/// <summary>
/// Finds the minimum value of a function. The solution vector
/// will be made available at the <see cref="IOptimizationMethod.Solution"/> property.
/// </summary>
///
/// <returns>Returns <c>true</c> if the method converged to a <see cref="IOptimizationMethod.Solution"/>.
/// In this case, the found value will also be available at the <see cref="IOptimizationMethod.Value"/>
/// property.</returns>
///
public override bool Minimize()
{
if (Gradient == null)
{
throw new InvalidOperationException("gradient");
}
NonlinearObjectiveFunction.CheckGradient(Gradient, Solution);
return(base.Minimize());
}
/// <summary>
/// Finds the maximum value of a function. The solution vector
/// will be made available at the <see cref="IOptimizationMethod.Solution"/> property.
/// </summary>
///
/// <returns>Returns <c>true</c> if the method converged to a <see cref="IOptimizationMethod.Solution"/>.
/// In this case, the found value will also be available at the <see cref="IOptimizationMethod.Value"/>
/// property.</returns>
///
public override bool Maximize()
{
if (Gradient == null)
{
throw new InvalidOperationException("gradient");
}
NonlinearObjectiveFunction.CheckGradient(Gradient, Solution);
var g = Gradient;
Gradient = (x) => g(x).Multiply(-1);
bool success = base.Maximize();
Gradient = g;
return(success);
}
/// <summary>
/// Implements the actual optimization algorithm. This
/// method should try to minimize the objective function.
/// </summary>
protected override bool Optimize()
{
if (Function == null)
{
throw new InvalidOperationException("function");
}
if (Gradient == null)
{
throw new InvalidOperationException("gradient");
}
NonlinearObjectiveFunction.CheckGradient(Gradient, Solution);
int n = NumberOfVariables;
int m = corrections;
String task = "";
String csave = "";
bool[] lsave = new bool[4];
int iprint = 101;
int[] nbd = new int[n];
int[] iwa = new int[3 * n];
int[] isave = new int[44];
double f = 0.0d;
double[] x = new double[n];
double[] l = new double[n];
double[] u = new double[n];
double[] g = new double[n];
double[] dsave = new double[29];
int totalSize = 2 * m * n + 11 * m * m + 5 * n + 8 * m;
if (work == null || work.Length < totalSize)
{
work = new double[totalSize];
}
int i = 0;
{
for (i = 0; i < UpperBounds.Length; i++)
{
bool hasUpper = !Double.IsInfinity(UpperBounds[i]);
bool hasLower = !Double.IsInfinity(LowerBounds[i]);
if (hasUpper && hasLower)
{
nbd[i] = 2;
}
else if (hasUpper)
{
nbd[i] = 3;
}
else if (hasLower)
{
nbd[i] = 1;
}
else
{
nbd[i] = 0; // unbounded
}
if (hasLower)
{
l[i] = LowerBounds[i];
}
if (hasUpper)
{
u[i] = UpperBounds[i];
}
}
}
// We now define the starting point.
{
for (i = 0; i < n; i++)
{
x[i] = Solution[i];
}
}
double newF = 0;
double[] newG = null;
// We start the iteration by initializing task.
task = "START";
iterations = 0;
//
// c ------- the beginning of the loop ----------
//
L111:
iterations++;
//
// c This is the call to the L-BFGS-B code.
//
setulb(n, m, x, 0, l, 0, u, 0, nbd, 0, ref f, g, 0,
factr, pgtol, work, 0, iwa, 0, ref task, iprint, ref csave,
lsave, 0, isave, 0, dsave, 0);
//
if ((task.StartsWith("FG", StringComparison.OrdinalIgnoreCase)))
{
newF = Function(x);
newG = Gradient(x);
evaluations++;
f = newF;
for (int j = 0; j < newG.Length; j++)
{
g[j] = newG[j];
}
}
// c
else if ((task.StartsWith("NEW_X", StringComparison.OrdinalIgnoreCase)))
{
}
else
{
if (task == "ABNORMAL_TERMINATION_IN_LNSRCH")
{
Status = BoundedBroydenFletcherGoldfarbShannoStatus.LineSearchFailed;
}
else if (task == "CONVERGENCE: REL_REDUCTION_OF_F_<=_FACTR*EPSMCH")
{
Status = BoundedBroydenFletcherGoldfarbShannoStatus.FunctionConvergence;
}
else if (task == "CONVERGENCE: NORM_OF_PROJECTED_GRADIENT_<=_PGTOL")
{
Status = BoundedBroydenFletcherGoldfarbShannoStatus.GradientConvergence;
}
else
{
throw OperationException(task, task);
}
for (int j = 0; j < Solution.Length; j++)
{
Solution[j] = x[j];
}
newF = Function(x);
newG = Gradient(x);
evaluations++;
if (Progress != null)
{
Progress(this, new OptimizationProgressEventArgs(iterations, 0, newG, 0, null, 0, newF, 0, true)
{
Tag = new BoundedBroydenFletcherGoldfarbShannoInnerStatus(
isave, dsave, lsave, csave, work)
});
}
return(true);
}
if (Progress != null)
{
Progress(this, new OptimizationProgressEventArgs(iterations, 0, newG, 0, null, 0, f, 0, false)
{
Tag = new BoundedBroydenFletcherGoldfarbShannoInnerStatus(
isave, dsave, lsave, csave, work)
});
}
goto L111;
}