private OptVector BuildVectorB(
List <Func <double[], double> > equalityConstraints,
List <InequalityConstraintProperties> inequalityConstraints,
Func <double[], double> lagrangian,
OptVector x)
{
double[] lagrangianDerivative = numericalDerivative.EvaluatePartialDerivative(lagrangian, x.MinArray, 1);
OptVector lagrangianOut = new OptVector(lagrangianDerivative);
OptVector equalityConstraintsResult = new OptVector(equalityConstraints.Count);
for (int i = 0; i < equalityConstraints.Count; i++)
{
equalityConstraintsResult[i] = equalityConstraints[i](x.MinArray);
}
lagrangianOut.Add(equalityConstraintsResult);
OptVector inequalityConstraintsResult = new OptVector(inequalityConstraints.Count(k => k.IsActive));
int resIndex = 0;
for (int i = 0; i < inequalityConstraints.Count; i++)
{
if (inequalityConstraints[i].IsActive)
{
inequalityConstraintsResult[resIndex] = inequalityConstraints[i].Function(x.MinArray);
resIndex++;
}
}
lagrangianOut.Add(inequalityConstraintsResult);
return(lagrangianOut * -1.0);
}
private OptVector[] BuildMatrixA(
List <Func <double[], double> > equalityConstraints,
List <InequalityConstraintProperties> inequalityConstraints,
OptVector[] lagrangianHessian,
OptVector x)
{
List <OptVector> constraintDerivative = new List <OptVector>();
for (int i = 0; i < equalityConstraints.Count; i++)
{
constraintDerivative.Add(new OptVector(numericalDerivative.EvaluatePartialDerivative(equalityConstraints[i], x.MinArray, 1)));
}
for (int i = 0; i < inequalityConstraints.Count; i++)
{
if (inequalityConstraints[i].IsActive)
{
constraintDerivative.Add(new OptVector(numericalDerivative.EvaluatePartialDerivative(inequalityConstraints[i].Function, x.MinArray, 1)));
}
}
OptVector[] bufHessian = new OptVector[lagrangianHessian.Length];
OptVector[] modifiedLagrangian = OptVector.Sum(lagrangianHessian, epsilonNw);
Array.Copy(modifiedLagrangian, bufHessian, lagrangianHessian.Length);
for (int i = 0; i < bufHessian.Length; i++)
{
OptVector buf = new OptVector(constraintDerivative.Count);
for (int j = 0; j < constraintDerivative.Count; j++)
{
buf[j] = constraintDerivative[j][i];
}
bufHessian[i].Add(buf);
}
var lagrangianList = bufHessian.ToList();
foreach (var item in constraintDerivative)
{
var res = OptVector.Add(item, new OptVector(constraintDerivative.Count, -epsilonSe));
lagrangianList.Add(res);
}
return(lagrangianList.ToArray());
}
private OptVector CalculateDirection(
OptVector[] A,
OptVector b,
OptVector x,
OptVector lambdaEq,
OptVector lambdaIq)
{
OptVector leq = new OptVector(lambdaEq);
OptVector liq = new OptVector(lambdaIq);
OptVector startValue = OptVector.Add(x, leq);
startValue = OptVector.Add(startValue, liq);
//startValue = new MinVector(startValue.Count);
OptVector result = linearSolver.Solve(A, b, startValue, 1000);
return(result);
}