MAINLBRun Method

public void Run(
	int N,
	int M,
	ref double[] X,
	int offset_x,
	double[] L,
	int offset_l,
	double[] U,
	int offset_u,
	int[] NBD,
	int offset_nbd,
	ref double F,
	ref double[] G,
	int offset_g,
	double FACTR,
	double PGTOL,
	ref double[] WS,
	int offset_ws,
	ref double[] WY,
	int offset_wy,
	ref double[] SY,
	int offset_sy,
	ref double[] SS,
	int offset_ss,
	double[] YY,
	int offset_yy,
	ref double[] WT,
	int offset_wt,
	ref double[] WN,
	int offset_wn,
	ref double[] SND,
	int offset_snd,
	ref double[] Z,
	int offset_z,
	ref double[] R,
	int offset_r,
	ref double[] D,
	int offset_d,
	ref double[] T,
	int offset_t,
	ref double[] WA,
	int offset_wa,
	double[] SG,
	int offset_sg,
	double[] SGO,
	int offset_sgo,
	double[] YG,
	int offset_yg,
	double[] YGO,
	int offset_ygo,
	ref int[] INDEX,
	int offset_index,
	ref int[] IWHERE,
	int offset_iwhere,
	ref int[] INDX2,
	int offset_indx2,
	ref BFGSTask TASK,
	int IPRINT,
	ref BFGSTask CSAVE,
	ref bool[] LSAVE,
	int offset_lsave,
	ref int[] ISAVE,
	int offset_isave,
	ref double[] DSAVE,
	int offset_dsave
)

Public Sub Run ( 
	N As Integer,
	M As Integer,
	ByRef X As Double(),
	offset_x As Integer,
	L As Double(),
	offset_l As Integer,
	U As Double(),
	offset_u As Integer,
	NBD As Integer(),
	offset_nbd As Integer,
	ByRef F As Double,
	ByRef G As Double(),
	offset_g As Integer,
	FACTR As Double,
	PGTOL As Double,
	ByRef WS As Double(),
	offset_ws As Integer,
	ByRef WY As Double(),
	offset_wy As Integer,
	ByRef SY As Double(),
	offset_sy As Integer,
	ByRef SS As Double(),
	offset_ss As Integer,
	YY As Double(),
	offset_yy As Integer,
	ByRef WT As Double(),
	offset_wt As Integer,
	ByRef WN As Double(),
	offset_wn As Integer,
	ByRef SND As Double(),
	offset_snd As Integer,
	ByRef Z As Double(),
	offset_z As Integer,
	ByRef R As Double(),
	offset_r As Integer,
	ByRef D As Double(),
	offset_d As Integer,
	ByRef T As Double(),
	offset_t As Integer,
	ByRef WA As Double(),
	offset_wa As Integer,
	SG As Double(),
	offset_sg As Integer,
	SGO As Double(),
	offset_sgo As Integer,
	YG As Double(),
	offset_yg As Integer,
	YGO As Double(),
	offset_ygo As Integer,
	ByRef INDEX As Integer(),
	offset_index As Integer,
	ByRef IWHERE As Integer(),
	offset_iwhere As Integer,
	ByRef INDX2 As Integer(),
	offset_indx2 As Integer,
	ByRef TASK As BFGSTask,
	IPRINT As Integer,
	ByRef CSAVE As BFGSTask,
	ByRef LSAVE As Boolean(),
	offset_lsave As Integer,
	ByRef ISAVE As Integer(),
	offset_isave As Integer,
	ByRef DSAVE As Double(),
	offset_dsave As Integer
)

Parameters

N  Int32

is an integer variable. On entry n is the number of variables. On exit n is unchanged.

M  Int32

is an integer variable. On entry m is the maximum number of variable metric corrections allowed in the limited memory matrix. On exit m is unchanged.

X  Double

is a double precision array of dimension n. On entry x is an approximation to the solution. On exit x is the current approximation.

offset_x  Int32

 

L  Double

is a double precision array of dimension n. On entry l is the lower bound of x. On exit l is unchanged.

offset_l  Int32

 

U  Double

is a double precision array of dimension n. On entry u is the upper bound of x. On exit u is unchanged.

offset_u  Int32

 

NBD  Int32

is an integer array of dimension n. On entry nbd represents the type of bounds imposed on the variables, and must be specified as follows: nbd(i)=0 if x(i) is unbounded, 1 if x(i) has only a lower bound, 2 if x(i) has both lower and upper bounds, 3 if x(i) has only an upper bound. On exit nbd is unchanged.

offset_nbd  Int32

 

F  Double

is a double precision variable. On first entry f is unspecified. On final exit f is the value of the function at x.

G  Double

is a double precision array of dimension n. On first entry g is unspecified. On final exit g is the value of the gradient at x.

offset_g  Int32

 

FACTR  Double

is a double precision variable. On entry factr .GE. 0 is specified by the user. The iteration will stop when (f^k - f^{k+1})/max{|f^k|,|f^{k+1}|,1} .LE. factr*epsmch where epsmch is the machine precision, which is automatically generated by the code. On exit factr is unchanged.

PGTOL  Double

is a double precision variable. On entry pgtol .GE. 0 is specified by the user. The iteration will stop when max{|proj g_i | i = 1, ..., n} .LE. pgtol where pg_i is the ith component of the projected gradient. On exit pgtol is unchanged.

WS  Double

 

offset_ws  Int32

 

WY  Double

 

offset_wy  Int32

 

SY  Double

 

offset_sy  Int32

 

SS  Double

 

offset_ss  Int32

 

YY  Double

 

offset_yy  Int32

 

WT  Double

 

offset_wt  Int32

 

WN  Double

is a double precision working array of dimension 2m x 2m used to store the LEL^T factorization of the indefinite matrix K = [-D -Y'ZZ'Y/theta L_a'-R_z' ] [L_a -R_z theta*S'AA'S ] where E = [-I 0] [ 0 I]

offset_wn  Int32

 

SND  Double

is a double precision working array of dimension 2m x 2m used to store the lower triangular part of N = [Y' ZZ'Y L_a'+R_z'] [L_a +R_z S'AA'S ]

offset_snd  Int32

 

Z  Double

is used at different times to store the Cauchy point and

offset_z  Int32

 

R  Double

 

offset_r  Int32

 

D  Double

 

offset_d  Int32

 

T  Double

 

offset_t  Int32

 

WA  Double

 

offset_wa  Int32

 

SG  Double

 

offset_sg  Int32

 

SGO  Double

 

offset_sgo  Int32

 

YG  Double

 

offset_yg  Int32

 

YGO  Double

 

offset_ygo  Int32

 

INDEX  Int32

is an integer working array of dimension n. In subroutine freev, index is used to store the free and fixed variables at the Generalized Cauchy Point (GCP).

offset_index  Int32

 

IWHERE  Int32

is an integer working array of dimension n used to record the status of the vector x for GCP computation. iwhere(i)=0 or -3 if x(i) is free and has bounds, 1 if x(i) is fixed at l(i), and l(i) .ne. u(i) 2 if x(i) is fixed at u(i), and u(i) .ne. l(i) 3 if x(i) is always fixed, i.e., u(i)=x(i)=l(i) -1 if x(i) is always free, i.e., no bounds on it.

offset_iwhere  Int32

 

INDX2  Int32

is an integer working array of dimension n. Within subroutine cauchy, indx2 corresponds to the array iorder. In subroutine freev, a list of variables entering and leaving the free set is stored in indx2, and it is passed on to subroutine formk with this information.

offset_indx2  Int32

 

TASK  BFGSTask

is a working string of characters of length 60 indicating the current job when entering and leaving this subroutine.

IPRINT  Int32

is an INTEGER variable that must be set by the user. It controls the frequency and type of output generated: iprint.LT.0 no output is generated; iprint=0 print only one line at the last iteration; 0.LT.iprint.LT.99 print also f and |proj g| every iprint iterations; iprint=99 print details of every iteration except n-vectors; iprint=100 print also the changes of active set and final x; iprint.GT.100 print details of every iteration including x and g; When iprint .GT. 0, the file iterate.dat will be created to summarize the iteration.

CSAVE  BFGSTask

is a working string of characters of length 60.

LSAVE  Boolean

is a logical working array of dimension 4.

offset_lsave  Int32

 

ISAVE  Int32

is an integer working array of dimension 23.

offset_isave  Int32

 

DSAVE  Double

is a double precision working array of dimension 29.

offset_dsave  Int32

 

Reference