Class BFGS

This implementation of BFGS is based on Algorithm 6.1 from Nocedal and Wright (Second edition, 2006).

Inheritance

Object

BFGS

LBFGS

Inherited Members

Object.Equals(Object)

Object.Equals(Object, Object)

Object.GetHashCode()

Object.GetType()

Object.MemberwiseClone()

Object.ReferenceEquals(Object, Object)

Object.ToString()

Namespace: Microsoft.ML.Probabilistic.Math

Assembly: Microsoft.ML.Probabilistic.dll

Syntax

public class BFGS

Constructors

BFGS()

BFGS constructor

Declaration

public BFGS()

Fields

cancel

Declaration

protected bool cancel

Field Value

Type	Description
Boolean

convergenceCriteria

Convergence criteria:

Declaration

public BFGS.ConvergenceCriteria convergenceCriteria

Field Value

Type	Description
BFGS.ConvergenceCriteria

currentDeriv

Declaration

protected Vector currentDeriv

Field Value

Type	Description
Vector

currentObj

Declaration

protected double currentObj

Field Value

Type	Description
Double

currentX

Declaration

protected Vector currentX

Field Value

Type	Description
Vector

debug

Whether to output debug info

Declaration

public bool debug

Field Value

Type	Description
Boolean

dimension

Following fields are set up by the main run routine, and are used to provide the 1-D function that the line search needs

Declaration

protected int dimension

Field Value

Type	Description
Int32

epsilon

Declaration

protected double epsilon

Field Value

Type	Description
Double

feval

Declaration

protected FunctionEval feval

Field Value

Type	Description
FunctionEval

initialStep

Declaration

protected double initialStep

Field Value

Type	Description
Double

iter

Declaration

protected int iter

Field Value

Type	Description
Int32

lineSearch

Declaration

public LineSearch lineSearch

Field Value

Type	Description
LineSearch

maxIterations

Declaration

protected int maxIterations

Field Value

Type	Description
Int32

searchDir

Declaration

protected Vector searchDir

Field Value

Type	Description
Vector

stepMax

Declaration

protected double stepMax

Field Value

Type	Description
Double

Properties

Cancel

Cancel

Declaration

public bool Cancel { get; set; }

Property Value

Type	Description
Boolean

Epsilon

Convergence tolerance

Declaration

public double Epsilon { get; set; }

Property Value

Type	Description
Double

InitialStep

Initial step

Declaration

public double InitialStep { get; set; }

Property Value

Type	Description
Double

IterationsPerformed

Number of iterations performed to reach convergence (or failure)

Declaration

public int IterationsPerformed { get; }

Property Value

Type	Description
Int32

linesearchDebug

Whether to debug the line search

Declaration

public bool linesearchDebug { set; }

Property Value

Type	Description
Boolean

MaximumIterations

Maximum number of iterations

Declaration

public int MaximumIterations { get; set; }

Property Value

Type	Description
Int32

MaximumStep

Maximum step

Declaration

public double MaximumStep { get; set; }

Property Value

Type	Description
Double

Methods

LSEval(Double, Boolean, out Double)

This is the 1-D function that the line search sees. The Run function will set up the necessary fields

Declaration

protected virtual double LSEval(double step, bool calcDeriv, out double deriv)

Parameters

Type	Name	Description
Double	step	step
Boolean	calcDeriv	flag to calculate derivative
Double	deriv	the derivative

Returns

Type	Description
Double

RaiseIterationEvent(Int32, Double, Double)

Safely invoke the iteration event

Declaration

protected void RaiseIterationEvent(int iteration, double objVal, double rmsDeriv)

Parameters

Type	Name	Description
Int32	iteration
Double	objVal
Double	rmsDeriv

Run(Vector, Double, FunctionEval)

Run an unconstrained minimization using BFGS

Declaration

public virtual Vector Run(Vector x0, double normOfFirstStep, FunctionEval func)

Parameters

Type	Name	Description
Vector	x0	Starting step
Double	normOfFirstStep	Norm of first step
FunctionEval	func	Multivariate function and derivative evaluator

Returns

Type	Description
Vector	The local minimum point

SetWolfeConstants(Double, Double)

Set Wolfe conditions

Declaration

public void SetWolfeConstants(double c1, double c2)

Parameters

Type	Name	Description
Double	c1	Sufficient decrease condition
Double	c2	Curvature condition

TryLineSearch(Double, Double, Double)

Line search

Declaration

protected double TryLineSearch(double s0, double smax, double currentGrad)

Parameters

Type	Name	Description
Double	s0	Initial step
Double	smax	Maximum step
Double	currentGrad

Returns

Type	Description
Double

Events

OnIteration

Event triggered at each iteration

Declaration

public event IterationEventHandler OnIteration

Event Type

Type	Description
IterationEventHandler