test_functions.hpp

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#ifndef MLPACK_CORE_OPTIMIZERS_LBFGS_TEST_FUNCTIONS_HPP
#define MLPACK_CORE_OPTIMIZERS_LBFGS_TEST_FUNCTIONS_HPP

#include <mlpack/prereqs.hpp>

// To fulfill the template policy class 'FunctionType', we must implement
// the following:
//
//   FunctionType(); // constructor
//   void Gradient(const arma::mat& coordinates, arma::mat& gradient);
//   double Evaluate(const arma::mat& coordinates);
//   const arma::mat& GetInitialPoint();
//
// Note that we are using an arma::mat instead of the more intuitive and
// expected arma::vec.  This is because L-BFGS will also optimize matrices.
// However, remember that an arma::vec is simply an (n x 1) arma::mat.  You can
// use either internally but the L-BFGS method requires arma::mat& to be passed
// (C++ does not allow implicit reference casting to subclasses).

namespace mlpack {
namespace optimization {
namespace test {

class RosenbrockFunction
{
 public:
  RosenbrockFunction(); // initialize initial point

  double Evaluate(const arma::mat& coordinates);
  void Gradient(const arma::mat& coordinates, arma::mat& gradient);

  const arma::mat& GetInitialPoint() const;

 private:
  arma::mat initialPoint;
};

class WoodFunction
{
 public:
  WoodFunction(); // initialize initial point

  double Evaluate(const arma::mat& coordinates);
  void Gradient(const arma::mat& coordinates, arma::mat& gradient);

  const arma::mat& GetInitialPoint() const;

 private:
  arma::mat initialPoint;
};

class GeneralizedRosenbrockFunction
{
 public:
  /***
   * Set the dimensionality of the extended Rosenbrock function.
   *
   * @param n Number of dimensions for the function.
   */
  GeneralizedRosenbrockFunction(int n);

  double Evaluate(const arma::mat& coordinates) const;
  void Gradient(const arma::mat& coordinates, arma::mat& gradient) const;

  size_t NumFunctions() const { return n - 1; }
  double Evaluate(const arma::mat& coordinates, const size_t i) const;
  void Gradient(const arma::mat& coordinates,
                const size_t i,
                arma::mat& gradient) const;

  const arma::mat& GetInitialPoint() const;

 private:
  arma::mat initialPoint;
  int n; // Dimensionality
};

class RosenbrockWoodFunction
{
 public:
  RosenbrockWoodFunction(); // initialize initial point

  double Evaluate(const arma::mat& coordinates);
  void Gradient(const arma::mat& coordinates, arma::mat& gradient);

  const arma::mat& GetInitialPoint() const;

 private:
  arma::mat initialPoint;
  GeneralizedRosenbrockFunction rf;
  WoodFunction wf;
};

} // namespace test
} // namespace optimization
} // namespace mlpack

#endif // MLPACK_CORE_OPTIMIZERS_LBFGS_TEST_FUNCTIONS_HPP