public void AugmentedLagrangianSolverConstructorTest5()
{
// Suppose we would like to minimize the following function:
//
// f(x,y) = min 100(y-x²)²+(1-x)²
//
// Subject to the constraints
//
// x >= 0 (x must be positive)
// y >= 0 (y must be positive)
//
double x = 0, y = 0;
// First, we create our objective function
var f = new NonlinearObjectiveFunction(
// This is the objective function: f(x,y) = min 100(y-x²)²+(1-x)²
function: () => 100 * Math.Pow(y - x * x, 2) + Math.Pow(1 - x, 2),
// The gradient vector:
gradient: () => new[]
{
2 * (200 * Math.Pow(x, 3) - 200 * x * y + x - 1), // df/dx = 2(200x³-200xy+x-1)
200 * (y - x*x) // df/dy = 200(y-x²)
}
);
// Now we can start stating the constraints
var constraints = new List<NonlinearConstraint>();
// Add the non-negativity constraint for x
constraints.Add(new NonlinearConstraint(f,
// 1st constraint: x should be greater than or equal to 0
function: () => x, shouldBe: ConstraintType.GreaterThanOrEqualTo, value: 0,
gradient: () => new[] { 1.0, 0.0 }
));
// Add the non-negativity constraint for y
constraints.Add(new NonlinearConstraint(f,
// 2nd constraint: y should be greater than or equal to 0
function: () => y, shouldBe: ConstraintType.GreaterThanOrEqualTo, value: 0,
gradient: () => new[] { 0.0, 1.0 }
));
// Finally, we create the non-linear programming solver
var solver = new AugmentedLagrangian(f, constraints);
// And attempt to solve the problem
Assert.IsTrue(solver.Minimize());
double minValue = solver.Value;
Assert.AreEqual(0, minValue, 1e-10);
Assert.AreEqual(1, solver.Solution[0], 1e-6);
Assert.AreEqual(1, solver.Solution[1], 1e-6);
Assert.IsFalse(Double.IsNaN(minValue));
Assert.IsFalse(Double.IsNaN(solver.Solution[0]));
Assert.IsFalse(Double.IsNaN(solver.Solution[1]));
}
