From 0eef7f093beb070b963b0a6157aff3336bf7b547 Mon Sep 17 00:00:00 2001
From: Scott Stephens <stephens.js@gmail.com>
Date: Sat, 24 Sep 2016 15:02:22 -0500
Subject: [PATCH] Optimization: Add MGH tests to Nelder-Mead algo

---
 .../NelderMeadSimplexTests.cs                 | 63 +++++++++++++++++++
 1 file changed, 63 insertions(+)

diff --git a/src/UnitTests/OptimizationTests/NelderMeadSimplexTests.cs b/src/UnitTests/OptimizationTests/NelderMeadSimplexTests.cs
index 64ba24db..b01bfc32 100644
--- a/src/UnitTests/OptimizationTests/NelderMeadSimplexTests.cs
+++ b/src/UnitTests/OptimizationTests/NelderMeadSimplexTests.cs
@@ -30,8 +30,12 @@
 
 using MathNet.Numerics.LinearAlgebra.Double;
 using MathNet.Numerics.Optimization;
+using MathNet.Numerics.UnitTests.OptimizationTests.TestFunctions;
 using NUnit.Framework;
 using System;
+using System.Collections;
+using System.Collections.Generic;
+using System.Linq;
 
 namespace MathNet.Numerics.UnitTests.OptimizationTests
 {
@@ -65,5 +69,64 @@ namespace MathNet.Numerics.UnitTests.OptimizationTests
             Assert.That(Math.Abs(result.MinimizingPoint[0] - 1.0), Is.LessThan(1e-3));
             Assert.That(Math.Abs(result.MinimizingPoint[1] - 1.0), Is.LessThan(1e-3));
         }
+
+        private class MghTestCaseEnumerator : IEnumerable<ITestCaseData>
+        {
+            private static readonly string[] _ignore_list =
+            {
+                "Meyer fun (MGH #10) unbounded",
+            };
+
+            private static bool in_ignore_list(string test_name)
+            {
+                return _ignore_list.Contains(test_name);
+            }
+
+            public IEnumerator<ITestCaseData> GetEnumerator()
+            {
+                return
+                    RosenbrockFunction2.TestCases
+                        .Concat(BealeFunction.TestCases)
+                        .Concat(HelicalValleyFunction.TestCases)
+                        .Concat(MeyerFunction.TestCases)
+                        .Concat(PowellSingularFunction.TestCases)
+                        .Concat(WoodFunction.TestCases)
+                        .Concat(BrownAndDennisFunction.TestCases)
+                    .Where(x => x.IsUnbounded)
+                    .Select(x => new TestCaseData(x)
+                        .SetName(x.FullName)
+                        .IgnoreIf(in_ignore_list(x.FullName), "Algo error, not implementation error")
+                    )
+                    .GetEnumerator();
+            }
+
+            IEnumerator IEnumerable.GetEnumerator()
+            {
+                return this.GetEnumerator();
+            }
+        }
+
+        [Test]
+        [TestCaseSource(typeof(MghTestCaseEnumerator))]
+        public void Mgh_Tests(TestFunctions.TestCase test_case)
+        {
+            var obj = new MghObjectiveFunction(test_case.Function, true, true);
+            var solver = new NelderMeadSimplex(1e-8, 1000);
+
+            var result = solver.FindMinimum(obj, test_case.InitialGuess);
+
+            if (test_case.MinimizingPoint != null)
+            {
+                Assert.That((result.MinimizingPoint - test_case.MinimizingPoint).L2Norm(), Is.LessThan(1e-3));
+            }
+
+            var val1 = result.FunctionInfoAtMinimum.Value;
+            var val2 = test_case.MinimalValue;
+            var abs_min = Math.Min(Math.Abs(val1), Math.Abs(val2));
+            var abs_err = Math.Abs(val1 - val2);
+            var rel_err = abs_err / abs_min;
+            var success = (abs_min <= 1 && abs_err < 1e-3) || (abs_min > 1 && rel_err < 1e-3);
+            Assert.That(success, "Minimal function value is not as expected.");
+        }
     }
 }