package owl-opt-lbfgs

Owl Opt LBFGS Library

The entry point of this library is Owl_opt_lbfgs. The workflow is similar to that described in Owl Opt.

This library is built ontop of L-BFGS-ocaml.

Installation

dune build @install
dune install

Example

 module Prms = struct
    type 'a t = {a: 'a; b: 'a} [@@deriving prms]
 end
 (* make an Lbfgs optimisation module for the parameter definition Prms *)
 module O = Owl_opt_lbfgs.Make (Prms)
 (* define the objective function *)
 let f prms = Owl.Algodiff.D.Maths.(l2norm' (y - ((prms.a *@ x) + prms.b))) 
 (* define initial parameters *)
 let prms0 = {a = Owl.Algodiff.D.Mat.gaussian 5 5; b = Owl.Algodiff.D.gaussian 5 1} 
 (* initialise an optimisation session *)
 let s0 = O.init ~prms0 ~f () 
 (* define stopping criteria: stop when function value is smaller than 1E-4 *)
 let stop s = O.(fv s) < 1E-4
 (* minimise objective function f *)
 let s = O.min f
 (* final objective function value *)
 let c = O.fv s
 (* final prms *)
 let prms = O.prms s