lbfgsb 0.1.0 → 0.4.0

data/ext/lbfgsb/src/lbfgsb.h

@@ -1,122 +1,81 @@
 #ifndef LBFGSB_RB_LBFGSB_H_
 #define LBFGSB_RB_LBFGSB_H_
 
-#include <stdio.h>
-#include <stdlib.h>
 #include <float.h>
 #include <math.h>
+#include <stdio.h>
+#include <stdlib.h>
 #include <string.h>
 #include <time.h>
 
 #define TRUE_ (1)
 #define FALSE_ (0)
 
-extern int setulb_(long *n, long *m, double *x,
-  double *l, double *u, long *nbd, double *f, double *g,
-  double *factr, double *pgtol, double *wa, long *iwa,
-  char *task, long *iprint, char *csave, long *lsave,
-  long *isave, double *dsave);
-
-extern int mainlb_(long *n, long *m, double *x,
-  double *l, double *u, long *nbd, double *f, double *g,
-  double *factr, double *pgtol, double *ws, double *wy,
-  double *sy, double *ss, double *wt, double *wn,
-  double *snd, double *z__, double *r__, double *d__,
-  double *t, double *xp, double *wa, long *index,
-  long *iwhere, long *indx2, char *task, long *iprint,
-  char *csave, long *lsave, long *isave, double *dsave);
-
-extern int active_(long *n, double *l, double *u,
-  long *nbd, double *x, long *iwhere, long *iprint,
-  long *prjctd, long *cnstnd, long *boxed);
-
-extern int bmv_(long *m, double *sy, double *wt, long
-  *col, double *v, double *p, long *info);
-
-extern int cauchy_(long *n, double *x, double *l,
-  double *u, long *nbd, double *g, long *iorder, long *iwhere,
-  double *t, double *d__, double *xcp, long *m,
-  double *wy, double *ws, double *sy, double *wt,
-  double *theta, long *col, long *head, double *p,
-  double *c__, double *wbp, double *v, long *nseg,
-  long *iprint, double *sbgnrm, long *info, double *epsmch);
-
-extern int cmprlb_(long *n, long *m, double *x,
-  double *g, double *ws, double *wy, double *sy,
-  double *wt, double *z__, double *r__, double *wa,
-  long *index, double *theta, long *col, long *head,
-  long *nfree, long *cnstnd, long *info);
-
-extern int errclb_(long *n, long *m, double *factr,
-  double *l, double *u, long *nbd, char *task, long *info, long *k);
-
-extern int formk_(long *n, long *nsub, long *ind, long *nenter,
-  long *ileave, long *indx2, long *iupdat, long *updatd,
-  double *wn, double *wn1, long *m, double *ws,
-  double *wy, double *sy, double *theta, long *col,
-  long *head, long *info);
-
-extern int formt_(long *m, double *wt, double *sy,
-  double *ss, long *col, double *theta, long *info);
-
-extern int freev_(long *n, long *nfree, long *index,
-  long *nenter, long *ileave, long *indx2, long *iwhere,
-  long *wrk, long *updatd, long *cnstnd, long *iprint,
-  long *iter);
-
-extern int hpsolb_(long *n, double *t, long *iorder, long *iheap);
-
-extern int lnsrlb_(long *n, double *l, double *u,
-  long *nbd, double *x, double *f, double *fold,
-  double *gd, double *gdold, double *g, double *d__,
-  double *r__, double *t, double *z__, double *stp,
-  double *dnorm, double *dtd, double *xstep, double *stpmx,
-  long *iter, long *ifun, long *iback, long *nfgv,
-  long *info, char *task, long *boxed, long *cnstnd,
-  char *csave, long *isave, double *dsave);
-
-extern int matupd_(long *n, long *m, double *ws,
-  double *wy, double *sy, double *ss, double *d__,
-  double *r__, long *itail, long *iupdat, long *col,
-  long *head, double *theta, double *rr, double *dr,
-  double *stp, double *dtd);
-
-extern int prn1lb_(long *n, long *m, double *l,
-  double *u, double *x, long *iprint, long *itfile,
-  double *epsmch);
-
-extern int prn2lb_(long *n, double *x, double *f,
-  double *g, long *iprint, long *itfile, long *iter,
-  long *nfgv, long *nact, double *sbgnrm, long *nseg, char*word,
-  long *iword, long *iback, double *stp, double *xstep);
-
-extern int prn3lb_(long *n, double *x, double *f, char *task,
-  long *iprint, long *info, long *itfile, long *iter,
-  long *nfgv, long *nintol, long *nskip, long *nact,
-  double *sbgnrm, double *time, long *nseg, char *word,
-  long *iback, double *stp, double *xstep, long *k,
-  double *cachyt, double *sbtime, double *lnscht);
-
-extern int projgr_(long *n, double *l, double *u,
-  long *nbd, double *x, double *g, double *sbgnrm);
-
-extern int subsm_(long *n, long *m, long *nsub, long *ind,
-  double *l, double *u, long *nbd, double *x,
-  double *d__, double *xp, double *ws, double *wy,
-  double *theta, double *xx, double *gg, long *col,
-  long *head, long *iword, double *wv, double *wn,
-  long *iprint, long *info);
-
-extern int dcsrch_(double *f, double *g, double *stp,
-  double *ftol, double *gtol, double *xtol,
-  double *stpmin, double *stpmax,
-  char *task, long *isave, double *dsave);
-
-extern int dcstep_(double *stx, double *fx, double *dx,
-  double *sty, double *fy, double *dy, double *stp,
-  double *fp, double *dp, long *brackt, double *stpmin,
-  double *stpmax);
-
-extern int timer_(double *ttime);
+extern int setulb_(long* n, long* m, double* x, double* l, double* u, long* nbd, double* f, double* g, double* factr,
+                   double* pgtol, double* wa, long* iwa, char* task, long* iprint, char* csave, long* lsave, long* isave,
+                   double* dsave);
+
+extern int mainlb_(long* n, long* m, double* x, double* l, double* u, long* nbd, double* f, double* g, double* factr,
+                   double* pgtol, double* ws, double* wy, double* sy, double* ss, double* wt, double* wn, double* snd,
+                   double* z__, double* r__, double* d__, double* t, double* xp, double* wa, long* index, long* iwhere,
+                   long* indx2, char* task, long* iprint, char* csave, long* lsave, long* isave, double* dsave);
+
+extern int active_(long* n, double* l, double* u, long* nbd, double* x, long* iwhere, long* iprint, long* prjctd, long* cnstnd,
+                   long* boxed);
+
+extern int bmv_(long* m, double* sy, double* wt, long* col, double* v, double* p, long* info);
+
+extern int cauchy_(long* n, double* x, double* l, double* u, long* nbd, double* g, long* iorder, long* iwhere, double* t,
+                   double* d__, double* xcp, long* m, double* wy, double* ws, double* sy, double* wt, double* theta, long* col,
+                   long* head, double* p, double* c__, double* wbp, double* v, long* nseg, long* iprint, double* sbgnrm,
+                   long* info, double* epsmch);
+
+extern int cmprlb_(long* n, long* m, double* x, double* g, double* ws, double* wy, double* sy, double* wt, double* z__,
+                   double* r__, double* wa, long* index, double* theta, long* col, long* head, long* nfree, long* cnstnd,
+                   long* info);
+
+extern int errclb_(long* n, long* m, double* factr, double* l, double* u, long* nbd, char* task, long* info, long* k);
+
+extern int formk_(long* n, long* nsub, long* ind, long* nenter, long* ileave, long* indx2, long* iupdat, long* updatd,
+                  double* wn, double* wn1, long* m, double* ws, double* wy, double* sy, double* theta, long* col, long* head,
+                  long* info);
+
+extern int formt_(long* m, double* wt, double* sy, double* ss, long* col, double* theta, long* info);
+
+extern int freev_(long* n, long* nfree, long* index, long* nenter, long* ileave, long* indx2, long* iwhere, long* wrk,
+                  long* updatd, long* cnstnd, long* iprint, long* iter);
+
+extern int hpsolb_(long* n, double* t, long* iorder, long* iheap);
+
+extern int lnsrlb_(long* n, double* l, double* u, long* nbd, double* x, double* f, double* fold, double* gd, double* gdold,
+                   double* g, double* d__, double* r__, double* t, double* z__, double* stp, double* dnorm, double* dtd,
+                   double* xstep, double* stpmx, long* iter, long* ifun, long* iback, long* nfgv, long* info, char* task,
+                   long* boxed, long* cnstnd, char* csave, long* isave, double* dsave);
+
+extern int matupd_(long* n, long* m, double* ws, double* wy, double* sy, double* ss, double* d__, double* r__, long* itail,
+                   long* iupdat, long* col, long* head, double* theta, double* rr, double* dr, double* stp, double* dtd);
+
+extern int prn1lb_(long* n, long* m, double* l, double* u, double* x, long* iprint, long* itfile, double* epsmch);
+
+extern int prn2lb_(long* n, double* x, double* f, double* g, long* iprint, long* itfile, long* iter, long* nfgv, long* nact,
+                   double* sbgnrm, long* nseg, char* word, long* iword, long* iback, double* stp, double* xstep);
+
+extern int prn3lb_(long* n, double* x, double* f, char* task, long* iprint, long* info, long* itfile, long* iter, long* nfgv,
+                   long* nintol, long* nskip, long* nact, double* sbgnrm, double* time, long* nseg, char* word, long* iback,
+                   double* stp, double* xstep, long* k, double* cachyt, double* sbtime, double* lnscht);
+
+extern int projgr_(long* n, double* l, double* u, long* nbd, double* x, double* g, double* sbgnrm);
+
+extern int subsm_(long* n, long* m, long* nsub, long* ind, double* l, double* u, long* nbd, double* x, double* d__, double* xp,
+                  double* ws, double* wy, double* theta, double* xx, double* gg, long* col, long* head, long* iword, double* wv,
+                  double* wn, long* iprint, long* info);
+
+extern int dcsrch_(double* f, double* g, double* stp, double* ftol, double* gtol, double* xtol, double* stpmin, double* stpmax,
+                   char* task, long* isave, double* dsave);
+
+extern int dcstep_(double* stx, double* fx, double* dx, double* sty, double* fy, double* dy, double* stp, double* fp,
+                   double* dp, long* brackt, double* stpmin, double* stpmax);
+
+extern int timer_(double* ttime);
 
 #endif /* LBFGSB_RB_LBFGSB_H_ */

data/ext/lbfgsb/src/linpack.c

@@ -4,8 +4,8 @@
  *  Please read attached file License.txt
  */
 
-#include "blas.h"
 #include "linpack.h"
+#include "blas.h"
 
 static long c__1 = 1;
 
@@ -44,8 +44,7 @@ static long c__1 = 1;
  *     linpack.  this version dated 08/14/78 .
  *     cleve moler, university of new mexico, argonne national lab.
  */
-int dpofa_(double *a, long *lda, long *n, long *info)
-{
+int lbfgsb_rb_dpofa_(double* a, long* lda, long* n, long* info) {
   long a_dim1, a_offset, i__1, i__2, i__3;
   static long j, k;
   static double s, t;
@@ -57,27 +56,27 @@ int dpofa_(double *a, long *lda, long *n, long *info)
 
   i__1 = *n;
   for (j = 1; j <= i__1; ++j) {
-	  *info = j;
-	  s = 0.;
-	  jm1 = j - 1;
-	  if (jm1 < 1) {
-	    goto L20;
-	  }
-	  i__2 = jm1;
-	  for (k = 1; k <= i__2; ++k) {
-	    i__3 = k - 1;
-	    t = a[k + j * a_dim1] - ddot_(&i__3, &a[k * a_dim1 + 1], &c__1, &a[j * a_dim1 + 1], &c__1);
-	    t /= a[k + k * a_dim1];
-	    a[k + j * a_dim1] = t;
-	    s += t * t;
-	  }
-L20:
-	  s = a[j + j * a_dim1] - s;
+    *info = j;
+    s = 0.;
+    jm1 = j - 1;
+    if (jm1 < 1) {
+      goto L20;
+    }
+    i__2 = jm1;
+    for (k = 1; k <= i__2; ++k) {
+      i__3 = k - 1;
+      t = a[k + j * a_dim1] - lbfgsb_rb_ddot_(&i__3, &a[k * a_dim1 + 1], &c__1, &a[j * a_dim1 + 1], &c__1);
+      t /= a[k + k * a_dim1];
+      a[k + j * a_dim1] = t;
+      s += t * t;
+    }
+  L20:
+    s = a[j + j * a_dim1] - s;
     /* ......exit */
-	  if (s <= 0.) {
-	    goto L40;
-	  }
-	  a[j + j * a_dim1] = sqrt(s);
+    if (s <= 0.) {
+      goto L40;
+    }
+    a[j + j * a_dim1] = sqrt(s);
   }
   *info = 0;
 L40:
@@ -133,8 +132,7 @@ L40:
  *     linpack. this version dated 08/14/78 .
  *     g. w. stewart, university of maryland, argonne national lab.
  */
-int dtrsl_(double *t, long *ldt, long *n, double *b, long *job, long *info)
-{
+int lbfgsb_rb_dtrsl_(double* t, long* ldt, long* n, double* b, long* job, long* info) {
   long t_dim1, t_offset, i__1, i__2;
   static long j, jj, case__;
   static double temp;
@@ -148,39 +146,43 @@ int dtrsl_(double *t, long *ldt, long *n, double *b, long *job, long *info)
   i__1 = *n;
   for (*info = 1; *info <= i__1; ++(*info)) {
     /* ......exit */
-	  if (t[*info + *info * t_dim1] == 0.) {
-	    goto L150;
-	  }
+    if (t[*info + *info * t_dim1] == 0.) {
+      goto L150;
+    }
   }
   *info = 0;
 
   /* determine the task and go to it. */
   case__ = 1;
   if (*job % 10 != 0) {
-	  case__ = 2;
+    case__ = 2;
   }
   if (*job % 100 / 10 != 0) {
-	  case__ += 2;
+    case__ += 2;
   }
   switch (case__) {
-	  case 1: goto L20;
-	  case 2: goto L50;
-	  case 3: goto L80;
-	  case 4: goto L110;
+  case 1:
+    goto L20;
+  case 2:
+    goto L50;
+  case 3:
+    goto L80;
+  case 4:
+    goto L110;
   }
 
   /* solve t*x=b for t lower triangular */
 L20:
   b[1] /= t[t_dim1 + 1];
   if (*n < 2) {
-	  goto L40;
+    goto L40;
   }
   i__1 = *n;
   for (j = 2; j <= i__1; ++j) {
-	  temp = -b[j - 1];
-	  i__2 = *n - j + 1;
-	  daxpy_(&i__2, &temp, &t[j + (j - 1) * t_dim1], &c__1, &b[j], &c__1);
-	  b[j] /= t[j + j * t_dim1];
+    temp = -b[j - 1];
+    i__2 = *n - j + 1;
+    lbfgsb_rb_daxpy_(&i__2, &temp, &t[j + (j - 1) * t_dim1], &c__1, &b[j], &c__1);
+    b[j] /= t[j + j * t_dim1];
   }
 L40:
   goto L140;
@@ -189,14 +191,14 @@ L40:
 L50:
   b[*n] /= t[*n + *n * t_dim1];
   if (*n < 2) {
-	  goto L70;
+    goto L70;
   }
   i__1 = *n;
   for (jj = 2; jj <= i__1; ++jj) {
-	  j = *n - jj + 1;
-	  temp = -b[j + 1];
-	  daxpy_(&j, &temp, &t[(j + 1) * t_dim1 + 1], &c__1, &b[1], &c__1);
-	  b[j] /= t[j + j * t_dim1];
+    j = *n - jj + 1;
+    temp = -b[j + 1];
+    lbfgsb_rb_daxpy_(&j, &temp, &t[(j + 1) * t_dim1 + 1], &c__1, &b[1], &c__1);
+    b[j] /= t[j + j * t_dim1];
   }
 L70:
   goto L140;
@@ -205,14 +207,14 @@ L70:
 L80:
   b[*n] /= t[*n + *n * t_dim1];
   if (*n < 2) {
-	  goto L100;
+    goto L100;
   }
   i__1 = *n;
   for (jj = 2; jj <= i__1; ++jj) {
-	  j = *n - jj + 1;
-	  i__2 = jj - 1;
-	  b[j] -= ddot_(&i__2, &t[j + 1 + j * t_dim1], &c__1, &b[j + 1], &c__1);
-	  b[j] /= t[j + j * t_dim1];
+    j = *n - jj + 1;
+    i__2 = jj - 1;
+    b[j] -= lbfgsb_rb_ddot_(&i__2, &t[j + 1 + j * t_dim1], &c__1, &b[j + 1], &c__1);
+    b[j] /= t[j + j * t_dim1];
   }
 L100:
   goto L140;
@@ -221,13 +223,13 @@ L100:
 L110:
   b[1] /= t[t_dim1 + 1];
   if (*n < 2) {
-	  goto L130;
+    goto L130;
   }
   i__1 = *n;
   for (j = 2; j <= i__1; ++j) {
-	  i__2 = j - 1;
-	  b[j] -= ddot_(&i__2, &t[j * t_dim1 + 1], &c__1, &b[1], &c__1);
-	  b[j] /= t[j + j * t_dim1];
+    i__2 = j - 1;
+    b[j] -= lbfgsb_rb_ddot_(&i__2, &t[j * t_dim1 + 1], &c__1, &b[1], &c__1);
+    b[j] /= t[j + j * t_dim1];
   }
 L130:
 L140:

data/ext/lbfgsb/src/linpack.h

@@ -3,7 +3,7 @@
 
 #include <math.h>
 
-extern int dpofa_(double *a, long *lda, long *n, long *info);
-extern int dtrsl_(double *t, long *ldt, long *n, double *b, long *job, long *info);
+extern int lbfgsb_rb_dpofa_(double* a, long* lda, long* n, long* info);
+extern int lbfgsb_rb_dtrsl_(double* t, long* ldt, long* n, double* b, long* job, long* info);
 
 #endif /* LBFGSB_RB_LINPACK_H_ */

data/lbfgsb.gemspec

@@ -6,14 +6,18 @@ Gem::Specification.new do |spec|
   spec.authors       = ['yoshoku']
   spec.email         = ['yoshoku@outlook.com']
 
-  spec.summary       = 'Lbfgsb.rb is a Ruby binding for L-BFGS-B'
-  spec.description   = 'Lbfgsb.rb is a Ruby binding for L-BFGS-B'
+  spec.summary       = 'Lbfgsb.rb is a Ruby binding for L-BFGS-B.'
+  spec.description   = <<~MSG
+    Lbfgsb.rb is a Ruby binding for L-BFGS-B that is a limited-memory algorithm for
+    solving large nonlinear optimization problems subject to simple bounds on the variables.
+  MSG
   spec.homepage      = 'https://github.com/yoshoku/lbfgsb.rb'
   spec.license       = 'BSD-3-Clause'
 
-  spec.metadata['homepage_uri'] = spec.homepage
-  spec.metadata['source_code_uri'] = 'https://github.com/yoshoku/lbfgsb.rb'
-  spec.metadata['changelog_uri'] = 'https://github.com/yoshoku/lbfgsb.rb/CHANGELOG.md'
+  spec.metadata['homepage_uri']      = spec.homepage
+  spec.metadata['source_code_uri']   = 'https://github.com/yoshoku/lbfgsb.rb'
+  spec.metadata['changelog_uri']     = 'https://github.com/yoshoku/lbfgsb.rb/blob/main/CHANGELOG.md'
+  spec.metadata['documentation_uri'] = 'https://yoshoku.github.io/lbfgsb.rb/doc/'
 
   # Specify which files should be added to the gem when it is released.
   # The `git ls-files -z` loads the files in the RubyGem that have been added into git.

data/lib/lbfgsb.rb

@@ -12,23 +12,33 @@ module Lbfgsb
   #
   # @param fnc [Method/Proc] Method for calculating the function to be minimized.
   # @param x_init [Numo::DFloat] (shape: [n_elements]) Initial point.
-  # @param jcb [Method/Proc] Method for calculating the gradient vector.
+  # @param jcb [Method/Proc/Boolean] Method for calculating the gradient vector.
+  #   If true is given, fnc is assumed to return the function value and gardient vector as [f, g] array.
   # @param args [Object] Arguments pass to the 'fnc' and 'jcb'.
   # @param bounds [Numo::DFloat/Nil] (shape: [n_elements, 2])
   #   \[lower, upper\] bounds for each element x. If nil is given, x is unbounded.
   # @param factr [Float] The iteration will be stop when
   #
-  #   `(f^k - f^\{k+1\})/max{|f^k|,|f^\{k+1\}|,1} <= factr * Lbfgsb::DBL_EPSILON`
+  #   (f^k - f^\{k+1\})/max{|f^k|,|f^\{k+1\}|,1} <= factr * Lbfgsb::DBL_EPSILON
   #
   #   Typical values for factr: 1e12 for low accuracy; 1e7 for moderate accuracy; 1e1 for extremely high accuracy.
   # @param pgtol [Float] The iteration will be stop when
   #
-  #   `max{|pg_i| i = 1, ..., n} <= pgtol`
+  #   max{|pg_i| i = 1, ..., n} <= pgtol
   #
   #   where pg_i is the ith component of the projected gradient.
   # @param maxcor [Integer] The maximum number of variable metric corrections used to define the limited memory matrix.
   # @param maxiter [Integer] The maximum number of iterations.
   # @param verbose [Integer/Nil] If negative value or nil is given, no display output is generated.
+  # @return [Hash] Optimization results; { x:, n_fev:, n_jev:, n_iter:, fnc:, jcb:, task:, success: }
+  #   - x [Numo::DFloat] Updated vector by optimization.
+  #   - n_fev [Interger] Number of calls of the objective function.
+  #   - n_jev [Integer] Number of calls of the jacobian.
+  #   - n_iter [Integer] Number of iterations.
+  #   - fnc [Float] Value of the objective function.
+  #   - jcb [Numo::Narray] Values of the jacobian
+  #   - task [String] Description of the cause of the termination.
+  #   - success [Boolean] Whether or not the optimization exited successfully.
   def minimize(fnc:, x_init:, jcb:, args: nil, bounds: nil, factr: 1e7, pgtol: 1e-5, maxcor: 10, maxiter: 15_000, verbose: nil)
     n_elements = x_init.size
     l = Numo::DFloat.zeros(n_elements)