dlib C++ Library - trust_region.cpp

// Copyright (C) 2010 Davis E. King (davis@dlib.net)
// License: Boost Software License See LICENSE.txt for the full license.
#include <dlib/optimization.h>
#include "optimization_test_functions.h"
#include <sstream>
#include <string>
#include <cstdlib>
#include <ctime>
#include <vector>
#include "../rand.h"
#include "tester.h"
namespace 
{
 using namespace test;
 using namespace dlib;
 using namespace std;
 using namespace dlib::test_functions;
 logger dlog("test.trust_region");
// ----------------------------------------------------------------------------------------
 template <typename T>
 struct neg_rosen_model
 {
 typedef matrix<T,0,1> column_vector;
 typedef matrix<T,0,0> general_matrix;
 T operator() ( column_vector x) const
 {
 return -static_cast<T>(rosen<T>(x));
 }
 void get_derivative_and_hessian (
 const column_vector& x,
 column_vector& d,
 general_matrix& h
 ) const 
 {
 d = -matrix_cast<T>(rosen_derivative<T>(x));
 h = -matrix_cast<T>(rosen_hessian<T>(x));
 }
 };
// ----------------------------------------------------------------------------------------
 dlib::rand rnd;
 template <typename T>
 void test_with_rosen()
 {
 print_spinner();
 matrix<T,2,1> ans;
 ans = 1,1;
 matrix<T,2,1> p = 100*matrix_cast<T>(randm(2,1,rnd)) - 50;
 T obj = find_min_trust_region(objective_delta_stop_strategy(1e-12, 100), rosen_function_model<T>(), p);
 DLIB_TEST_MSG(std::abs(obj) < 1e-10, "obj: " << obj);
 DLIB_TEST_MSG(length(p-ans) < 1e-5, "length(p): " << length(p-ans));
 matrix<T,0,1> p2 = 100*matrix_cast<T>(randm(2,1,rnd)) - 50;
 obj = find_max_trust_region(objective_delta_stop_strategy(1e-12, 100), neg_rosen_model<T>(), p2);
 DLIB_TEST_MSG(std::abs(obj) < 1e-10, "obj: " << obj);
 DLIB_TEST_MSG(length(p-ans) < 1e-5, "length(p): " << length(p-ans));
 }
// ----------------------------------------------------------------------------------------
 void test_trust_region_sub_problem()
 {
 dlog << LINFO << "subproblem test 1";
 {
 matrix<double,2,2> B;
 B = 1, 0,
 0, 1;
 matrix<double,2,1> g, p, ans;
 g = 0;
 ans = 0;
 solve_trust_region_subproblem(B,g,1,p, 0.001, 10);
 DLIB_TEST(length(p-ans) < 1e-10);
 solve_trust_region_subproblem(B,g,1,p, 0.001, 1);
 DLIB_TEST(length(p-ans) < 1e-10);
 }
 dlog << LINFO << "subproblem test 2";
 {
 matrix<double,2,2> B;
 B = 1, 0,
 0, 1;
 B *= 0.1;
 matrix<double,2,1> g, p, ans;
 g = 1;
 ans = -g / length(g);
 solve_trust_region_subproblem(B,g,1,p, 1e-6, 20);
 DLIB_TEST(length(p-ans) < 1e-4);
 }
 dlog << LINFO << "subproblem test 3";
 {
 matrix<double,2,2> B;
 B = 0, 0,
 0, 0;
 matrix<double,2,1> g, p, ans;
 g = 1;
 ans = -g / length(g);
 solve_trust_region_subproblem(B,g,1,p, 1e-6, 20);
 dlog << LINFO << "ans: " << trans(ans);
 dlog << LINFO << "p: " << trans(p);
 DLIB_TEST(length(p-ans) < 1e-4);
 }
 return;
 dlog << LINFO << "subproblem test 4";
 {
 matrix<double,2,2> B;
 B = 2, 0,
 0, -1;
 matrix<double,2,1> g, p, ans;
 g = 0;
 ans = 0, -1;
 solve_trust_region_subproblem(B,g,1,p, 1e-6, 20);
 DLIB_TEST(length(p-ans) < 1e-4);
 }
 dlog << LINFO << "subproblem test 5";
 {
 matrix<double,2,2> B;
 B = 2, 0,
 0, -1;
 matrix<double,2,1> g, p, ans;
 g = 0, 1;
 ans = 0, -1;
 solve_trust_region_subproblem(B,g,1,p, 1e-6, 20);
 DLIB_TEST(length(p-ans) < 1e-4);
 }
 dlog << LINFO << "subproblem test 6";
 for (int i = 0; i < 10; ++i)
 {
 matrix<double,10,10> B;
 B = randm(10,10, rnd);
 B = 0.01*B*trans(B);
 matrix<double,10,1> g, p, ans;
 g = 1;
 solve_trust_region_subproblem(B,g,1,p, 1e-6, 20);
 DLIB_TEST(std::abs(length(p) - 1) < 1e-4);
 }
 }
// ----------------------------------------------------------------------------------------
 void test_problems()
 {
 print_spinner();
 {
 matrix<double,4,1> ch;
 ch = brown_start();
 find_min_trust_region(objective_delta_stop_strategy(1e-7, 80),
 brown_function_model(),
 ch);
 dlog << LINFO << "brown obj: " << brown(ch);
 dlog << LINFO << "brown der: " << length(brown_derivative(ch));
 dlog << LINFO << "brown error: " << length(ch - brown_solution());
 DLIB_TEST(length(ch - brown_solution()) < 1e-5);
 }
 print_spinner();
 {
 matrix<double,2,1> ch;
 ch = rosen_start<double>();
 find_min_trust_region(objective_delta_stop_strategy(1e-7, 80),
 rosen_function_model<double>(),
 ch);
 dlog << LINFO << "rosen obj: " << rosen(ch);
 dlog << LINFO << "rosen der: " << length(rosen_derivative(ch));
 dlog << LINFO << "rosen error: " << length(ch - rosen_solution<double>());
 DLIB_TEST(length(ch - rosen_solution<double>()) < 1e-5);
 }
 print_spinner();
 {
 matrix<double,0,1> ch;
 ch = chebyquad_start(2);
 find_min_trust_region(objective_delta_stop_strategy(1e-7, 80),
 chebyquad_function_model(),
 ch);
 dlog << LINFO << "chebyquad 2 obj: " << chebyquad(ch);
 dlog << LINFO << "chebyquad 2 der: " << length(chebyquad_derivative(ch));
 dlog << LINFO << "chebyquad 2 error: " << length(ch - chebyquad_solution(2));
 DLIB_TEST(length(ch - chebyquad_solution(2)) < 1e-5);
 }
 print_spinner();
 {
 matrix<double,0,1> ch;
 ch = chebyquad_start(4);
 find_min_trust_region(objective_delta_stop_strategy(1e-7, 80),
 chebyquad_function_model(),
 ch);
 dlog << LINFO << "chebyquad 4 obj: " << chebyquad(ch);
 dlog << LINFO << "chebyquad 4 der: " << length(chebyquad_derivative(ch));
 dlog << LINFO << "chebyquad 4 error: " << length(ch - chebyquad_solution(4));
 DLIB_TEST(length(ch - chebyquad_solution(4)) < 1e-5);
 }
 print_spinner();
 {
 matrix<double,0,1> ch;
 ch = chebyquad_start(6);
 find_min_trust_region(objective_delta_stop_strategy(1e-12, 80),
 chebyquad_function_model(),
 ch);
 dlog << LINFO << "chebyquad 6 obj: " << chebyquad(ch);
 dlog << LINFO << "chebyquad 6 der: " << length(chebyquad_derivative(ch));
 dlog << LINFO << "chebyquad 6 error: " << length(ch - chebyquad_solution(6));
 DLIB_TEST(length(ch - chebyquad_solution(6)) < 1e-5);
 }
 print_spinner();
 {
 matrix<double,0,1> ch;
 ch = chebyquad_start(8);
 find_min_trust_region(objective_delta_stop_strategy(1e-10, 80),
 chebyquad_function_model(),
 ch);
 dlog << LINFO << "chebyquad 8 obj: " << chebyquad(ch);
 dlog << LINFO << "chebyquad 8 der: " << length(chebyquad_derivative(ch));
 dlog << LINFO << "chebyquad 8 error: " << length(ch - chebyquad_solution(8));
 DLIB_TEST(length(ch - chebyquad_solution(8)) < 1e-5);
 }
 }
 class optimization_tester : public tester
 {
 public:
 optimization_tester (
 ) :
 tester ("test_trust_region",
 "Runs tests on the trust region optimization component.")
 {}
 void perform_test (
 )
 {
 dlog << LINFO << "test with rosen<float>";
 for (int i = 0; i < 50; ++i)
 test_with_rosen<float>();
 dlog << LINFO << "test with rosen<double>";
 for (int i = 0; i < 50; ++i)
 test_with_rosen<double>();
 test_trust_region_sub_problem();
 test_problems();
 }
 } a;
}