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annotate main/optim/inst/test_d2_min_1.m @ 9930:d30cfca46e8a octave-forge

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optim: upgrade license to GPLv3+ and mention on DESCRIPTION the other package licenses
author carandraug
date Fri, 30 Mar 2012 15:14:48 +0000
parents 97f77d4bd426
children 28b882879c6e
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1 ## Copyright (C) 2002 Etienne Grossmann <etienne@cs.uky.edu>
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2 ##
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3 ## This program is free software; you can redistribute it and/or modify it under
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4 ## the terms of the GNU General Public License as published by the Free Software
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5 ## Foundation; either version 3 of the License, or (at your option) any later
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6 ## version.
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7 ##
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8 ## This program is distributed in the hope that it will be useful, but WITHOUT
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9 ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
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10 ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more
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11 ## details.
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12 ##
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13 ## You should have received a copy of the GNU General Public License along with
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14 ## this program; if not, see <http://www.gnu.org/licenses/>.
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15
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16 ## Test whether d2_min() functions correctly
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17 ##
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18 ## Gives a simple quadratic programming problem (function ff below).
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19 ##
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20 ## Sets a ok variable to 1 in case of success, 0 in case of failure
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21 ##
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22 ## If a variables "verbose" is set, then some comments are output.
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23
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24 1 ;
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25
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26 if ! exist ("verbose"), verbose = 0; end
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27
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28 if verbose
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29 printf ("\n Testing d2_min () on a quadratic programming problem\n\n");
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30 end
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31
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32 P = 10+floor(30*rand(1)) ; # Nparams
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33 R = P+floor(30*rand(1)) ; # Nobses
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34 noise = 0 ;
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35 global obsmat ;
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36 obsmat = randn(R,P) ;
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37 global truep ;
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38 truep = randn(P,1) ;
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39 xinit = randn(P,1) ;
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40
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41 global obses ;
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42 obses = obsmat*truep ;
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43 if noise, obses = adnois(obses,noise); end
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44
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45
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46
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47 function v = ff(x)
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48 global obsmat;
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49 global obses;
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50 v = msq (obses - obsmat*x ) ;
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51 endfunction
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52
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53 function [v,dv,d2v] = d2ff(x) # Return pseudo-inverse
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54 global obsmat;
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55 global obses;
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56 er = -obses + obsmat*x ;
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57 dv = er'*obsmat ;
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58 v = msq(er ) ;
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59 d2v = pinv (obsmat'*obsmat ) ;
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60 endfunction
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61
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62 function [v,dv,d2v] = d2ff_2(x) # Return 2nd derivs, not pseudo-inv
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63 global obsmat;
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64 global obses;
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65 er = -obses + obsmat*x ;
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66 dv = er'*obsmat ;
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67 v = msq(er ) ;
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68 d2v = obsmat'*obsmat ;
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69 endfunction
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70
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71 ## dt = mytic()
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72 ##
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73 ## Returns the cputime since last call to 'mytic'.
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74
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75 function dt = mytic()
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76 persistent last_mytic = 0 ;
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77 [t,u,s] = cputime() ;
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78 dt = t - last_mytic ;
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79 last_mytic = t ;
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80 endfunction
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81
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82 ## s = msq(x) - Mean squared value, ignoring nans
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83 ##
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84 ## s == mean(x(:).^2) , but ignores NaN's
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85
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86
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87 function s = msq(x)
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88 try
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89 s = mean(x(find(!isnan(x))).^2);
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90 catch
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91 s = nan;
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92 end
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93 endfunction
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94
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95 cnt = 1;
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96 ok = 1;
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97
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98 ctl = nan*zeros(1,5); ctl(5) = 1;
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99
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100 if verbose
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101 printf ("Going to call d2_min\n");
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102 end
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103 mytic() ;
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104 [xlev,vlev,nev] = d2_min ("ff","d2ff",xinit,ctl);
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105 tlev = mytic() ;
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106
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107 if verbose,
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108 printf("d2_min should find in one iteration + one more to check\n");
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109 printf(["d2_min : niter=%-4d nev=%-4d nobs=%-4d,nparams=%-4d\n",...
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110 " time=%-8.3g errx=%-8.3g minv=%-8.3g\n"],...
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111 nev([2,1]),R,P,tlev,max(abs(xlev-truep )),vlev);
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112 end
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113
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114
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115
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116 if nev(2) != 2,
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117 if verbose
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118 printf ("Too many iterations for this function\n");
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119 end
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120 ok = 0;
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121 else
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122 if verbose
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123 printf ("Ok: single iteration (%i)\n",cnt);
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124 end
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125 end
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126
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127 if max (abs(xlev-truep )) > sqrt (eps),
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128 if verbose
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129 printf ("Error is too big : %-8.3g\n", max (abs (xlev-truep)));
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130 end
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131 ok = 0;
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132 else
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133 if verbose
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134 printf ("Ok: single error amplitude (%i)\n",cnt);
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135 end
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136 end
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137
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138 cnt++;
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139
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140 if verbose
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141 printf ("Going to call d2_min() \n");
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142 end
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143 mytic() ;
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144 [xlev,vlev,nev] = d2_min("ff","d2ff_2",xinit) ;
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145 tlev = mytic() ;
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146
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147 if verbose,
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148 printf("d2_min should find in one iteration + one more to check\n");
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149 printf(["d2_min : niter=%-4d nev=%-4d nobs=%-4d,nparams=%-4d\n",...
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150 " time=%-8.3g errx=%-8.3g minv=%-8.3g\n"],...
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151 nev([2,1]),R,P,tlev,max(abs(xlev-truep )),vlev);
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152 end
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153
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154
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155 if nev(2) != 2,
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156 if verbose
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157 printf ("Too many iterations for this function\n");
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158 end
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159 ok = 0;
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160 else
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161 if verbose
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162 printf ("Ok: single iteration (%i)\n",cnt);
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163 end
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164 end
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165
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166 if max (abs(xlev-truep )) > sqrt (eps),
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167 if verbose
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168 printf ("Error is too big : %-8.3g\n", max (abs (xlev-truep)));
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169 end
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170 ok = 0;
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171 else
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172 if verbose
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173 printf ("Ok: single error amplitude (%i)\n",cnt);
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174 end
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175 end
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176
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177 if verbose
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178 if ok
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179 printf ("All tests ok\n");
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180 else
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181 printf ("Some tests failed\n");
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182 end
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183 end
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184