jens
7b34529b24
git-svn-id: http://moon:8086/svn/matlab/trunk@91 801c6759-fa7c-4059-a304-17956f83a07c
94 lines
2.2 KiB
C
94 lines
2.2 KiB
C
#include <math.h>
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#include "mex.h"
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/* See lbfgsProd.m for details */
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/* This function will 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, *YS, *g, Hdiag, *d, *alpha, *beta;
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int i,j,nVars,nCor,maxCor,lbfgs_start,lbfgs_end;
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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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YS= mxGetPr(prhs[3]);
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lbfgs_start = (int)mxGetScalar(prhs[4]);
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lbfgs_end = (int)mxGetScalar(prhs[5]);
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Hdiag = mxGetScalar(prhs[6]);
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if (!mxIsClass(prhs[4],"int32")||!mxIsClass(prhs[5],"int32"))
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mexErrMsgTxt("lbfgs_start and lbfgs_end must be int32");
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/* Compute number of variables, maximum number of corrections */
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nVars = mxGetDimensions(prhs[1])[0];
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maxCor = mxGetDimensions(prhs[1])[1];
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/* Compute number of corrections available */
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if (lbfgs_start == 1)
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nCor = lbfgs_end-lbfgs_start+1;
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else
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nCor = maxCor;
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/* Allocate Memory for Local Variables */
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alpha = mxCalloc(nCor,sizeof(double));
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beta = mxCalloc(nCor,sizeof(double));
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/* Set-up Output Vector */
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plhs[0] = mxCreateDoubleMatrix(nVars,1,mxREAL);
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d = mxGetPr(plhs[0]);
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for(j=0;j<nVars;j++)
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d[j] = -g[j];
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for(i = lbfgs_end-1;i >= 0;i--) {
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alpha[i] = 0;
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for(j=0;j<nVars;j++)
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alpha[i] += S[j + nVars*i]*d[j];
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alpha[i] /= YS[i];
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for(j=0;j<nVars;j++)
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d[j] -= alpha[i]*Y[j + nVars*i];
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}
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if(lbfgs_start != 1) {
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for(i = maxCor-1;i >= lbfgs_start-1;i--) {
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alpha[i] = 0;
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for(j=0;j<nVars;j++)
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alpha[i] += S[j + nVars*i]*d[j];
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alpha[i] /= YS[i];
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for(j=0;j<nVars;j++)
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d[j] -= alpha[i]*Y[j + nVars*i];
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}
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}
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for(j=0;j<nVars;j++)
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d[j] *= Hdiag;
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if(lbfgs_start != 1) {
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for(i = lbfgs_start-1; i < maxCor; i++) {
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beta[i] = 0;
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for(j=0;j<nVars;j++)
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beta[i] += Y[j + nVars*i]*d[j];
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beta[i] /= YS[i];
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for(j=0;j<nVars;j++)
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d[j] += S[j+nVars*i]*(alpha[i]-beta[i]);
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}
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}
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for(i = 0; i < lbfgs_end; i++) {
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beta[i] = 0;
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for(j=0;j<nVars;j++)
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beta[i] += Y[j + nVars*i]*d[j];
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beta[i] /= YS[i];
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for(j=0;j<nVars;j++)
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d[j] += S[j+nVars*i]*(alpha[i]-beta[i]);
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}
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mxFree(alpha);
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mxFree(beta);
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}
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