From d40f7320ae7253d9d413f569ac2ac1e6e8e74ef3 Mon Sep 17 00:00:00 2001 From: rfellers Date: Wed, 26 Aug 2020 22:21:59 -0500 Subject: [PATCH] API and test mock ups --- .../OptimizationTests/BrentMinimizerTests.cs | 60 ++++++++++++++++ src/Numerics/Optimization/BrentMinimizer.cs | 69 +++++++++++++++++++ 2 files changed, 129 insertions(+) create mode 100644 src/Numerics.Tests/OptimizationTests/BrentMinimizerTests.cs create mode 100644 src/Numerics/Optimization/BrentMinimizer.cs diff --git a/src/Numerics.Tests/OptimizationTests/BrentMinimizerTests.cs b/src/Numerics.Tests/OptimizationTests/BrentMinimizerTests.cs new file mode 100644 index 00000000..e9decfed --- /dev/null +++ b/src/Numerics.Tests/OptimizationTests/BrentMinimizerTests.cs @@ -0,0 +1,60 @@ +// +// Math.NET Numerics, part of the Math.NET Project +// http://numerics.mathdotnet.com +// http://github.com/mathnet/mathnet-numerics +// +// Copyright (c) 2009-2017 Math.NET +// +// Permission is hereby granted, free of charge, to any person +// obtaining a copy of this software and associated documentation +// files (the "Software"), to deal in the Software without +// restriction, including without limitation the rights to use, +// copy, modify, merge, publish, distribute, sublicense, and/or sell +// copies of the Software, and to permit persons to whom the +// Software is furnished to do so, subject to the following +// conditions: +// +// The above copyright notice and this permission notice shall be +// included in all copies or substantial portions of the Software. +// +// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, +// EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES +// OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND +// NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT +// HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, +// WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING +// FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR +// OTHER DEALINGS IN THE SOFTWARE. +// + +using System; +using MathNet.Numerics.Optimization; +using NUnit.Framework; + +namespace MathNet.Numerics.UnitTests.OptimizationTests +{ + [TestFixture] + public class BrentMinimizerTests + { + [Test] + public void Test_Works() + { + var f1 = new Func(x => (x - 3) * (x - 3)); + var obj = ObjectiveFunction.ScalarValue(f1); + var r1 = BrentMinimizer.Minimum(obj, -100, 100); + + Assert.That(Math.Abs(r1.MinimizingPoint - 3.0), Is.LessThan(1e-4)); + } + + [Test] + public void Test_ExpansionWorks() + { + var algorithm = new BrentMinimizer(1e-5, 1000); + var f1 = new Func(x => (x - 3) * (x - 3)); + var obj = ObjectiveFunction.ScalarValue(f1); + var r1 = algorithm.FindMinimum(obj, -5, 5); + + Assert.That(Math.Abs(r1.MinimizingPoint - 3.0), Is.LessThan(1e-4)); + } + } +} diff --git a/src/Numerics/Optimization/BrentMinimizer.cs b/src/Numerics/Optimization/BrentMinimizer.cs new file mode 100644 index 00000000..5cf0d311 --- /dev/null +++ b/src/Numerics/Optimization/BrentMinimizer.cs @@ -0,0 +1,69 @@ +// +// Math.NET Numerics, part of the Math.NET Project +// http://numerics.mathdotnet.com +// http://github.com/mathnet/mathnet-numerics +// +// Copyright (c) 2009-2017 Math.NET +// +// Permission is hereby granted, free of charge, to any person +// obtaining a copy of this software and associated documentation +// files (the "Software"), to deal in the Software without +// restriction, including without limitation the rights to use, +// copy, modify, merge, publish, distribute, sublicense, and/or sell +// copies of the Software, and to permit persons to whom the +// Software is furnished to do so, subject to the following +// conditions: +// +// The above copyright notice and this permission notice shall be +// included in all copies or substantial portions of the Software. +// +// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, +// EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES +// OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND +// NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT +// HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, +// WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING +// FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR +// OTHER DEALINGS IN THE SOFTWARE. +// + +using System; + +namespace MathNet.Numerics.Optimization +{ + public class BrentMinimizer + { + public double XTolerance { get; set; } + public int MaximumIterations { get; set; } + public int MaximumExpansionSteps { get; set; } + public double LowerExpansionFactor { get; set; } + public double UpperExpansionFactor { get; set; } + + public BrentMinimizer(double xTolerance = 1e-5, int maxIterations = 1000, int maxExpansionSteps = 10, double lowerExpansionFactor = 2.0, double upperExpansionFactor = 2.0) + { + XTolerance = xTolerance; + MaximumIterations = maxIterations; + MaximumExpansionSteps = maxExpansionSteps; + LowerExpansionFactor = lowerExpansionFactor; + UpperExpansionFactor = upperExpansionFactor; + } + + public ScalarMinimizationResult FindMinimum(IScalarObjectiveFunction objective, double lowerBound, double upperBound) + { + return Minimum(objective, lowerBound, upperBound, XTolerance, MaximumIterations, MaximumExpansionSteps, LowerExpansionFactor, UpperExpansionFactor); + } + + public static ScalarMinimizationResult Minimum(IScalarObjectiveFunction objective, double lowerBound, double upperBound, double xTolerance = 1e-5, int maxIterations = 1000, int maxExpansionSteps = 10, double lowerExpansionFactor = 2.0, double upperExpansionFactor = 2.0) + { + return null; + } + + static void ValueChecker(double value, double point) + { + if (Double.IsNaN(value) || Double.IsInfinity(value)) + { + throw new Exception("Objective function returned non-finite value."); + } + } + } +}