public void Optimize(Dictionary<double, double> values)
{
var costFunction = new SquareCostFunction(_lppl);
var lastCost = 10E6;
var cost = 0.0;
var costs = new List<double>();
_lpplGradient = new LpplGradient(_lppl, values);
var setpsSinceLastChange = 0;
var maxNorm = 10E6;
double stepSize = 10E-5;
do
{
var gradient = new DenseVector(3, 0.0);
foreach (var value in values)
{
var t = value.Key;
var deltaValue = value.Value - _lppl.Value(t);
gradient += - _lpplGradient.Gradient(t) * deltaValue;
}
_lppl.M -= gradient[0] * stepSize;
_lppl.Omega -= gradient[1] * stepSize;
_lppl.Tc -= gradient[2] * stepSize;
var optimizer = new LpplLinearOptimizer(_lppl);
optimizer.Optimize(values);
cost = costFunction.Evaluate(values);
costs.Add(costFunction.Evaluate(values));
if (lastCost - cost < 0)
{
stepSize /= 2.0;
setpsSinceLastChange++;
}
lastCost = cost;
//var norm = gradient.Norm(1);
//if (norm < maxNorm)
//{
// maxNorm = norm;
// setpsSinceLastChange = 0;
//}
Console.WriteLine(cost);
Console.WriteLine(gradient);
} while (setpsSinceLastChange < 2);
Console.WriteLine(costs.ToListPlot());
}
public void Optimize(Dictionary<double, double> values)
{
_clcf = new ConstraintLcFunction(_lcf, values);
var costFunction = new CostFunction(_clcf, values);
var lastCost = costFunction.Evaluate();
var costs = new List<double>();
var expectedStepSize = 0.01;
var setpsSinceLastChange = 0;
var stepsSinceDecrease = 0;
do
{
costs.Add(lastCost);
var gradient = costFunction.Gradient();
var norm = Math.Sqrt(gradient.ScalarProduct(gradient));
var stepSize = - expectedStepSize / norm;
_clcf.AddToB(stepSize.ScalarProduct(gradient));
double cost = costFunction.Evaluate();
if (lastCost - cost < 0 && stepsSinceDecrease > 5)
{
Console.WriteLine("DECREASE STEP SIZE:" + expectedStepSize);
expectedStepSize /= 2.0;
setpsSinceLastChange++;
stepsSinceDecrease = 0;
}
else if (Math.Abs(lastCost - cost) < 10E-15)
{
break;
}
lastCost = cost;
Console.WriteLine(cost);
Console.WriteLine(gradient.ListToString());
stepsSinceDecrease++;
} while (setpsSinceLastChange < 20);
Console.WriteLine(costs.ToListPlot());
}
