public Info[] Expected(Specification problem)
{
Function function = problem.Function.Invoke;
Gradient gradient = problem.Gradient.Invoke;
Param param = new Param()
{
m = m,
epsilon = epsilon,
past = past,
delta = delta,
max_iterations = max_iterations,
linesearch = (int)linesearch,
max_linesearch = max_linesearch,
min_step = min_step,
max_step = max_step,
ftol = ftol,
wolfe = wolfe,
gtol = gtol,
xtol = xtol,
orthantwise_c = orthantwise_c,
orthantwise_start = orthantwise_start,
orthantwise_end = orthantwise_end
};
NativeCode = Wrapper.Libbfgs((double[])problem.Start.Clone(), function, gradient, param);
// Convergence and success have the same
// enumeration value in the original code
if (NativeCode == "LBFGS_CONVERGENCE")
NativeCode = "LBFGS_SUCCESS";
return Wrapper.list.ToArray();
}
public Info[] Expected(Specification problem)
{
NativeCode = String.Empty;
Function function = problem.Function.Invoke;
Gradient gradient = problem.Gradient.Invoke;
if (l == null)
{
l = new double[problem.Start.Length];
for (int i = 0; i < l.Length; i++)
l[i] = Double.NegativeInfinity;
}
if (u == null)
{
u = new double[problem.Start.Length];
for (int i = 0; i < l.Length; i++)
u[i] = Double.PositiveInfinity;
}
Param2 param = new Param2()
{
factr = factr,
l = l,
u = u,
pgtol = pgtol,
m = m,
max_iterations = max_iterations
};
NativeCode = Wrapper.Lbfgsb3((double[])problem.Start.Clone(), function, gradient, param).Trim();
return Wrapper.list.ToArray();
}
public OptimizationProgressEventArgs[] Actual(Specification problem)
{
ActualMessage = String.Empty;
BoundedBroydenFletcherGoldfarbShanno target =
new BoundedBroydenFletcherGoldfarbShanno(problem.Variables)
{
FunctionTolerance = factr,
GradientTolerance = pgtol,
Corrections = m,
MaxIterations = max_iterations
};
for (int i = 0; i < target.LowerBounds.Length; i++)
{
if (l != null)
target.LowerBounds[i] = l[i];
if (u != null)
target.UpperBounds[i] = u[i];
}
target.Function = problem.Function;
target.Gradient = problem.Gradient;
actual.Clear();
target.Progress += new EventHandler<OptimizationProgressEventArgs>(target_Progress);
target.Minimize((double[])problem.Start.Clone());
if (target.Status == BoundedBroydenFletcherGoldfarbShannoStatus.GradientConvergence)
ActualMessage = "CONVERGENCE: NORM_OF_PROJECTED_GRADIENT_<=_PGTOL";
else if (target.Status == BoundedBroydenFletcherGoldfarbShannoStatus.FunctionConvergence)
ActualMessage = "CONVERGENCE: REL_REDUCTION_OF_F_<=_FACTR*EPSMCH";
else if (target.Status == BoundedBroydenFletcherGoldfarbShannoStatus.LineSearchFailed)
ActualMessage = "ABNORMAL_TERMINATION_IN_LNSRCH";
return actual.ToArray();
}
public OptimizationProgressEventArgs[] Actual(Specification problem)
{
BroydenFletcherGoldfarbShanno target = new BroydenFletcherGoldfarbShanno(problem.Variables)
{
Corrections = m,
Epsilon = epsilon,
Past = past,
Delta = delta,
MaxIterations = max_iterations,
LineSearch = (LineSearch)linesearch,
MaxLineSearch = max_linesearch,
MinStep = min_step,
MaxStep = max_step,
ParameterTolerance = ftol,
Wolfe = wolfe,
GradientTolerance = gtol,
FunctionTolerance = xtol,
OrthantwiseC = orthantwise_c,
OrthantwiseStart = orthantwise_start,
OrthantwiseEnd = orthantwise_end
};
target.Function = problem.Function;
target.Gradient = problem.Gradient;
actual.Clear();
target.Progress += new EventHandler<OptimizationProgressEventArgs>(target_Progress);
target.Minimize((double[])problem.Start.Clone());
ActualMessage = target.Status.GetDescription();
return actual.ToArray();
}
public void InvalidLineSearchTest()
{
double t = 0;
double s = 0;
int n = 10;
Func<double[], double> function = (parameters) =>
{
t = parameters[0];
s = parameters[1];
return -(n * Math.Log(s) - n * Math.Log(Math.PI));
};
Func<double[], double[]> gradient = (parameters) =>
{
t = parameters[0];
s = parameters[1];
double dt = -2.0;
double ds = +2.0 - n / s;
return new[] { dt, ds };
};
double[] start = { 0, 0 };
Specification problem = new Specification(2, function, gradient, start);
LbfgsbComparer cmp = new LbfgsbComparer();
compute(new List<Specification>() { problem }, cmp);
}
