diff --git a/src/Numerics/Numerics.csproj b/src/Numerics/Numerics.csproj
index 0a9f0ed3..77e1579d 100644
--- a/src/Numerics/Numerics.csproj
+++ b/src/Numerics/Numerics.csproj
@@ -127,9 +127,8 @@
-
-
-
+
+
@@ -252,13 +251,14 @@
-
+
+
diff --git a/src/Numerics/RootFinding/BfgsSolver.cs b/src/Numerics/Optimization/BfgsSolver.cs
similarity index 91%
rename from src/Numerics/RootFinding/BfgsSolver.cs
rename to src/Numerics/Optimization/BfgsSolver.cs
index a9b4d8a8..e457ac67 100644
--- a/src/Numerics/RootFinding/BfgsSolver.cs
+++ b/src/Numerics/Optimization/BfgsSolver.cs
@@ -3,9 +3,9 @@
// http://numerics.mathdotnet.com
// http://github.com/mathnet/mathnet-numerics
// http://mathnetnumerics.codeplex.com
-//
-// Copyright (c) 2009-2013 Math.NET
-//
+//
+// Copyright (c) 2009-2015 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
@@ -14,10 +14,10 @@
// 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
@@ -30,13 +30,11 @@
using System;
-using System.Collections.Generic;
using MathNet.Numerics.LinearAlgebra;
using MathNet.Numerics.LinearAlgebra.Double;
-using System.Linq;
-using System.Text;
+using MathNet.Numerics.Optimization.LineSearch;
-namespace MathNet.Numerics.RootFinding
+namespace MathNet.Numerics.Optimization
{
///
/// Broyden-Fletcher-Goldfarb-Shanno solver for finding function minima
@@ -45,8 +43,8 @@ namespace MathNet.Numerics.RootFinding
///
public static class BfgsSolver
{
- private const double gradientTolerance = 1e-5;
- private const int maxIterations = 100000;
+ private const double GradientTolerance = 1e-5;
+ private const int MaxIterations = 100000;
///
/// Finds a minimum of a function by the BFGS quasi-Newton method
@@ -63,7 +61,7 @@ namespace MathNet.Numerics.RootFinding
// H represents the approximation of the inverse hessian matrix
// it is updated via the Sherman–Morrison formula (http://en.wikipedia.org/wiki/Sherman%E2%80%93Morrison_formula)
Matrix H = DenseMatrix.CreateIdentity(dim);
-
+
Vector x = initialGuess;
Vector x_old = x;
Vector grad;
@@ -94,13 +92,13 @@ namespace MathNet.Numerics.RootFinding
var yM = y.ToColumnMatrix();
// Update the estimate of the hessian
- H = H
+ H = H
- rho * (sM * (yM.TransposeThisAndMultiply(H)) + (H * yM).TransposeAndMultiply(sM))
+ rho * rho * (y.DotProduct(H * y) + 1.0 / rho) * (sM.TransposeAndMultiply(sM));
x_old = x;
iter++;
}
- while ((grad.InfinityNorm() > gradientTolerance) && (iter < maxIterations));
+ while ((grad.InfinityNorm() > GradientTolerance) && (iter < MaxIterations));
return x;
}
diff --git a/src/Numerics/RootFinding/WolfeRule.cs b/src/Numerics/Optimization/LineSearch/WolfeRule.cs
similarity index 96%
rename from src/Numerics/RootFinding/WolfeRule.cs
rename to src/Numerics/Optimization/LineSearch/WolfeRule.cs
index fa426275..1f30565d 100644
--- a/src/Numerics/RootFinding/WolfeRule.cs
+++ b/src/Numerics/Optimization/LineSearch/WolfeRule.cs
@@ -3,9 +3,9 @@
// http://numerics.mathdotnet.com
// http://github.com/mathnet/mathnet-numerics
// http://mathnetnumerics.codeplex.com
-//
-// Copyright (c) 2009-2013 Math.NET
-//
+//
+// Copyright (c) 2009-2015 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
@@ -14,10 +14,10 @@
// 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
@@ -29,11 +29,9 @@
//
using System;
-using System.Collections.Generic;
-using System.Linq;
using MathNet.Numerics.LinearAlgebra;
-namespace MathNet.Numerics.RootFinding
+namespace MathNet.Numerics.Optimization.LineSearch
{
///
/// Performs an inexact line search. This is used as a part of quasi-Newton optimization methods to figure
@@ -92,7 +90,7 @@ namespace MathNet.Numerics.RootFinding
double phi_dash = z * grad2;
// curvature condition invalid ?
- if ((phi_dash < 0.9 * phi0_dash) || !decrease_direction) {
+ if ((phi_dash < 0.9 * phi0_dash) || !decrease_direction) {
// increase interval
alpha *= 4.0;
}
diff --git a/src/UnitTests/RootFindingTests/BfgsTest.cs b/src/UnitTests/OptimizationTests/BfgsTest.cs
similarity index 83%
rename from src/UnitTests/RootFindingTests/BfgsTest.cs
rename to src/UnitTests/OptimizationTests/BfgsTest.cs
index 37fc4337..7f612529 100644
--- a/src/UnitTests/RootFindingTests/BfgsTest.cs
+++ b/src/UnitTests/OptimizationTests/BfgsTest.cs
@@ -3,9 +3,9 @@
// http://numerics.mathdotnet.com
// http://github.com/mathnet/mathnet-numerics
// http://mathnetnumerics.codeplex.com
-//
-// Copyright (c) 2009-2013 Math.NET
-//
+//
+// Copyright (c) 2009-2015 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
@@ -14,10 +14,10 @@
// 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
@@ -28,22 +28,17 @@
// OTHER DEALINGS IN THE SOFTWARE.
//
-using System;
-using System.Collections.Generic;
-using System.Linq;
-using System.Text;
-using System.Threading.Tasks;
using MathNet.Numerics.LinearAlgebra;
-using NUnit.Framework;
using MathNet.Numerics.LinearAlgebra.Double;
-using MathNet.Numerics.RootFinding;
+using MathNet.Numerics.Optimization;
+using NUnit.Framework;
-namespace MathNet.Numerics.UnitTests.RootFindingTests
+namespace MathNet.Numerics.UnitTests.OptimizationTests
{
[TestFixture, Category("RootFinding")]
internal class BfgsTest
{
- private const double precision = 1e-4;
+ private const double Precision = 1e-4;
[Test]
public void MinimizeRosenbrock()
@@ -56,14 +51,14 @@ namespace MathNet.Numerics.UnitTests.RootFindingTests
private static void CheckRosenbrock(double a, double b, double expectedMin)
{
var x = BfgsSolver.Solve(new DenseVector(new[] { a, b }), Rosenbrock, RosenbrockGradient);
- Precision.AlmostEqual(expectedMin, Rosenbrock(x), precision);
+ Numerics.Precision.AlmostEqual(expectedMin, Rosenbrock(x), Precision);
}
private static double Rosenbrock(Vector x)
{
- double t1 = (1 - x[0]);
+ double t1 = (1 - x[0]);
double t2 = (x[1] - x[0] * x[0]);
- return t1 * t1 + 100 * t2 * t2;
+ return t1 * t1 + 100 * t2 * t2;
}
private static Vector RosenbrockGradient(Vector x)
diff --git a/src/UnitTests/UnitTests.csproj b/src/UnitTests/UnitTests.csproj
index 61d1ae4f..92d33f59 100644
--- a/src/UnitTests/UnitTests.csproj
+++ b/src/UnitTests/UnitTests.csproj
@@ -369,7 +369,7 @@
-
+