| public setFunctionValue ( double functionValue ) : void | ||
| functionValue | double | |
| return | void | |
//! minimize the optimization problem P
public override EndCriteria.Type minimize(Problem P, EndCriteria endCriteria)
{
EndCriteria.Type ecType = EndCriteria.Type.None;
P.reset();
Vector x_ = P.currentValue();
int iterationNumber_ = 0;
int stationaryStateIterationNumber_ = 0;
lineSearch_.searchDirection = new Vector(x_.Count);
bool end;
// function and squared norm of gradient values;
double normdiff;
// classical initial value for line-search step
double t = 1.0;
// Set gold at the size of the optimization problem search direction
Vector gold = new Vector(lineSearch_.searchDirection.Count);
Vector gdiff = new Vector(lineSearch_.searchDirection.Count);
P.setFunctionValue(P.valueAndGradient(gold, x_));
lineSearch_.searchDirection = gold * -1.0;
P.setGradientNormValue(Vector.DotProduct(gold, gold));
normdiff = Math.Sqrt(P.gradientNormValue());
do
{
// Linesearch
t = lineSearch_.value(P, ref ecType, endCriteria, t);
if (!(lineSearch_.succeed()))
{
throw new ApplicationException("line-search failed!");
}
// End criteria
// FIXME: it's never been used! ???
// , normdiff
end = endCriteria.value(iterationNumber_, ref stationaryStateIterationNumber_, true, P.functionValue(), Math.Sqrt(P.gradientNormValue()), lineSearch_.lastFunctionValue(), Math.Sqrt(lineSearch_.lastGradientNorm2()), ref ecType);
// Updates
// New point
x_ = lineSearch_.lastX();
// New function value
P.setFunctionValue(lineSearch_.lastFunctionValue());
// New gradient and search direction vectors
gdiff = gold - lineSearch_.lastGradient();
normdiff = Math.Sqrt(Vector.DotProduct(gdiff, gdiff));
gold = lineSearch_.lastGradient();
lineSearch_.searchDirection = gold * -1.0;
// New gradient squared norm
P.setGradientNormValue(lineSearch_.lastGradientNorm2());
// Increase interation number
++iterationNumber_;
} while (end == false);
P.setCurrentValue(x_);
return(ecType);
}
//! minimize the optimization problem P
public override EndCriteria.Type minimize(Problem P, EndCriteria endCriteria)
{
EndCriteria.Type ecType = EndCriteria.Type.None;
P.reset();
Vector x_ = P.currentValue();
int iterationNumber_ = 0;
int stationaryStateIterationNumber_ = 0;
lineSearch_.searchDirection = new Vector(x_.Count);
bool end;
// function and squared norm of gradient values;
double normdiff;
// classical initial value for line-search step
double t = 1.0;
// Set gold at the size of the optimization problem search direction
Vector gold = new Vector(lineSearch_.searchDirection.Count);
Vector gdiff = new Vector(lineSearch_.searchDirection.Count);
P.setFunctionValue(P.valueAndGradient(gold, x_));
lineSearch_.searchDirection = gold*-1.0;
P.setGradientNormValue(Vector.DotProduct(gold, gold));
normdiff = Math.Sqrt(P.gradientNormValue());
do
{
// Linesearch
t = lineSearch_.value(P, ref ecType, endCriteria, t);
if (!(lineSearch_.succeed()))
throw new ApplicationException("line-search failed!");
// End criteria
// FIXME: it's never been used! ???
// , normdiff
end = endCriteria.value(iterationNumber_, ref stationaryStateIterationNumber_, true, P.functionValue(), Math.Sqrt(P.gradientNormValue()), lineSearch_.lastFunctionValue(), Math.Sqrt(lineSearch_.lastGradientNorm2()), ref ecType);
// Updates
// New point
x_ = lineSearch_.lastX();
// New function value
P.setFunctionValue(lineSearch_.lastFunctionValue());
// New gradient and search direction vectors
gdiff = gold - lineSearch_.lastGradient();
normdiff = Math.Sqrt(Vector.DotProduct(gdiff, gdiff));
gold = lineSearch_.lastGradient();
lineSearch_.searchDirection = gold*-1.0;
// New gradient squared norm
P.setGradientNormValue(lineSearch_.lastGradientNorm2());
// Increase interation number
++iterationNumber_;
} while (end == false);
P.setCurrentValue(x_);
return ecType;
}
public override EndCriteria.Type minimize(Problem P, EndCriteria endCriteria)
{
EndCriteria.Type ecType = EndCriteria.Type.None;
upperBound_ = P.constraint().upperBound(P.currentValue());
lowerBound_ = P.constraint().lowerBound(P.currentValue());
currGenSizeWeights_ = new Vector(configuration().populationMembers,
configuration().stepsizeWeight);
currGenCrossover_ = new Vector(configuration().populationMembers,
configuration().crossoverProbability);
List <Candidate> population = new InitializedList <Candidate>(configuration().populationMembers);
population.ForEach((ii, vv) => population[ii] = new Candidate(P.currentValue().size()));
fillInitialPopulation(population, P);
//original quantlib use partial_sort as only first elements is needed
double fxOld = population.Min(x => x.cost);
bestMemberEver_ = (Candidate)population.First(x => x.cost.IsEqual(fxOld)).Clone();
int iteration = 0, stationaryPointIteration = 0;
// main loop - calculate consecutive emerging populations
while (!endCriteria.checkMaxIterations(iteration++, ref ecType))
{
calculateNextGeneration(population, P.costFunction());
double fxNew = population.Min(x => x.cost);
Candidate tmp = (Candidate)population.First(x => x.cost.IsEqual(fxNew)).Clone();
if (fxNew < bestMemberEver_.cost)
{
bestMemberEver_ = tmp;
}
if (endCriteria.checkStationaryFunctionValue(fxOld, fxNew, ref stationaryPointIteration,
ref ecType))
{
break;
}
fxOld = fxNew;
}
P.setCurrentValue(bestMemberEver_.values);
P.setFunctionValue(bestMemberEver_.cost);
return(ecType);
}
public override EndCriteria.Type minimize(Problem P, EndCriteria endCriteria)
{
// set up of the problem
//double ftol = endCriteria.functionEpsilon(); // end criteria on f(x) (see Numerical Recipes in C++, p.410)
double xtol = endCriteria.rootEpsilon(); // end criteria on x (see GSL v. 1.9, http://www.gnu.org/software/gsl/)
int maxStationaryStateIterations_ = endCriteria.maxStationaryStateIterations();
EndCriteria.Type ecType = EndCriteria.Type.None;
P.reset();
Vector x_ = P.currentValue();
int iterationNumber_ = 0;
// Initialize vertices of the simplex
bool end = false;
int n = x_.Count;
vertices_ = new InitializedList <Vector>(n + 1, x_);
for (int i = 0; i < n; i++)
{
Vector direction = new Vector(n, 0.0);
Vector vertice = vertices_[i + 1];
direction[i] = 1.0;
P.constraint().update(ref vertice, direction, lambda_);
vertices_[i + 1] = vertice;
}
// Initialize function values at the vertices of the simplex
values_ = new Vector(n + 1, 0.0);
for (int i = 0; i <= n; i++)
{
values_[i] = P.value(vertices_[i]);
}
// Loop looking for minimum
do
{
sum_ = new Vector(n, 0.0);
for (int i = 0; i <= n; i++)
{
sum_ += vertices_[i];
}
// Determine the best (iLowest), worst (iHighest)
// and 2nd worst (iNextHighest) vertices
int iLowest = 0;
int iHighest;
int iNextHighest;
if (values_[0] < values_[1])
{
iHighest = 1;
iNextHighest = 0;
}
else
{
iHighest = 0;
iNextHighest = 1;
}
for (int i = 1; i <= n; i++)
{
if (values_[i] > values_[iHighest])
{
iNextHighest = iHighest;
iHighest = i;
}
else
{
if ((values_[i] > values_[iNextHighest]) && i != iHighest)
{
iNextHighest = i;
}
}
if (values_[i] < values_[iLowest])
{
iLowest = i;
}
}
// Now compute accuracy, update iteration number and check end criteria
//// Numerical Recipes exit strategy on fx (see NR in C++, p.410)
//double low = values_[iLowest];
//double high = values_[iHighest];
//double rtol = 2.0*std::fabs(high - low)/
// (std::fabs(high) + std::fabs(low) + QL_EPSILON);
//++iterationNumber_;
//if (rtol < ftol ||
// endCriteria.checkMaxIterations(iterationNumber_, ecType)) {
// GSL exit strategy on x (see GSL v. 1.9, http://www.gnu.org/software/gsl
double simplexSize = Utils.computeSimplexSize(vertices_);
++iterationNumber_;
if (simplexSize < xtol || endCriteria.checkMaxIterations(iterationNumber_, ref ecType))
{
endCriteria.checkStationaryPoint(0.0, 0.0, ref maxStationaryStateIterations_, ref ecType);
endCriteria.checkMaxIterations(iterationNumber_, ref ecType);
x_ = vertices_[iLowest];
double low = values_[iLowest];
P.setFunctionValue(low);
P.setCurrentValue(x_);
return(ecType);
}
// If end criteria is not met, continue
double factor = -1.0;
double vTry = extrapolate(ref P, iHighest, ref factor);
if ((vTry <= values_[iLowest]) && (factor == -1.0))
{
factor = 2.0;
extrapolate(ref P, iHighest, ref factor);
}
else if (Math.Abs(factor) > Const.QL_EPSILON)
{
if (vTry >= values_[iNextHighest])
{
double vSave = values_[iHighest];
factor = 0.5;
vTry = extrapolate(ref P, iHighest, ref factor);
if (vTry >= vSave && Math.Abs(factor) > Const.QL_EPSILON)
{
for (int i = 0; i <= n; i++)
{
if (i != iLowest)
{
#if QL_ARRAY_EXPRESSIONS
vertices_[i] = 0.5 * (vertices_[i] + vertices_[iLowest]);
#else
vertices_[i] += vertices_[iLowest];
vertices_[i] *= 0.5;
#endif
values_[i] = P.value(vertices_[i]);
}
}
}
}
}
// If can't extrapolate given the constraints, exit
if (Math.Abs(factor) <= Const.QL_EPSILON)
{
x_ = vertices_[iLowest];
double low = values_[iLowest];
P.setFunctionValue(low);
P.setCurrentValue(x_);
return(EndCriteria.Type.StationaryFunctionValue);
}
} while (end == false);
throw new Exception("optimization failed: unexpected behaviour");
}
public override EndCriteria.Type minimize(Problem P, EndCriteria endCriteria)
{
// set up of the problem
//double ftol = endCriteria.functionEpsilon(); // end criteria on f(x) (see Numerical Recipes in C++, p.410)
double xtol = endCriteria.rootEpsilon(); // end criteria on x (see GSL v. 1.9, http://www.gnu.org/software/gsl/)
int maxStationaryStateIterations_ = endCriteria.maxStationaryStateIterations();
EndCriteria.Type ecType = EndCriteria.Type.None;
P.reset();
Vector x_ = P.currentValue();
int iterationNumber_ = 0;
// Initialize vertices of the simplex
bool end = false;
int n = x_.Count;
vertices_ = new InitializedList<Vector>(n + 1, x_);
for (int i = 0; i < n; i++)
{
Vector direction = new Vector(n, 0.0);
direction[i] = 1.0;
P.constraint().update(vertices_[i + 1], direction, lambda_);
}
// Initialize function values at the vertices of the simplex
values_ = new Vector(n + 1, 0.0);
for (int i = 0; i <= n; i++)
values_[i] = P.value(vertices_[i]);
// Loop looking for minimum
do
{
sum_ = new Vector(n, 0.0);
for (int i = 0; i <= n; i++)
sum_ += vertices_[i];
// Determine the best (iLowest), worst (iHighest)
// and 2nd worst (iNextHighest) vertices
int iLowest = 0;
int iHighest;
int iNextHighest;
if (values_[0] < values_[1])
{
iHighest = 1;
iNextHighest = 0;
}
else
{
iHighest = 0;
iNextHighest = 1;
}
for (int i = 1; i <= n; i++)
{
if (values_[i] > values_[iHighest])
{
iNextHighest = iHighest;
iHighest = i;
}
else
{
if ((values_[i] > values_[iNextHighest]) && i != iHighest)
iNextHighest = i;
}
if (values_[i] < values_[iLowest])
iLowest = i;
}
// Now compute accuracy, update iteration number and check end criteria
//// Numerical Recipes exit strategy on fx (see NR in C++, p.410)
//double low = values_[iLowest];
//double high = values_[iHighest];
//double rtol = 2.0*std::fabs(high - low)/
// (std::fabs(high) + std::fabs(low) + QL_EPSILON);
//++iterationNumber_;
//if (rtol < ftol ||
// endCriteria.checkMaxIterations(iterationNumber_, ecType)) {
// GSL exit strategy on x (see GSL v. 1.9, http://www.gnu.org/software/gsl
double simplexSize = Utils.computeSimplexSize(vertices_);
++iterationNumber_;
if (simplexSize < xtol || endCriteria.checkMaxIterations(iterationNumber_, ref ecType))
{
endCriteria.checkStationaryPoint(0.0, 0.0, ref maxStationaryStateIterations_, ref ecType);
endCriteria.checkMaxIterations(iterationNumber_, ref ecType);
x_ = vertices_[iLowest];
double low = values_[iLowest];
P.setFunctionValue(low);
P.setCurrentValue(x_);
return ecType;
}
// If end criteria is not met, continue
double factor = -1.0;
double vTry = extrapolate(ref P, iHighest, ref factor);
if ((vTry <= values_[iLowest]) && (factor == -1.0))
{
factor = 2.0;
extrapolate(ref P, iHighest, ref factor);
}
else if (Math.Abs(factor) > Const.QL_Epsilon)
{
if (vTry >= values_[iNextHighest])
{
double vSave = values_[iHighest];
factor = 0.5;
vTry = extrapolate(ref P, iHighest, ref factor);
if (vTry >= vSave && Math.Abs(factor) > Const.QL_Epsilon)
{
for (int i = 0; i <= n; i++)
{
if (i != iLowest)
{
#if QL_ARRAY_EXPRESSIONS
vertices_[i] = 0.5 * (vertices_[i] + vertices_[iLowest]);
#else
vertices_[i] += vertices_[iLowest];
vertices_[i] *= 0.5;
#endif
values_[i] = P.value(vertices_[i]);
}
}
}
}
}
// If can't extrapolate given the constraints, exit
if (Math.Abs(factor) <= Const.QL_Epsilon)
{
x_ = vertices_[iLowest];
double low = values_[iLowest];
P.setFunctionValue(low);
P.setCurrentValue(x_);
return EndCriteria.Type.StationaryFunctionValue;
}
} while (end == false);
throw new ApplicationException("optimization failed: unexpected behaviour");
}
public override EndCriteria.Type minimize(Problem P, EndCriteria endCriteria) {
EndCriteria.Type ecType = EndCriteria.Type.None;
P.reset();
Vector x_ = P.currentValue();
currentProblem_ = P;
initCostValues_ = P.costFunction().values(x_);
int m = initCostValues_.size();
int n = x_.size();
Vector xx = new Vector(x_);
Vector fvec = new Vector(m), diag = new Vector(n);
int mode = 1;
double factor = 1;
int nprint = 0;
int info = 0;
int nfev =0;
Matrix fjac = new Matrix(m, n);
int ldfjac = m;
List<int> ipvt = new InitializedList<int>(n);
Vector qtf = new Vector(n), wa1 = new Vector(n), wa2 = new Vector(n), wa3 = new Vector(n), wa4 = new Vector(m);
// call lmdif to minimize the sum of the squares of m functions
// in n variables by the Levenberg-Marquardt algorithm.
MINPACK.lmdif(m, n, xx, ref fvec,
endCriteria.functionEpsilon(),
xtol_,
gtol_,
endCriteria.maxIterations(),
epsfcn_,
diag, mode, factor,
nprint, ref info, ref nfev, ref fjac,
ldfjac, ref ipvt, ref qtf,
wa1, wa2, wa3, wa4,
fcn);
info_ = info;
// check requirements & endCriteria evaluation
if(info == 0) throw new ApplicationException("MINPACK: improper input parameters");
//if(info == 6) throw new ApplicationException("MINPACK: ftol is too small. no further " +
// "reduction in the sum of squares is possible.");
if (info != 6) ecType = EndCriteria.Type.StationaryFunctionValue;
//QL_REQUIRE(info != 5, "MINPACK: number of calls to fcn has reached or exceeded maxfev.");
endCriteria.checkMaxIterations(nfev, ref ecType);
if(info == 7) throw new ApplicationException("MINPACK: xtol is too small. no further " +
"improvement in the approximate " +
"solution x is possible.");
if(info == 8) throw new ApplicationException("MINPACK: gtol is too small. fvec is " +
"orthogonal to the columns of the " +
"jacobian to machine precision.");
// set problem
x_ = new Vector(xx.GetRange(0, n));
P.setCurrentValue(x_);
P.setFunctionValue(P.costFunction().value(x_));
return ecType;
}
//! solve the optimization problem P
public override EndCriteria.Type minimize(Problem P, EndCriteria endCriteria)
{
// Initializations
double ftol = endCriteria.functionEpsilon();
int maxStationaryStateIterations_ = endCriteria.maxStationaryStateIterations();
EndCriteria.Type ecType = EndCriteria.Type.None; // reset end criteria
P.reset(); // reset problem
Vector x_ = P.currentValue(); // store the starting point
int iterationNumber_ =0; // stationaryStateIterationNumber_=0
lineSearch_.searchDirection = new Vector(x_.Count); // dimension line search
bool done = false;
// function and squared norm of gradient values;
double fnew;
double fold;
double gold2;
double c;
double fdiff;
double normdiff;
// classical initial value for line-search step
double t = 1.0;
// Set gradient g at the size of the optimization problem search direction
int sz = lineSearch_.searchDirection.Count;
Vector g = new Vector(sz);
Vector d = new Vector(sz);
Vector sddiff = new Vector(sz);
// Initialize cost function, gradient g and search direction
P.setFunctionValue(P.valueAndGradient(g, x_));
P.setGradientNormValue(Vector.DotProduct(g, g));
lineSearch_.searchDirection = g * -1.0;
// Loop over iterations
do
{
// Linesearch
t = lineSearch_.value(P, ref ecType, endCriteria, t);
// don't throw: it can fail just because maxIterations exceeded
//QL_REQUIRE(lineSearch_->succeed(), "line-search failed!");
if (lineSearch_.succeed())
{
// Updates
d = lineSearch_.searchDirection;
// New point
x_ = lineSearch_.lastX();
// New function value
fold = P.functionValue();
P.setFunctionValue(lineSearch_.lastFunctionValue());
// New gradient and search direction vectors
g = lineSearch_.lastGradient();
// orthogonalization coef
gold2 = P.gradientNormValue();
P.setGradientNormValue(lineSearch_.lastGradientNorm2());
c = P.gradientNormValue() / gold2;
// conjugate gradient search direction
sddiff = ((g*-1.0) + c * d) - lineSearch_.searchDirection;
normdiff = Math.Sqrt(Vector.DotProduct(sddiff, sddiff));
lineSearch_.searchDirection = (g*-1.0) + c * d;
// Now compute accuracy and check end criteria
// Numerical Recipes exit strategy on fx (see NR in C++, p.423)
fnew = P.functionValue();
fdiff = 2.0 *Math.Abs(fnew-fold) / (Math.Abs(fnew) + Math.Abs(fold) + Double.Epsilon);
if (fdiff < ftol || endCriteria.checkMaxIterations(iterationNumber_, ref ecType))
{
endCriteria.checkStationaryFunctionValue(0.0, 0.0, ref maxStationaryStateIterations_, ref ecType);
endCriteria.checkMaxIterations(iterationNumber_, ref ecType);
return ecType;
}
//done = endCriteria(iterationNumber_,
// stationaryStateIterationNumber_,
// true, //FIXME: it should be in the problem
// fold,
// std::sqrt(gold2),
// P.functionValue(),
// std::sqrt(P.gradientNormValue()),
// ecType);
P.setCurrentValue(x_); // update problem current value
++iterationNumber_; // Increase iteration number
}
else
{
done =true;
}
} while (!done);
P.setCurrentValue(x_);
return ecType;
}
//! solve the optimization problem P
public override EndCriteria.Type minimize(Problem P, EndCriteria endCriteria)
{
// Initializations
double ftol = endCriteria.functionEpsilon();
int maxStationaryStateIterations_ = endCriteria.maxStationaryStateIterations();
EndCriteria.Type ecType = EndCriteria.Type.None; // reset end criteria
P.reset(); // reset problem
Vector x_ = P.currentValue(); // store the starting point
int iterationNumber_ = 0; // stationaryStateIterationNumber_=0
lineSearch_.searchDirection = new Vector(x_.Count); // dimension line search
bool done = false;
// function and squared norm of gradient values;
double fnew;
double fold;
double gold2;
double c;
double fdiff;
double normdiff;
// classical initial value for line-search step
double t = 1.0;
// Set gradient g at the size of the optimization problem search direction
int sz = lineSearch_.searchDirection.Count;
Vector g = new Vector(sz);
Vector d = new Vector(sz);
Vector sddiff = new Vector(sz);
// Initialize cost function, gradient g and search direction
P.setFunctionValue(P.valueAndGradient(g, x_));
P.setGradientNormValue(Vector.DotProduct(g, g));
lineSearch_.searchDirection = g * -1.0;
// Loop over iterations
do
{
// Linesearch
t = lineSearch_.value(P, ref ecType, endCriteria, t);
// don't throw: it can fail just because maxIterations exceeded
//QL_REQUIRE(lineSearch_->succeed(), "line-search failed!");
if (lineSearch_.succeed())
{
// Updates
d = lineSearch_.searchDirection;
// New point
x_ = lineSearch_.lastX();
// New function value
fold = P.functionValue();
P.setFunctionValue(lineSearch_.lastFunctionValue());
// New gradient and search direction vectors
g = lineSearch_.lastGradient();
// orthogonalization coef
gold2 = P.gradientNormValue();
P.setGradientNormValue(lineSearch_.lastGradientNorm2());
c = P.gradientNormValue() / gold2;
// conjugate gradient search direction
sddiff = ((g * -1.0) + c * d) - lineSearch_.searchDirection;
normdiff = Math.Sqrt(Vector.DotProduct(sddiff, sddiff));
lineSearch_.searchDirection = (g * -1.0) + c * d;
// Now compute accuracy and check end criteria
// Numerical Recipes exit strategy on fx (see NR in C++, p.423)
fnew = P.functionValue();
fdiff = 2.0 * Math.Abs(fnew - fold) / (Math.Abs(fnew) + Math.Abs(fold) + Double.Epsilon);
if (fdiff < ftol || endCriteria.checkMaxIterations(iterationNumber_, ref ecType))
{
endCriteria.checkStationaryFunctionValue(0.0, 0.0, ref maxStationaryStateIterations_, ref ecType);
endCriteria.checkMaxIterations(iterationNumber_, ref ecType);
return(ecType);
}
//done = endCriteria(iterationNumber_,
// stationaryStateIterationNumber_,
// true, //FIXME: it should be in the problem
// fold,
// std::sqrt(gold2),
// P.functionValue(),
// std::sqrt(P.gradientNormValue()),
// ecType);
P.setCurrentValue(x_); // update problem current value
++iterationNumber_; // Increase iteration number
}
else
{
done = true;
}
} while (!done);
P.setCurrentValue(x_);
return(ecType);
}
public override EndCriteria.Type minimize(Problem P, EndCriteria endCriteria)
{
// Initializations
double ftol = endCriteria.functionEpsilon();
int maxStationaryStateIterations_ = endCriteria.maxStationaryStateIterations();
EndCriteria.Type ecType = EndCriteria.Type.None; // reset end criteria
P.reset(); // reset problem
Vector x_ = P.currentValue(); // store the starting point
int iterationNumber_ = 0;
// dimension line search
lineSearch_.searchDirection = new Vector(x_.size());
bool done = false;
// function and squared norm of gradient values
double fnew, fold, gold2;
double fdiff;
// classical initial value for line-search step
double t = 1.0;
// Set gradient g at the size of the optimization problem
// search direction
int sz = lineSearch_.searchDirection.size();
Vector prevGradient = new Vector(sz), d = new Vector(sz), sddiff = new Vector(sz), direction = new Vector(sz);
// Initialize cost function, gradient prevGradient and search direction
P.setFunctionValue(P.valueAndGradient(prevGradient, x_));
P.setGradientNormValue(Vector.DotProduct(prevGradient, prevGradient));
lineSearch_.searchDirection = prevGradient * -1;
bool first_time = true;
// Loop over iterations
do
{
// Linesearch
if (!first_time)
{
prevGradient = lineSearch_.lastGradient();
}
t = (lineSearch_.value(P, ref ecType, endCriteria, t));
// don't throw: it can fail just because maxIterations exceeded
if (lineSearch_.succeed())
{
// Updates
// New point
x_ = lineSearch_.lastX();
// New function value
fold = P.functionValue();
P.setFunctionValue(lineSearch_.lastFunctionValue());
// New gradient and search direction vectors
// orthogonalization coef
gold2 = P.gradientNormValue();
P.setGradientNormValue(lineSearch_.lastGradientNorm2());
// conjugate gradient search direction
direction = getUpdatedDirection(P, gold2, prevGradient);
sddiff = direction - lineSearch_.searchDirection;
lineSearch_.searchDirection = direction;
// Now compute accuracy and check end criteria
// Numerical Recipes exit strategy on fx (see NR in C++, p.423)
fnew = P.functionValue();
fdiff = 2.0 * Math.Abs(fnew - fold) /
(Math.Abs(fnew) + Math.Abs(fold) + Const.QL_EPSILON);
if (fdiff < ftol ||
endCriteria.checkMaxIterations(iterationNumber_, ref ecType))
{
endCriteria.checkStationaryFunctionValue(0.0, 0.0, ref maxStationaryStateIterations_, ref ecType);
endCriteria.checkMaxIterations(iterationNumber_, ref ecType);
return(ecType);
}
P.setCurrentValue(x_); // update problem current value
++iterationNumber_; // Increase iteration number
first_time = false;
}
else
{
done = true;
}
}while (!done);
P.setCurrentValue(x_);
return(ecType);
}
public override EndCriteria.Type minimize(Problem P, EndCriteria endCriteria)
{
EndCriteria.Type ecType = EndCriteria.Type.None;
P.reset();
Vector x_ = P.currentValue();
currentProblem_ = P;
initCostValues_ = P.costFunction().values(x_);
int m = initCostValues_.size();
int n = x_.size();
if (useCostFunctionsJacobian_)
{
initJacobian_ = new Matrix(m, n);
P.costFunction().jacobian(initJacobian_, x_);
}
Vector xx = new Vector(x_);
Vector fvec = new Vector(m), diag = new Vector(n);
int mode = 1;
double factor = 1;
int nprint = 0;
int info = 0;
int nfev = 0;
Matrix fjac = new Matrix(m, n);
int ldfjac = m;
List <int> ipvt = new InitializedList <int>(n);
Vector qtf = new Vector(n), wa1 = new Vector(n), wa2 = new Vector(n), wa3 = new Vector(n), wa4 = new Vector(m);
// call lmdif to minimize the sum of the squares of m functions
// in n variables by the Levenberg-Marquardt algorithm.
Func <int, int, Vector, int, Matrix> j = null;
if (useCostFunctionsJacobian_)
{
j = jacFcn;
}
// requirements; check here to get more detailed error messages.
Utils.QL_REQUIRE(n > 0, () => "no variables given");
Utils.QL_REQUIRE(m >= n, () => $"less functions ({m}) than available variables ({n})");
Utils.QL_REQUIRE(endCriteria.functionEpsilon() >= 0.0, () => "negative f tolerance");
Utils.QL_REQUIRE(xtol_ >= 0.0, () => "negative x tolerance");
Utils.QL_REQUIRE(gtol_ >= 0.0, () => "negative g tolerance");
Utils.QL_REQUIRE(endCriteria.maxIterations() > 0, () => "null number of evaluations");
MINPACK.lmdif(m, n, xx, ref fvec,
endCriteria.functionEpsilon(),
xtol_,
gtol_,
endCriteria.maxIterations(),
epsfcn_,
diag, mode, factor,
nprint, ref info, ref nfev, ref fjac,
ldfjac, ref ipvt, ref qtf,
wa1, wa2, wa3, wa4,
fcn, j);
info_ = info;
// check requirements & endCriteria evaluation
Utils.QL_REQUIRE(info != 0, () => "MINPACK: improper input parameters");
if (info != 6)
{
ecType = EndCriteria.Type.StationaryFunctionValue;
}
endCriteria.checkMaxIterations(nfev, ref ecType);
Utils.QL_REQUIRE(info != 7, () => "MINPACK: xtol is too small. no further " +
"improvement in the approximate " +
"solution x is possible.");
Utils.QL_REQUIRE(info != 8, () => "MINPACK: gtol is too small. fvec is " +
"orthogonal to the columns of the " +
"jacobian to machine precision.");
// set problem
x_ = new Vector(xx.GetRange(0, n));
P.setCurrentValue(x_);
P.setFunctionValue(P.costFunction().value(x_));
return(ecType);
}
public override EndCriteria.Type minimize(Problem P, EndCriteria endCriteria)
{
EndCriteria.Type ecType = EndCriteria.Type.None;
P.reset();
Vector x_ = P.currentValue();
currentProblem_ = P;
initCostValues_ = P.costFunction().values(x_);
int m = initCostValues_.size();
int n = x_.size();
if (useCostFunctionsJacobian_)
{
initJacobian_ = new Matrix(m, n);
P.costFunction().jacobian(initJacobian_, x_);
}
Vector xx = new Vector(x_);
Vector fvec = new Vector(m), diag = new Vector(n);
int mode = 1;
double factor = 1;
int nprint = 0;
int info = 0;
int nfev = 0;
Matrix fjac = new Matrix(m, n);
int ldfjac = m;
List <int> ipvt = new InitializedList <int>(n);
Vector qtf = new Vector(n), wa1 = new Vector(n), wa2 = new Vector(n), wa3 = new Vector(n), wa4 = new Vector(m);
// call lmdif to minimize the sum of the squares of m functions
// in n variables by the Levenberg-Marquardt algorithm.
Func <int, int, Vector, int, Matrix> j = null;
if (useCostFunctionsJacobian_)
{
j = jacFcn;
}
MINPACK.lmdif(m, n, xx, ref fvec,
endCriteria.functionEpsilon(),
xtol_,
gtol_,
endCriteria.maxIterations(),
epsfcn_,
diag, mode, factor,
nprint, ref info, ref nfev, ref fjac,
ldfjac, ref ipvt, ref qtf,
wa1, wa2, wa3, wa4,
fcn, j);
info_ = info;
// check requirements & endCriteria evaluation
if (info == 0)
{
throw new ApplicationException("MINPACK: improper input parameters");
}
//if(info == 6) throw new ApplicationException("MINPACK: ftol is too small. no further " +
// "reduction in the sum of squares is possible.");
if (info != 6)
{
ecType = EndCriteria.Type.StationaryFunctionValue;
}
//QL_REQUIRE(info != 5, "MINPACK: number of calls to fcn has reached or exceeded maxfev.");
endCriteria.checkMaxIterations(nfev, ref ecType);
if (info == 7)
{
throw new ApplicationException("MINPACK: xtol is too small. no further " +
"improvement in the approximate " +
"solution x is possible.");
}
if (info == 8)
{
throw new ApplicationException("MINPACK: gtol is too small. fvec is " +
"orthogonal to the columns of the " +
"jacobian to machine precision.");
}
// set problem
x_ = new Vector(xx.GetRange(0, n));
P.setCurrentValue(x_);
P.setFunctionValue(P.costFunction().value(x_));
return(ecType);
}
public override EndCriteria.Type minimize(Problem P, EndCriteria endCriteria)
{
int stationaryStateIterations_ = 0;
EndCriteria.Type ecType = EndCriteria.Type.None;
P.reset();
Vector x = P.currentValue();
iteration_ = 0;
n_ = x.size();
ptry_ = new Vector(n_, 0.0);
// build vertices
vertices_ = new InitializedList <Vector>(n_ + 1, x);
for (i_ = 0; i_ < n_; i_++)
{
Vector direction = new Vector(n_, 0.0);
direction[i_] = 1.0;
Vector tmp = vertices_[i_ + 1];
P.constraint().update(ref tmp, direction, lambda_);
vertices_[i_ + 1] = tmp;
}
values_ = new Vector(n_ + 1, 0.0);
for (i_ = 0; i_ <= n_; i_++)
{
if (!P.constraint().test(vertices_[i_]))
{
values_[i_] = Double.MaxValue;
}
else
{
values_[i_] = P.value(vertices_[i_]);
}
if (Double.IsNaN(ytry_))
{
// handle NAN
values_[i_] = Double.MaxValue;
}
}
// minimize
T_ = T0_;
yb_ = Double.MaxValue;
pb_ = new Vector(n_, 0.0);
do
{
iterationT_ = iteration_;
do
{
sum_ = new Vector(n_, 0.0);
for (i_ = 0; i_ <= n_; i_++)
{
sum_ += vertices_[i_];
}
tt_ = -T_;
ilo_ = 0;
ihi_ = 1;
ynhi_ = values_[0] + tt_ * Math.Log(rng_.next().value);
ylo_ = ynhi_;
yhi_ = values_[1] + tt_ * Math.Log(rng_.next().value);
if (ylo_ > yhi_)
{
ihi_ = 0;
ilo_ = 1;
ynhi_ = yhi_;
yhi_ = ylo_;
ylo_ = ynhi_;
}
for (i_ = 2; i_ < n_ + 1; i_++)
{
yt_ = values_[i_] + tt_ * Math.Log(rng_.next().value);
if (yt_ <= ylo_)
{
ilo_ = i_;
ylo_ = yt_;
}
if (yt_ > yhi_)
{
ynhi_ = yhi_;
ihi_ = i_;
yhi_ = yt_;
}
else
{
if (yt_ > ynhi_)
{
ynhi_ = yt_;
}
}
}
// GSL end criterion in x (cf. above)
if (endCriteria.checkStationaryPoint(simplexSize(), 0.0,
ref stationaryStateIterations_,
ref ecType) ||
endCriteria.checkMaxIterations(iteration_, ref ecType))
{
// no matter what, we return the best ever point !
P.setCurrentValue(pb_);
P.setFunctionValue(yb_);
return(ecType);
}
iteration_ += 2;
amotsa(P, -1.0);
if (ytry_ <= ylo_)
{
amotsa(P, 2.0);
}
else
{
if (ytry_ >= ynhi_)
{
ysave_ = yhi_;
amotsa(P, 0.5);
if (ytry_ >= ysave_)
{
for (i_ = 0; i_ < n_ + 1; i_++)
{
if (i_ != ilo_)
{
for (j_ = 0; j_ < n_; j_++)
{
sum_[j_] = 0.5 * (vertices_[i_][j_] +
vertices_[ilo_][j_]);
vertices_[i_][j_] = sum_[j_];
}
values_[i_] = P.value(sum_);
}
}
iteration_ += n_;
for (i_ = 0; i_ < n_; i_++)
{
sum_[i_] = 0.0;
}
for (i_ = 0; i_ <= n_; i_++)
{
sum_ += vertices_[i_];
}
}
}
else
{
iteration_ += 1;
}
}
}while (iteration_ <
iterationT_ + (scheme_ == Scheme.ConstantFactor ? m_ : 1));
switch (scheme_)
{
case Scheme.ConstantFactor:
T_ *= (1.0 - epsilon_);
break;
case Scheme.ConstantBudget:
if (iteration_ <= K_)
{
T_ = T0_ *
Math.Pow(1.0 - Convert.ToDouble(iteration_) / Convert.ToDouble(K_), alpha_);
}
else
{
T_ = 0.0;
}
break;
}
}while (true);
}