix t. +c +c on entry +c +c t double precision(ldt,n) +c t contains the matrix of the system. the zero +c elements of the matrix are not referenced, and +c the corresponding elements of the array can be +c used to store other information. +c +c ldt integer +c ldt is the leading dimension of the array t. +c +c n integer +c n is the order of the system. +c +c b double precision(n). +c b contains the right hand side of the system. +c +c job integer +c job specifies what kind of system is to be solved. +c if job is +c +c 00 solve t*x=b, t lower triangular, +c 01 solve t*x=b, t upper triangular, +c 10 solve trans(t)*x=b, t lower triangular, +c 11 solve trans(t)*x=b, t upper triangular. +c +c on return +c +c b b contains the solution, if info .eq. 0. +c otherwise b is unaltered. +c +c info integer +c info contains zero if the system is nonsingular. +c otherwise info contains the index of +c the first zero diagonal element of t. +c +c linpack. this version dated 08/14/78 . +c g. w. stewart, university of maryland, argonne national lab. +c +c subroutines and functions +c +c blas daxpy,ddot +c fortran mod +c +c internal variables +c + double precision ddot,temp + integer case,j,jj +c +c begin block permitting ...exits to 150 +c +c check for zero diagonal elements. +c + do 10 info = 1, n +c ......exit + if (t(info,info) .eq. 0.0d0) go to 150 + 10 continue + info = 0 +c +c determine the task and go to it. +c + case = 1 + if (mod(job,10) .ne. 0) case = 2 + if (mod(job,100)/10 .ne. 0) case = case + 2 + go to (20,50,80,110), case +c +c solve t*x=b for t lower triangular +c + 20 continue + b(1) = b(1)/t(1,1) + if (n .lt. 2) go to 40 + do 30 j = 2, n + temp = -b(j-1) + call daxpy(n-j+1,temp,t(j,j-1),1,b(j),1) + b(j) = b(j)/t(j,j) + 30 continue + 40 continue + go to 140 +c +c solve t*x=b for t upper triangular. +c + 50 continue + b(n) = b(n)/t(n,n) + if (n .lt. 2) go to 70 + do 60 jj = 2, n + j = n - jj + 1 + temp = -b(j+1) + call daxpy(j,temp,t(1,j+1),1,b(1),1) + b(j) = b(j)/t(j,j) + 60 continue + 70 continue + go to 140 +c +c solve trans(t)*x=b for t lower triangular. +c + 80 continue + b(n) = b(n)/t(n,n) + if (n .lt. 2) go to 100 + do 90 jj = 2, n + j = n - jj + 1 + b(j) = b(j) - ddot(jj-1,t(j+1,j),1,b(j+1),1) + b(j) = b(j)/t(j,j) + 90 continue + 100 continue + go to 140 +c +c solve trans(t)*x=b for t upper triangular. +c + 110 continue + b(1) = b(1)/t(1,1) + if (n .lt. 2) go to 130 + do 120 j = 2, n + b(j) = b(j) - ddot(j-1,t(1,j),1,b(1),1) + b(j) = b(j)/t(j,j) + 120 continue + 130 continue + 140 continue + 150 continue + return + end + +c====================== The end of dtrsl =============================== + + diff --git a/test/Tests.hs b/test/Tests.hs new file mode 100644 --- /dev/null +++ b/test/Tests.hs @@ -0,0 +1,89 @@ +import Test.Framework (defaultMain, testGroup) +import Test.Framework.Providers.HUnit + +import Test.HUnit + +import Numeric.Lbfgsb + +import Control.Monad +import Control.Arrow +import qualified Data.Vector.Generic as V + +main = defaultMain tests + +tests = [ + testGroup "Basic tests" [ + testCase "list" test1, + testCase "vector" test2 + ] +{- perhaps make this work some day + - or create different tests? + testGroup "Tests from Nocedal" [ + testCase "n=25,m=5" (testNoced 25) + ] -} + ] + +bisquare [x,y] = ((x-4)*(x-3) + (y-2)*(y-1), [(x-4)+(x-3), (y-2)+(y-1)]) + +vectorize fg = second V.fromList . fg . V.toList + +test1 = [3.5, 1.5] @=? minimize 3 1e3 1e-20 [47, 47] [] bisquare + +test2 = [3.5, 1.5] @=? (V.toList $ minimizeV 3 1e3 1e-20 (V.fromList [47, 47]) [] (vectorize bisquare)) + +testNoced n = [] @=? (minimize 5 1e3 1e-5 (start n) (bounds n) (calcF n &&& calcG n)) + +bnd i | odd i = (Just 1, Just 100) + | even i = (Just (-1), Just 100) + +bounds n = map bnd [1..n] + +start n = replicate n 3 + +{- +init f=.25d0*( x(1)-1.d0 )**2 +do12 do 20 i=2, n +step f = f + ( x(i)-x(i-1 )**2 )**2 +continue continue +end f = 4.d0*f +-} +calcF n x' = init + where + x = 0:x' + init = do1 (0.25 * ((x !! 1) - 1) ** 2) + do1 f = do2 f 2 + do2 f i + | i <= n = step f i + | otherwise = end f + step f i = continue (f + ( (x!!i)-(x !! (i-1) )**2 )**2) i + continue f i = do2 f (i+1) + end f = 4 * f + +{- +init t1=x(2)-x(1)**2 +line1 g(1)=2.d0*(x(1)-1.d0)-1.6d1*x(1)*t1 +do12 do 22 i=2,n-1 +step1 t2=t1 +step2 t1=x(i+1)-x(i)**2 +step3 g(i)=8.d0*t2-1.6d1*x(i)*t1 +continue continue +end g(n)=8.d0*t1 +-} + + +xs =!! (i, x) = take i (xs ++ repeat 0) ++ (x : drop (i+1) xs) + +calcG n x' = init + where + x = 0:x' + init = line1 ((x!!2)-(x!!1)**2) + line1 t1 = do1 t1 ([] =!! (1,2*((x!!1)-1)-16*(x!!1)*t1)) + do1 t1 g = do2 t1 g 2 + do2 t1 g i + | i <= n-1 = step1 t1 g i + | otherwise = end t1 g + step1 t1 g i = step2 t1 g i t1 + step2 t1 g i t2 = step3 ((x !! (i+1)) - (x !! i) ** 2) g i t2 + step3 t1 g i t2 = continue t1 (g =!! (i, (8*t2-16*(x!!i)*t1))) i + continue t1 g i = do2 t1 g (i+1) + end t1 g = tail $ (g =!! (n, 8*t1))