public void Rosenbrock() { // starting point for search is somewhere var initialTheta = Vector <double> .Build.DenseOfArray(new[] { -1D, 1D }); // define the hypothesis with default parameter var rosenbrockParameter = Vector <double> .Build.DenseOfArray(new[] { 1D, 100D }); var hypothesis = new RosenbrockHypothesis(); // cost function is sum of squared errors var costFunction = new FunctionValueOptimization <double>(hypothesis, rosenbrockParameter); // define the optimization problem var problem = new OptimizationProblem <double, IDifferentiableCostFunction <double> >(costFunction, initialTheta); // optimize! var gd = new HagerZhangCG() { MaxIterations = 10000, ErrorTolerance = 1E-8D }; var result = gd.Minimize(problem); // assert! var coefficients = result.Coefficients; coefficients[0].Should().BeApproximately(rosenbrockParameter[0], 1E-5D, "because the Rosenbrock function has a minimum at x={0}, y={1}", rosenbrockParameter[0], Math.Sqrt(rosenbrockParameter[0])); coefficients[1].Should().BeApproximately(Math.Sqrt(rosenbrockParameter[0]), 1E-5D, "because the Rosenbrock function has a minimum at x={0}, y={1}", rosenbrockParameter[0], Math.Sqrt(rosenbrockParameter[0])); }
public void FletcherReevesRosenbrock() { // starting point for search is somewhere var initialTheta = Vector<double>.Build.DenseOfArray(new[] { -1D, 1D }); // define the hypothesis with default parameter var rosenbrockParameter = Vector<double>.Build.DenseOfArray(new[] { 1D, 100D }); var hypothesis = new RosenbrockHypothesis(); // cost function is sum of squared errors var costFunction = new FunctionValueOptimization<double>(hypothesis, rosenbrockParameter); // define the optimization problem var problem = new OptimizationProblem<double, IDifferentiableCostFunction<double>>(costFunction, initialTheta); // define the line search algorithm var lineSearch = new SecantMethod() { ErrorTolerance = 1E-6D }; // optimize! var gd = new FletcherReevesCG(lineSearch) { MaxIterations = 10000, ErrorTolerance = 1E-8D }; var result = gd.Minimize(problem); // assert! var coefficients = result.Coefficients; coefficients[0].Should().BeApproximately(rosenbrockParameter[0], 1E-5D, "because the Rosenbrock function has a minimum at x={0}, y={1}", rosenbrockParameter[0], Math.Sqrt(rosenbrockParameter[0])); coefficients[1].Should().BeApproximately(Math.Sqrt(rosenbrockParameter[0]), 1E-5D, "because the Rosenbrock function has a minimum at x={0}, y={1}", rosenbrockParameter[0], Math.Sqrt(rosenbrockParameter[0])); }
public void AlphaOfMinimizerIsFound() { var theta = Vector<double>.Build.DenseOfArray(new[] {1.0D, 100.0D}); var x0 = Vector<double>.Build.DenseOfArray(new[] {-1.5D, 0.6D}); var rosenbrock = new RosenbrockHypothesis(); // evaluate at the point var value = rosenbrock.Evaluate(theta, x0); var gradient = rosenbrock.Jacobian(theta, x0); // determine the initial search direction var direction = -gradient.Normalize(2); // create a wrapper cost function var wrapper = new FunctionValueOptimization<double>(rosenbrock, theta); // perform a line search var lineSearch = new HagerZhangLineSearch(); var alpha = lineSearch.Minimize(wrapper, x0, direction, 0.0D); alpha.Should().BeApproximately(0.235552763819095D, 1E-5D, "because that is the alpha value of the minimum along the search direction"); }
public void AlphaOfMinimizerIsFound() { var theta = Vector <double> .Build.DenseOfArray(new[] { 1.0D, 100.0D }); var x0 = Vector <double> .Build.DenseOfArray(new[] { -1.5D, 0.6D }); var rosenbrock = new RosenbrockHypothesis(); // evaluate at the point var value = rosenbrock.Evaluate(theta, x0); var gradient = rosenbrock.Jacobian(theta, x0); // determine the initial search direction var direction = -gradient.Normalize(2); // create a wrapper cost function var wrapper = new FunctionValueOptimization <double>(rosenbrock, theta); // perform a line search var lineSearch = new HagerZhangLineSearch(); var alpha = lineSearch.Minimize(wrapper, x0, direction, 0.0D); alpha.Should().BeApproximately(0.235552763819095D, 1E-5D, "because that is the alpha value of the minimum along the search direction"); }