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| Public Class ObjectiveFunction |
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| Inherits LibOptimization.Optimization.absObjectiveFunction |
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| Private fxb As Func(Of Double(), Double) |
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| Private fxg As Func(Of Double(), Double()) |
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| Private epsilon As Double |
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| Private n As Integer |
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| Public Sub New(func1 As Func(Of Double(), Double), deriv1 As Func(Of Double(), Double()), eps As Double, nvars As Integer) |
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| fxb = func1 |
| fxg = deriv1 |
| epsilon = eps |
| n = nvars |
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| End Sub |
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| Public Overrides Function F(ByVal a As List(Of Double)) As Double |
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| Return fxb.Invoke(a.ToArray()) |
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| End Function |
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| Public Overrides Function Gradient(x As List(Of Double), Optional h As Double = 0.00000001) As List(Of Double) |
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| If fxg IsNot Nothing Then |
| Return fxg.Invoke(x.ToArray()).ToList() |
| Else |
| Return FunctionGradient(x.ToArray()).ToList() |
| End If |
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| End Function |
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| Public Overrides Function Hessian(x As List(Of Double), Optional h As Double = 0.00000001) As List(Of List(Of Double)) |
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| Return FunctionHessian(x.ToArray()) |
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| End Function |
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| Public Overrides Function NumberOfVariable() As Integer |
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| Return n |
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| End Function |
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| Private Function FunctionGradient(ByVal x() As Double) As Double() |
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| Dim f1, f2 As Double |
| Dim g(x.Length - 1), x1(x.Length - 1), x2(x.Length - 1) As Double |
| Dim j, k As Integer |
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| For j = 0 To x.Length - 1 |
| For k = 0 To x.Length - 1 |
| x1(k) = x(k) |
| x2(k) = x(k) |
| Next |
| If x(j) <> 0.0# Then |
| x1(j) = x(j) * (1.0# + epsilon) |
| x2(j) = x(j) * (1.0# - epsilon) |
| Else |
| x1(j) = x(j) + epsilon |
| x2(j) = x(j) - epsilon |
| End If |
| f1 = fxb.Invoke(x1) |
| f2 = fxb.Invoke(x2) |
| g(j) = (f2 - f1) / (x2(j) - x1(j)) |
| Next |
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| Return g |
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| End Function |
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| Private Function FunctionHessian(ByVal x() As Double) As List(Of List(Of Double)) |
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| Dim n = x.Length - 1 |
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| Dim f2() As Double |
| Dim f3() As Double |
| Dim x2(n), x3(n) As Double |
| Dim k As Integer |
| Dim h As New List(Of List(Of Double)) |
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| For i = 0 To n |
| For j = 0 To n |
| If i <> j Then |
| x2(j) = x(j) |
| x3(j) = x(j) |
| Else |
| x2(j) = x(j) * (1 + epsilon) |
| x3(j) = x(j) * (1 - epsilon) |
| End If |
| Next |
| f2 = FunctionGradient(x2) |
| f3 = FunctionGradient(x3) |
| Dim l As New List(Of Double) |
| For k = 0 To n |
| l.Add((f2(k) - f3(k)) / (x2(i) - x3(i))) |
| Next |
| h.Add(l) |
| Next |
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| Return h |
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| End Function |
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| End Class |
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