ensmallen

ensmallen provides a simple set of abstractions for writing an objective function to optimize. It also provides a large set of standard and cutting-edge optimizers that can be used for virtually any numerical optimization task. These include full-batch gradient descent techniques, small-batch techniques, gradient-free optimizers, and constrained optimization.

Requirements

C++ compiler with C++11 support
Armadillo: http://arma.sourceforge.net
OpenBLAS or Intel MKL or LAPACK (see Armadillo site for details)

Installation

ensmallen can be installed in several ways: either manually or via cmake, with or without root access.

The cmake based installation will check the requirements and optionally build the tests. If cmake 3.3 (or a later version) is not already available on your system, it can be obtained from cmake.org. If you are using an older system such as RHEL 7 or CentOS 7, an updated version of cmake is also available via the EPEL repository (see the cmake3 package).

Example cmake based installation with root access:

mkdir build
cd build
cmake ..
sudo make install

Example cmake based installation without root access, installing into /home/blah/ (adapt as required):

mkdir build
cd build
cmake .. -DCMAKE_INSTALL_PREFIX:PATH=/home/blah/
make install

The above will create a directory named /home/blah/include/ and place all ensmallen headers there.

To optionally build and run the tests (after running cmake as above), use the following additional commands:

make ensmallen_tests
./ensmallen_tests --durations yes

Manual installation involves simply copying the include/ensmallen.hpp header and the associated include/ensmallen_bits directory to a location such as /usr/include/ which is searched by your C++ compiler. If you can't use sudo or don't have write access to /usr/include/, use a directory within your own home directory (eg. /home/blah/include/).

Example Compilation

If you have installed ensmallen in a standard location such as /usr/include/:

g++ prog.cpp -o prog -O2 -larmadillo

If you have installed ensmallen in a non-standard location, such as /home/blah/include/, you will need to make sure that your C++ compiler searches /home/blah/include/ by explicitly specifying the directory as an argument/option. For example, using the -I switch in gcc and clang:

g++ prog.cpp -o prog -O2 -I /home/blah/include/ -larmadillo

Example Optimization

See example.cpp for example usage of the L-BFGS optimizer in a linear regression setting.

License

Unless stated otherwise, the source code for ensmallen is licensed under the 3-clause BSD license (the "License"). A copy of the License is included in the "LICENSE.txt" file. You may also obtain a copy of the License at http://opensource.org/licenses/BSD-3-Clause

Citation

Please cite the following paper if you use ensmallen in your research and/or software. Citations are useful for the continued development and maintenance of the library.

S. Bhardwaj, R. Curtin, M. Edel, Y. Mentekidis, C. Sanderson.
ensmallen: a flexible C++ library for efficient function optimization.
Workshop on Systems for ML and Open Source Software at NIPS 2018.

@article{DBLP:journals/corr/abs-1810-09361,
  author    = {Shikhar Bhardwaj and
               Ryan R. Curtin and
               Marcus Edel and
               Yannis Mentekidis and
               Conrad Sanderson},
  title     = {ensmallen: a flexible {C++} library for efficient function optimization},
  journal   = {CoRR},
  volume    = {abs/1810.09361},
  doi       = {10.5281/zenodo.2008650},
  year      = {2018},
  url       = {http://arxiv.org/abs/1810.09361},
  archivePrefix = {arXiv},
  eprint    = {1810.09361},
  timestamp = {Wed, 31 Oct 2018 14:24:29 +0100},
  biburl    = {https://dblp.org/rec/bib/journals/corr/abs-1810-09361},
  bibsource = {dblp computer science bibliography, https://dblp.org}
}

Developers and Contributors

Ryan Curtin
Dongryeol Lee
Marcus Edel
Sumedh Ghaisas
Siddharth Agrawal
Stephen Tu
Shikhar Bhardwaj
Vivek Pal
Sourabh Varshney
Chenzhe Diao
Abhinav Moudgil
Konstantin Sidorov
Kirill Mishchenko
Kartik Nighania
Haritha Nair
Moksh Jain
Abhishek Laddha
Arun Reddy
Nishant Mehta
Trironk Kiatkungwanglai
Vasanth Kalingeri
Zhihao Lou
Conrad Sanderson
Dan Timson
N Rajiv Vaidyanathan
Roberto Hueso
Sayan Goswami