public void MinimizeTest()
{
Func<double[], double> f = BroydenFletcherGoldfarbShannoTest.rosenbrockFunction;
Func<double[], double[]> g = BroydenFletcherGoldfarbShannoTest.rosenbrockGradient;
Assert.AreEqual(104, f(new[] { -1.0, 2.0 }));
int n = 2; // number of variables
double[] initial = { -1.2, 1 };
ConjugateGradient cg = new ConjugateGradient(n, f, g);
cg.Method = ConjugateGradientMethod.FletcherReeves;
Assert.IsTrue(cg.Minimize(initial));
double actual = cg.Value;
double expected = 0;
Assert.AreEqual(expected, actual, 1e-6);
double[] result = cg.Solution;
Assert.AreEqual(127, cg.Evaluations);
Assert.AreEqual(34, cg.Iterations);
Assert.AreEqual(1.0, result[0], 1e-3);
Assert.AreEqual(1.0, result[1], 1e-3);
Assert.IsFalse(double.IsNaN(result[0]));
Assert.IsFalse(double.IsNaN(result[1]));
double y = f(result);
double[] d = g(result);
Assert.AreEqual(0.0, y, 1e-6);
Assert.AreEqual(0.0, d[0], 1e-3);
Assert.AreEqual(0.0, d[1], 1e-3);
Assert.IsFalse(double.IsNaN(y));
Assert.IsFalse(double.IsNaN(d[0]));
Assert.IsFalse(double.IsNaN(d[1]));
}
public void ConstructorTest2()
{
Accord.Math.Tools.SetupGenerator(0);
var function = new NonlinearObjectiveFunction(2,
function: x => x[0] * x[1],
gradient: x => new[] { x[1], x[0] });
NonlinearConstraint[] constraints =
{
new NonlinearConstraint(function,
function: x => 1.0 - x[0] * x[0] - x[1] * x[1],
gradient: x => new [] { -2 * x[0], -2 * x[1]}),
new NonlinearConstraint(function,
function: x => x[0],
gradient: x => new [] { 1.0, 0.0}),
};
var target = new ConjugateGradient(2);
AugmentedLagrangian solver = new AugmentedLagrangian(target, function, constraints);
Assert.IsTrue(solver.Minimize());
double minimum = solver.Value;
double[] solution = solver.Solution;
double sqrthalf = Math.Sqrt(0.5);
Assert.AreEqual(-0.5, minimum, 1e-5);
Assert.AreEqual(sqrthalf, solution[0], 1e-5);
Assert.AreEqual(-sqrthalf, solution[1], 1e-5);
double expectedMinimum = function.Function(solver.Solution);
Assert.AreEqual(expectedMinimum, minimum);
}
public void AugmentedLagrangianSolverConstructorTest6()
{
// maximize 2x + 3y, s.t. 2x² + 2y² <= 50 and x+y = 1
// Max x' * c
// x
// s.t. x' * A * x <= k
// x' * i = 1
// lower_bound < x < upper_bound
double[] c = { 2, 3 };
double[,] A = { { 2, 0 }, { 0, 2 } };
double k = 50;
// Create the objective function
var objective = new NonlinearObjectiveFunction(2,
function: (x) => x.InnerProduct(c),
gradient: (x) => c
);
// Test objective
for (int i = 0; i < 10; i++)
{
for (int j = 0; j < 10; j++)
{
double expected = i * 2 + j * 3;
double actual = objective.Function(new double[] { i, j });
Assert.AreEqual(expected, actual);
}
}
// Create the optimization constraints
var constraints = new List<NonlinearConstraint>();
constraints.Add(new QuadraticConstraint(objective,
quadraticTerms: A,
shouldBe: ConstraintType.LesserThanOrEqualTo, value: k
));
constraints.Add(new NonlinearConstraint(objective,
function: (x) => x.Sum(),
gradient: (x) => new[] { 1.0, 1.0 },
shouldBe: ConstraintType.EqualTo, value: 1,
withinTolerance: 1e-10
));
// Test first constraint
for (int i = 0; i < 10; i++)
{
for (int j = 0; j < 10; j++)
{
double expected = i * (2 * i + 0 * j) + j * (0 * i + 2 * j);
double actual = constraints[0].Function(new double[] { i, j });
Assert.AreEqual(expected, actual);
}
}
// Test second constraint
for (int i = 0; i < 10; i++)
{
for (int j = 0; j < 10; j++)
{
double expected = i + j;
double actual = constraints[1].Function(new double[] { i, j });
Assert.AreEqual(expected, actual);
}
}
// Create the solver algorithm
var inner = new ConjugateGradient(2);
AugmentedLagrangianSolver solver =
new AugmentedLagrangianSolver(inner, constraints);
double maxValue = solver.Maximize(objective);
Assert.AreEqual(6, maxValue, 1e-4);
Assert.AreEqual(-3, solver.Solution[0], 1e-4);
Assert.AreEqual(4, solver.Solution[1], 1e-4);
}