public static void Sample1()
{
// Variables. The string names are added for convenience when printing out the optimal point with Point.ToString().
Variable x = new Variable("x");
Variable y = new Variable("y");
// Rosenbrock function http://en.wikipedia.org/wiki/Rosenbrock_function.
Function f = Function.Sqr(1.0 - x) + 100.0 * Function.Sqr(y - Function.Sqr(x));
// Use the BFGS optimizer.
BfgsOptimizer o = new BfgsOptimizer();
// Specify variables and objective functions and add constraints. Derivatives are computed automatically.
o.Variables.Add(x, y);
o.VariableConstraints.Add(x >= 0.0, y >= 0.0);
o.ObjectiveFunction = f;
// Start optimizer from a random point.
Random r = new Random(1);
IOptimizerResult or = o.Run(x | r.NextDouble(), y | r.NextDouble());
// Show convergence status and optimal point and value.
Console.WriteLine(or.Status);
Console.WriteLine(or.OptimalPoint);
Console.WriteLine(or.OptimalValue);
// The result object also contains BFGS convergence status.
Console.WriteLine(((BfgsOptimizerResult)or).ConvergenceStatus);
// We may use Prepare if we need to run the optimizer from multiple starting points.
PreparedOptimizer o2 = o.Prepare();
for (int i = 0; i < 10; i++)
{
IOptimizerResult or2 = o2.Run(x | r.NextDouble(), y | r.NextDouble());
Console.WriteLine(or2.OptimalPoint);
}
}
public InnerBfgsOptimizer(BfgsOptimizer optimizer)
: base(optimizer)
{
function = ObjectiveFunction * ObjectiveFunctionScaling;
n = Variables.Count;
if (optimizer.BfgsCorrections.HasValue)
{
m = optimizer.BfgsCorrections.Value;
if (m < 0 || m > n)
{
throw new OptimizerException("Invalid number of BFGS corrections.");
}
}
else
{
// Use the maximally recommended number of corrections in the BFGS scheme.
m = Math.Min(7, n);
}
gradient = new Function[n];
for (int i = 0; i < n; i++)
{
gradient[i] = function.Derivative(Variables[i]);
}
epsG = optimizer.EpsG;
epsF = optimizer.EpsF;
epsX = optimizer.EpsX;
maxIterations = optimizer.MaxIterations;
nbd = new int[n + 1];
l = new double[n + 1];
u = new double[n + 1];
foreach (VariableConstraint constraint in VariableConstraints)
{
int i = Variables.IndexOf(constraint.Variable) + 1;
double minValue = constraint.MinValue;
double maxValue = constraint.MaxValue;
if (!double.IsNegativeInfinity(minValue))
{
// Has lower boundary.
nbd[i] = 1;
l[i] = minValue;
}
if (!double.IsPositiveInfinity(maxValue))
{
// Has upper boundary.
nbd[i] = 3;
u[i] = maxValue;
}
if (!double.IsNegativeInfinity(minValue) && !double.IsPositiveInfinity(maxValue))
{
// Has both lower and upper boundaries (values are already defined).
nbd[i] = 2;
}
}
}