public StepValueDeriv(DiffFunc1D func, Float initStep, Float initVal, Float initDeriv)
{
_func = func;
_step = initStep;
_value = initVal;
_deriv = initDeriv;
}
/// <summary>
/// Finds a local minimum of the function
/// </summary>
/// <param name="f">Function to minimize</param>
/// <param name="initVal">Value of function at 0</param>
/// <param name="initDeriv">Derivative of function at 0</param>
/// <returns>Minimizing value</returns>
public Float Minimize(DiffFunc1D f, Float initVal, Float initDeriv)
{
Contracts.Check(initDeriv < 0, "Cannot search in direction of ascent!");
Float dummy;
for (_step *= 2; ; _step /= 2)
{
Float newVal = f(_step, out dummy);
if (newVal <= initVal + _c1 * _step * initDeriv)
{
return(_step);
}
}
}
private static void RunTest(DiffFunc1D f)
{
CubicInterpLineSearch cils = new CubicInterpLineSearch((Float)1e-8);
Float val;
Float deriv;
val = f(0, out deriv);
Float min = cils.Minimize(f, val, deriv);
val = f(min, out deriv);
Console.WriteLine(deriv);
GoldenSectionSearch gss = new GoldenSectionSearch((Float)1e-8);
min = gss.Minimize(f);
val = f(min, out deriv);
Console.WriteLine(deriv);
}
/// <summary>
/// Finds a local minimum of the function
/// </summary>
/// <param name="func">Function to minimize</param>
/// <returns>Minimizing value</returns>
public Float Minimize(DiffFunc1D func)
{
Float d;
return(Minimize(x => func(x, out d)));
}
/// <summary>
/// Finds a local minimum of the function
/// </summary>
/// <param name="f">Function to minimize</param>
/// <param name="initVal">Value of function at 0</param>
/// <param name="initDeriv">Derivative of function at 0</param>
/// <returns>Minimizing value</returns>
public Float Minimize(DiffFunc1D f, Float initVal, Float initDeriv)
{
return(Minimize(f));
}
private Float FindMinimum(DiffFunc1D func, Float initValue, Float initDeriv)
{
Contracts.CheckParam(initDeriv < 0, nameof(initDeriv), "Cannot search in direction of ascent!");
StepValueDeriv lo = new StepValueDeriv(func, 0, initValue, initDeriv);
StepValueDeriv hi = new StepValueDeriv(func, _step);
// bracket minimum
while (hi.Deriv < 0)
{
Swap(ref lo, ref hi);
if (lo.Step >= MaxStep)
{
return(MaxStep);
}
hi.Step = lo.Step * 2;
}
Float window = 1;
StepValueDeriv mid = new StepValueDeriv(func);
for (int numSteps = 1; ; ++numSteps)
{
Float interp = CubicInterp(lo, hi);
if (window <= MinWindow || numSteps == MaxNumSteps)
{
return(interp);
}
// insure minimal progress to narrow interval
Float minProgressStep = _minProgress * (hi.Step - lo.Step);
Float maxMid = hi.Step - minProgressStep;
if (interp > maxMid)
{
interp = maxMid;
}
Float minMid = lo.Step + minProgressStep;
if (interp < minMid)
{
interp = minMid;
}
mid.Step = interp;
if (mid.Deriv == 0 || mid.Step == lo.Step || mid.Step == hi.Step)
{
return(mid.Step);
}
if (mid.Deriv < 0)
{
Swap(ref lo, ref mid);
}
else
{
Swap(ref hi, ref mid);
}
if (lo.Step >= MaxStep)
{
return(MaxStep);
}
window = (hi.Step - lo.Step) / hi.Step;
}
}
/// <summary>
/// Finds a local minimum of the function
/// </summary>
/// <param name="func">Function to minimize</param>
/// <param name="initValue">Value of function at 0</param>
/// <param name="initDeriv">Derivative of function at 0</param>
/// <returns>Minimizing value</returns>
public Float Minimize(DiffFunc1D func, Float initValue, Float initDeriv)
{
_step = FindMinimum(func, initValue, initDeriv);
return(Math.Min(_step, MaxStep));
}
public StepValueDeriv(DiffFunc1D func, Float initStep)
{
_func = func;
Step = initStep;
}
public StepValueDeriv(DiffFunc1D func)
{
_func = func;
}