public void FindMinimumGoldsteinPriceFunction_AnalyticResult(MultiDimOptimizerConstraintProvider constraintTransformation)
{
var optimizer = new PowellOptimizer(PowellOptimizer.StandardAbortCondition, PowellOptimizer.StandardLineSearchOptimizer, constraintTransformation);
var constraint = optimizer.Constraint.Create(MultiDimRegion.Interval.Create(2, new[] { -2.0, -2.0 }, new[] { 2.0, 2.0 }));
var optimizerAlgorithm = optimizer.Create(constraint);
optimizerAlgorithm.Function = optimizer.Function.Create(2, z =>
{
var x = z[0];
var y = z[1];
return((1.0 + Math.Pow(x + y + 1.0, 2) * (19.0 - 14.0 * x + 3 * x * x - 14.0 * y + 6.0 * x * y + 3.0 * y * y)) * (30.0 + Math.Pow(2.0 * x - 3.0 * y, 2) * (18.0 - 32.0 * x + 12.0 * x * x + 48.0 * y - 36 * x * y + 27 * y * y)));
});
/* take an initial guess which is not extremly fare away from the expected argMin: */
var actualArgMin = new double[2];
actualArgMin[0] = -0.1;
actualArgMin[1] = -0.75;
double actualMinimum;
var state = optimizerAlgorithm.FindMinimum(actualArgMin, out actualMinimum);
var expectedMinimum = 3.0;
Assert.That(actualMinimum, Is.EqualTo(expectedMinimum).Within(1E-2), "Minimum");
var expectedArgMin = new[] { 0.0, -1.0 };
Assert.That(actualArgMin, Is.EqualTo(expectedArgMin).AsCollection.Within(1E-1));
}
public void FindMinimum_RosenbrockTestFunction_AnalyticResult(
[Values(2, 4, 5, 7)]
int d)
{
var optimizer = new PowellOptimizer();
var optimizerAlgorithm = optimizer.Create(d);
optimizerAlgorithm.Function = optimizer.Function.Create(d, x =>
{
double y = 0.0;
for (int k = 0; k < d - 1; k++)
{
y += 100 * Math.Pow(x[k + 1] - x[k] * x[k], 2) + Math.Pow(x[k] - 1.0, 2);
}
return(y);
});
/* take an initial guess which is not extremly fare away from the argMin: */
var actualArgMin = new double[d];
for (int k = 0; k < d; k++)
{
actualArgMin[k] = Math.Min(k, 2.1);
}
double actualMinimum;
var state = optimizerAlgorithm.FindMinimum(actualArgMin, out actualMinimum);
var expectedMinimum = 0.0;
Assert.That(actualMinimum, Is.EqualTo(expectedMinimum).Within(1E-2), "Minimum");
var expectedArgMin = Enumerable.Repeat(1.0, d).ToArray();
Assert.That(actualArgMin, Is.EqualTo(expectedArgMin).AsCollection.Within(1E-1));
}
/// <summary>Initializes a new instance of the <see cref="Algorithm"/> class.
/// </summary>
/// <param name="optimizer">The <see cref="PowellOptimizer"/> object that serves as factory of the current object.</param>
/// <param name="dimension">The dimension of the feasible region.</param>
internal Algorithm(PowellOptimizer optimizer, int dimension)
{
m_Optimizer = optimizer;
Dimension = dimension;
m_DirectionMatrix = new double[dimension * dimension];
m_LineSearchOptimizer = optimizer.LineSearchOptimizer.Create();
}