mostly working optimizers

test/test_lbfgs.cpp

@@ -0,0 +1,34 @@
+#include "test_autodiff_reverse.hpp" // reuse for same test infra
+#include "test_functions_for_optimization.hpp"
+#include <boost/math/differentiation/autodiff_reverse.hpp>
+#include <boost/math/optimization/lbfgs.hpp>
+#include <boost/math/optimization/minimizer.hpp>
+
+namespace rdiff = boost::math::differentiation::reverse_mode;
+namespace bopt = boost::math::optimization;
+
+BOOST_AUTO_TEST_SUITE(basic_lbfgs)
+
+BOOST_AUTO_TEST_CASE(default_lbfgs_test) {
+  using T = double;
+  constexpr size_t NITER = 10;
+  constexpr size_t M = 10;
+  const T eps = T{1e-8};
+
+  RandomSample<T> rng{T(-10), T(10)};
+  std::array<rdiff::rvar<T, 1>, 2> x;
+  x[0] = rng.next();
+  x[1] = rng.next();
+
+  auto opt = bopt::make_lbfgs<decltype(&rosenbrock_saddle<rdiff::rvar<T, 1>>),
+                              std::array<rdiff::rvar<T, 1>, 2>, T>(
+      &rosenbrock_saddle<rdiff::rvar<T, 1>>, x, M);
+
+  auto result = minimize(opt);
+  std::cout << result << std::endl;
+  for (auto &xi : x) {
+    BOOST_REQUIRE_CLOSE(xi, T{1.0}, eps);
+  }
+}
+
+BOOST_AUTO_TEST_SUITE_END()