diff --git a/examples/Example1.hs b/examples/Example1.hs deleted file mode 100644 --- a/examples/Example1.hs +++ /dev/null @@ -1,42 +0,0 @@ -module Main where - -import Numeric.LBFGSB -import Numeric.LBFGSB.Result -import qualified Data.Vector.Storable as V - --- Example optimization problem taken from driver1.f in the tarball --- for version 3.0 of L-BFGS-B itself. - -n :: Int -n = 25 - -f :: V.Vector Double -> Double -f x = 4* (V.foldl (\s i -> s + (x V.! i - (x V.! (i-1))^2)^2) (0.25* (x V.! 0 - 1)^2) (V.enumFromN 1 (n-1))) - -g :: V.Vector Double -> V.Vector Double -g x = V.generate n (\i -> 8*(t (i-1)) - 1.6e1*(x V.! i)*(t i)) - where - t i - | i == -1 = 0.25*(x V.! 0 - 1) - | i == n-1 = 0 - | otherwise = x V.! (i+1) - (x V.! i)^2 - -bounds :: [(Maybe Double, Maybe Double)] -bounds = map (\i -> if odd i then (Just 1e0, Just 1e2) else (Just (-1e2), Just 1e2)) [1..n] - -start :: V.Vector Double -start = V.replicate n 3.0 - -main :: IO () -main = putStrLn "Testing with function and parameters from driver1.f from L-BFGS-B 3.0 distribution archive." >> - let - res = minimize 5 1e7 1e-5 Nothing bounds start f g - in - putStrLn "Full results:" >> - print res >> - putStrLn "Solution point:" >> - print (solution res) >> - putStrLn "Steps needed:" >> - print (length (backtrace res)) >> - putStrLn "Function value at solution:" >> - print (f (solution res)) diff --git a/examples/Example2.hs b/examples/Example2.hs deleted file mode 100644 --- a/examples/Example2.hs +++ /dev/null @@ -1,26 +0,0 @@ -module Main where - -import Numeric.LBFGSB -import Numeric.LBFGSB.Convenience -import Numeric.LBFGSB.Result -import qualified Data.Vector.Storable as V - --- 2D Rosenbrock function with approximate derivatives. - -rosenbrock :: V.Vector Double -> Double -rosenbrock x = (1 - x0)^2 + 100*(x1-x0^2)^2 - where - x0 = x V.! 0 - x1 = x V.! 1 - -main :: IO () -main = putStrLn "Testing with Rosenbrock function, both unbounded and bounded with minimum outside bounds." >> - let - resUnbounded = minimize 5 1e0 1e-12 (Just 100) [] (V.fromList [100, 100]) rosenbrock (approximateGradient 1e-6 rosenbrock) - resBounded = minimize 5 1e0 1e-12 (Just 100) [(Nothing, Nothing), (Nothing, Just 0.1)] (V.fromList [0, 0]) rosenbrock (approximateGradient 1e-6 rosenbrock) - in - putStrLn "Unbounded:" >> - print resUnbounded >> - putStrLn "-------------------" >> - putStrLn "Bounded to (-infty, 0.1) in the second direction only:" >> - print resBounded diff --git a/examples/build.sh b/examples/build.sh deleted file mode 100644 --- a/examples/build.sh +++ /dev/null @@ -1,6 +0,0 @@ -#!/bin/bash - -ghc -threaded -i../src -O2 -fforce-recomp -o example1 --make Example1.hs -llbfgsb -ghc -threaded -i../src -O2 -fforce-recomp -o example2 --make Example2.hs -llbfgsb - - diff --git a/l-bfgs-b.cabal b/l-bfgs-b.cabal --- a/l-bfgs-b.cabal +++ b/l-bfgs-b.cabal @@ -1,12 +1,12 @@ Name: l-bfgs-b -Version: 0.1 +Version: 0.1.0.1 Synopsis: Bindings to L-BFGS-B, Fortran code for limited-memory quasi-Newton bound-constrained optimization Homepage: http://nonempty.org/software/haskell-l-bfgs-b License: BSD3 License-file: LICENSE Author: Gard Spreemann Maintainer: Gard Spreemann -Copyright: 2013 Gard Spreemann +Copyright: 2013-2014 Gard Spreemann Category: Math Build-type: Simple Cabal-version: >=1.4 @@ -26,18 +26,32 @@ output as specified in the L-BFGS-B code. However, there are two places in said code where the flag is ignored and output still occurs. If it bothers you that code exposed as pure prints things, see for information on a simple patch for L-BFGS-B. The SciPy project - has described the same behavior at . + has described the same behavior in . . + The code assumes that your Haskell compiler's Doubles are IEEE-754 doubles. + . Example on usage can be found in the included @examples@ directiory. . The current version has only been lightly tested, and should not be trusted for serious work. Feedback is appreciated. . + Changes in version 0.1.0.1: + . + * Check some function arguments for sanity and cause a runtime error otherwise. + . + * Add note above on double representation. + . + * Added TODO below. + . Changes in version 0.1: . * There has only been cursory testing, so do not trust these bindings yet. . * Initial release. - . + . + TODO: + . + * Be more generic with regards to vector types? + . . \[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. diff --git a/src/Numeric/LBFGSB.hs b/src/Numeric/LBFGSB.hs --- a/src/Numeric/LBFGSB.hs +++ b/src/Numeric/LBFGSB.hs @@ -28,9 +28,9 @@ -- | Minimization using L-BFGS-B. If you only require the solution --- point, and not the full 'R.Result', see 'minimize''. If the --- arguments do not satisfy the given requirements, behavior is --- undefined and the program may even crash. +-- point, and not the full 'R.Result', see 'minimize''. Take care to +-- satisfy the requirements on the arguments. Failure to do so may result +-- in a runtime error, or, when noted, undefined behavior/crash. minimize :: Int -- ^ @m@: The maximum number of variable metric corrections used -- to define the limited memory matrix. /Suggestion:/ @5@. -> Double -- ^ @factr@: Iteration stops when the relative change in function value @@ -49,12 +49,20 @@ -- as constraint. -> V.Vector Double -- ^ @x0@: Starting point. The point /must/ be within the bounds. -> (V.Vector Double -> Double) -- ^ @f@: Function to minimize. /Must/ take 'V.Vector's of precisely the same - -- length as @x0@. + -- length as @x0@, or else behavior is undefined (the program may crash)! -> (V.Vector Double -> V.Vector Double) -- ^ @g@: Gradient of @f@. /Must/ take and return 'V.Vector's of precisely the same - -- length as @x0@. "Numeric.LBFGSB.Convenience" provides a simple - -- approximation of the gradient if you do not have the real one. + -- length as @x0@, or else behavior is undefined (the program may crash)! + -- "Numeric.LBFGSB.Convenience" provides a simple approximation of the gradient if + -- you do not have the real one. -> R.Result -minimize m factr tol steps bounds x0 f g = unsafeDupablePerformIO (runDriver m factr tol steps bounds x0 f g) +minimize m factr pgtol steps bounds x0 f g + | not (factr >= 0) = error "factr must be >=0." + | not (pgtol >= 0) = error "pgtol must be >=0." + | not (maybe True (>0) steps) = error "steps must be >0." + | not (inBounds bounds' x0) = error "x0 must be within bounds." + | otherwise = unsafeDupablePerformIO (runDriver m factr pgtol steps bounds' x0 f g) + where + bounds' = take (V.length x0) (bounds ++ repeat (Nothing, Nothing)) -- | If L-BFGS-B converges within the specified number of steps, the -- solution point is returned as @'Just' solution@. Otherwise @@ -69,12 +77,20 @@ -> (V.Vector Double -> Double) -> (V.Vector Double -> V.Vector Double) -> Maybe (V.Vector Double) -minimize' m factr tol steps bounds x0 f g +minimize' m factr pgtol steps bounds x0 f g | R.stopReason result == R.Converged = Just $ R.solution result | otherwise = Nothing where - result = minimize m factr tol steps bounds x0 f g + result = minimize m factr pgtol steps bounds x0 f g +inBounds :: [(Maybe Double, Maybe Double)] -> V.Vector Double -> Bool +inBounds bounds v = all ib (zip bounds (V.toList v)) + where + ib ((Nothing, Nothing), _) = True + ib ((Nothing, Just u), x) = x <= u + ib ((Just l , Nothing), x) = x >= l + ib ((Just l , Just u), x) = x >= l && x <= u + data DriverContext = DriverContext { pn :: Ptr CInt , pm :: Ptr CInt , px :: Ptr Double @@ -134,7 +150,7 @@ runDriver m factr tol steps bounds x0 f g = let n = V.length x0 - (ls, us, bds) = unzipBounds (take n (bounds ++ repeat (Nothing, Nothing))) + (ls, us, bds) = unzipBounds bounds in with (fromIntegral n) $ \pn -> with (fromIntegral m) $ \pm -> @@ -201,9 +217,7 @@ makeCall :: DriverContext -> IO () makeCall context@(DriverContext pn pm px pl pu pnbd pf pg pfactr ppgtol pwa piwa ptask piprint pcsave plsave pisave pdsave) - = fortran_setulb pn pm px pl pu pnbd pf pg pfactr ppgtol pwa piwa ptask piprint pcsave plsave pisave pdsave --(fromIntegral taskLength) (fromIntegral csaveLength) - - + = fortran_setulb pn pm px pl pu pnbd pf pg pfactr ppgtol pwa piwa ptask piprint pcsave plsave pisave pdsave foreign import ccall "setulb_" fortran_setulb -- # Comments below are from the L-BFGS-B Fortran source code: @@ -325,6 +339,5 @@ -- the starting point of the line search; -- dsave(16) = the square of the 2-norm of the line search -- direction vector. --- -> CInt -> CInt -- FORTRAN string lengths piled at the end. Fixme, is this right? -> IO () diff --git a/src/Numeric/LBFGSB/Result.hs b/src/Numeric/LBFGSB/Result.hs --- a/src/Numeric/LBFGSB/Result.hs +++ b/src/Numeric/LBFGSB/Result.hs @@ -9,7 +9,7 @@ solution :: V.Vector Double -- ^ Solution point /if the minimization completed successfully/. See 'stopReason'. , backtrace :: [V.Vector Double] -- ^ The steps taken to reach the solution, in reverse order. Does not include the starting point. , stopReason :: StopReason -- ^ The reason L-BFGS-B terminated. Only if this is - -- 'Converted' should you consider the solution correct! + -- 'Converged' should you consider the solution correct! } deriving (Show)