/// <summary>
/// Prepares the ITerminationCriterion for a new round of optimization
/// </summary>
public void Reset()
{
_termCrit.Reset();
}
/// <summary>
/// Minimize a function using the supplied termination criterion
/// </summary>
/// <param name="function">The function to minimize</param>
/// <param name="initial">The initial point</param>
/// <param name="term">termination criterion to use</param>
/// <param name="result">The point at the optimum</param>
/// <param name="optimum">The optimum function value</param>
/// <exception cref="PrematureConvergenceException">Thrown if successive points are within numeric precision of each other, but termination condition is still unsatisfied.</exception>
public void Minimize(DifferentiableFunction function, ref VBuffer <Float> initial, ITerminationCriterion term, ref VBuffer <Float> result, out Float optimum)
{
const string computationName = "LBFGS Optimizer";
using (var pch = Env.StartProgressChannel(computationName))
using (var ch = Env.Start(computationName))
{
ch.Info("Beginning optimization");
ch.Info("num vars: {0}", initial.Length);
ch.Info("improvement criterion: {0}", term.FriendlyName);
OptimizerState state = MakeState(ch, pch, function, ref initial);
term.Reset();
var header = new ProgressHeader(new[] { "Loss", "Improvement" }, new[] { "iterations", "gradients" });
pch.SetHeader(header,
(Action <IProgressEntry>)(e =>
{
e.SetProgress(0, (double)(state.Iter - 1));
e.SetProgress(1, state.GradientCalculations);
}));
bool finished = false;
pch.Checkpoint(state.Value, null, 0);
state.UpdateDir();
while (!finished)
{
bool success = state.LineSearch(ch, false);
if (!success)
{
// problem may be numerical errors in previous gradients
// try to save state of optimization by discarding them
// and starting over with gradient descent.
state.DiscardOldVectors();
state.UpdateDir();
state.LineSearch(ch, true);
}
string message;
finished = term.Terminate(state, out message);
double?improvement = null;
double x;
int end;
if (message != null && DoubleParser.TryParse(out x, message, 0, message.Length, out end))
{
improvement = x;
}
pch.Checkpoint(state.Value, improvement, state.Iter);
if (!finished)
{
state.Shift();
state.UpdateDir();
}
}
state.X.CopyTo(ref result);
optimum = state.Value;
ch.Done();
}
}
