jens
7b34529b24
git-svn-id: http://moon:8086/svn/matlab/trunk@91 801c6759-fa7c-4059-a304-17956f83a07c
33 lines
696 B
Matlab
33 lines
696 B
Matlab
function [d] = lbfgsProd(g,S,Y,YS,lbfgs_start,lbfgs_end,Hdiag)
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% BFGS Search Direction
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%
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% This function returns the (L-BFGS) approximate inverse Hessian,
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% multiplied by the negative gradient
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% Set up indexing
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[nVars,maxCorrections] = size(S);
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if lbfgs_start == 1
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ind = 1:lbfgs_end;
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nCor = lbfgs_end-lbfgs_start+1;
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else
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ind = [lbfgs_start:maxCorrections 1:lbfgs_end];
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nCor = maxCorrections;
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end
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al = zeros(nCor,1);
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be = zeros(nCor,1);
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d = -g;
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for j = 1:length(ind)
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i = ind(end-j+1);
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al(i) = (S(:,i)'*d)/YS(i);
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d = d-al(i)*Y(:,i);
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end
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% Multiply by Initial Hessian
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d = Hdiag*d;
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for i = ind
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be(i) = (Y(:,i)'*d)/YS(i);
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d = d + S(:,i)*(al(i)-be(i));
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end
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