Fminlbfgs Details

The function <tt>fminlbfgs</tt> gives a BSD license implementation of L-BFGS (so appropriate use of this in commercial applications is okay).  Here, we describe some details.

You can download the 
[http://www.mathworks.com/matlabcentral/fx_files/23245/9/fminlbfgs_version2c.zip source code], or read a 
[http://www.mathworks.com/matlabcentral/fileexchange/23245-fminlbfgs-fast-limited-memory-optimizer description of the software] on the Mathworks website.

It has an interface that is very similar to minFunc, and only very minor changes are required to get it to work.

Specifically, the "<tt>options</tt>" variable needs to be specified differently (<tt>fminlbfgs</tt> uses different names for the parameters). 
Here's a parameter set that will work for <tt>fminlbfgs</tt>:

<syntaxhighlight lang="matlab">
options.HessUpdate = 'lbfgs';
options.MaxIter = 400;
options.Display = 'iter';
options.GradObj = 'on';
</syntaxhighlight>

After setting <tt>options</tt> as above, the function call to run minFunc/fminlbfgs is exactly the same. 
Here's an example that works:

<syntaxhighlight lang="matlab">
%  Run fminlbfgs
[opttheta, loss] = fminlbfgs( @(p) sparseAutoencoderLoss(p, ...
                                   visibleSize, hiddenSize, ...
                                   lambda, targetActivation, ...
                                   beta, patches), ...
                              theta, options);
</syntaxhighlight>