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annotate main/optim/inst/test_min_2.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 ## Copyright (C) 2004 Michael Creel <michael.creel@uab.es>
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3 ##
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4 ## This program is free software; you can redistribute it and/or modify it under
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5 ## the terms of the GNU General Public License as published by the Free Software
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6 ## Foundation; either version 3 of the License, or (at your option) any later
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7 ## version.
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8 ##
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9 ## This program is distributed in the hope that it will be useful, but WITHOUT
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10 ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
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11 ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more
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12 ## details.
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13 ##
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14 ## You should have received a copy of the GNU General Public License along with
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15 ## this program; if not, see <http://www.gnu.org/licenses/>.
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16
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17 ## test_min_2 - Test that bfgs works
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18 ##
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19 ## Defines some simple functions and verifies that calling
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20 ##
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21 ## bfgs on them returns the correct minimum.
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22 ##
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23 ## Sets 'ok' to 1 if success, 0 otherwise
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24
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25 if ! exist ("optim_func"), optim_func = "bfgsmin"; end
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26
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27 ok = 1;
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28
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29 if ! exist ("verbose"), verbose = 0; end
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30
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31 P = 15;
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32 R = 20; # must have R >= P
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33
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34
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35 global obsmat ;
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36 ## Make test_min_2 reproducible by using fixed obsmat
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37 ## obsmat = randn(R,P) ;
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38 obsmat = zeros (R,P);
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39 obsmat(sub2ind([R,P],1:R,1+rem(0:R-1,P))) = 1:R;
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40
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41 global truep ;
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42
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43 ## Make test_min_2 reproducible by using fixed starting point
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44 ## truep = randn(P,1) ;
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45 ## xinit = randn(P,1) ;
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46 truep = rem (1:P, P/4)';
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47 xinit = truep + 2*(1:P)'/(P);
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48
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49 global obses ;
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50 obses = obsmat*truep ;
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51
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52
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53 function v = ff(x)
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54 global obsmat;
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55 global obses;
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56 v = mean ((obses - obsmat*x).^2) + 1 ;
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57 endfunction
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58
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59
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60 function dv = dff(x)
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61 global obsmat;
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62 global obses;
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63 er = -obses + obsmat*x ;
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64 dv = 2*er'*obsmat / rows(obses) ;
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65 ## dv = 2*er'*obsmat ;
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66 endfunction
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67
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68 ## dt = mytic()
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69 ##
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70 ## Returns the cputime since last call to 'mytic'.
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71
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72 function dt = mytic()
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73 persistent last_mytic = 0 ;
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74 [t,u,s] = cputime() ;
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75 dt = t - last_mytic ;
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76 last_mytic = t ;
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77 endfunction
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78
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79
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80 if verbose
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81 printf ("\n Testing %s on a quadratic problem\n\n", optim_func);
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82
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83 printf ([" Set 'optim_func' to the name of the optimization\n",\
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84 " function you want to test (must have same synopsis\n",\
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85 " as 'bfgs')\n\n"]);
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86
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87 printf (" Nparams = P = %i, Nobses = R = %i\n",P,R);
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88 fflush (stdout);
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89 end
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90
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91 ctl.df = "dff";
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92 ctl.ftol = eps;
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93 ctl.dtol = 1e-7;
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94 mytic() ;
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95 if strcmp(optim_func,"bfgsmin")
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96 ctl = {-1,2,1,1};
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97 xinit2 = {xinit};
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98 else xinit2 = xinit;
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99 endif
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100 ## [xlev,vlev,nlev] = feval(optim_func, "ff", "dff", xinit) ;
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101 [xlev,vlev,nlev] = feval(optim_func, "ff", xinit2, ctl) ;
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102 tlev = mytic() ;
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103
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104
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105 if max (abs(xlev-truep)) > 1e-4,
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106 if verbose
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107 printf ("Error is too big : %8.3g\n", max (abs (xlev-truep)));
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108 end
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109 ok = 0;
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110 elseif verbose, printf ("ok 1\n");
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111 end
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112
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113 if verbose,
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114 printf (" Costs : init=%8.3g, final=%8.3g, best=%8.3g\n",\
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115 ff(xinit), vlev, ff(truep));
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116 end
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117 if verbose
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118 printf ( " time : %8.3g\n",tlev);
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119 end
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120 if verbose && ok
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121 printf ( "All tests ok (there's just one test)\n");
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122 end
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123