// // 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 MathNet.Numerics.LinearAlgebra.Double; using MathNet.Numerics.Optimization; using MathNet.Numerics.UnitTests.OptimizationTests.TestFunctions; using NUnit.Framework; using System; using System.Collections; using System.Collections.Generic; using System.Linq; using NUnit.Framework.Interfaces; namespace MathNet.Numerics.UnitTests.OptimizationTests { [TestFixture] public class NelderMeadSimplexTests { [Test] public void NMS_FindMinimum_Rosenbrock_Easy() { var obj = ObjectiveFunction.Value(RosenbrockFunction.Value); var solver = new NelderMeadSimplex(1e-5, maximumIterations: 1000); var initialGuess = new DenseVector(new[] { 1.2, 1.2 }); var result = solver.FindMinimum(obj, initialGuess); 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 NMS_FindMinimum_Rosenbrock_Hard() { var obj = ObjectiveFunction.Value(RosenbrockFunction.Value); var solver = new NelderMeadSimplex(1e-5, maximumIterations: 1000); var initialGuess = new DenseVector(new[] { -1.2, 1.0 }); var result = solver.FindMinimum(obj,initialGuess); 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)); } private class MghTestCaseEnumerator : IEnumerable { private static readonly string[] _ignore_list = { "Meyer fun (MGH #10) unbounded", }; private static bool in_ignore_list(string test_name) { return _ignore_list.Contains(test_name); } public IEnumerator GetEnumerator() { return RosenbrockFunction2.TestCases .Concat(BealeFunction.TestCases) .Concat(HelicalValleyFunction.TestCases) .Concat(MeyerFunction.TestCases) .Concat(PowellSingularFunction.TestCases) .Concat(WoodFunction.TestCases) .Concat(BrownAndDennisFunction.TestCases) .Where(x => x.IsUnbounded) .Select(x => new TestCaseData(x) .SetName(x.FullName) .IgnoreIf(in_ignore_list(x.FullName), "Algo error, not implementation error") ) .GetEnumerator(); } IEnumerator IEnumerable.GetEnumerator() { return this.GetEnumerator(); } } [Test] [TestCaseSource(typeof(MghTestCaseEnumerator))] public void Mgh_Tests(TestFunctions.TestCase test_case) { var obj = new MghObjectiveFunction(test_case.Function, true, true); var result = NelderMeadSimplex.FindMinimum(obj, test_case.InitialGuess, 1e-8, 1000); if (test_case.MinimizingPoint != null) { Assert.That((result.MinimizingPoint - test_case.MinimizingPoint).L2Norm(), Is.LessThan(1e-3)); } var val1 = result.FunctionInfoAtMinimum.Value; var val2 = test_case.MinimalValue; var abs_min = Math.Min(Math.Abs(val1), Math.Abs(val2)); var abs_err = Math.Abs(val1 - val2); var rel_err = abs_err / abs_min; var success = (abs_min <= 1 && abs_err < 1e-3) || (abs_min > 1 && rel_err < 1e-3); Assert.That(success, "Minimal function value is not as expected."); } } }