The ensmallen library for flexible numerical optimization

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Curtin, Ryan
Edel, Marcus
Prabhu, Rahul Ganesh
Basak, Suryoday
Lou, Zhihao
Sanderson, Conrad
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2021
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Abstract

We overview the ensmallen numerical optimization library, which provides a flexible C++ framework for mathematical optimization of user-supplied objective functions. Many types of objective functions are supported, including general, differentiable, separable, constrained, and categorical. A diverse set of pre-built optimizers is provided, including Quasi-Newton optimizers and many variants of Stochastic Gradient Descent. The underlying framework facilitates the implementation of new optimizers. Optimization of an objective function typically requires supplying only one or two C++ functions. Custom behavior can be easily specified via callback functions. Empirical comparisons show that ensmallen outperforms other frameworks while providing more functionality. The library is available at https://ensmallen.org and is distributed under the permissive BSD license.

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Journal of Machine Learning Research

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22

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166

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© 2021 Ryan R. Curtin, Marcus Edel, Rahul Ganesh Prabhu, Suryoday Basak, Zhihao Lou, Conrad Sanderson. License: CC-BY 4.0, see https://creativecommons.org/licenses/by/4.0/. Attribution requirements are provided at http://jmlr.org/papers/v22/20-416.html.

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Applied mathematics

Optimisation

Information and computing sciences

Artificial intelligence

Data management and data science

Software engineering

Electronics, sensors and digital hardware

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Curtin, R; Edel, M; Prabhu, RG; Basak, S; Lou, Z; Sanderson, C, The ensmallen library for flexible numerical optimization, Journal of Machine Learning Research, 2021, 22 (166), pp. 1-6

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