public virtual ContinuousSolution Minimize(CostFunction f, int max_iterations)
{
return(Minimize((x, lower_bounds, upper_bounds, constraints) =>
{
return f.Evaluate(x);
},
(x, gradX, lower_bounds, upper_bounds, constraints) =>
{
f.CalcGradient(x, gradX);
},
(improvement, iterations) =>
{
return iterations > max_iterations;
}));
}
public void Minimize(double x_0, CostFunction f, int max_iterations)
{
double x = x_0;
double fx = f.Evaluate(x);
double newtonX = 0;
double denominator = 0;
ContinuousSolution best_solution = new ContinuousSolution(new double[] { x }, fx);
double?improvement = null;
for (int k = 0; k < max_iterations; ++k)
{
f.CalcGradient(x, out denominator);
if (Math.Abs(denominator) < ZERO)
{
break;
}
newtonX = x - fx / denominator;
if (Math.Abs(newtonX - x) < SIGMA)
{
break;
}
x = newtonX;
fx = f.Evaluate(x);
if (best_solution.TryUpdateSolution(new double[] { x }, fx, out improvement))
{
OnSolutionUpdated(best_solution, k);
}
OnStepped(new ContinuousSolution(new double[] { x }, fx), k);
}
}
public static bool LineSearch(double[] x_0, double fx_0, double[] direction, out double[] x_out, out double fx_out, out double alpha, CostFunction f)
{
int dimension = x_0.Length;
double[] Vfx = new double[dimension];
x_out = new double[dimension];
alpha = 1.0;
fx_out = double.MaxValue;
f.CalcGradient(x_0, Vfx);
double direction_length = 0;
for (int d = 0; d < dimension; ++d)
{
direction_length += direction[d] * direction[d];
}
direction_length = Math.Sqrt(direction_length);
if (direction_length > 0)
{
for (int d = 0; d < dimension; ++d)
{
direction[d] /= direction_length;
}
}
double p = 0.0;
for (int d = 0; d < dimension; ++d)
{
p += (direction[d] * Vfx[d]);
}
//Console.WriteLine("p: {0}", p);
if (double.IsNaN(p))
{
return(false);
}
if (p >= 0.0) // not in the descending direction return false;
{
return(false);
}
for (int k = 0; ; ++k)
{
for (int d = 0; d < dimension; ++d)
{
x_out[d] = x_0[d] + alpha * direction[d];
}
fx_out = f.Evaluate(x_out);
if (fx_out < fx_0 + SIGMA * alpha * p)
{
return(true);
}
else
{
if (k == 0)
{
double enumerator = (p + fx_0 - fx_out);
if (enumerator == 0)
{
alpha = 0.5 * p / enumerator;
}
else
{
alpha = 0.5 * p;
}
//Console.WriteLine("alpha: {0}", alpha);
}
else
{
alpha *= BETA;
}
}
//Console.WriteLine("alpha: {0}", alpha);
if (alpha < ZERO)
{
if (fx_out > fx_0)
{
for (int d = 0; d < dimension; ++d)
{
x_out[d] = x_0[d];
}
fx_out = fx_0;
return(true);
}
else
{
return(true);
}
}
}
}