SETULBRun 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[] WA,
	int offset_wa,
	ref int[] IWA,
	int offset_iwa,
	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 WA As Double(),
	offset_wa As Integer,
	ByRef IWA As Integer(),
	offset_iwa 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 dimension of the problem. On exit n is unchanged.

M  Int32

is an integer variable. On entry m is the maximum number of variable metric corrections used to define 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 on 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 on 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, and 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. Typical values for factr: 1.d+12 for low accuracy; 1.d+7 for moderate accuracy; 1.d+1 for extremely high accuracy. 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.

WA  Double

is a double precision working array of length (2mmax + 4)nmax + 12mmax^2 + 12mmax.

offset_wa  Int32

 

IWA  Int32

is an integer working array of length 3nmax.

offset_iwa  Int32

 

TASK  BFGSTask

is a working string of characters of length 60 indicating the current job when entering and quitting 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. On exit with 'task' = NEW_X, the following information is available: If lsave(1) = .true. then the initial X has been replaced by its projection in the feasible set; If lsave(2) = .true. then the problem is constrained; If lsave(3) = .true. then each variable has upper and lower bounds;

offset_lsave  Int32

 

ISAVE  Int32

is an integer working array of dimension 44. On exit with 'task' = NEW_X, the following information is available: isave(22) = the total number of intervals explored in the search of Cauchy points; isave(26) = the total number of skipped BFGS updates before the current iteration; isave(30) = the number of current iteration; isave(31) = the total number of BFGS updates prior the current iteration; isave(33) = the number of intervals explored in the search of Cauchy point in the current iteration; isave(34) = the total number of function and gradient evaluations; isave(36) = the number of function value or gradient evaluations in the current iteration; if isave(37) = 0 then the subspace argmin is within the box; if isave(37) = 1 then the subspace argmin is beyond the box; isave(38) = the number of free variables in the current iteration; isave(39) = the number of active constraints in the current iteration; n + 1 - isave(40) = the number of variables leaving the set of active constraints in the current iteration; isave(41) = the number of variables entering the set of active constraints in the current iteration.

offset_isave  Int32

 

DSAVE  Double

is a double precision working array of dimension 29. On exit with 'task' = NEW_X, the following information is available: dsave(1) = current 'theta' in the BFGS matrix; dsave(2) = f(x) in the previous iteration; dsave(3) = factr*epsmch; dsave(4) = 2-norm of the line search direction vector; dsave(5) = the machine precision epsmch generated by the code; dsave(7) = the accumulated time spent on searching for Cauchy points; dsave(8) = the accumulated time spent on subspace minimization; dsave(9) = the accumulated time spent on line search; dsave(11) = the slope of the line search function at the current point of line search; dsave(12) = the maximum relative step length imposed in line search; dsave(13) = the infinity norm of the projected gradient; dsave(14) = the relative step length in the line search; dsave(15) = the slope of the line search function at the starting point of the line search; dsave(16) = the square of the 2-norm of the line search direction vector.

offset_dsave  Int32

 

Reference