コード例 #1
0
ファイル: linprog_test.go プロジェクト: kortschak/opt
func TestLinprog(t *testing.T) {
	m := 500
	n := 1000
	tol := 1e-8

	A := mat.RandN(m, n)
	c := mat.RandVec(n)
	b := mat.NewVec(m)
	xt := mat.RandVec(n)
	b.Apply(A, xt)

	At := A.TrView()

	rd := mat.NewVec(n)
	rp := mat.NewVec(m)
	rs := mat.NewVec(n)

	prob := NewStandard(c, A, b)

	//Example for printing duality gap and infeasibilities
	result := Solve(prob, nil, NewDisplay(2))

	rd.Sub(c, result.S)
	rd.AddMul(At, result.Y, -1)
	rp.Apply(A, result.X)
	rp.Sub(b, rp)
	rs.Mul(result.X, result.S)
	rs.Neg(rs)

	dev := (rd.Asum() + rp.Asum() + rs.Asum()) / float64(n)
	if dev > tol {
		t.Log(dev)
		t.Fail()
	}
}
コード例 #2
0
ファイル: linprog_test.go プロジェクト: kortschak/opt
func BenchmarkLinprog(bench *testing.B) {
	bench.StopTimer()
	m := 50
	n := 100
	tol := 1e-3
	rd := mat.NewVec(n)
	rp := mat.NewVec(m)
	rs := mat.NewVec(n)

	for i := 0; i < bench.N; i++ {
		A := mat.RandN(m, n)
		c := mat.RandVec(n)
		b := mat.NewVec(m)
		xt := mat.RandVec(n)
		b.Apply(A, xt)

		At := A.TrView()

		prob := NewStandard(c, A, b)
		bench.StartTimer()
		result := Solve(prob, nil)
		bench.StopTimer()

		rd.Sub(c, result.S)
		rd.AddMul(At, result.Y, -1)
		rp.Apply(A, result.X)
		rp.Sub(b, rp)
		rs.Mul(result.X, result.S)
		rs.Neg(rs)

		dev := (rd.Asum() + rp.Asum() + rs.Asum()) / float64(n)
		if dev > tol {
			bench.Log(dev)
		}
	}
}
コード例 #3
0
ファイル: multi_test.go プロジェクト: kortschak/opt
func TestQuadratic(t *testing.T) {
	mat.Register(cops)
	n := 10
	xStar := mat.NewVec(n)
	xStar.AddSc(1)
	A := mat.RandN(n)
	At := A.TrView()
	AtA := mat.New(n)
	AtA.Mul(At, A)

	bTmp := mat.NewVec(n)
	bTmp.Apply(A, xStar)
	b := mat.NewVec(n)
	b.Apply(At, bTmp)
	b.Scal(-2)

	c := bTmp.Nrm2Sq()

	//Define input arguments
	obj := opt.NewQuadratic(AtA, b, c)
	p := NewParams()
	sol := NewSolution(mat.NewVec(n))

	//Steepest descent with armijo
	stDesc := NewSteepestDescent()
	res1 := stDesc.Solve(obj, sol, p, NewDisplay(100))

	t.Log(res1.ObjX, res1.FunEvals, res1.GradEvals, res1.Status)

	//Steepest descent with Quadratic
	stDesc.LineSearch = uni.DerivWrapper{uni.NewQuadratic()}
	res2 := stDesc.Solve(obj, sol, p, NewDisplay(100))

	t.Log(res2.ObjX, res2.FunEvals, res2.GradEvals, res2.Status)

	//LBFGS with armijo
	lbfgs := NewLBFGS()
	res3 := lbfgs.Solve(obj, sol, p, NewDisplay(10))

	t.Log(res3.ObjX, res3.FunEvals, res3.GradEvals, res3.Status)

	//constrained problems (constraints described as projection)
	projGrad := NewProjGrad()

	res4 := projGrad.Solve(obj, opt.RealPlus{}, sol, p, NewDisplay(100))

	t.Log(res4.ObjX, res4.FunEvals, res4.GradEvals, res4.Status)

	if math.Abs(res1.ObjX) > 0.01 {
		t.Fail()
	}
	if math.Abs(res2.ObjX) > 0.01 {
		t.Fail()
	}
	if math.Abs(res3.ObjX) > 0.01 {
		t.Fail()
	}
	if math.Abs(res4.ObjX) > 0.01 {
		t.Fail()
	}
}