public void Update(LineSearchResult lsr)
{
var currPoint = lsr.CurrPoint;
var gradAtCurr = lsr.GradAtCurr;
var nextPoint = lsr.NextPoint;
var gradAtNext = lsr.GradAtNext;
// Inner product of S_k and Y_k
var SYk = 0.0;
// Add new ones.
if (kCounter < m)
{
for (var j = 0; j < dimension; j++)
{
S[kCounter][j] = nextPoint[j] - currPoint[j];
Y[kCounter][j] = gradAtNext[j] - gradAtCurr[j];
SYk += S[kCounter][j] * Y[kCounter][j];
}
rho[kCounter] = 1.0 / SYk;
}
else
{
// Discard oldest vectors and add new ones.
for (var i = 0; i < m - 1; i++)
{
S[i] = S[i + 1];
Y[i] = Y[i + 1];
rho[i] = rho[i + 1];
}
for (var j = 0; j < dimension; j++)
{
S[m - 1][j] = nextPoint[j] - currPoint[j];
Y[m - 1][j] = gradAtNext[j] - gradAtCurr[j];
SYk += S[m - 1][j] * Y[m - 1][j];
}
rho[m - 1] = 1.0 / SYk;
}
if (kCounter < m)
{
kCounter++;
}
}
public void TestLineSearchDeterminesSaneStepLength2()
{
var objectiveFunction = new QuadraticFunction2();
// given
var testX = new double[] { -2 };
var testValueX = objectiveFunction.ValueAt(testX);
var testGradX = objectiveFunction.GradientAt(testX);
var testDirection = new double[] { 1 };
// when
var lsr = LineSearchResult.GetInitialObject(testValueX, testGradX, testX);
LineSearch.DoLineSearch(objectiveFunction, testDirection, lsr, 1.0);
var stepSize = lsr.StepSize;
// then
Assert.True(Tolerance < stepSize && stepSize <= 1);
}
public void TestLineSearchFailsAtMinimum1()
{
var objectiveFunction = new QuadraticFunction2();
// given
double[] testX = { 0 };
var testValueX = objectiveFunction.ValueAt(testX);
var testGradX = objectiveFunction.GradientAt(testX);
double[] testDirection = { -1 };
// when
var lsr = LineSearchResult.GetInitialObject(testValueX, testGradX, testX);
LineSearch.DoLineSearch(objectiveFunction, testDirection, lsr, 1.0);
var stepSize = lsr.StepSize;
// then
Assert.False(Tolerance < stepSize && stepSize <= 1);
Assert.AreEqual(0.0, stepSize, Tolerance);
}
protected int DoBfgsUpdate(ref ExitCondition currentExitCondition, WolfeLineSearch lineSearcher, ref Matrix <double> inversePseudoHessian, ref Vector <double> lineSearchDirection, ref IObjectiveFunction previousPoint, ref LineSearchResult lineSearchResult, ref IObjectiveFunction candidate, ref Vector <double> step, ref int totalLineSearchSteps, ref int iterationsWithNontrivialLineSearch)
{
int iterations;
for (iterations = 1; iterations < MaximumIterations; ++iterations)
{
double startingStepSize;
double maxLineSearchStep;
lineSearchDirection = CalculateSearchDirection(ref inversePseudoHessian, out maxLineSearchStep, out startingStepSize, previousPoint, candidate, step);
try
{
lineSearchResult = lineSearcher.FindConformingStep(candidate, lineSearchDirection, startingStepSize, maxLineSearchStep);
}
catch (Exception e)
{
throw new InnerOptimizationException("Line search failed.", e);
}
iterationsWithNontrivialLineSearch += lineSearchResult.Iterations > 0 ? 1 : 0;
totalLineSearchSteps += lineSearchResult.Iterations;
step = lineSearchResult.FunctionInfoAtMinimum.Point - candidate.Point;
previousPoint = candidate;
candidate = lineSearchResult.FunctionInfoAtMinimum;
currentExitCondition = ExitCriteriaSatisfied(candidate, previousPoint, iterations);
if (currentExitCondition != ExitCondition.None)
{
break;
}
}
return(iterations);
}