lbfgs

This is a Rusty wrapper built around the libLBFGS library of quasi-Newton optimization routines (limited memory BFGS and OWL-QN) by Naoaki Okazaki.

For further information, please refer to the libLBFGS page for tunable parameters.

Usage

// 0. Import the lib
use liblbfgs::{LBFGS, Progress};

// 1. Initialize data
let mut x = [0.0 as f64; N];
for i in (0..N).step_by(2) {
    x[i] = -1.2;
    x[i+1] = 1.0;
}

// 2. Define evaluator callback
let evaluate= |arr_x: &[f64], gx: &mut [f64]| {
    let n = arr_x.len();

    let mut fx = 0.0;
    for i in (0..n).step_by(2) {
        let t1 = 1.0 - arr_x[i];
        let t2 = 10.0 * (arr_x[i+1] - arr_x[i] * arr_x[i]);
        gx[i+1] = 20.0 * t2;
        gx[i] = -2.0 * (arr_x[i] * gx[i+1] + t1);
        fx += t1 * t1 + t2 * t2;
    }

    Ok(fx)
};

// 3. Carry out LBFGS optimization
let mut lbfgs = LBFGS::default();
let fx = lbfgs.run(&mut x, evaluate, |_: &Progress| false).expect("lbfgs run");

The callback functions are native Rust FnMut closures, possible to capture/change variables in the environment.

Full codes with comments are available in examples/sample.rs.

Run the example:

cargo run --example sample