BFGS minimizer. More...

#include <nuri/algo/optim.h>

Public Member Functions
	Bfgs (MutRef< ArrayXd > x)
	Prepare BFGS minimization algorithm.
template<class FuncGrad>
BfgsResult	minimize (FuncGrad fg, const double pgtol=1e-5, const double xrtol=0, int maxiter=-1, const int maxls=100, const double ftol=1e-4, const double gtol=0.9, const double xtol=1e-14)
	Minimize a function using BFGS algorithm.

Detailed Description

BFGS minimizer.

See also: bfgs

References:

"Broyden-Fletcher-Goldfarb-Shanno algorithm", Wikipedia (Accessed 2024-10-25).

This implementation is based on the Python implementation of BFGS in the SciPy library, with optimized Hessian update step suggested by the linked Wikipedia page. The original implementation is released under the BSD 3-Clause License (included below).

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Constructor & Destructor Documentation

◆ Bfgs()

nuri::Bfgs::Bfgs ( MutRef< ArrayXd > x )

Prepare BFGS minimization algorithm.

Parameters

x	Initial guess. Will be modified in-place.

Member Function Documentation

◆ minimize()

template<class FuncGrad>

BfgsResult nuri::Bfgs::minimize	(	FuncGrad	fg,
		const double	pgtol = 1e-5,
		const double	xrtol = 0,
		int	maxiter = -1,
		const int	maxls = 100,
		const double	ftol = 1e-4,
		const double	gtol = 0.9,
		const double	xtol = 1e-14 )

inline

Minimize a function using BFGS algorithm.

Template Parameters

FuncGrad Function object that computes the function value and gradient. Function value should be returned and gradient should be updated in the input gradient vector.