Flexible numerical optimization with ensmallen (2003.04103v4)

Abstract: This report provides an introduction to the ensmallen numerical optimization library, as well as a deep dive into the technical details of how it works. The library provides a fast and flexible C++ framework for mathematical optimization of arbitrary user-supplied functions. A large set of pre-built optimizers is provided, including many variants of Stochastic Gradient Descent and Quasi-Newton optimizers. Several types of objective functions are supported, including differentiable, separable, constrained, and categorical objective functions. Implementation of a new optimizer requires only one method, while a new objective function requires typically only one or two C++ methods. Through internal use of C++ template metaprogramming, ensmallen provides support for arbitrary user-supplied callbacks and automatic inference of unsupplied methods without any runtime overhead. Empirical comparisons show that ensmallen outperforms other optimization frameworks (such as Julia and SciPy), sometimes by large margins. The library is available at https://ensmallen.org and is distributed under the permissive BSD license.