Optimization: Add tests involving larger numbers output from the objective

(updated by cdrnet)

src/UnitTests/OptimizationTests/RosenbrockFunction.cs

@@ -59,4 +59,23 @@ namespace MathNet.Numerics.UnitTests.OptimizationTests
             return output;
         }
     }
+
+	public static class BigRosenbrockFunction
+	{
+		public static double Value(Vector<double> input)
+		{
+			return 1000.0 + 100.0*RosenbrockFunction.Value(input / 100.0);
+		}
+
+		public static Vector<double> Gradient(Vector<double> input)
+		{
+			return 100.0* RosenbrockFunction.Gradient(input / 100.0);
+		}
+
+		public static Matrix<double> Hessian(Vector<double> input)
+		{
+			return 100.0*RosenbrockFunction.Hessian(input / 100.0);
+		}
+
+	}
 }

src/UnitTests/OptimizationTests/TestBfgsMinimizer.cs

@@ -31,6 +31,7 @@
 using System;
 using NUnit.Framework;
 using MathNet.Numerics.Optimization;
+using System.Threading;
 
 namespace MathNet.Numerics.UnitTests.OptimizationTests
 {
@@ -46,6 +47,7 @@ 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));
+			Thread.Sleep(10*1000);
         }
 
         [Test]
@@ -69,5 +71,38 @@ 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));
         }
+
+		[Test]
+		public void FindMinimum_BigRosenbrock_Easy()
+		{
+			var obj = new SimpleObjectiveFunction(BigRosenbrockFunction.Value, BigRosenbrockFunction.Gradient);
+			var solver = new BfgsMinimizer(1e-10, 1e-5, 1000);
+			var result = solver.FindMinimum(obj, new LinearAlgebra.Double.DenseVector(new[] { 1.2*100.0, 1.2*100.0 }));
+			
+			Assert.That(Math.Abs(result.MinimizingPoint[0] - 100.0), Is.LessThan(1e-3));
+			Assert.That(Math.Abs(result.MinimizingPoint[1] - 100.0), Is.LessThan(1e-3));
+		}
+
+		[Test]
+		public void FindMinimum_BigRosenbrock_Hard()
+		{
+			var obj = new SimpleObjectiveFunction(RosenbrockFunction.Value, RosenbrockFunction.Gradient);
+			var solver = new BfgsMinimizer(1e-5, 1e-5, 1000);
+			var result = solver.FindMinimum(obj, new LinearAlgebra.Double.DenseVector(new[] { -1.2*100.0, 1.0*100.0 }));
+			
+			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));
+		}
+		
+		[Test]
+		public void FindMinimum_BigRosenbrock_Overton()
+		{
+			var obj = new SimpleObjectiveFunction(BigRosenbrockFunction.Value, BigRosenbrockFunction.Gradient);
+			var solver = new BfgsMinimizer(1e-5, 1e-5, 1000);
+			var result = solver.FindMinimum(obj, new LinearAlgebra.Double.DenseVector(new[] { -0.9*100.0, -0.5*100.0 }));
+			
+			Assert.That(Math.Abs(result.MinimizingPoint[0] - 100.0), Is.LessThan(1e-3));
+			Assert.That(Math.Abs(result.MinimizingPoint[1] - 100.0), Is.LessThan(1e-3));
+		}
     }
 }