public void Optimize(Dictionary<double, double> values)
{
_clcf = new ConstraintLcFunction(_lcf, values);
var costFunction = new CostFunction(_clcf, values);
var lastCost = costFunction.Evaluate();
var costs = new List<double>();
var expectedStepSize = 0.01;
var setpsSinceLastChange = 0;
var stepsSinceDecrease = 0;
do
{
costs.Add(lastCost);
var gradient = costFunction.Gradient();
var norm = Math.Sqrt(gradient.ScalarProduct(gradient));
var stepSize = - expectedStepSize / norm;
_clcf.AddToB(stepSize.ScalarProduct(gradient));
double cost = costFunction.Evaluate();
if (lastCost - cost < 0 && stepsSinceDecrease > 5)
{
Console.WriteLine("DECREASE STEP SIZE:" + expectedStepSize);
expectedStepSize /= 2.0;
setpsSinceLastChange++;
stepsSinceDecrease = 0;
}
else if (Math.Abs(lastCost - cost) < 10E-15)
{
break;
}
lastCost = cost;
Console.WriteLine(cost);
Console.WriteLine(gradient.ListToString());
stepsSinceDecrease++;
} while (setpsSinceLastChange < 20);
Console.WriteLine(costs.ToListPlot());
}
public CostFunction(ConstraintLcFunction cf, Dictionary<double, double> values)
{
_cf = cf;
_values = values;
}
