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updated lbfgs.c to ForBeS version #3

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updated lbfgs.c to ForBeS version #3

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2 changes: 1 addition & 1 deletion drn_setup.m
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Original file line number Diff line number Diff line change
Expand Up @@ -9,7 +9,7 @@
success_msg = 'Succesfully compiled: ';

for k = 1:length(to_compile)
if mex('-outdir', private_path, to_compile{k})
if mex('-lmwblas','-outdir', private_path, to_compile{k})
error([error_msg, to_compile{k}]);
else
disp([success_msg, to_compile{k}]);
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43 changes: 17 additions & 26 deletions private/lbfgs.c
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Original file line number Diff line number Diff line change
Expand Up @@ -18,6 +18,7 @@
*/

#include "mex.h"
#include "blas.h"

#define IS_REAL_SPARSE_MAT(P) (mxGetNumberOfDimensions(P) == 2 && \
mxIsSparse(P) && mxIsDouble(P))
Expand All @@ -31,52 +32,45 @@
!mxIsSparse(P) && mxIsInt32(P))
#define IS_REAL_SCALAR(P) (IS_REAL_DENSE_VEC(P) && mxGetNumberOfElements(P) == 1)
#define IS_INT32_SCALAR(P) (IS_INT32_DENSE_VEC(P) && mxGetNumberOfElements(P) == 1)

/* compile with mex -V lbfgs.c -lmwblas */
void LBFGS_MATVEC_TWOLOOP(int n, int mem, double * dir_n, double * s_n_m, double * y_n_m,
double * ys_m, double H, double * g_n, int curridx, int currmem, double * alpha_m)
{
double beta;
int i, j, k;
ptrdiff_t product_length = n; /* used with blas routines */
ptrdiff_t one = 1; /* used with blas routines */

for (j=0; j<n; j++) dir_n[j] = g_n[j];
dcopy(&product_length,g_n,&one,dir_n,&one);

i = curridx;
for (k=0; k<currmem; k++) {
alpha_m[i] = 0;
for (j=0; j<n; j++) {
alpha_m[i] += s_n_m[i*n+j]*dir_n[j];
}
alpha_m[i] /= ys_m[i];
for (j=0; j<n; j++) {
dir_n[j] = dir_n[j] - alpha_m[i]*y_n_m[i*n+j];
}
alpha_m[i] = ddot(&product_length, &(s_n_m[i*n]), &one, dir_n, &one)/ys_m[i];

double minus_alpha = -alpha_m[i];
daxpy(&product_length,&minus_alpha,&(y_n_m[i*n]),&one,dir_n,&one);
i = i-1;
if (i<0) i = mem-1;
}

for (j=0; j<n; j++) {
dir_n[j] = H*dir_n[j];
}
dscal(&product_length,&H,dir_n,&one);

i = i+1;
if (i>=mem) i = 0;
for (k=0; k<currmem; k++) {
beta = 0;
for (j=0; j<n; j++) {
beta += y_n_m[i*n+j]*dir_n[j];
}
beta /= ys_m[i];
for (j=0; j<n; j++) {
dir_n[j] = dir_n[j] + (alpha_m[i]-beta)*s_n_m[i*n+j];
}
beta = ddot(&product_length,&(y_n_m[i*n]),&one,dir_n,&one)/ys_m[i];

double alpha_minus_beta =alpha_m[i]-beta;
daxpy(&product_length,&alpha_minus_beta,&(s_n_m[i*n]),&one,dir_n,&one);

i = i+1;
if (i>=mem) i = 0;
}
}

void mexFunction(int nlhs, mxArray *plhs[], int nrhs, const mxArray *prhs[])
{
size_t n, mem, curridx, currmem, dir_dims[2];
int n, mem, curridx, currmem;
double * dir, * s, * y, * ys, H, * g, * alpha;

if (nrhs != 7) {
Expand Down Expand Up @@ -125,14 +119,11 @@ void mexFunction(int nlhs, mxArray *plhs[], int nrhs, const mxArray *prhs[])
currmem = (int)mxGetScalar(prhs[6]);

n = mxGetDimensions(prhs[0])[0];
const mwSize dir_dims[2] = { n ,1};
mem = mxGetDimensions(prhs[0])[1];
dir_dims[0] = n;
dir_dims[1] = 1;

alpha = mxCalloc(mem, sizeof(double));

dir_dims[0] = n;
dir_dims[1] = 1;
plhs[0] = mxCreateNumericArray(2, dir_dims, mxDOUBLE_CLASS, mxREAL);
dir = mxGetPr(plhs[0]);

Expand Down