public ObjectiveChecker1D(IObjectiveFunction1D objective, Action <IEvaluation1D> value_checker, Action <IEvaluation1D> gradient_checker, Action <IEvaluation1D> hessian_checker)
{
this.InnerObjective = objective;
this.ValueChecker = value_checker;
this.DerivativeChecker = gradient_checker;
this.SecondDerivativeChecker = hessian_checker;
}
public MinimizationOutput1D FindMinimum(IObjectiveFunction1D objective, double lower_bound, double upper_bound)
{
if (!(objective is ObjectiveChecker1D))
{
objective = new ObjectiveChecker1D(objective, this.ValueChecker, null, null);
}
if (upper_bound <= lower_bound)
{
throw new OptimizationException("Lower bound must be lower than upper bound.");
}
double middle_point_x = lower_bound + (upper_bound - lower_bound) / (1 + _golden_ratio);
IEvaluation1D lower = objective.Evaluate(lower_bound);
IEvaluation1D middle = objective.Evaluate(middle_point_x);
IEvaluation1D upper = objective.Evaluate(upper_bound);
int expansion_steps = 0;
while ((expansion_steps < this.MaximumExpansionSteps) && (upper.Value < middle.Value || lower.Value < middle.Value))
{
if (lower.Value < middle.Value)
{
lower_bound = 0.5 * (upper_bound + lower_bound) - this.LowerExpansionFactor * 0.5 * (upper_bound - lower_bound);
lower = objective.Evaluate(lower_bound);
}
if (upper.Value < middle.Value)
{
upper_bound = 0.5 * (upper_bound + lower_bound) + this.UpperExpansionFactor * 0.5 * (upper_bound - lower_bound);
upper = objective.Evaluate(upper_bound);
}
middle_point_x = lower_bound + (upper_bound - lower_bound) / (1 + _golden_ratio);
middle = objective.Evaluate(middle_point_x);
expansion_steps += 1;
}
if (upper.Value < middle.Value || lower.Value < middle.Value)
{
throw new OptimizationException("Lower and upper bounds do not necessarily bound a minimum.");
}
int iterations = 0;
while (Math.Abs(upper.Point - lower.Point) > this.XTolerance && iterations < this.MaximumIterations)
{
double test_x = lower.Point + (upper.Point - middle.Point);
var test = objective.Evaluate(test_x);
if (test.Point < middle.Point)
{
if (test.Value > middle.Value)
{
lower = test;
}
else
{
upper = middle;
middle = test;
}
}
else
{
if (test.Value > middle.Value)
{
upper = test;
}
else
{
lower = middle;
middle = test;
}
}
iterations += 1;
}
if (iterations == this.MaximumIterations)
{
throw new MaximumIterationsException("Max iterations reached.");
}
else
{
return(new MinimizationOutput1D(middle, iterations, ExitCondition.BoundTolerance));
}
}
public MinimizationResult1D FindMinimum(IObjectiveFunction1D objective, double lowerBound, double upperBound)
{
if (upperBound <= lowerBound)
{
throw new OptimizationException("Lower bound must be lower than upper bound.");
}
double middlePointX = lowerBound + (upperBound - lowerBound) / (1 + Constants.GoldenRatio);
IEvaluation1D lower = objective.Evaluate(lowerBound);
IEvaluation1D middle = objective.Evaluate(middlePointX);
IEvaluation1D upper = objective.Evaluate(upperBound);
ValueChecker(lower.Value, lowerBound);
ValueChecker(middle.Value, middlePointX);
ValueChecker(upper.Value, upperBound);
int expansion_steps = 0;
while ((expansion_steps < this.MaximumExpansionSteps) && (upper.Value < middle.Value || lower.Value < middle.Value))
{
if (lower.Value < middle.Value)
{
lowerBound = 0.5 * (upperBound + lowerBound) - this.LowerExpansionFactor * 0.5 * (upperBound - lowerBound);
lower = objective.Evaluate(lowerBound);
}
if (upper.Value < middle.Value)
{
upperBound = 0.5 * (upperBound + lowerBound) + this.UpperExpansionFactor * 0.5 * (upperBound - lowerBound);
upper = objective.Evaluate(upperBound);
}
middlePointX = lowerBound + (upperBound - lowerBound) / (1 + Constants.GoldenRatio);
middle = objective.Evaluate(middlePointX);
expansion_steps += 1;
}
if (upper.Value < middle.Value || lower.Value < middle.Value)
{
throw new OptimizationException("Lower and upper bounds do not necessarily bound a minimum.");
}
int iterations = 0;
while (Math.Abs(upper.Point - lower.Point) > XTolerance && iterations < MaximumIterations)
{
double testX = lower.Point + (upper.Point - middle.Point);
var test = objective.Evaluate(testX);
ValueChecker(test.Value, testX);
if (test.Point < middle.Point)
{
if (test.Value > middle.Value)
{
lower = test;
}
else
{
upper = middle;
middle = test;
}
}
else
{
if (test.Value > middle.Value)
{
upper = test;
}
else
{
lower = middle;
middle = test;
}
}
iterations += 1;
}
if (iterations == MaximumIterations)
{
throw new MaximumIterationsException("Max iterations reached.");
}
return(new MinimizationResult1D(middle, iterations, ExitCondition.BoundTolerance));
}
