mir-optim 2.0.0-alpha06

mir-optim

Dlang Nonlinear Optimisers with external C API.

Konwn bugs

• Random wrong results when taskPool is passed.

Algorithms

• Modified Levenberg-Marquardt Algorithm (Nonlinear Least Squares).

See also online documentation.

Features

• Idiomatic BetterC library. See examples/least_squares.cpp for compilation details.
• C/C++ header
• Multithread C++ examples
• Tiny BetterC library size, <38KB
• Based on LAPACK
• Fast compilaiton speed. There are two (for float and double) precompiled algorithm instatiations. Generic API is a thin wrappers around them.
• Four APIs for any purpose:
  • Extern C/C++ API
  • Powerfull high level generic D API
  • Nothrow middle level generic D API
  • Low level nongeneric D API

Required system libraries

See wiki: Link with CBLAS & LAPACK.

Examples

Least Squares. Analytical Jacobian.

unittest
{
    import mir.optim.least_squares;
    import mir.ndslice.allocation: slice;
    import mir.ndslice.slice: sliced;
    import mir.blas: nrm2;

    auto lm = LeastSquaresLM!double(2, 2);
    lm.x[] = [100, 100]; // initial X
    // argmin_x f_0(x)^^2 + f_1(x)^^2
    lm.optimize!(
        (x, y) // f(x)
        {
            y[0] = x[0];
            y[1] = 2 - x[1];
        },
        (x, J) // J(x)
        {
            J[0, 0] = 1;
            J[0, 1] = 0;
            J[1, 0] = 0;
            J[1, 1] = -1;
        },
    );

    assert(nrm2((lm.x - [0, 2].sliced).slice) < 1e-8);
}

Least Squares. Multithreaded Jacobian approximation.

Jacobian finite difference approximation computed in multiple threads.

unittest
{
    import mir.optim.least_squares;
    import mir.ndslice.allocation: slice;
    import mir.ndslice.slice: sliced;
    import mir.blas: nrm2;
    import std.parallelism: taskPool;

    auto lm = LeastSquaresLM!double(2, 2);
    lm.x[] = [-1.2, 1];
    lm.optimize!(
        (x, y) // Rosenbrock function
        {
            y[0] = 10 * (x[1] - x[0]^^2);
            y[1] = 1 - x[0];
        },
    )(taskPool);

    assert(nrm2((lm.x - [1, 1].sliced).slice) < 1e-8);
}

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