Optimization: Improve error handling and reporting.

(Updated by cdrnet)

src/Numerics/Numerics.csproj

@@ -198,10 +198,12 @@
     <Compile Include="Optimization\BFGS.cs" />
     <Compile Include="Optimization\BisectionRootFinder.cs" />
     <Compile Include="Optimization\ConjugateGradientMinimizer.cs" />
+    <Compile Include="Optimization\Exceptions.cs" />
     <Compile Include="Optimization\GoldenSectionMinimizer.cs" />
     <Compile Include="Optimization\LineSearchingMinimizerOutput.cs" />
     <Compile Include="Optimization\LineSearchOutput.cs" />
     <Compile Include="Optimization\MinimizationOutput.cs" />
+    <Compile Include="Optimization\ObjectiveChecker.cs" />
     <Compile Include="Optimization\ObjectiveFunction.cs" />
     <Compile Include="Optimization\OptimizationResult.cs" />
     <Compile Include="Optimization\StrongWolfeLineSearch.cs" />

src/Numerics/Optimization/ConjugateGradientMinimizer.cs

@@ -21,11 +21,12 @@ namespace MathNet.Numerics.Optimization
         public MinimizationOutput FindMinimum(IObjectiveFunction objective, Vector<double> initial_guess)
         {
             if (!objective.GradientSupported)
-                throw new Exception("Gradient not supported in objective function, but required for ConjugateGradient minimization.");
+                throw new IncompatibleObjectiveException("Gradient not supported in objective function, but required for ConjugateGradient minimization.");
+
+            objective = new ObjectiveChecker(objective, this.ValidateObjective, this.ValidateGradient, null);
 
             IEvaluation initial_eval = objective.Evaluate(initial_guess);
-            var gradient = initial_eval.Gradient;
-            this.ValidateGradient(gradient, initial_guess);
+            var gradient = initial_eval.Gradient;            
             
             // Check that we're not already done
             if (this.ExitCriteriaSatisfied(initial_guess, gradient))
@@ -42,11 +43,20 @@ namespace MathNet.Numerics.Optimization
             steepest_direction = -gradient;
             search_direction = steepest_direction;
             double initial_step_size = 100 * this.GradientTolerance / (gradient * gradient);
-            var result = line_searcher.FindConformingStep(objective, initial_eval, search_direction, initial_step_size);
-            candidate_point = result.FunctionInfoAtMinimum;
-            this.ValidateGradient(candidate_point.Gradient, candidate_point.Point);
+            LineSearchOutput result;
+            try 
+            {
+                result = line_searcher.FindConformingStep(objective, initial_eval, search_direction, initial_step_size);
+            } 
+            catch (Exception e) 
+            {
+                throw new InnerOptimizationException("Line search failed.", e);
+            }
+
+            candidate_point = result.FunctionInfoAtMinimum;            
             
 			double step_size = (candidate_point.Point - initial_guess).Norm(2.0);
+            
             // Subsequent steps
             int iterations = 1;
             int total_line_search_steps = result.Iterations;
@@ -73,8 +83,15 @@ namespace MathNet.Numerics.Optimization
                     search_direction = steepest_direction;
                     steepest_descent_resets += 1;
                 }
-                
-                result = line_searcher.FindConformingStep(objective, candidate_point, search_direction, step_size);
+
+                try
+                {
+                    result = line_searcher.FindConformingStep(objective, candidate_point, search_direction, step_size);
+                }
+                catch (Exception e)
+                {
+                    throw new InnerOptimizationException("Line search failed.", e);
+                }
 
                 no_line_search_iterations += result.Iterations == 0 ? 1 : 0;
                 total_line_search_steps += result.Iterations;
@@ -85,6 +102,9 @@ namespace MathNet.Numerics.Optimization
                 iterations += 1;
             }
 
+            if (iterations == this.MaximumIterations)
+                throw new MaximumIterationsException(String.Format("Maximum iterations ({0}) reached.", this.MaximumIterations));
+
             return new MinimizationWithLineSearchOutput(candidate_point, iterations, total_line_search_steps, no_line_search_iterations);
         }
 
@@ -98,14 +118,14 @@ namespace MathNet.Numerics.Optimization
             foreach (var x in gradient)
             {
                 if (Double.IsNaN(x) || Double.IsInfinity(x))
-                    throw new Exception("Non-finite gradient returned.");
+                    throw new EvaluationException("Non-finite gradient returned.");
             }
         }
 
         private void ValidateObjective(double objective, Vector<double> input)
         {
             if (Double.IsNaN(objective) || Double.IsInfinity(objective))
-                throw new Exception("Non-finite objective function returned.");
+                throw new EvaluationException("Non-finite objective function returned.");
         }
     }
 }

src/Numerics/Optimization/Exceptions.cs

@@ -0,0 +1,48 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+
+namespace MathNet.Numerics.Optimization
+{
+    public class OptimizationException : Exception
+    {
+        public OptimizationException(string message)
+            : base(message) {}
+
+        public OptimizationException(string message, Exception inner_exception) 
+            : base(message, inner_exception) { }
+    }
+
+    public class MaximumIterationsException : OptimizationException
+    {
+       public MaximumIterationsException(string message)
+            : base(message) {}
+    }
+
+    public class EvaluationException : OptimizationException
+    {
+        public EvaluationException(string message)
+            : base(message) {}
+
+        public EvaluationException(string message, Exception inner_exception) 
+            : base(message, inner_exception) { }
+    }
+
+    public class InnerOptimizationException : OptimizationException
+    {
+        public InnerOptimizationException(string message)
+            : base(message) {}
+
+        public InnerOptimizationException(string message, Exception inner_exception) 
+            : base(message, inner_exception) { }
+    }
+
+    public class IncompatibleObjectiveException : OptimizationException
+    {
+        public IncompatibleObjectiveException(string message)
+            : base(message) {}
+    }
+
+
+}

src/Numerics/Optimization/ObjectiveChecker.cs

@@ -0,0 +1,132 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+using MathNet.Numerics.LinearAlgebra;
+
+namespace MathNet.Numerics.Optimization
+{
+    public class CheckedEvaluation : IEvaluation
+    {
+        private ObjectiveChecker Checker;
+        private IEvaluation InnerEvaluation;
+        private bool ValueChecked;
+        private bool GradientChecked;
+        private bool HessianChecked;
+
+        public CheckedEvaluation(ObjectiveChecker checker, IEvaluation evaluation)
+        {
+            this.Checker = checker;
+            this.InnerEvaluation = evaluation;
+        }
+
+        public Vector<double> Point
+        {
+            get { return this.InnerEvaluation.Point; }
+        }
+
+        public double Value
+        {
+            get
+            {
+
+                if (!this.ValueChecked)
+                {
+                    double tmp;
+                    try
+                    {
+                        tmp = this.InnerEvaluation.Value;
+                    }
+                    catch (Exception e)
+                    {
+                        throw new EvaluationException("Objective function evaluation failed.", e);
+                    }
+                    this.Checker.ValueChecker(tmp,this.InnerEvaluation.Point);
+                }
+                return this.InnerEvaluation.Value;
+            }
+        }
+
+        public Vector<double> Gradient
+        {
+            get
+            {
+
+                if (!this.GradientChecked)
+                {
+                    Vector<double> tmp;
+                    try
+                    {
+                        tmp = this.InnerEvaluation.Gradient;
+                    }
+                    catch (Exception e)
+                    {
+                        throw new EvaluationException("Objective gradient evaluation failed.", e);
+                    }
+                    this.Checker.GradientChecker(tmp, this.InnerEvaluation.Point);
+                }
+                return this.InnerEvaluation.Gradient;
+            }
+        }
+
+        public Matrix<double> Hessian
+        {
+            get
+            {
+
+                if (!this.HessianChecked)
+                {
+                    Matrix<double> tmp;
+                    try
+                    {
+                        tmp = this.InnerEvaluation.Hessian;
+                    }
+                    catch (Exception e)
+                    {
+                        throw new EvaluationException("Objective hessian evaluation failed.", e);
+                    }
+                    this.Checker.HessianChecker(tmp, this.InnerEvaluation.Point);
+                }
+                return this.InnerEvaluation.Hessian;
+            }
+        }
+    }
+
+    public class ObjectiveChecker : IObjectiveFunction
+    {
+        public IObjectiveFunction InnerObjective { get; private set; }
+        public Action<double, Vector<double>> ValueChecker { get; private set; }
+        public Action<Vector<double>, Vector<double>> GradientChecker { get; private set; }
+        public Action<Matrix<double>, Vector<double>> HessianChecker { get; private set; }
+
+        public ObjectiveChecker(IObjectiveFunction objective, Action<double, Vector<double>> value_checker, Action<Vector<double>, Vector<double>> gradient_checker, Action<Matrix<double>, Vector<double>> hessian_checker)
+        {
+            this.InnerObjective = objective;
+            this.ValueChecker = value_checker;
+            this.GradientChecker = gradient_checker;
+            this.HessianChecker = hessian_checker;
+        }
+
+        public bool GradientSupported
+        {
+            get { return this.InnerObjective.GradientSupported; }
+        }
+
+        public bool HessianSupported
+        {
+            get { return this.InnerObjective.HessianSupported; }
+        }
+
+        public IEvaluation Evaluate(Vector<double> point)
+        {
+            try
+            {
+                return new CheckedEvaluation(this, this.InnerObjective.Evaluate(point));
+            }
+            catch (Exception e)
+            {
+                throw new EvaluationException("Objective evaluation failed.", e);
+            }
+        }
+    }
+}

src/Numerics/Optimization/WeakWolfeLineSearch.cs

@@ -57,7 +57,7 @@ namespace MathNet.Numerics.Optimization
             }
                        
             if (ii == this.MaximumIterations)
-                throw new Exception("Line search failed with max iterations.  Function is likely unbounded in search direction.");
+                throw new MaximumIterationsException(String.Format("Maximum iterations ({0}) reached. Function may be unbounded in search direction.",this.MaximumIterations));
             else
                 return new LineSearchOutput(candidate_eval, ii, step);
         }