func ExampleLocal() {
p := optimize.Problem{
Func: functions.ExtendedRosenbrock{}.Func,
Grad: functions.ExtendedRosenbrock{}.Grad,
}
x := []float64{1.3, 0.7, 0.8, 1.9, 1.2}
settings := optimize.DefaultSettings()
settings.Recorder = nil
settings.GradientThreshold = 1e-12
settings.FunctionConverge = nil
result, err := optimize.Local(p, x, settings, &optimize.BFGS{})
if err != nil {
log.Fatal(err)
}
if err = result.Status.Err(); err != nil {
log.Fatal(err)
}
fmt.Printf("result.Status: %v\n", result.Status)
fmt.Printf("result.X: %v\n", result.X)
fmt.Printf("result.F: %v\n", result.F)
fmt.Printf("result.Stats.FuncEvaluations: %d\n", result.Stats.FuncEvaluations)
// Output:
// result.Status: GradientThreshold
// result.X: [1 1 1 1 1]
// result.F: 0
// result.Stats.FuncEvaluations: 35
}
// Train sets the paramters of the gaussian process. If noise == true,
// the noise parameter is adjusted, otherwise it is not.
// TODO(btracey): Need to implement barrier method for parameters. Steps get crazy.
func (g *GP) Train(trainNoise bool) error {
// TODO(btracey): Implement a memory struct that can be passed around with
// all of this data.
initHyper := g.kernel.Hyper(nil)
nKerHyper := len(initHyper)
if trainNoise {
initHyper = append(initHyper, math.Log(g.noise))
}
mem := newMargLikeMemory(len(initHyper), len(g.outputs))
f := func(x []float64) float64 {
fmt.Println("x =", x)
obj := g.marginalLikelihood(x, trainNoise, mem)
fmt.Println("obj =", obj)
return obj
}
df := func(x, grad []float64) {
g.marginalLikelihoodDerivative(x, grad, trainNoise, mem)
fmt.Println("x = ", x)
fmt.Println("grad = ", grad)
}
// grad = [0.4500442759224154 -3.074041876494095 0.42568788880060204]
/*
x := []float64{0.7287793210009457, -0.9371471942974932, -14.017213937483529}
fofx := f(x)
fmt.Println("fofx", fofx)
set := fd.DefaultSettings()
set.Method.Step = 1e-4
fdGrad := fd.Gradient(nil, f, x, nil)
fmt.Println("fd grad = ", fdGrad)
grad := make([]float64, len(fdGrad))
df(x, grad)
fmt.Println("real grad = ", grad)
os.Exit(1)
*/
problem := optimize.Problem{
Func: f,
Grad: df,
}
settings := optimize.DefaultSettings()
settings.GradientThreshold = 1e-4
result, err := optimize.Local(problem, initHyper, settings, nil)
// set noise
g.noise = math.Exp(result.X[len(result.X)-1])
g.kernel.SetHyper(result.X[:nKerHyper])
g.setKernelMat(g.k, g.noise)
ok := g.cholK.Factorize(g.k)
if !ok {
return errors.New("gp: final kernel matrix is not positive definite")
}
v := mat64.NewVector(len(g.outputs), g.outputs)
g.sigInvY.SolveCholeskyVec(g.cholK, v)
return err
}
func main() {
settings := optimize.DefaultSettings()
settings.Recorder = nil
settings.GradientThreshold = 1e-6
f := Rastrigin{}
x := []float64{9.50160783681757, 0.3523567525151421, -8.042810467718468, -9.320723586564494, 0.025196429450302205}
result, err := optimize.Local(f, x, settings, &optimize.LBFGS{})
if err != nil {
log.Fatal(err)
}
fmt.Println(result.F)
}
func worker(f optimize.Function, locs chan []float64, minima chan float64) {
for x := range locs {
settings := optimize.DefaultSettings()
settings.Recorder = nil
settings.GradientThreshold = 1e-4
result, err := optimize.Local(f, x, settings, &optimize.LBFGS{})
if err != nil {
minima <- math.Inf(1)
} else {
minima <- result.F
}
}
}