Optimization: InplaceObjectiveFunction

src/Numerics/Numerics.csproj

@@ -104,6 +104,7 @@
     <Compile Include="LinearRegression\Options.cs" />
     <Compile Include="Optimization\BaseObjectiveFunction.cs" />
     <Compile Include="Optimization\Exceptions.cs" />
+    <Compile Include="Optimization\ObjectiveFunctions\InplaceObjectiveFunction.cs" />
     <Compile Include="Optimization\ObjectiveFunctions\LazyObjectiveFunction.cs" />
     <Compile Include="Optimization\ObjectiveFunction.cs" />
     <Compile Include="Optimization\ObjectiveFunctions\ValueObjectiveFunction.cs" />

src/Numerics/Optimization/BaseObjectiveFunction.cs

@@ -33,15 +33,7 @@ namespace MathNet.Numerics.Optimization
 
         public Vector<double> Point
         {
-            get
-            {
-                return PointRaw;
-            }
-            set
-            {
-                PointRaw = value;
-                Status = EvaluationStatus.None;
-            }
+            get { return PointRaw; }
         }
 
         public void EvaluateAt(Vector<double> point)

src/Numerics/Optimization/ObjectiveFunctions/InplaceObjectiveFunction.cs

@@ -0,0 +1,62 @@
+using MathNet.Numerics.LinearAlgebra;
+
+namespace MathNet.Numerics.Optimization.ObjectiveFunctions
+{
+    public abstract class InplaceObjectiveFunction : IObjectiveFunction
+    {
+        Vector<double> _point;
+        double _functionValue;
+        Vector<double> _gradientValue;
+        Matrix<double> _hessianValue;
+
+        protected InplaceObjectiveFunction(bool isGradientSupported, bool isHessianSupported)
+        {
+            IsGradientSupported = isGradientSupported;
+            IsHessianSupported = isHessianSupported;
+        }
+
+        public abstract IObjectiveFunction CreateNew();
+
+        public virtual IObjectiveFunction Fork()
+        {
+            // no need to deep-clone values since they are replaced on evaluation
+            InplaceObjectiveFunction objective = (InplaceObjectiveFunction)CreateNew();
+            objective._point = _point == null ? null : _point.Clone();
+            objective._functionValue = _functionValue;
+            objective._gradientValue = _gradientValue == null ? null : _gradientValue.Clone();
+            objective._hessianValue = _hessianValue == null ? null : _hessianValue.Clone();
+            return objective;
+        }
+
+        public bool IsGradientSupported { get; private set; }
+        public bool IsHessianSupported { get; private set; }
+
+        public void EvaluateAt(Vector<double> point)
+        {
+            _point = point;
+            EvaluateAt(_point, ref _functionValue, ref _gradientValue, ref _hessianValue);
+        }
+
+        protected abstract void EvaluateAt(Vector<double> point, ref double value, ref Vector<double> gradient, ref Matrix<double> hessian);
+
+        public Vector<double> Point
+        {
+            get { return _point; }
+        }
+
+        public double Value
+        {
+            get { return _functionValue; }
+        }
+
+        public Vector<double> Gradient
+        {
+            get { return _gradientValue; }
+        }
+
+        public Matrix<double> Hessian
+        {
+            get { return _hessianValue; }
+        }
+    }
+}

src/UnitTests/OptimizationTests/TestNewtonMinimizer.cs

@@ -1,14 +1,15 @@
 using System;
+using MathNet.Numerics.LinearAlgebra;
 using MathNet.Numerics.LinearAlgebra.Double;
 using MathNet.Numerics.Optimization;
+using MathNet.Numerics.Optimization.ObjectiveFunctions;
 using NUnit.Framework;
 
 namespace MathNet.Numerics.UnitTests.OptimizationTests
 {
     public class RosenbrockObjectiveFunction : BaseObjectiveFunction
     {
-        public RosenbrockObjectiveFunction()
-            : base(true, true) { }
+        public RosenbrockObjectiveFunction() : base(true, true) { }
 
         protected override void SetValue()
         {
@@ -31,6 +32,25 @@ namespace MathNet.Numerics.UnitTests.OptimizationTests
         }
     }
 
+    public class InplaceRosenbrockObjectiveFunction : InplaceObjectiveFunction
+    {
+        public InplaceRosenbrockObjectiveFunction() : base(true, true) { }
+
+        public override IObjectiveFunction CreateNew()
+        {
+            return new InplaceRosenbrockObjectiveFunction();
+        }
+
+        protected override void EvaluateAt(Vector<double> point, ref double value, ref Vector<double> gradient, ref Matrix<double> hessian)
+        {
+            // here we could directly overwrite the existing matrices instead.
+            // note: values must then be initialized manually here first, if null.
+            value = RosenbrockFunction.Value(point);
+            gradient = RosenbrockFunction.Gradient(point);
+            hessian = RosenbrockFunction.Hessian(point);
+        }
+    }
+
     [TestFixture]
     public class TestNewtonMinimizer
     {
@@ -70,7 +90,7 @@ namespace MathNet.Numerics.UnitTests.OptimizationTests
         [Test]
         public void FindMinimum_Linesearch_Rosenbrock_Easy()
         {
-            var obj = new RosenbrockObjectiveFunction();
+            var obj = new InplaceRosenbrockObjectiveFunction();
             var solver = new NewtonMinimizer(1e-5, 1000, true);
             var result = solver.FindMinimum(obj, new DenseVector(new[] { 1.2, 1.2 }));