version 3.0.0

Makefile.in

@@ -5,6 +5,7 @@ CXX = @CXX@
 
 CXX_STD = @OPTIM_CXX_STD@
 OPT_FLAGS = @OPTIM_WARN_FLAGS@ @OPTIM_OPT_FLAGS@
+FPN_FLAGS = -DOPTIM_FPN_TYPE=@OPTIM_FPN_TYPE@
 
 OPTIM_MATLIB_FLAGS = @OPTIM_MATLIB_FLAGS@
 OPTIM_MATLIB_INCLUDE_PATH = @OPTIM_MATLIB_INCLUDE_PATH@
@@ -23,7 +24,7 @@ SHLIB = @OPTIM_SHLIB_NAME@
 SHLIB_FLAGS = $(CXX_STD) @OPTIM_SHLIB_FLAGS@
 
 # general flags
-CXXFLAGS = $(CXX_STD) $(OPT_FLAGS) $(OPTIM_MATLIB_FLAGS) -I$(OPTIM_MATLIB_INCLUDE_PATH) -I$(OPTIM_HEADER_DIR)
+CXXFLAGS = $(CXX_STD) $(OPT_FLAGS) $(FPN_FLAGS) $(OPTIM_MATLIB_FLAGS) -I$(OPTIM_MATLIB_INCLUDE_PATH) -I$(OPTIM_HEADER_DIR)
 LIBS= @OPTIM_BLAS_LAPACK@
 
 # core Optim files

README.md

@@ -12,6 +12,7 @@ Features:
  * [Eigen](http://eigen.tuxfamily.org/index.php) (version >= 3.4.0)
 * OpenMP-accelerated algorithms for parallel computation. 
 * Straightforward linking with parallelized BLAS libraries, such as [OpenBLAS](https://github.com/xianyi/OpenBLAS).
+* Available as a single (``float``) or double precision (``double``) library.
 * Available as a header-only library, or as a compiled shared library.
 * Released under a permissive, non-GPL license.
 
@@ -58,10 +59,10 @@ The inputs, in order, are:
 
 For example, the BFGS algorithm is called using
 ```cpp
-bfgs(Vec_t& init_out_vals, std::function<double (const Vec_t& vals_inp, Vec_t* grad_out, void* opt_data)> opt_objfn, void* opt_data);
+bfgs(ColVec_t& init_out_vals, std::function<double (const ColVec_t& vals_inp, ColVec_t* grad_out, void* opt_data)> opt_objfn, void* opt_data);
 ```
 
-where ``Vec_t`` is used to represent either ``arma::vec`` or ``Eigen::VectorXd`` types.
+where ``ColVec_t`` is used to represent either ``arma::vec`` or ``Eigen::VectorXd`` types.
 
 ## Installation Method 1: Shared Library
 
@@ -90,7 +91,8 @@ Configuration options (see `./configure -h`):
 &nbsp; &nbsp; &nbsp; **Primary**
 * `-h` print help
 * `-i` installation path; default: the build directory
-* `-l` specify the choice of linear algebra library; `arma` or `eigen`
+* `-f` floating-point precision mode (Eigen-based builds only); default: `double`
+* `-l` specify the choice of linear algebra library; choose `arma` or `eigen`
 * `-m` specify the BLAS and Lapack libraries to link against; for example, `-m "-lopenblas"` or `-m "-framework Accelerate"`
 * `-o` compiler optimization options; defaults to `-O3 -march=native -ffp-contract=fast -flto -DARMA_NO_DEBUG`
 * `-p` enable OpenMP parallelization features (*recommended*)

configure

@@ -11,6 +11,8 @@ function print_help
  echo " (default: disabled)" ;
  echo " -d Developmental build" ;
  echo " (default: disabled)" ;
+ echo " -f Floating-point number type" ;
+ echo " (default: double)" ;
  echo " -g Debugging build (optimization flags set to -O0 -g)" ;
  echo " (default: disabled)" ;
  echo " -h Print help" ;
@@ -30,7 +32,7 @@ function print_help
  echo "" ;
 }
 
-while getopts hcdgi:l:m:o:pr:-: option; do
+while getopts hcdgf:i:l:m:o:pr:-: option; do
  case "${option}" in
  -)
  case "${OPTARG}" in
@@ -41,6 +43,7 @@ while getopts hcdgi:l:m:o:pr:-: option; do
  h) print_help; exit 2;;
  c) OPTIM_COVERAGE_BUILD="y";;
  d) OPTIM_DEV_BUILD="y";;
+ f) OPTIM_FPN_TYPE=${OPTARG};;
  g) OPTIM_DEBUG_BUILD="y";;
  i) OPTIM_INSTALL_PATH=${OPTARG};;
  l) OPTIM_LINEAR_ALG_LIB=${OPTARG};;
@@ -207,6 +210,12 @@ fi
 
 OPTIM_WARN_FLAGS="-Wall"
 
+# floating-point number type
+
+if [[ "${OPTIM_FPN_TYPE}" == "" ]]; then
+ OPTIM_FPN_TYPE="double"
+fi
+
 # shared library name and install path
 
 OPTIM_SHLIB_NAME="liboptim.so"
@@ -286,6 +295,7 @@ else
  echo -e " - OpenMP features: \x1B[31mdisabled\033[0m" >&2 ;
 fi
 
+echo " - floating-point number type: ${OPTIM_FPN_TYPE}"
 echo " - optimization flags:"
 echo " ${OPTIM_OPT_FLAGS}"
 
@@ -317,6 +327,7 @@ sed -e "s|@CXX@|${CXX}|" \
  -e "s|@OPTIM_BLAS_LAPACK@|${OPTIM_BLAS_LAPACK}|" \
  -e "s|@OPTIM_WARN_FLAGS@|${OPTIM_WARN_FLAGS}|" \
  -e "s|@OPTIM_OPT_FLAGS@|${OPTIM_OPT_FLAGS}|" \
+ -e "s|@OPTIM_FPN_TYPE@|${OPTIM_FPN_TYPE}|" \
  -e "s|@OPTIM_SHLIB_NAME@|${OPTIM_SHLIB_NAME}|" \
  -e "s|@OPTIM_SHLIB_FLAGS@|${OPTIM_SHLIB_FLAGS}|" \
  -e "s|@OPTIM_INSTALL_PATH@|${OPTIM_INSTALL_PATH}|" \

docs/source/api/bfgs.rst

@@ -75,11 +75,11 @@ Function Declarations
 ---------------------
 
 .. _bfgs-func-ref1:
-.. doxygenfunction:: bfgs(Vec_t&, std::function<doubleconst Vec_t &vals_inp, Vec_t *grad_out, void *opt_data>, void *)
+.. doxygenfunction:: bfgs(ColVec_t&, std::function<doubleconst ColVec_t &vals_inp, ColVec_t *grad_out, void *opt_data>, void *)
  :project: optimlib
 
 .. _bfgs-func-ref2:
-.. doxygenfunction:: bfgs(Vec_t&, std::function<doubleconst Vec_t &vals_inp, Vec_t *grad_out, void *opt_data>, void *, algo_settings_t&)
+.. doxygenfunction:: bfgs(ColVec_t&, std::function<doubleconst ColVec_t &vals_inp, ColVec_t *grad_out, void *opt_data>, void *, algo_settings_t&)
  :project: optimlib
 
 ----
@@ -89,9 +89,9 @@ Optimization Control Parameters
 
 The basic control parameters are:
 
-- ``double grad_err_tol``: the error tolerance value controlling how small the :math:`L_2` norm of the gradient vector :math:`\| \nabla f \|` should be before 'convergence' is declared.
+- ``fp_t grad_err_tol``: the error tolerance value controlling how small the :math:`L_2` norm of the gradient vector :math:`\| \nabla f \|` should be before 'convergence' is declared.
 
-- ``double rel_sol_change_tol``: the error tolerance value controlling how small the proportional change in the solution vector should be before 'convergence' is declared.
+- ``fp_t rel_sol_change_tol``: the error tolerance value controlling how small the proportional change in the solution vector should be before 'convergence' is declared.
 
  The relative change is computed using:
 
@@ -105,17 +105,17 @@ The basic control parameters are:
 
 - ``bool vals_bound``: whether the search space of the algorithm is bounded. If ``true``, then
 
- - ``Vec_t lower_bounds``: defines the lower bounds of the search space.
+ - ``ColVec_t lower_bounds``: defines the lower bounds of the search space.
 
- - ``Vec_t upper_bounds``: defines the upper bounds of the search space.
+ - ``ColVec_t upper_bounds``: defines the upper bounds of the search space.
 
 Additional settings:
 
-- ``double bfgs_settings.wolfe_cons_1``: Line search tuning parameter that controls the tolerance on the Armijo sufficient decrease condition.
+- ``fp_t bfgs_settings.wolfe_cons_1``: Line search tuning parameter that controls the tolerance on the Armijo sufficient decrease condition.
 
  - Default value: ``1E-03``.
 
-- ``double bfgs_settings.wolfe_cons_2``: Line search tuning parameter that controls the tolerance on the curvature condition.
+- ``fp_t bfgs_settings.wolfe_cons_2``: Line search tuning parameter that controls the tolerance on the curvature condition.
 
  - Default value: ``0.90``.
 

docs/source/api/broyden.rst

@@ -69,19 +69,19 @@ Function Declarations
 ---------------------
 
 .. _broyden-func-ref1:
-.. doxygenfunction:: broyden(Vec_t&, std::function<Vec_tconst Vec_t &vals_inp, void *opt_data>, void *)
+.. doxygenfunction:: broyden(ColVec_t&, std::function<Vec_tconst ColVec_t &vals_inp, void *opt_data>, void *)
  :project: optimlib
 
 .. _broyden-func-ref2:
-.. doxygenfunction:: broyden(Vec_t&, std::function<Vec_tconst Vec_t &vals_inp, void *opt_data>, void *, algo_settings_t&)
+.. doxygenfunction:: broyden(ColVec_t&, std::function<Vec_tconst ColVec_t &vals_inp, void *opt_data>, void *, algo_settings_t&)
  :project: optimlib
 
 .. _broyden-func-ref3:
-.. doxygenfunction:: broyden(Vec_t&, std::function<Vec_tconst Vec_t &vals_inp, void *opt_data>, void *, std::function<Mat_tconst Vec_t &vals_inp, void *jacob_data>, void *)
+.. doxygenfunction:: broyden(ColVec_t&, std::function<Vec_tconst ColVec_t &vals_inp, void *opt_data>, void *, std::function<Mat_tconst ColVec_t &vals_inp, void *jacob_data>, void *)
  :project: optimlib
 
 .. _broyden-func-ref4:
-.. doxygenfunction:: broyden(Vec_t&, std::function<Vec_tconst Vec_t &vals_inp, void *opt_data>, void *, std::function<Mat_tconst Vec_t &vals_inp, void *jacob_data>, void *, algo_settings_t&)
+.. doxygenfunction:: broyden(ColVec_t&, std::function<Vec_tconst ColVec_t &vals_inp, void *opt_data>, void *, std::function<Mat_tconst ColVec_t &vals_inp, void *jacob_data>, void *, algo_settings_t&)
  :project: optimlib
 
 ----
@@ -91,9 +91,9 @@ Optimization Control Parameters
 
 The basic control parameters are:
 
-- ``double rel_objfn_change_tol``: the error tolerance value controlling how small :math:`\| F \|` should be before 'convergence' is declared.
+- ``fp_t rel_objfn_change_tol``: the error tolerance value controlling how small :math:`\| F \|` should be before 'convergence' is declared.
 
-- ``double rel_sol_change_tol``: the error tolerance value controlling how small the proportional change in the solution vector should be before 'convergence' is declared.
+- ``fp_t rel_sol_change_tol``: the error tolerance value controlling how small the proportional change in the solution vector should be before 'convergence' is declared.
 
  The relative change is computed using:
 
@@ -107,9 +107,9 @@ The basic control parameters are:
 
 - ``bool vals_bound``: whether the search space of the algorithm is bounded. If ``true``, then
 
- - ``Vec_t lower_bounds``: defines the lower bounds of the search space.
+ - ``ColVec_t lower_bounds``: defines the lower bounds of the search space.
 
- - ``Vec_t upper_bounds``: defines the upper bounds of the search space.
+ - ``ColVec_t upper_bounds``: defines the upper bounds of the search space.
 
 In addition to these:
 

docs/source/api/broyden_df.rst

@@ -87,19 +87,19 @@ Function Declarations
 ---------------------
 
 .. _broyden-df-func-ref1:
-.. doxygenfunction:: broyden_df(Vec_t&, std::function<Vec_tconst Vec_t &vals_inp, void *opt_data>, void *)
+.. doxygenfunction:: broyden_df(ColVec_t&, std::function<Vec_tconst ColVec_t &vals_inp, void *opt_data>, void *)
  :project: optimlib
 
 .. _broyden-df-func-ref2:
-.. doxygenfunction:: broyden_df(Vec_t&, std::function<Vec_tconst Vec_t &vals_inp, void *opt_data>, void *, algo_settings_t&)
+.. doxygenfunction:: broyden_df(ColVec_t&, std::function<Vec_tconst ColVec_t &vals_inp, void *opt_data>, void *, algo_settings_t&)
  :project: optimlib
 
 .. _broyden-df-func-ref3:
-.. doxygenfunction:: broyden_df(Vec_t&, std::function<Vec_tconst Vec_t &vals_inp, void *opt_data>, void *, std::function<Mat_tconst Vec_t &vals_inp, void *jacob_data>, void *)
+.. doxygenfunction:: broyden_df(ColVec_t&, std::function<Vec_tconst ColVec_t &vals_inp, void *opt_data>, void *, std::function<Mat_tconst ColVec_t &vals_inp, void *jacob_data>, void *)
  :project: optimlib
 
 .. _broyden-df-func-ref4:
-.. doxygenfunction:: broyden_df(Vec_t&, std::function<Vec_tconst Vec_t &vals_inp, void *opt_data>, void *, std::function<Mat_tconst Vec_t &vals_inp, void *jacob_data>, void *, algo_settings_t&)
+.. doxygenfunction:: broyden_df(ColVec_t&, std::function<Vec_tconst ColVec_t &vals_inp, void *opt_data>, void *, std::function<Mat_tconst ColVec_t &vals_inp, void *jacob_data>, void *, algo_settings_t&)
  :project: optimlib
 
 ----
@@ -109,9 +109,9 @@ Optimization Control Parameters
 
 The basic control parameters are:
 
-- ``double rel_objfn_change_tol``: the error tolerance value controlling how small :math:`\| F \|` should be before 'convergence' is declared.
+- ``fp_t rel_objfn_change_tol``: the error tolerance value controlling how small :math:`\| F \|` should be before 'convergence' is declared.
 
-- ``double rel_sol_change_tol``: the error tolerance value controlling how small the proportional change in the solution vector should be before 'convergence' is declared.
+- ``fp_t rel_sol_change_tol``: the error tolerance value controlling how small the proportional change in the solution vector should be before 'convergence' is declared.
 
  The relative change is computed using:
 
@@ -125,9 +125,9 @@ The basic control parameters are:
 
 - ``bool vals_bound``: whether the search space of the algorithm is bounded. If ``true``, then
 
- - ``Vec_t lower_bounds``: defines the lower bounds of the search space.
+ - ``ColVec_t lower_bounds``: defines the lower bounds of the search space.
 
- - ``Vec_t upper_bounds``: defines the upper bounds of the search space.
+ - ``ColVec_t upper_bounds``: defines the upper bounds of the search space.
 
 In addition to these:
 

docs/source/api/cg.rst

@@ -122,11 +122,11 @@ Function Declarations
 ---------------------
 
 .. _cg-func-ref1:
-.. doxygenfunction:: cg(Vec_t&, std::function<doubleconst Vec_t &vals_inp, Vec_t *grad_out, void *opt_data>, void *)
+.. doxygenfunction:: cg(ColVec_t&, std::function<doubleconst ColVec_t &vals_inp, ColVec_t *grad_out, void *opt_data>, void *)
  :project: optimlib
 
 .. _cg-func-ref2:
-.. doxygenfunction:: cg(Vec_t&, std::function<doubleconst Vec_t &vals_inp, Vec_t *grad_out, void *opt_data>, void *, algo_settings_t&)
+.. doxygenfunction:: cg(ColVec_t&, std::function<doubleconst ColVec_t &vals_inp, ColVec_t *grad_out, void *opt_data>, void *, algo_settings_t&)
  :project: optimlib
 
 ----
@@ -136,9 +136,9 @@ Optimization Control Parameters
 
 The basic control parameters are:
 
-- ``double grad_err_tol``: the error tolerance value controlling how small the :math:`L_2` norm of the gradient vector :math:`\| \nabla f \|` should be before 'convergence' is declared.
+- ``fp_t grad_err_tol``: the error tolerance value controlling how small the :math:`L_2` norm of the gradient vector :math:`\| \nabla f \|` should be before 'convergence' is declared.
 
-- ``double rel_sol_change_tol``: the error tolerance value controlling how small the proportional change in the solution vector should be before 'convergence' is declared.
+- ``fp_t rel_sol_change_tol``: the error tolerance value controlling how small the proportional change in the solution vector should be before 'convergence' is declared.
 
  The relative change is computed using:
 
@@ -152,29 +152,29 @@ The basic control parameters are:
 
 - ``bool vals_bound``: whether the search space of the algorithm is bounded. If ``true``, then
 
- - ``Vec_t lower_bounds``: defines the lower bounds of the search space.
+ - ``ColVec_t lower_bounds``: defines the lower bounds of the search space.
 
- - ``Vec_t upper_bounds``: defines the upper bounds of the search space.
+ - ``ColVec_t upper_bounds``: defines the upper bounds of the search space.
 
 Additional settings:
 
 - ``int cg_settings.method``: Update method.
 
  - Default value: ``2``.
 
-- ``double cg_settings.restart_threshold``: parameter :math:`\nu` from step 2 in the algorithm description.
+- ``fp_t cg_settings.restart_threshold``: parameter :math:`\nu` from step 2 in the algorithm description.
 
  - Default value: ``0.1``.
 
 - ``bool use_rel_sol_change_crit``: whether to enable the ``rel_sol_change_tol`` stopping criterion.
 
  - Default value: ``false``.
 
-- ``double cg_settings.wolfe_cons_1``: Line search tuning parameter that controls the tolerance on the Armijo sufficient decrease condition.
+- ``fp_t cg_settings.wolfe_cons_1``: Line search tuning parameter that controls the tolerance on the Armijo sufficient decrease condition.
 
  - Default value: ``1E-03``.
 
-- ``double cg_settings.wolfe_cons_2``: Line search tuning parameter that controls the tolerance on the curvature condition.
+- ``fp_t cg_settings.wolfe_cons_2``: Line search tuning parameter that controls the tolerance on the curvature condition.
 
  - Default value: ``0.10``.
 

docs/source/api/de.rst

@@ -88,21 +88,21 @@ Function Declarations
 ---------------------
 
 .. _de-func-ref1:
-.. doxygenfunction:: de(Vec_t&, std::function<doubleconst Vec_t &vals_inp, Vec_t *grad_out, void *opt_data>, void *)
+.. doxygenfunction:: de(ColVec_t&, std::function<doubleconst ColVec_t &vals_inp, ColVec_t *grad_out, void *opt_data>, void *)
  :project: optimlib
 
 .. _de-func-ref2:
-.. doxygenfunction:: de(Vec_t&, std::function<doubleconst Vec_t &vals_inp, Vec_t *grad_out, void *opt_data>, void *, algo_settings_t&)
+.. doxygenfunction:: de(ColVec_t&, std::function<doubleconst ColVec_t &vals_inp, ColVec_t *grad_out, void *opt_data>, void *, algo_settings_t&)
  :project: optimlib
 
 ----
 
 .. _de-prmm-func-ref1:
-.. doxygenfunction:: de_prmm(Vec_t&, std::function<doubleconst Vec_t &vals_inp, Vec_t *grad_out, void *opt_data>, void *)
+.. doxygenfunction:: de_prmm(ColVec_t&, std::function<doubleconst ColVec_t &vals_inp, ColVec_t *grad_out, void *opt_data>, void *)
  :project: optimlib
 
 .. _de-prmm-func-ref2:
-.. doxygenfunction:: de_prmm(Vec_t&, std::function<doubleconst Vec_t &vals_inp, Vec_t *grad_out, void *opt_data>, void *, algo_settings_t&)
+.. doxygenfunction:: de_prmm(ColVec_t&, std::function<doubleconst ColVec_t &vals_inp, ColVec_t *grad_out, void *opt_data>, void *, algo_settings_t&)
  :project: optimlib
 
 
@@ -113,15 +113,15 @@ Optimization Control Parameters
 
 The basic control parameters are:
 
-- ``double rel_objfn_change_tol``: the error tolerance value controlling how small the relative change in best candidate solution should be before 'convergence' is declared.
+- ``fp_t rel_objfn_change_tol``: the error tolerance value controlling how small the relative change in best candidate solution should be before 'convergence' is declared.
 
 - ``size_t iter_max``: the maximum number of iterations/updates before the algorithm exits.
 
 - ``bool vals_bound``: whether the search space of the algorithm is bounded. If ``true``, then
 
- - ``Vec_t lower_bounds``: defines the lower bounds of the search space.
+ - ``ColVec_t lower_bounds``: defines the lower bounds of the search space.
 
- - ``Vec_t upper_bounds``: defines the upper bounds of the search space.
+ - ``ColVec_t upper_bounds``: defines the upper bounds of the search space.
 
 In addition to these:
 

docs/source/api/gd.rst

@@ -163,11 +163,11 @@ Function Declarations
 ---------------------
 
 .. _gd-func-ref1:
-.. doxygenfunction:: gd(Vec_t&, std::function<doubleconst Vec_t &vals_inp, Vec_t *grad_out, void *opt_data>, void *)
+.. doxygenfunction:: gd(ColVec_t&, std::function<doubleconst ColVec_t &vals_inp, ColVec_t *grad_out, void *opt_data>, void *)
  :project: optimlib
 
 .. _gd-func-ref2:
-.. doxygenfunction:: gd(Vec_t&, std::function<doubleconst Vec_t &vals_inp, Vec_t *grad_out, void *opt_data>, void *, algo_settings_t&)
+.. doxygenfunction:: gd(ColVec_t&, std::function<doubleconst ColVec_t &vals_inp, ColVec_t *grad_out, void *opt_data>, void *, algo_settings_t&)
  :project: optimlib
 
 ----
@@ -177,9 +177,9 @@ Optimization Control Parameters
 
 The basic control parameters are:
 
-- ``double grad_err_tol``: the error tolerance value controlling how small the :math:`L_2` norm of the gradient vector :math:`\| \nabla f \|` should be before 'convergence' is declared.
+- ``fp_t grad_err_tol``: the error tolerance value controlling how small the :math:`L_2` norm of the gradient vector :math:`\| \nabla f \|` should be before 'convergence' is declared.
 
-- ``double rel_sol_change_tol``: the error tolerance value controlling how small the proportional change in the solution vector should be before 'convergence' is declared.
+- ``fp_t rel_sol_change_tol``: the error tolerance value controlling how small the proportional change in the solution vector should be before 'convergence' is declared.
 
  The relative change is computed using:
 
@@ -193,9 +193,9 @@ The basic control parameters are:
 
 - ``bool vals_bound``: whether the search space of the algorithm is bounded. If ``true``, then
 
- - ``Vec_t lower_bounds``: defines the lower bounds of the search space.
+ - ``ColVec_t lower_bounds``: defines the lower bounds of the search space.
 
- - ``Vec_t upper_bounds``: defines the upper bounds of the search space.
+ - ``ColVec_t upper_bounds``: defines the upper bounds of the search space.
 
 In addition to these: