objective function value type

paramter type

user-defined paramter record type

objective function type

internal state

stopping criterion function type

iter s returns the number of iterations for optimisation state s

prms s returns the optimisation parameters of state s

f s returns the objective function of state s

fv s returns the objective function value of state s

init ~prms0 ~f () returns an initialises optimisation state for initial parmaters prms0 and objective function f

stop s is the default stopping criterion, which prints out the iteration and objective function value at each optimisation iteration and terminates when the objective function value goes below 1E-4

min ?(stop=stop) ~lr s minimises f for optimisation state s using vanilla gradient descent. Once the stopping criterion is reached (i.e. stop s returns true), the min returns the optimised state.

max ?(stop=stop) ?(beta=0.9) ~lr s is similar to min but maximises f.