jens
7b34529b24
git-svn-id: http://moon:8086/svn/matlab/trunk@91 801c6759-fa7c-4059-a304-17956f83a07c
116 lines
2.4 KiB
C
116 lines
2.4 KiB
C
#include <math.h>
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#include "mex.h"
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/* See lbfgs.m for details! */
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/* This function may not exit gracefully on bad input! */
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void mexFunction(int nlhs, mxArray *plhs[], int nrhs, const mxArray *prhs[])
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{
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/* Variable Declarations */
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double *s, *y, *g, *H, *d, *ro, *alpha, *beta, *q, *r;
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int nVars,nSteps,lhs_dims[2];
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double temp;
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int i,j;
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/* Get Input Pointers */
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g = mxGetPr(prhs[0]);
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s = mxGetPr(prhs[1]);
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y = mxGetPr(prhs[2]);
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H = mxGetPr(prhs[3]);
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/* Compute number of variables (p), rank of update (d) */
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nVars = mxGetDimensions(prhs[1])[0];
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nSteps = mxGetDimensions(prhs[1])[1];
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/* Allocated Memory for Function Variables */
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ro = mxCalloc(nSteps,sizeof(double));
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alpha = mxCalloc(nSteps,sizeof(double));
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beta = mxCalloc(nSteps,sizeof(double));
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q = mxCalloc(nVars*(nSteps+1),sizeof(double));
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r = mxCalloc(nVars*(nSteps+1),sizeof(double));
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/* Set-up Output Vector */
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lhs_dims[0] = nVars;
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lhs_dims[1] = 1;
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plhs[0] = mxCreateNumericArray(2,lhs_dims,mxDOUBLE_CLASS,mxREAL);
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d = mxGetPr(plhs[0]);
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/* ro = 1/(y(:,i)'*s(:,i)) */
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for(i=0;i<nSteps;i++)
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{
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temp = 0;
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for(j=0;j<nVars;j++)
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{
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temp += y[j+nVars*i]*s[j+nVars*i];
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}
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ro[i] = 1/temp;
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}
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/* q(:,k+1) = g */
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for(i=0;i<nVars;i++)
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{
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q[i+nVars*nSteps] = g[i];
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}
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for(i=nSteps-1;i>=0;i--)
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{
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/* alpha(i) = ro(i)*s(:,i)'*q(:,i+1) */
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alpha[i] = 0;
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for(j=0;j<nVars;j++)
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{
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alpha[i] += s[j+nVars*i]*q[j+nVars*(i+1)];
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}
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alpha[i] *= ro[i];
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/* q(:,i) = q(:,i+1)-alpha(i)*y(:,i) */
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for(j=0;j<nVars;j++)
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{
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q[j+nVars*i]=q[j+nVars*(i+1)]-alpha[i]*y[j+nVars*i];
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}
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}
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/* r(:,1) = q(:,1) */
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for(i=0;i<nVars;i++)
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{
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r[i] = H[0]*q[i];
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}
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for(i=0;i<nSteps;i++)
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{
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/* beta(i) = ro(i)*y(:,i)'*r(:,i) */
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beta[i] = 0;
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for(j=0;j<nVars;j++)
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{
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beta[i] += y[j+nVars*i]*r[j+nVars*i];
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}
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beta[i] *= ro[i];
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/* r(:,i+1) = r(:,i) + s(:,i)*(alpha(i)-beta(i)) */
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for(j=0;j<nVars;j++)
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{
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r[j+nVars*(i+1)]=r[j+nVars*i]+s[j+nVars*i]*(alpha[i]-beta[i]);
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}
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}
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/* d = r(:,k+1) */
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for(i=0;i<nVars;i++)
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{
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d[i]=r[i+nVars*nSteps];
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}
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/* Free Memory */
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mxFree(ro);
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mxFree(alpha);
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mxFree(beta);
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mxFree(q);
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mxFree(r);
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}
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