cmprlb.f File Reference

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Functions/Subroutines
subroutine	cmprlb (n, m, x, g, ws, wy, sy, wt, z, r, wa, index, theta, col, head, nfree, cnstnd)
	This subroutine computes r=-Z'B(xcp-xk)-Z'g by using wa(2m+1)=W'(xcp-x) from subroutine cauchy. More...

Function/Subroutine Documentation

cmprlb()

subroutine cmprlb	(	integer	n,
		integer	m,
		double precision, dimension(n)	x,
		double precision, dimension(n)	g,
		double precision, dimension(n, m)	ws,
		double precision, dimension(n, m)	wy,
		double precision, dimension(m, m)	sy,
		double precision, dimension(m, m)	wt,
		double precision, dimension(n)	z,
		double precision, dimension(n)	r,
		double precision, dimension(4*m)	wa,
		integer, dimension(n)	index,
		double precision	theta,
		integer	col,
		integer	head,
		integer	nfree,
		logical	cnstnd
	)

This subroutine computes r=-Z'B(xcp-xk)-Z'g by using wa(2m+1)=W'(xcp-x) from subroutine cauchy.

Parameters

n	number of parameters
m	history size of Hessian approximation
x	position
g	gradient
ws	part of L-BFGS matrix
wy	part of L-BFGS matrix
sy	part of L-BFGS matrix
wt	part of L-BFGS matrix
z	The generalized Cauchy point xcp computed by cauchy. Used here as the linearisation point: r encodes -B(z-x) - g restricted to the free variables.
r	On exit r(1:nfree) contains -theta*(z(k)-x(k)) - g(k) plus the W*M^{-1}*W' correction, where k = index(i). Caller uses this as the residual for the subspace minimisation problem. When cnstnd=.false. and col>0, the shortcut path sets r(1:n) = -g(:) without using the index array.
wa	Length-4m workspace shared with cauchy. On entry, the segment wa(2m+1 : 2m+2col) holds W'(z-x) (filled by cauchy). On exit wa(1 : 2col) holds M^{-1}*W'(z-x) from the bmv call.
index	Permutation of (1..n): index(1..nfree) lists the indices of variables that are free at the GCP and are the active optimisation variables here.
theta	Scaling factor specifying the initial Hessian B_0 = theta*I.
col	Number of stored (s,y) correction pairs (0 on the first iteration; up to m thereafter).
head	Index in the cyclic WS/WY buffer of the oldest stored correction. Used to walk the columns in chronological order.
nfree	Number of free variables; size of the subspace problem.
cnstnd	.true. if the problem has bounds; controls the shortcut path described under
r.	Historical note: this routine used to take an info output parameter to forward errors from the embedded bmv call. Since bmv cannot fail under LAPACK dtrsm, the parameter was always 0 on exit and has been removed.

Definition at line 44 of file cmprlb.f.

References bmv().

Referenced by mainlb().

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