LBFGSMinimizer.h

//
//  Copyright (C) 2017, Alexander Stukowski and Paul Erhart
//
//  This file is part of atomicrex.
//
//  Atomicrex is free software; you can redistribute it and/or modify
//  it under the terms of the GNU General Public License as published by
//  the Free Software Foundation; either version 3 of the License, or
//  (at your option) any later version.
//
//  Atomicrex is distributed in the hope that it will be useful,
//  but WITHOUT ANY WARRANTY; without even the implied warranty of
//  MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
//  GNU General Public License for more details.
//
//  You should have received a copy of the GNU General Public License
//  along with this program.  If not, see <http://www.gnu.org/licenses/>.
//

#pragma once

#include "../Atomicrex.h"
#include "Minimizer.h"

namespace atomicrex {

class LBFGSMinimizer : public Minimizer
{
public:

    LBFGSMinimizer(FitJob* job) : Minimizer(job) {}

    virtual void prepare(
            std::vector<double>&& x0,
            const std::function<double(const std::vector<double>&)>& func,
            const std::function<double(const std::vector<double>&, std::vector<double>&)>& gradient = std::function<double(const std::vector<double>&, std::vector<double>&)>()) override;

    virtual void setConstraints(
            std::vector<BoundConstraints>&& constraintTypes,
            std::vector<double>&& lowerBounds,
            std::vector<double>&& upperBounds) override;

    virtual MinimizerResult iterate() override;

    virtual void parse(XML::Element minimizerElement) override;

private:

    void evaluate();

    std::vector<BoundConstraints> _constraintTypes;
    std::vector<double> _lowerBounds;
    std::vector<double> _upperBounds;

    std::vector<double> x;

    std::vector<double> g;

    // Variables passed to the L-BFGS-B Fortran routine:
    char task[60];
    char csave[60];
    int lsave[4];
    double dsave[29];
    int isave[44];
    double factr;
    std::vector<int> iwa;
    int m;
    double pgtol = 1e-5;
    std::vector<double> wa;
    int iprint;
};

} // End of namespace