/// <summary>Performs the QR factorization.</summary>
protected override void InternalCompute()
{
int m = matrix.Rows;
int n = matrix.Columns;
#if MANAGED
int minmn = m < n ? m : n;
r_ = new DoubleMatrix(matrix); // create a copy
DoubleVector[] u = new DoubleVector[minmn];
for (int i = 0; i < minmn; i++)
{
u[i] = Householder.GenerateColumn(r_, i, m - 1, i);
Householder.UA(u[i], r_, i, m - 1, i + 1, n - 1);
}
q_ = DoubleMatrix.CreateIdentity(m);
for (int i = minmn - 1; i >= 0; i--)
{
Householder.UA(u[i], q_, i, m - 1, i, m - 1);
}
#else
qr = new double[matrix.data.Length];
Array.Copy(matrix.data, qr, matrix.data.Length);
jpvt = new int[n];
jpvt[0] = 1;
Lapack.Geqp3.Compute(m, n, qr, m, jpvt, out tau);
r_ = new DoubleMatrix(m, n);
// Populate R
for (int i = 0; i < m; i++) {
for (int j = 0; j < n; j++) {
if (i <= j) {
r_.data[j * m + i] = qr[(jpvt[j]-1) * m + i];
}
else {
r_.data[j * m + i] = 0.0;
}
}
}
q_ = new DoubleMatrix(m, m);
for (int i = 0; i < m; i++) {
for (int j = 0; j < m; j++) {
if (j < n)
q_.data[j * m + i] = qr[j * m + i];
else
q_.data[j * m + i] = 0.0;
}
}
if( m < n ){
Lapack.Orgqr.Compute(m, m, m, q_.data, m, tau);
} else{
Lapack.Orgqr.Compute(m, m, n, q_.data, m, tau);
}
#endif
for (int i = 0; i < m; i++)
{
if (q_[i, i] == 0)
isFullRank = false;
}
}
public void CtorInitialValues()
{
DoubleVector test = new DoubleVector(2,1);
Assert.AreEqual(test.Length, 2);
Assert.AreEqual(test[0],1);
Assert.AreEqual(test[1],1);
}
public void CtorDimensions()
{
DoubleVector test = new DoubleVector(2);
Assert.AreEqual(test.Length, 2);
Assert.AreEqual(test[0],0);
Assert.AreEqual(test[1],0);
}
public void CurrentException2()
{
DoubleVector test = new DoubleVector(new double[2] { 1, 2 });
IEnumerator enumerator = test.GetEnumerator();
enumerator.MoveNext();
enumerator.MoveNext();
enumerator.MoveNext();
object value = enumerator.Current;
}
public void CtorArray()
{
double[] testvector = new double[2]{0,1};
DoubleVector test = new DoubleVector(testvector);
Assert.AreEqual(test.Length,testvector.Length);
Assert.AreEqual(test[0],testvector[0]);
Assert.AreEqual(test[1],testvector[1]);
}
public override double Value (DoubleVector x)
{
double retvalue=0;
for (int i=1; i<x.Length; i++)
{
retvalue = retvalue + 100*System.Math.Pow((x[i] - System.Math.Pow(x[i-1],2)),2) + System.Math.Pow((1-x[i-1]),2);
}
return retvalue;
}
public override DoubleVector Gradient(DoubleVector x)
{
DoubleVector retvalue = new DoubleVector(x.Length,0.0);
retvalue[0] = -400*x[0]*(x[1]-System.Math.Pow(x[0],2))-2*(1-x[0]);
retvalue[x.Length-1] = 200*(x[x.Length-1]-System.Math.Pow(x[x.Length-2],2));
if (x.Length>2)
{
for (int i=1; i<x.Length-1; i++)
retvalue[i] = 200*(x[i]-System.Math.Pow(x[i-1],2))-400*x[i]*(x[i+1]-System.Math.Pow(x[i],2))-2*(1-x[i]);
}
return retvalue;
}
///<summary> Minimize the given cost function </summary>
public override DoubleVector Search(DoubleVector x, DoubleVector d, double stp)
{
DoubleVector ret = new DoubleVector(x);
double j = 0;
double delta_d = d.GetDotProduct(d);
double alpha;
do
{
alpha = -GradientEvaluation(ret).GetDotProduct(d) /
d.GetDotProduct(HessianEvaluation(ret) * d);
ret = ret + alpha * d;
j++;
} while ((j < maxIteration) && (alpha * alpha * delta_d > tolerance * tolerance));
return ret;
}
public double Update(DoubleVector solution, DoubleVector direction, double beta)
{
DoubleVector newSolution;
double newbeta = beta;
for (int i = 0; i < 200; i++)
{
newSolution = solution + newbeta * direction;
if (Check(newSolution))
{
return newbeta;
}
newbeta *= 0.5;
}
throw new OptimizationException("Beta couldn't be found to satisfy constraint");
}
public override DoubleMatrix Hessian(DoubleVector x)
{
DoubleMatrix ret = new DoubleMatrix(x.Length,x.Length,0.0);
for (int i=0; i<x.Length-1; i++)
{
ret[i,i+1] = -400*x[i];
ret[i+1,i] = -400*x[i];
}
ret[0,0] = System.Math.Pow(1200*x[0],2)-400*x[1]+2;
ret[x.Length-1,x.Length-1] = 200;
for (int i=1; i<x.Length-1; i++)
ret[i,i] = 202 + System.Math.Pow(1200*x[i],2) - 400*x[i+1];
return ret;
}
public void Current()
{
DoubleVector test = new DoubleVector(new double[2] { 1, 2 });
IEnumerator enumerator = test.GetEnumerator();
bool movenextresult;
movenextresult = enumerator.MoveNext();
Assert.IsTrue(movenextresult);
Assert.AreEqual(enumerator.Current, test[0]);
movenextresult = enumerator.MoveNext();
Assert.IsTrue(movenextresult);
Assert.AreEqual(enumerator.Current, test[1]);
movenextresult = enumerator.MoveNext();
Assert.IsFalse(movenextresult);
}
///<summary>Method to override to calculate the grad_f, the first derivative of
/// the cost function with respect to x</summary>
public virtual DoubleVector Gradient(DoubleVector x)
{
double eps = 1e-8;
double fp, fm;
DoubleVector grad = new DoubleVector(x.Length,0.0);
DoubleVector xx = new DoubleVector(x);
for (int i=0; i<x.Length; i++)
{
xx[i] += eps;
fp = this.Value(xx);
xx[i] -= 2.0*eps;
fm = this.Value(xx);
grad[i] = 0.5*(fp - fm)/eps;
xx[i] = x[i];
}
return grad;
}
public void TestRosenbrock()
{
Rosenbrock cf = new Rosenbrock();
EndCriteria ec = new EndCriteria();
ConjugateGradient optim = new ConjugateGradient(cf, ec);
// new SecantLineSearch(cf,ec));
DoubleVector x0 = new DoubleVector(new double[5] { 1.3, 0.7, 0.8, 1.9, 1.2 });
optim.Minimize(x0);
Assert.AreEqual(optim.SolutionValue, 0.0, 0.1);
Assert.AreEqual(optim.SolutionVector[0], 1.0, 0.1);
Assert.AreEqual(optim.SolutionVector[1], 1.0, 0.1);
Assert.AreEqual(optim.SolutionVector[2], 1.0, 0.1);
Assert.AreEqual(optim.SolutionVector[3], 1.0, 0.2);
Assert.AreEqual(optim.SolutionVector[4], 1.0, 0.4);
}
///<summary> Minimize the given cost function </summary>
public override DoubleVector Search(DoubleVector x, DoubleVector d, double step)
{
DoubleVector ret = new DoubleVector(x);
double j=0;
double eta;
double delta_d = d.GetDotProduct(d);
double alpha = -sigma_0;
double eta_prev = d.GetDotProduct(GradientEvaluation(ret+sigma_0*d));
do
{
eta = d.GetDotProduct(GradientEvaluation(ret));
alpha = alpha*(eta/(eta_prev-eta));
ret = ret + alpha*d;
eta_prev = eta;
j++;
} while ((j<maxIteration) && (alpha*alpha*delta_d > tolerance*tolerance));
return ret;
}
public void TestReflection()
{
Poly cf = new Poly();
NelderMead optim = new NelderMead(cf);
DoubleVector[] simplex = new DoubleVector[3];
simplex[0] = new DoubleVector(new double[2]{1,1});
simplex[1] = new DoubleVector(new double[2]{1,-1});
simplex[2] = new DoubleVector(new double[2]{2,0});
optim.Rho = 1.5;
optim.InitializeMethod(simplex);
optim.IterateMethod();
DoubleVector xr = (1+optim.Rho)*(new DoubleVector(new double[2]{1,0})) - optim.Rho*simplex[2];
Assert.IsTrue(optim.LastStep == NelderMead.Step.Reflection);
Assert.AreEqual(optim.Simplex[0][0],xr[0]);
Assert.AreEqual(optim.Simplex[0][1],xr[1]);
}
public override LinearAlgebra.DoubleVector Search(LinearAlgebra.DoubleVector x, LinearAlgebra.DoubleVector direction, double step)
{
DoubleVector retx = new DoubleVector(x);
double oldVal = FunctionEvaluation(retx);
double newVal = oldVal;
// First find the initial direction
double valPos = FunctionEvaluation(retx + direction * step);
double valNeg = FunctionEvaluation(retx - direction * step);
if (valPos >= oldVal && valNeg < oldVal) // we reverse the direction only if the other direction really gives the smaller result
{
retx -= direction * step;
oldVal = valNeg;
step = -step;
}
else if (valPos < oldVal)
{
retx += direction * step;
oldVal = valPos;
}
// now iterate
for (; ; )
{
retx += direction * step;
newVal = FunctionEvaluation(retx);
if (newVal > oldVal)
{
step /= -2;
}
else if (!(newVal != oldVal))
{
break;
}
oldVal = newVal;
}
return retx;
}
public void TestInitializeMethod()
{
Rosenbrock cf = new Rosenbrock();
NelderMead optim = new NelderMead(cf);
DoubleVector x0 = new DoubleVector(new double[4]{0,1,2,3});
optim.SimplexDelta = 0.1;
optim.SimplexZeroDelta = 0.0001;
optim.InitializeMethod(x0);
Assert.AreEqual(optim.Simplex.Length,5);
for (int i=0; i<optim.Simplex.Length; i++)
{
Assert.AreEqual(optim.Simplex[i][0],x0[0],optim.SimplexZeroDelta);
Assert.AreEqual(optim.Simplex[i][1],x0[1],optim.SimplexDelta*x0[1]+0.001);
Assert.AreEqual(optim.Simplex[i][2],x0[2],optim.SimplexDelta*x0[2]+0.001);
Assert.AreEqual(optim.Simplex[i][3],x0[3],optim.SimplexDelta*x0[3]+0.001);
}
for (int i=1; i<optim.Simplex.Length; i++)
{
Assert.IsTrue(cf.Value(optim.Simplex[i-1])<cf.Value(optim.Simplex[i]));
}
}
public void SetColumnWrongRank()
{
DoubleMatrix a = new DoubleMatrix(2,2);
DoubleVector b = new DoubleVector(3);
a.SetColumn(1,b);
}
public void SetColumnOutOfRange()
{
DoubleMatrix a = new DoubleMatrix(2,2);
DoubleVector b = new DoubleVector(2);
a.SetColumn(2,b);
}
public void SetColumn()
{
DoubleMatrix a = new DoubleMatrix(2,2);
DoubleVector b = new DoubleVector(2);
b[0] = 1;
b[1] = 2;
a.SetColumn(0,b);
Assert.AreEqual(b[0], a[0,0]);
Assert.AreEqual(b[1], a[1,0]);
}
public void MemberMultiplyMatrixNonConformVector()
{
DoubleMatrix a = new DoubleMatrix(2);
DoubleVector b = new DoubleVector(3,2);
a.Multiply(b);
}
public void MemberMultiplyVector()
{
DoubleMatrix a = new DoubleMatrix(2);
a[0,0] = 1;
a[0,1] = 2;
a[1,0] = 3;
a[1,1] = 4;
DoubleVector b = new DoubleVector(2,2);
a.Multiply(b);
Assert.AreEqual(a[0,0],6);
Assert.AreEqual(a[1,0],14);
Assert.AreEqual(a.ColumnLength, 1);
Assert.AreEqual(a.RowLength, 2);
}
public void StaticMultiplyNullMatrixVector()
{
DoubleMatrix a = null;
DoubleVector b = new DoubleVector(2,2);
DoubleVector c = DoubleMatrix.Multiply(a,b);
}
public void StaticMultiplyMatrixNonConformVector()
{
DoubleMatrix a = new DoubleMatrix(2);
DoubleVector b = new DoubleVector(3,2);
DoubleVector c = a * b;
}
public void StaticMultiplyMatrixVector()
{
DoubleMatrix a = new DoubleMatrix(2);
a[0,0] = 1;
a[0,1] = 2;
a[1,0] = 3;
a[1,1] = 4;
DoubleVector b = new DoubleVector(2,2);
DoubleVector c = DoubleMatrix.Multiply(a,b);
Assert.AreEqual(c[0],6);
Assert.AreEqual(c[1],14);
}
public void OperatorMultiplyNullMatrixVector()
{
DoubleMatrix a = null;
DoubleVector b = new DoubleVector(2,2);
DoubleVector c = a * b;
}
public void OperatorMultiplyMatrixVector()
{
DoubleMatrix a = new DoubleMatrix(2);
a[0,0] = 1;
a[0,1] = 2;
a[1,0] = 3;
a[1,1] = 4;
DoubleVector b = new DoubleVector(2,2);
DoubleVector c = a * b;
Assert.AreEqual(c[0],6);
Assert.AreEqual(c[1],14);
}
///<summary> Minimize the given cost function </summary> public abstract DoubleVector Search(DoubleVector x, DoubleVector direction, double step);
///<summary> Constructor </summary>
public DoubleVectorEnumerator(DoubleVector vector)
{
v = vector;
index = -1;
length = v.Length;
}
public void SetDiagonal()
{
DoubleMatrix a = new DoubleMatrix(2,2);
DoubleVector b = new DoubleVector(2);
b[0] = 1;
b[1] = 2;
a.SetDiagonal(b);
Assert.AreEqual(b[0], a[0,0]);
Assert.AreEqual(b[1], a[1,1]);
}
///<summary> Constructor </summary>
public DoubleVectorEnumerator (DoubleVector vector)
{
v=vector;
index=-1;
length=v.Length;
}
public void SolverCoreTestMatrixNd()
{
const int N = 50;
var a = new DoubleMatrix(N, N);
// Make matrix diagonal
for (int i = 0; i < N; i++)
{
a[i, i] = 1;
}
// Apply random rotations around each pair of axes. This will keep det(A) ~ 1
var rand = new Random();
for (int i = 0; i < N; i++)
{
for (int j = i + 1; j < N; j++)
{
double angle = rand.NextDouble() * 2 * Math.PI;
var r = new DoubleMatrix(N, N);
for (int k = 0; k < N; k++)
{
r[k, k] = 1;
}
r[i, i] = r[j, j] = Math.Cos(angle);
r[i, j] = Math.Sin(angle);
r[j, i] = -Math.Sin(angle);
a = a * r;
}
}
// Generate random vector
var b = DoubleVector.Zeros(N);
for (int i = 0; i < N; i++)
{
b[i] = rand.NextDouble();
}
// Solve system
var sw = new Stopwatch();
sw.Start();
var x = solver.Solve(a, b, (len) => new DoubleVector(len));
sw.Stop();
Trace.WriteLine("Gaussian elimination took: " + sw.ElapsedTicks);
// Solve system
sw.Start();
var x2 = solver.Solve(a, b, (l) => new DoubleVector(l));
sw.Stop();
Trace.WriteLine("Jama solve elimination took: " + sw.ElapsedTicks);
Trace.WriteLine("Difference is " + VectorMath.LInfinityNorm(x, x2));
// Put solution into system
var b2 = a * x;
// Verify result is the same
Assert.IsTrue(VectorMath.LInfinityNorm(b, b2) < 1e-6);
}