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| <title>compile_mex</title><meta name="generator" content="MATLAB 7.12"><link rel="schema.DC" href="http://purl.org/dc/elements/1.1/"><meta name="DC.date" content="2012-02-14"><meta name="DC.source" content="compile_mex.m"><style type="text/css"> |
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| </style></head><body><div class="content"><h2>Contents</h2><div><ul><li><a href="#2">test the new function</a></li><li><a href="#3">another test function, the 2D Rosenbrock function</a></li></ul></div><pre class="codeinput"><span class="comment">%{ |
| </span><span class="comment">Run this file to compile the mex files if you need to |
| </span><span class="comment">(or if the binaries work for your computer, then you can skip this) |
| </span><span class="comment">This file also contains two simple test problems |
| </span><span class="comment"> |
| </span><span class="comment">I tested this on linux, so it might not work out-of-the-box on Windows or Mac OS, |
| </span><span class="comment">but I don't foresee any major difficulties in getting it to work. |
| </span><span class="comment"> |
| </span><span class="comment">Stephen Becker, Feb 14, 2012 srbecker@alumni.caltech.edu |
| </span><span class="comment"> |
| </span><span class="comment"> |
| </span><span class="comment">See also lbfgsb.m and lbfgsb_wrapper.c |
| </span><span class="comment"> |
| </span><span class="comment">%} |
| </span> |
|
|
|
|
| <span class="comment">% -- Download lbfgsb v. 3.0 from Jorge Nocedal's website --</span> |
| <span class="comment">% From his website: Condition for Use: This</span> |
| <span class="comment">% software is freely available, but we expect that all publications describing work</span> |
| <span class="comment">% using this software , or all commercial products using it, quote at least one of</span> |
| <span class="comment">% the references given below. This software is released under the BSD License</span> |
|
|
| url =<span class="string">'http://users.eecs.northwestern.edu/~nocedal/Software/Lbfgsb.3.0.tar.gz'</span>; |
| srcDir = untar(url,<span class="string">'./'</span>); |
|
|
|
|
| <span class="comment">% Use -DDEBUG to define the "DEBUG" symbol, or -UDEBUG to undefine it</span> |
| <span class="comment">% (if defined, it gives more verbose output when you run the program )</span> |
|
|
| <span class="comment">% run mex -setup if you haven't already...</span> |
|
|
| <span class="comment">% use -lblas if you have it, otherwise change it below to -lmwblas</span> |
|
|
| <span class="keyword">if</span> strcmp( mexext, <span class="string">'mexa64'</span> ) |
| disp(<span class="string">'Try the included executable first; if that fails, then compile with mex'</span>); |
| <span class="keyword">else</span> |
| mex <span class="string">lbfgsb_wrapper.c</span> <span class="string">-largeArrayDims</span> <span class="string">-UDEBUG</span> <span class="keyword">...</span> |
| <span class="string">Lbfgsb.3.0/lbfgsb.f</span> <span class="string">Lbfgsb.3.0/linpack.f</span> <span class="string">Lbfgsb.3.0/timer.f</span> <span class="keyword">...</span> |
| <span class="string">-lm</span> <span class="string">-lblas</span> <span class="string">CFLAGS="\$CFLAGS</span> <span class="string">-O3"</span> |
| <span class="keyword">end</span> |
|
|
| disp(<span class="string">'Done compiling'</span>); |
| </pre><pre class="codeoutput">Try the included executable first; if that fails, then compile with mex |
| Done compiling |
| </pre><h2>test the new function<a name="2"></a></h2><pre class="codeinput">disp(<span class="string">'=== lbfgsb "driver1" test problem, 2D === '</span>); |
| <span class="comment">% Here's the test problem included with lbfgsb called 'driver1'</span> |
|
|
| n = 25; |
|
|
| l = ones(n,1); u = l; |
| odd = 1:2:n; |
| even= 2:2:n; |
| l(odd) = 1.0; |
| u(odd) = 1.0e2; |
| l(even)= -1.0e2; |
| u(even)= 1.0e2; |
|
|
|
|
| opts = struct( <span class="string">'x0'</span>, 3*ones(n,1) ); |
| opts.printEvery = 1; |
| opts.m = 5; |
|
|
| <span class="comment">% trueSoln = zeros(n,1);</span> |
| <span class="comment">% opts.errFcn = @(x) norm(x-trueSoln)/max(norm(trueSoln),1);</span> |
|
|
| [x,f,info] = lbfgsb( @driver1, l, u, opts ); |
|
|
| <span class="comment">% The true objective value is 0.</span> |
| <span class="keyword">if</span> abs(f) < 1e-8 |
| disp(<span class="string">'Success!'</span>); |
| <span class="keyword">else</span> |
| disp(<span class="string">'Something didn''t work right :-( '</span>); |
| <span class="keyword">end</span> |
| </pre><pre class="codeoutput">=== lbfgsb "driver1" test problem, 2D === |
| Iteration 1, f = 2.40e+03, ||g||_inf = 3.40e+02 |
| Iteration 2, f = 1.44e+02, ||g||_inf = 3.92e+01 |
| Iteration 3, f = 7.28e+01, ||g||_inf = 2.32e+01 |
| Iteration 4, f = 1.60e+01, ||g||_inf = 6.95e+00 |
| Iteration 5, f = 5.19e+00, ||g||_inf = 9.05e+00 |
| Iteration 6, f = 2.13e+00, ||g||_inf = 1.97e+01 |
| Iteration 7, f = 2.08e-01, ||g||_inf = 2.13e+00 |
| Iteration 8, f = 5.33e-02, ||g||_inf = 8.32e-01 |
| Iteration 9, f = 1.30e-02, ||g||_inf = 4.28e-01 |
| Iteration 10, f = 3.86e-03, ||g||_inf = 2.01e-01 |
| Iteration 11, f = 7.46e-04, ||g||_inf = 1.38e-01 |
| Iteration 12, f = 3.54e-04, ||g||_inf = 1.21e-01 |
| Iteration 13, f = 7.43e-05, ||g||_inf = 2.98e-02 |
| Iteration 14, f = 3.74e-05, ||g||_inf = 1.73e-02 |
| Iteration 15, f = 1.10e-05, ||g||_inf = 2.87e-02 |
| Iteration 16, f = 3.91e-06, ||g||_inf = 8.08e-03 |
| Iteration 17, f = 2.00e-06, ||g||_inf = 3.48e-03 |
| Iteration 18, f = 8.26e-07, ||g||_inf = 2.25e-03 |
| Iteration 19, f = 1.99e-07, ||g||_inf = 1.46e-03 |
| Iteration 20, f = 5.76e-08, ||g||_inf = 1.48e-03 |
| Iteration 21, f = 1.46e-08, ||g||_inf = 5.49e-04 |
| Iteration 22, f = 2.36e-09, ||g||_inf = 2.25e-04 |
| Iteration 23, f = 1.08e-09, ||g||_inf = 1.72e-04 |
| Success! |
| </pre><h2>another test function, the 2D Rosenbrock function<a name="3"></a></h2><pre class="codeinput">disp(<span class="string">'=== Rosenbrock test function, 2D === '</span>); |
| n = 2; |
|
|
| fxy = @(x,y) 100*( y-x.^2).^2 + (1-x ).^2 ; |
| f = @(x) fxy( x(1,:), x(2,:) ); |
| gxy = @(x,y) [100*(4*x.^3-4*x.*y)+2*x-2; 100*(2*y-2*x.^2)]; |
| g = @(x) gxy( x(1,:), x(2,:) ); |
|
|
| <span class="comment">% There are no constraints</span> |
| l = -inf(n,1); |
| u = inf(n,1); |
|
|
| opts = struct( <span class="string">'x0'</span>, [-1.9;2] ); |
| opts.printEvery = 1; |
| opts.m = 5; |
|
|
| trueSoln = [1;1]; |
| opts.errFcn = @(x) norm(x-trueSoln)/max(norm(trueSoln),1); |
| <span class="comment">% Ask for very high accuracy</span> |
| opts.pgtol = 1e-10; |
| opts.factr = 1e3; |
|
|
| <span class="comment">% The {f,g} is another way to call it</span> |
| [x,f,info] = lbfgsb( {f,g} , l, u, opts ); |
|
|
| <span class="keyword">if</span> abs(f) < 1e-8 |
| disp(<span class="string">'Success!'</span>); |
| <span class="keyword">else</span> |
| disp(<span class="string">'Something didn''t work right :-( '</span>); |
| <span class="keyword">end</span> |
| </pre><pre class="codeoutput">=== Rosenbrock test function, 2D === |
| Iteration 1, f = 1.95e+02, ||g||_inf = 5.12e+02; error 1.63e+00 |
| Iteration 2, f = 4.76e+01, ||g||_inf = 3.13e+02; error 1.76e+00 |
| Iteration 3, f = 6.05e+00, ||g||_inf = 1.68e+01; error 1.88e+00 |
| Iteration 4, f = 5.96e+00, ||g||_inf = 4.90e+00; error 1.89e+00 |
| Iteration 5, f = 5.95e+00, ||g||_inf = 1.58e+00; error 1.89e+00 |
| Iteration 6, f = 5.95e+00, ||g||_inf = 2.40e+00; error 1.88e+00 |
| Iteration 7, f = 5.92e+00, ||g||_inf = 5.58e+00; error 1.87e+00 |
| Iteration 8, f = 5.81e+00, ||g||_inf = 1.39e+01; error 1.82e+00 |
| Iteration 9, f = 4.05e+00, ||g||_inf = 2.14e+01; error 1.39e+00 |
| Iteration 10, f = 4.03e+00, ||g||_inf = 1.68e+01; error 1.40e+00 |
| Iteration 11, f = 3.75e+00, ||g||_inf = 1.41e+01; error 1.36e+00 |
| Iteration 12, f = 3.35e+00, ||g||_inf = 2.34e+01; error 1.26e+00 |
| Iteration 13, f = 2.85e+00, ||g||_inf = 2.80e+00; error 1.25e+00 |
| Iteration 14, f = 2.44e+00, ||g||_inf = 6.90e+00; error 1.21e+00 |
| Iteration 15, f = 2.29e+00, ||g||_inf = 9.63e+00; error 1.19e+00 |
| Iteration 16, f = 2.08e+00, ||g||_inf = 9.21e+00; error 1.16e+00 |
| Iteration 17, f = 1.67e+00, ||g||_inf = 5.14e+00; error 1.12e+00 |
| Iteration 18, f = 1.39e+00, ||g||_inf = 5.92e+00; error 1.08e+00 |
| Iteration 19, f = 1.03e+00, ||g||_inf = 6.44e+00; error 9.66e-01 |
| Iteration 20, f = 6.98e-01, ||g||_inf = 4.09e+00; error 9.01e-01 |
| Iteration 21, f = 6.52e-01, ||g||_inf = 3.84e+00; error 8.84e-01 |
| Iteration 22, f = 4.41e-01, ||g||_inf = 2.18e+00; error 7.78e-01 |
| Iteration 23, f = 3.65e-01, ||g||_inf = 4.26e+00; error 7.11e-01 |
| Iteration 24, f = 3.08e-01, ||g||_inf = 2.70e+00; error 6.82e-01 |
| Iteration 25, f = 2.44e-01, ||g||_inf = 3.56e+00; error 6.09e-01 |
| Iteration 26, f = 1.39e-01, ||g||_inf = 1.06e+00; error 5.02e-01 |
| Iteration 27, f = 1.18e-01, ||g||_inf = 2.96e+00; error 4.46e-01 |
| Iteration 28, f = 6.86e-02, ||g||_inf = 3.23e+00; error 3.42e-01 |
| Iteration 29, f = 4.28e-02, ||g||_inf = 2.21e+00; error 2.86e-01 |
| Iteration 30, f = 2.29e-02, ||g||_inf = 1.66e-01; error 2.25e-01 |
| Iteration 31, f = 1.61e-02, ||g||_inf = 1.47e+00; error 1.80e-01 |
| Iteration 32, f = 1.20e-02, ||g||_inf = 2.08e+00; error 1.41e-01 |
| Iteration 33, f = 5.48e-03, ||g||_inf = 1.43e+00; error 9.74e-02 |
| Iteration 34, f = 1.56e-03, ||g||_inf = 1.48e-01; error 6.12e-02 |
| Iteration 35, f = 5.74e-04, ||g||_inf = 8.91e-01; error 1.31e-02 |
| Iteration 36, f = 5.30e-05, ||g||_inf = 1.14e-02; error 1.15e-02 |
| Iteration 37, f = 2.82e-06, ||g||_inf = 9.50e-03; error 2.62e-03 |
| Iteration 38, f = 1.45e-08, ||g||_inf = 4.67e-03; error 4.64e-05 |
| Iteration 39, f = 9.93e-12, ||g||_inf = 8.99e-05; error 3.54e-06 |
| Iteration 40, f = 1.11e-16, ||g||_inf = 1.35e-07; error 1.59e-08 |
| Iteration 41, f = 6.58e-24, ||g||_inf = 6.10e-11; error 3.24e-12 |
| Success! |
| </pre><p class="footer"><br> |
| Published with MATLAB® 7.12<br></p></div> |
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