FSharp.Stats/tests/FSharp.Stats.Tests/Optimization.fs at developer · fslaborg/FSharp.Stats · GitHub

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module Optimization


open Expecto
open System
open FsMath
open FSharp.Stats
open FSharp.Stats.Optimization


[<Tests>]
let NelderMeadTests =
    testList "Optimization.NelderMead" [

        let poly (xs: Vector<float>) =
            System.Math.Pow(xs[0], 2)

        // Rosenbrock's valley or Rosenbrock's banana function
        let rosenbrock (xs: Vector<float>) =
            let x, y = xs.[0], xs.[1]
            pown (1.0 - x) 2 + 100.0 * pown (y - pown x 2) 2

        // Fletcher and Powell's helic valley
        let fphv (x : Vector<float>) =
            100. * (x[2] - 10. * (atan2 x[1] x[0]) / (2. * Ops.pi))**2. +
                (sqrt(x[0]**2. + x[1]**2.) - 1.)**2. + x[2]**2.

        // Powell's Singular Function (PSF)
        let psf (x : Vector<float>) =
          (x[0] + 10. * x[1])**2. + 5. * (x[2] - x[3])**2. +
            (x[1] - 2. * x[2])**4. + 10.*(x[0] - x[3])**4.

        testList "Test rosenbrock" [

            let x0 = vector [| 1.3; 0.7; 0.8; 1.9; 1.2 |]
            let nmc = NelderMead.NmConfig.defaultInit()

            let optim = NelderMead.minimize nmc x0 rosenbrock

            test "rosenbrock: solution value" {
                let expected = 0.0
                let actual   = optim.Solution
                Expect.floatClose Accuracy.low actual expected "rosenbrock: solution did not match"
            }

            test "rosenbrock: x1" {
                let expected =  1.0
                let actual = optim.SolutionVector[0]
                Expect.floatClose Accuracy.low actual expected "rosenbrock: x1 did not match"
            }

            test "rosenbrock: x2" {
                let expected = 1.0
                let actual = optim.SolutionVector[1]
                Expect.floatClose Accuracy.low actual expected "rosenbrock: x2 did not match"
            }
        ]

        testList "Test Fletcher" [

            let x0 = vector [| -1.0; 0.0; 0.0; |]
            let nmc = NelderMead.NmConfig.defaultInit()
            let optim =
                NelderMead.minimizeWithStopCriteria nmc x0 fphv
                    { OptimizationStop.defaultStopCriteria with MinFunctionEpsilon = 1e-24 }

            //test "Fletcher: solution value" {
            //    let expected = 0.
            //    let actual   = optim.Solution
            //    Expect.floatClose Accuracy.low actual expected "fletcher: solution did not match"
            //}
            //seq [0.9999272578; -2.558463341e-05; -4.073735628e-05]; #  1 0 0
            testCase "Fletcher: solution vector" <| fun () ->
                Expect.floatClose Accuracy.low optim.SolutionVector[0] 1. "fletcher: x1 did not match"
                Expect.floatClose Accuracy.low optim.SolutionVector[1] 0. "fletcher: x2 did not match"
                Expect.floatClose Accuracy.low optim.SolutionVector[2] 0. "fletcher: x3 did not match"

        ]

        testList "Test Powell's Singular Function" [

            let x0 = vector [| 3.0; -1.0; 0.0; 1.0; |]
            let nmc = NelderMead.NmConfig.defaultInit()

            let optim = NelderMead.minimize nmc x0 psf

            test "Psf: solution value" {
                let expected = 5.675294665e-09
                let actual   = optim.Solution
                Expect.floatClose Accuracy.low actual expected "psf: solution did not match"
            }
            //
            testCase "v: solution vector" <| fun () ->
                let expected = [|-0.0005532762725; 5.500401575e-05; -0.002250883404;-0.002282958824|]

                Expect.floatClose Accuracy.low optim.SolutionVector[0] expected[0] "psf: x1 did not match"
                Expect.floatClose Accuracy.low optim.SolutionVector[1] expected[1] "psf: x2 did not match"
                Expect.floatClose Accuracy.low optim.SolutionVector[2] expected[2] "psf: x3 did not match"
                Expect.floatClose Accuracy.low optim.SolutionVector[3] expected[3] "psf: x4 did not match"
        ]

    ]