Author: erans
Date: Fri Nov 23 22:10:55 2012
New Revision: 1413088
URL: http://svn.apache.org/viewvc?rev=1413088&view=rev
Log:
MATH-908
Added constructor to enable independent settings of the line search
tolerances. Updated unit tests.
Modified:
commons/proper/math/trunk/src/main/java/org/apache/commons/math3/optimization/direct/PowellOptimizer.java
commons/proper/math/trunk/src/test/java/org/apache/commons/math3/optimization/direct/PowellOptimizerTest.java
Modified:
commons/proper/math/trunk/src/main/java/org/apache/commons/math3/optimization/direct/PowellOptimizer.java
URL:
http://svn.apache.org/viewvc/commons/proper/math/trunk/src/main/java/org/apache/commons/math3/optimization/direct/PowellOptimizer.java?rev=1413088&r1=1413087&r2=1413088&view=diff
==============================================================================
---
commons/proper/math/trunk/src/main/java/org/apache/commons/math3/optimization/direct/PowellOptimizer.java
(original)
+++
commons/proper/math/trunk/src/main/java/org/apache/commons/math3/optimization/direct/PowellOptimizer.java
Fri Nov 23 22:10:55 2012
@@ -69,7 +69,10 @@ public class PowellOptimizer
/**
* This constructor allows to specify a user-defined convergence checker,
* in addition to the parameters that control the default convergence
- * checking procedure and the line search tolerances.
+ * checking procedure.
+ * <br/>
+ * The internal line search tolerances are set to the square-root of their
+ * corresponding value in the multivariate optimizer.
*
* @param rel Relative threshold.
* @param abs Absolute threshold.
@@ -80,6 +83,27 @@ public class PowellOptimizer
public PowellOptimizer(double rel,
double abs,
ConvergenceChecker<PointValuePair> checker) {
+ this(rel, abs, FastMath.sqrt(rel), FastMath.sqrt(abs), checker);
+ }
+
+ /**
+ * This constructor allows to specify a user-defined convergence checker,
+ * in addition to the parameters that control the default convergence
+ * checking procedure and the line search tolerances.
+ *
+ * @param rel Relative threshold for this optimizer.
+ * @param abs Absolute threshold for this optimizer.
+ * @param lineRel Relative threshold for the internal line search
optimizer.
+ * @param lineAbs Absolute threshold for the internal line search
optimizer.
+ * @param checker Convergence checker.
+ * @throws NotStrictlyPositiveException if {@code abs <= 0}.
+ * @throws NumberIsTooSmallException if {@code rel < 2 * Math.ulp(1d)}.
+ */
+ public PowellOptimizer(double rel,
+ double abs,
+ double lineRel,
+ double lineAbs,
+ ConvergenceChecker<PointValuePair> checker) {
super(checker);
if (rel < MIN_RELATIVE_TOLERANCE) {
@@ -91,15 +115,16 @@ public class PowellOptimizer
relativeThreshold = rel;
absoluteThreshold = abs;
- // Line search tolerances can be much less stringent than the
tolerances
- // required for the optimizer itself.
- line = new LineSearch(FastMath.sqrt(rel),
- FastMath.sqrt(abs));
+ // Create the line search optimizer.
+ line = new LineSearch(lineRel,
+ lineAbs);
}
/**
- * The parameters control the default convergence checking procedure, and
- * the line search tolerances.
+ * The parameters control the default convergence checking procedure.
+ * <br/>
+ * The internal line search tolerances are set to the square-root of their
+ * corresponding value in the multivariate optimizer.
*
* @param rel Relative threshold.
* @param abs Absolute threshold.
Modified:
commons/proper/math/trunk/src/test/java/org/apache/commons/math3/optimization/direct/PowellOptimizerTest.java
URL:
http://svn.apache.org/viewvc/commons/proper/math/trunk/src/test/java/org/apache/commons/math3/optimization/direct/PowellOptimizerTest.java?rev=1413088&r1=1413087&r2=1413088&view=diff
==============================================================================
---
commons/proper/math/trunk/src/test/java/org/apache/commons/math3/optimization/direct/PowellOptimizerTest.java
(original)
+++
commons/proper/math/trunk/src/test/java/org/apache/commons/math3/optimization/direct/PowellOptimizerTest.java
Fri Nov 23 22:10:55 2012
@@ -46,13 +46,16 @@ public class PowellOptimizerTest {
for (int i = 0; i < dim; i++) {
init[i] = minPoint[i];
}
- doTest(func, minPoint, init, GoalType.MINIMIZE, 1e-9, 1e-7);
+ doTest(func, minPoint, init, GoalType.MINIMIZE, 1e-9, 1e-9);
// Initial is far from minimum.
for (int i = 0; i < dim; i++) {
init[i] = minPoint[i] + 3;
}
- doTest(func, minPoint, init, GoalType.MINIMIZE, 1e-9, 1e-5);
+ doTest(func, minPoint, init, GoalType.MINIMIZE, 1e-9, 1e-5);
+ // More stringent line search tolerance enhances the precision
+ // of the result.
+ doTest(func, minPoint, init, GoalType.MINIMIZE, 1e-9, 1e-9, 1e-7);
}
@Test
@@ -201,4 +204,34 @@ public class PowellOptimizerTest {
optimum[i], point[i], pointTol);
}
}
+
+ /**
+ * @param func Function to optimize.
+ * @param optimum Expected optimum.
+ * @param init Starting point.
+ * @param goal Minimization or maximization.
+ * @param fTol Tolerance (relative error on the objective function) for
+ * "Powell" algorithm.
+ * @param fLineTol Tolerance (relative error on the objective function)
+ * for the internal line search algorithm.
+ * @param pointTol Tolerance for checking that the optimum is correct.
+ */
+ private void doTest(MultivariateFunction func,
+ double[] optimum,
+ double[] init,
+ GoalType goal,
+ double fTol,
+ double fLineTol,
+ double pointTol) {
+ final MultivariateOptimizer optim = new PowellOptimizer(fTol,
Math.ulp(1d),
+ fLineTol,
Math.ulp(1d), null);
+
+ final PointValuePair result = optim.optimize(1000, func, goal, init);
+ final double[] point = result.getPoint();
+
+ for (int i = 0, dim = optimum.length; i < dim; i++) {
+ Assert.assertEquals("found[" + i + "]=" + point[i] + " value=" +
result.getValue(),
+ optimum[i], point[i], pointTol);
+ }
+ }
}
