--- /dev/null
+## Copyright (C) 2006 Michael Creel <michael.creel@uab.es>
+##
+## This program is free software; you can redistribute it and/or modify it under
+## the terms of the GNU General Public License as published by the Free Software
+## Foundation; either version 3 of the License, or (at your option) any later
+## version.
+##
+## This program is distributed in the hope that it will be useful, but WITHOUT
+## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
+## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more
+## details.
+##
+## You should have received a copy of the GNU General Public License along with
+## this program; if not, see <http://www.gnu.org/licenses/>.
+
+## bfgsmin: bfgs or limited memory bfgs minimization of function
+##
+## Usage: [x, obj_value, convergence, iters] = bfgsmin(f, args, control)
+##
+## The function must be of the form
+## [value, return_2,..., return_m] = f(arg_1, arg_2,..., arg_n)
+## By default, minimization is w.r.t. arg_1, but it can be done
+## w.r.t. any argument that is a vector. Numeric derivatives are
+## used unless analytic derivatives are supplied. See bfgsmin_example.m
+## for methods.
+##
+## Arguments:
+## * f: name of function to minimize (string)
+## * args: a cell array that holds all arguments of the function
+## The argument with respect to which minimization is done
+## MUST be a vector
+## * control: an optional cell array of 1-8 elements. If a cell
+## array shorter than 8 elements is provided, the trailing elements
+## are provided with default values.
+## * elem 1: maximum iterations (positive integer, or -1 or Inf for unlimited (default))
+## * elem 2: verbosity
+## 0 = no screen output (default)
+## 1 = only final results
+## 2 = summary every iteration
+## 3 = detailed information
+## * elem 3: convergence criterion
+## 1 = strict (function, gradient and param change) (default)
+## 0 = weak - only function convergence required
+## * elem 4: arg in f_args with respect to which minimization is done (default is first)
+## * elem 5: (optional) Memory limit for lbfgs. If it's a positive integer
+## then lbfgs will be use. Otherwise ordinary bfgs is used
+## * elem 6: function change tolerance, default 1e-12
+## * elem 7: parameter change tolerance, default 1e-6
+## * elem 8: gradient tolerance, default 1e-5
+##
+## Returns:
+## * x: the minimizer
+## * obj_value: the value of f() at x
+## * convergence: 1 if normal conv, other values if not
+## * iters: number of iterations performed
+##
+## Example: see bfgsmin_example.m
+
+function [parameter, obj, convergence, iters] = bfgsmin(f, f_args, control)
+
+ # check number and types of arguments
+ if ((nargin < 2) || (nargin > 3))
+ usage("bfgsmin: you must supply 2 or 3 arguments");
+ endif
+ if (!ischar(f)) usage("bfgsmin: first argument must be string holding objective function name"); endif
+ if (!iscell(f_args)) usage("bfgsmin: second argument must cell array of function arguments"); endif
+ if (nargin > 2)
+ if (!iscell(control))
+ usage("bfgsmin: 3rd argument must be a cell array of 1-8 elements");
+ endif
+ if (length(control) > 8)
+ usage("bfgsmin: 3rd argument must be a cell array of 1-8 elements");
+ endif
+ else control = {};
+ endif
+
+ # provide defaults for missing controls
+ if (length(control) == 0) control{1} = -1; endif # limit on iterations
+ if (length(control) == 1) control{2} = 0; endif # level of verbosity
+ if (length(control) == 2) control{3} = 1; endif # strong (function, gradient and parameter change) convergence required?
+ if (length(control) == 3) control{4} = 1; endif # argument with respect to which minimization is done
+ if (length(control) == 4) control{5} = 0; endif # memory for lbfgs: 0 uses ordinary bfgs
+ if (length(control) == 5) control{6} = 1e-10; endif # tolerance for function convergence
+ if (length(control) == 6) control{7} = 1e-6; endif # tolerance for parameter convergence
+ if (length(control) == 7) control{8} = 1e-5; endif # tolerance for gradient convergence
+
+ # validity checks on all controls
+ tmp = control{1};
+ if (((tmp !=Inf) && (tmp != -1)) && (tmp > 0 && (mod(tmp,1) != 0)))
+ usage("bfgsmin: 1st element of 3rd argument (iteration limit) must be Inf or positive integer");
+ endif
+ tmp = control{2};
+ if ((tmp < 0) || (tmp > 3) || (mod(tmp,1) != 0))
+ usage("bfgsmin: 2nd element of 3rd argument (verbosity level) must be 0, 1, 2, or 3");
+ endif
+ tmp = control{3};
+ if ((tmp != 0) && (tmp != 1))
+ usage("bfgsmin: 3rd element of 3rd argument (strong/weak convergence) must be 0 (weak) or 1 (strong)");
+ endif
+ tmp = control{4};
+ if ((tmp < 1) || (tmp > length(f_args)) || (mod(tmp,1) != 0))
+ usage("bfgsmin: 4th element of 3rd argument (arg with respect to which minimization is done) must be an integer that indicates one of the elements of f_args");
+ endif
+ tmp = control{5};
+ if ((tmp < 0) || (mod(tmp,1) != 0))
+ usage("bfgsmin: 5th element of 3rd argument (memory for lbfgs must be zero (regular bfgs) or a positive integer");
+ endif
+ tmp = control{6};
+ if (tmp < 0)
+ usage("bfgsmin: 6th element of 3rd argument (tolerance for function convergence) must be a positive real number");
+ endif
+ tmp = control{7};
+ if (tmp < 0)
+ usage("bfgsmin: 7th element of 3rd argument (tolerance for parameter convergence) must be a positive real number");
+ endif
+ tmp = control{8};
+ if (tmp < 0)
+ usage("bfgsmin: 8th element of 3rd argument (tolerance for gradient convergence) must be a positive real number");
+ endif
+
+ # check that the parameter we minimize w.r.t. is a vector
+ minarg = control{4};
+ theta = f_args{minarg};
+ theta = theta(:);
+ if (!isvector(theta)) usage("bfgsmin: minimization must be done with respect to a vector of parameters"); endif
+ f_args{minarg} = theta;
+
+ # now go ahead and do the minimization
+ [parameter, obj, convergence, iters] = __bfgsmin(f, f_args, control);
+endfunction
git://git.creatis.insa-lyon.fr / CreaPhase.git / blobdiff