Thanks for looking at this.
What confused me was the "larger" dimension on X etc
For example the code working off
NDIM=. 2000
Anyway after a lot of fiddling I seem to have it working at least with
simple examples,
including with the use of numerical rather than exact derivatives.
Here is my "test" case
using N=4 with the sum of squares function centered on an (arbitrary) origin.
NB. Df is exact derivative, while Dfh is numerical derivative using h
mtr=: 3 : 0 NB. lbfgs test
'N M'=.4 5 NB. dimension of X, number of corrections
f=.+/@:*:@:-&3 _2002 800 1 NB. example sum of squares function
Df=.f D. 1 NB. exact derivative
h=.1.0e_8 NB. h for numerical derivative
H=.(h&*)@=...@i.@# NB. diag h
Dfh=.-:@(%&h)@:((+(-&f)-)H) NB. numerical derivative
'DIAGCO IFLAG'=.2-2 NB. logical set to 0=false
DIAG=.N$2.2-2.2 NB. real set to 0
IPRINT=.2 2-2 2 NB. integer: only 0 0 permitted
'EPS XTOL'=.1.0e_5 1.0e_16 NB. real epsilon and tolerance
W=.((N*(>:+:M))++:M)$2.2-2.2 NB. real work vector
X=.N$400.2-2.2 NB. initialize X
iter=.0 NB. initialize iter
whilst. (IFLAG>0)*.(iter<:2000) do. iter=.>:iter
'F G'=. (f;Dfh) X NB. funtion and derivative value -- use Dfh
for numerical derivative
'N M X F G DIAGCO DIAG IPRINT EPS XTOL W IFLAG'=.'lbfgs_' call
(N;M;X;F;G;DIAGCO;DIAG;IPRINT;EPS;XTOL;W;IFLAG)
end.
iter;(f;])X
)
On Thu, Apr 8, 2010 at 7:08 AM, Raul Miller <[email protected]> wrote:
> On Wed, Apr 7, 2010 at 4:38 PM, Piet de Jong <[email protected]> wrote:
>> Thanks for the response. I downloaded the routine using the package manager
>> and J6.02.
>>
>> What I don't get is that the in the example lbfgs_test the routine is
>> called with parameter
>> values that do not correspond to what is stated in the provided
>> FORTRAN description of the calling sequence.
>
> So... looking at math/lbfgs, I see:
> path=: jpath '~addons\math\lbfgs\'
> dll=:'"',path,'lbfgs.dll" '
> ...
> call=: 4 : 0
> xx=. dll,x,' + i ',(+:#y)$' *'
> r=. xx cd LASTIN=: , each y
> ...
>
> and, I see:
>
> 'N M X F G DIAGCO DIAG IPRINT EPS XTOL W IFLAG'=.r=.'lbfgs_' call
> (N;M;X;F;G;DIAGCO;DIAG;IPRINT;EPS;XTOL;W;IFLAG)
>
> So that means that the calling signature will be
>
> "...lbfgs.dll" lbfgs_ + i * * * * * * * * * * * *
>
> According to http://www.jsoftware.com/help/user/call_procedure.htm
> this means that under windows this routine uses the __cdecl calling
> convention, returns a 4 byte integer result and takes 12 pointers as
> arguments.
>
> I modified lbfgs_test to capture the data being passed to "call" and
> when I interrupted the program the values were all one dimension
> arrays, with dimensions:
> N: 1
> M: 1
> X: 2000
> F: 1
> G: 2000
> DIAGCO: 1
> DIAG: 2000
> IPRINT: 2
> EPS: 1
> XTOL: 1
> W: 60000
> IFLAG: 1
>
> Now... I do not know how lbfgs works, and I do not know
> if there is some windows magic that happens to pass the
> size of these arrays in a __cdecl call, or if the pointers to
> these values are treated as pointers regions of memory where
> extra values off the end would be ignored.
>
> But it very much looks like this code is directly calling
> lbfgs.dll and not doing much of any thing special to
> the data on its way out.
>
>> In particular and as an example, the dimension on X does not appear to
>> be N but something much bigger. Hence the example is hard, if not
>> impossible to follow. It might be useful to have a much simpler
>> example. I still can't get a simple example to work since I don't
>> appear to understand the calling parameters.
>
> My current best guess is that (if N is supposed to be the
> number of elements provided by X), values after the first 100 (the
> value for N) are ignored by lbfgs.dll.
>
> Do you see anything which would contradict this point of view?
>
> Thanks,
>
> --
> Raul
> ----------------------------------------------------------------------
> For information about J forums see http://www.jsoftware.com/forums.htm
>
--
Piet de Jong
--------------------------------------------------
View my current research at
http://ssrn.com/author=619154
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