Examples with MoreThuente hex.optimization.OptimizationUtils.MoreThuente used on opensource projects

Example 1 with MoreThuente

use of hex.optimization.OptimizationUtils.MoreThuente in project h2o-3 by h2oai.

the class LineSearchTest method testMoreThuenteMethod.

@Test
public void testMoreThuenteMethod() {
    GradientSolver f = new GradientSolver() {

        @Override
        public GradientInfo getGradient(double[] beta) {
            GradientInfo ginfo = new GradientInfo(0, new double[1]);
            double x = beta[0];
            double b = 2;
            double xx = x * x;
            ginfo._gradient[0] = (xx - b) / ((b + xx) * (b + xx));
            ginfo._objVal = -x / (xx + b);
            return ginfo;
        }

        @Override
        public GradientInfo getObjective(double[] beta) {
            return getGradient(beta);
        }
    };
    double stp = 1;
    double x = 100;
    MoreThuente ls = new OptimizationUtils.MoreThuente(f, new double[] { x }, f.getGradient(new double[] { x }), 1e-1, 1e-1, 1e-5).setInitialStep(stp);
    boolean succ = ls.evaluate(new double[] { -1 });
    assertTrue(succ);
    assertEquals(1, ls._returnStatus);
    assertEquals(18, ls.nfeval());
    assertEquals(-0.35355, ls.ginfo()._objVal, 1e-5);
    assertEquals(98586, Math.round(1000 * ls.step()), 1e-5);
    x = 0;
    stp = 100;
    ls = new OptimizationUtils.MoreThuente(f, new double[] { x }, f.getGradient(new double[] { x }), 1e-1, 1e-1, 1e-5).setInitialStep(stp);
    succ = ls.evaluate(new double[] { 1 });
    assertTrue(succ);
    assertEquals(ls._returnStatus, 1);
    assertEquals(5, ls.nfeval());
    assertEquals(-0.34992, ls.ginfo()._objVal, 1e-5);
    assertEquals(1.6331, ls.step(), 1e-5);
    x = 0;
    stp = 10;
    ls = new OptimizationUtils.MoreThuente(f, new double[] { x }, f.getGradient(new double[] { x }), 1e-3, 1e-1, 1e-5).setInitialStep(stp);
    succ = ls.evaluate(new double[] { 1 });
    assertTrue(succ);
    assertEquals(1, ls.nfeval());
    x = 0;
    stp = 1000;
    ls = new OptimizationUtils.MoreThuente(f, new double[] { x }, f.getGradient(new double[] { x }), 1e-3, 1e-1, 1e-5).setInitialStep(stp);
    succ = ls.evaluate(new double[] { 1 });
    assertEquals(ls._returnStatus, 1);
    assertTrue(succ);
    assertEquals(4, ls.nfeval());
    assertEquals(37, Math.round(ls.step()));
    x = 0;
    stp = 1e-3;
    ls = new OptimizationUtils.MoreThuente(f, new double[] { x }, f.getGradient(new double[] { x }), 1e-3, 1e-1, 1e-5).setInitialStep(stp);
    succ = ls.evaluate(new double[] { 1 });
    assertEquals(ls._returnStatus, 1);
    assertTrue(succ);
    assertEquals(6, ls.nfeval());
    assertEquals(14, Math.round(10 * ls.step()));
    f = new GradientSolver() {

        @Override
        public GradientInfo getGradient(double[] beta) {
            GradientInfo ginfo = new GradientInfo(0, new double[1]);
            double x = beta[0];
            double b = 0.004;
            ginfo._objVal = Math.pow(x + b, 5) - 2 * Math.pow(x + b, 4);
            ginfo._gradient[0] = Math.pow(b + x, 3) * (5 * (b + x) - 8);
            return ginfo;
        }

        @Override
        public GradientInfo getObjective(double[] beta) {
            return getGradient(beta);
        }
    };
    ls = new OptimizationUtils.MoreThuente(f, new double[] { x }, f.getGradient(new double[] { x }), 1e-1, 1e-1, 1e-5).setInitialStep(stp);
    succ = ls.evaluate(new double[] { 1 });
    assertTrue(succ);
    assertEquals(ls._returnStatus, 1);
    assertEquals(12, ls.nfeval());
    assertEquals(16, Math.round(10 * ls.step()));
    stp = 0.1;
    ls = new OptimizationUtils.MoreThuente(f, new double[] { x }, f.getGradient(new double[] { x }), 1e-1, 1e-1, 1e-5).setInitialStep(stp);
    succ = ls.evaluate(new double[] { 1 });
    assertTrue(succ);
    assertEquals(8, ls.nfeval());
    assertEquals(16, Math.round(10 * ls.step()));
    stp = 10;
    ls = new OptimizationUtils.MoreThuente(f, new double[] { x }, f.getGradient(new double[] { x }), 1e-1, 1e-1, 1e-5).setInitialStep(stp);
    succ = ls.evaluate(new double[] { 1 });
    assertTrue(succ);
    assertEquals(ls._returnStatus, 1);
    assertEquals(8, ls.nfeval());
    assertEquals(16, Math.round(10 * ls.step()));
    stp = 1000;
    ls = new OptimizationUtils.MoreThuente(f, new double[] { x }, f.getGradient(new double[] { x }), 1e-1, 1e-1, 1e-5).setInitialStep(stp);
    succ = ls.evaluate(new double[] { 1 });
    assertTrue(succ);
    assertEquals(ls._returnStatus, 1);
    assertEquals(11, ls.nfeval());
    assertEquals(16, Math.round(10 * ls.step()));
    f = new GradientSolver() {

        final double beta = 0.01;

        final double l = 39;

        double phi0(double x) {
            if (x <= 1 - beta) {
                return 1 - x;
            } else if (x >= 1 + beta) {
                return x - 1;
            } else {
                return .5 * ((x - 1) * (x - 1) / beta + beta);
            }
        }

        double phi0Prime(double x) {
            if (x <= 1 - beta) {
                return -1;
            } else if (x >= 1 + beta) {
                return 1;
            } else {
                // .5*((x-1)*(x-1)/beta + beta);
                return (x - 1) / beta;
            }
        }

        @Override
        public GradientInfo getGradient(double[] ary) {
            GradientInfo ginfo = new GradientInfo(0, new double[1]);
            double x = ary[0];
            double a = 2 * (1 - beta) / (Math.PI * l);
            double b = .5 * l * Math.PI;
            ginfo._objVal = phi0(x) + a * Math.sin(b * x);
            ginfo._gradient[0] = phi0Prime(x) + a * b * Math.cos(b * x);
            return ginfo;
        }

        @Override
        public GradientInfo getObjective(double[] beta) {
            return getGradient(beta);
        }
    };
    stp = 0.001;
    ls = new OptimizationUtils.MoreThuente(f, new double[] { x }, f.getGradient(new double[] { x }), 1e-1, 1e-1, 1e-5).setInitialStep(stp);
    succ = ls.evaluate(new double[] { 1 });
    assertEquals(ls._returnStatus, 1);
    assertTrue(succ);
    assertEquals(12, ls.nfeval());
    assertEquals(10, Math.round(10 * ls.step()));
    stp = 0.1;
    ls = new OptimizationUtils.MoreThuente(f, new double[] { x }, f.getGradient(new double[] { x }), 1e-1, 1e-1, 1e-5).setInitialStep(stp);
    succ = ls.evaluate(new double[] { 1 });
    assertTrue(succ);
    assertEquals(ls._returnStatus, 1);
    assertEquals(12, ls.nfeval());
    assertEquals(10, Math.round(10 * ls.step()));
    stp = 10;
    ls = new OptimizationUtils.MoreThuente(f, new double[] { x }, f.getGradient(new double[] { x }), 1e-1, 1e-1, 1e-5).setInitialStep(stp);
    succ = ls.evaluate(new double[] { 1 });
    assertEquals(ls._returnStatus, 1);
    assertTrue(succ);
    assertEquals(10, ls.nfeval());
    assertEquals(10, Math.round(10 * ls.step()));
    stp = 1000;
    ls = new OptimizationUtils.MoreThuente(f, new double[] { x }, f.getGradient(new double[] { x }), 1e-1, 1e-1, 1e-5).setInitialStep(stp);
    succ = ls.evaluate(new double[] { 1 });
    assertTrue(succ);
    assertEquals(ls._returnStatus, 1);
    assertEquals(13, ls.nfeval());
    assertEquals(10, Math.round(10 * ls.step()));
    f = new F(1e-3, 1e-3);
    stp = 0.001;
    ls = new OptimizationUtils.MoreThuente(f, new double[] { x }, f.getGradient(new double[] { x }), 1e-3, 1e-3, 1e-5).setInitialStep(stp);
    succ = ls.evaluate(new double[] { 1 });
    assertTrue(succ);
    assertEquals(ls._returnStatus, 1);
    assertEquals(4, ls.nfeval());
    assertEquals(9, Math.round(100 * ls.step()));
    stp = 0.1;
    ls = new OptimizationUtils.MoreThuente(f, new double[] { x }, f.getGradient(new double[] { x }), 1e-3, 1e-3, 1e-5).setInitialStep(stp);
    succ = ls.evaluate(new double[] { 1 });
    assertTrue(succ);
    assertEquals(ls._returnStatus, 1);
    assertEquals(1, ls.nfeval());
    assertEquals(10, Math.round(100 * ls.step()));
    stp = 10;
    ls = new OptimizationUtils.MoreThuente(f, new double[] { x }, f.getGradient(new double[] { x }), 1e-3, 1e-3, 1e-5).setInitialStep(stp);
    succ = ls.evaluate(new double[] { 1 });
    assertTrue(succ);
    assertEquals(3, ls.nfeval());
    assertEquals(35, Math.round(100 * ls.step()));
    stp = 1000;
    ls = new OptimizationUtils.MoreThuente(f, new double[] { x }, f.getGradient(new double[] { x }), 1e-3, 1e-3, 1e-5).setInitialStep(stp);
    succ = ls.evaluate(new double[] { 1 });
    assertTrue(succ);
    assertEquals(ls._returnStatus, 1);
    assertEquals(4, ls.nfeval());
    assertEquals(83, Math.round(100 * ls.step()));
    f = new F(0.01, 1e-3);
    stp = 0.001;
    ls = new OptimizationUtils.MoreThuente(f, new double[] { x }, f.getGradient(new double[] { x }), 1e-3, 1e-3, 1e-5).setInitialStep(stp);
    succ = ls.evaluate(new double[] { 1 });
    assertTrue(succ);
    assertEquals(6, ls.nfeval());
    assertEquals(75, Math.round(1000 * ls.step()));
    stp = 0.1;
    ls = new OptimizationUtils.MoreThuente(f, new double[] { x }, f.getGradient(new double[] { x }), 1e-3, 1e-3, 1e-5).setInitialStep(stp);
    succ = ls.evaluate(new double[] { 1 });
    assertTrue(succ);
    assertEquals(ls._returnStatus, 1);
    assertEquals(3, ls.nfeval());
    assertEquals(78, Math.round(1000 * ls.step()));
    stp = 10;
    ls = new OptimizationUtils.MoreThuente(f, new double[] { x }, f.getGradient(new double[] { x }), 1e-3, 1e-3, 1e-5).setInitialStep(stp);
    succ = ls.evaluate(new double[] { 1 });
    assertTrue(succ);
    assertEquals(ls._returnStatus, 1);
    assertEquals(7, ls.nfeval());
    assertEquals(73, Math.round(1000 * ls.step()));
    stp = 1000;
    ls = new OptimizationUtils.MoreThuente(f, new double[] { x }, f.getGradient(new double[] { x }), 1e-3, 1e-3, 1e-5).setInitialStep(stp);
    succ = ls.evaluate(new double[] { 1 });
    assertTrue(succ);
    assertEquals(ls._returnStatus, 1);
    assertEquals(8, ls.nfeval());
    assertEquals(76, Math.round(1000 * ls.step()));
    f = new F(1e-3, 0.01);
    stp = 0.001;
    ls = new OptimizationUtils.MoreThuente(f, new double[] { x }, f.getGradient(new double[] { x }), 1e-3, 1e-3, 1e-5).setInitialStep(stp);
    succ = ls.evaluate(new double[] { 1 });
    assertTrue(succ);
    assertEquals(ls._returnStatus, 1);
    assertEquals(13, ls.nfeval());
    assertEquals(93, Math.round(100 * ls.step()));
    stp = 0.1;
    ls = new OptimizationUtils.MoreThuente(f, new double[] { x }, f.getGradient(new double[] { x }), 1e-3, 1e-3, 1e-5).setInitialStep(stp);
    succ = ls.evaluate(new double[] { 1 });
    assertTrue(succ);
    assertEquals(ls._returnStatus, 1);
    assertEquals(11, ls.nfeval());
    assertEquals(93, Math.round(100 * ls.step()));
    stp = 10;
    ls = new OptimizationUtils.MoreThuente(f, new double[] { x }, f.getGradient(new double[] { x }), 1e-3, 1e-3, 1e-5).setInitialStep(stp);
    succ = ls.evaluate(new double[] { 1 });
    assertTrue(succ);
    assertEquals(8, ls.nfeval());
    assertEquals(92, Math.round(100 * ls.step()));
    stp = 1000;
    ls = new OptimizationUtils.MoreThuente(f, new double[] { x }, f.getGradient(new double[] { x }), 1e-3, 1e-3, 1e-5).setInitialStep(stp);
    succ = ls.evaluate(new double[] { 1 });
    assertTrue(succ);
    assertEquals(ls._returnStatus, 1);
    assertEquals(11, ls.nfeval());
    assertEquals(92, Math.round(100 * ls.step()));
}