public double[] Solve(
Func <double[], double> f,
double[] startValue,
int nIter)
{
OptVector xOld = new OptVector(startValue);
OptVector xNew = new OptVector();
OptVector derivativeOld = new OptVector(numericalDerivative.EvaluatePartialDerivative(f, xOld.MinArray, 1));
OptVector direction = -1.0 * derivativeOld;
OptVector derivativeNew = new OptVector();
for (int i = 0; i < nIter; i++)
{
StepSize = strongWolfeLineSearch.GetStepLength(f, direction, xOld, 20, MaxIterLineSearch);
xNew = xOld + StepSize * direction;
if (CheckEarlyExit(xNew, xOld))
{
break;
}
derivativeNew = new OptVector(numericalDerivative.EvaluatePartialDerivative(f, xNew.MinArray, 1));
double beta = PolakRibiere(derivativeNew, derivativeOld);
direction = beta * direction - derivativeNew;
xOld = xNew;
derivativeOld = derivativeNew;
}
return(xNew.MinArray);
}
private double[] GetAndSetPenaltyParam(
Func <double[], double> f,
List <Func <double[], double> > eqConstraints,
ref List <InequalityConstraintProperties> inequalityConstraintsProp,
OptVector x)
{
double[] eqPenaltyParams = new double[eqConstraints.Count];
//Start penalty params
double deltaF = (new OptVector(numericalDerivative.EvaluatePartialDerivative(f, x.MinArray, 1))).Length();
for (int i = 0; i < eqConstraints.Count; i++)
{
double denom = (new OptVector(numericalDerivative.EvaluatePartialDerivative(eqConstraints[i], x.MinArray, 1))).Length();
if (Math.Abs(denom) > 0.0)
{
eqPenaltyParams[i] = deltaF / denom;
}
}
for (int i = 0; i < inequalityConstraintsProp.Count; i++)
{
double denom = (new OptVector(numericalDerivative.EvaluatePartialDerivative(inequalityConstraintsProp[i].Function, x.MinArray, 1))).Length();
if (Math.Abs(denom) > 0.0)
{
inequalityConstraintsProp[i].PenaltyParam = deltaF / denom;
}
}
return(eqPenaltyParams);
}
public double GetStepLength(
Func <double[], double> f,
OptVector d,
OptVector x0,
double alpham,
int maxIter)
{
double alphap = 0;
double c1 = 1E-7;
double c2 = 0.5;
double alphax = alpham;//rnd.NextDouble();
double fx0 = f(x0.MinArray);
double gx0 = new OptVector(numericalDerivative.EvaluatePartialDerivative(f, x0.MinArray, 1)) * d;
double fxp = fx0;
double gxp = gx0;
for (int i = 1; i < maxIter; i++)
{
OptVector xx = x0 + alphax * d;
double fxx = f(xx.MinArray);
double gxx = new OptVector(numericalDerivative.EvaluatePartialDerivative(f, xx.MinArray, 1)) * d;
if (fxx > fx0 + c1 * alphax * gx0 ||
(i > 1 && fxx >= fxp))
{
return(Zoom(f, x0, d, alphap, alphax, maxIter));
}
if (Math.Abs(gxx) <= -c2 * gx0)
{
return(alphax);
}
if (gxx >= 0)
{
return(Zoom(f, x0, d, alphax, alphap, maxIter));
}
alphap = alphax;
fxp = fxx;
gxp = gxx;
double r = rnd.NextDouble();
alphax = alphax + (alpham - alphax) * r;
}
return(alphax);
}