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eeb363530d
* diff/fd: implement Hessian finite difference, and code cleanups. This commit primarily adds the Hessian function for finding a finite difference approximation to the Hessian. At the same time, it combines duplicated functionality across the difference routines so that the preludes to all the difference routines look similar
93 lines
1.9 KiB
Go
93 lines
1.9 KiB
Go
// Copyright ©2017 The gonum Authors. All rights reserved.
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// Use of this source code is governed by a BSD-style
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// license that can be found in the LICENSE file.
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package fd
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import (
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"testing"
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"gonum.org/v1/gonum/mat"
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)
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type HessianTester interface {
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Func(x []float64) float64
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Grad(grad, x []float64)
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Hess(dst mat.MutableSymmetric, x []float64)
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}
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func TestHessian(t *testing.T) {
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for cas, test := range []struct {
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h HessianTester
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x []float64
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settings *Settings
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tol float64
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}{
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{
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h: Watson{},
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x: []float64{0.2, 0.3, 0.1, 0.4},
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tol: 1e-3,
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},
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{
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h: Watson{},
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x: []float64{2, 3, 1, 4},
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tol: 1e-3,
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settings: &Settings{
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Step: 1e-5,
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Formula: Central,
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},
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},
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{
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h: Watson{},
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x: []float64{2, 3, 1},
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tol: 1e-3,
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settings: &Settings{
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OriginKnown: true,
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OriginValue: 7606.529501201192,
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},
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},
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{
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h: ConstFunc(5),
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x: []float64{1, 9},
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tol: 1e-16,
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},
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{
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h: LinearFunc{w: []float64{10, 6, -1}, c: 5},
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x: []float64{3, 1, 8},
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tol: 1e-6,
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},
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{
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h: QuadFunc{
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a: mat.NewSymDense(3, []float64{
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10, 2, 1,
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2, 5, -3,
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1, -3, 6,
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}),
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b: mat.NewVector(3, []float64{3, -2, -1}),
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c: 5,
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},
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x: []float64{-1.6, -3, 2},
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tol: 1e-6,
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},
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} {
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n := len(test.x)
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got := Hessian(nil, test.h.Func, test.x, test.settings)
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want := mat.NewSymDense(n, nil)
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test.h.Hess(want, test.x)
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if !mat.EqualApprox(got, want, test.tol) {
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t.Errorf("Cas %d: Hessian mismatch\ngot=\n%0.4v\nwant=\n%0.4v\n", cas, mat.Formatted(got), mat.Formatted(want))
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}
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// Test that concurrency works.
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settings := test.settings
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if settings == nil {
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settings = &Settings{}
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}
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settings.Concurrent = true
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got2 := Hessian(nil, test.h.Func, test.x, settings)
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if !mat.EqualApprox(got, got2, 1e-5) {
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t.Errorf("Cas %d: Hessian mismatch concurrent\ngot=\n%0.6v\nwant=\n%0.6v\n", cas, mat.Formatted(got2), mat.Formatted(got))
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}
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}
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}
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