Add a useful package (from Source forge) for octave

[CreaPhase.git] / octave_packages / optim-1.2.0 / test_min_2.m

diff --git a/octave_packages/optim-1.2.0/test_min_2.m b/octave_packages/optim-1.2.0/test_min_2.m
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+## Copyright (C) 2002 Etienne Grossmann <etienne@egdn.net>
+## Copyright (C) 2004 Michael Creel <michael.creel@uab.es>
+##
+## This program is free software; you can redistribute it and/or modify it under
+## the terms of the GNU General Public License as published by the Free Software
+## Foundation; either version 3 of the License, or (at your option) any later
+## version.
+##
+## This program is distributed in the hope that it will be useful, but WITHOUT
+## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
+## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more
+## details.
+##
+## You should have received a copy of the GNU General Public License along with
+## this program; if not, see <http://www.gnu.org/licenses/>.
+
+## test_min_2                   - Test that bfgs works
+##
+## Defines some simple functions and verifies that calling
+## 
+## bfgs on them returns the correct minimum.
+##
+## Sets 'ok' to 1 if success, 0 otherwise
+
+if ! exist ("optim_func"), optim_func = "bfgsmin"; end
+
+ok = 1;
+
+if ! exist ("verbose"), verbose = 0; end
+
+P = 15;
+R = 20;                        # must have R >= P
+
+
+global obsmat ;
+## Make test_min_2 reproducible by using fixed obsmat
+## obsmat = randn(R,P) ;
+obsmat = zeros (R,P);
+obsmat(sub2ind([R,P],1:R,1+rem(0:R-1,P))) = 1:R;
+
+global truep ;
+
+## Make test_min_2 reproducible by using fixed starting point
+## truep = randn(P,1) ;
+## xinit = randn(P,1) ;
+truep = rem (1:P, P/4)';
+xinit = truep + 2*(1:P)'/(P);
+
+global obses ;
+obses = obsmat*truep ;
+
+
+function v = ff(x)
+  global obsmat;
+  global obses;
+  v = mean ((obses - obsmat*x).^2) + 1 ;
+endfunction
+
+
+function dv = dff(x)
+  global obsmat;
+  global obses;
+  er = -obses + obsmat*x ;
+  dv = 2*er'*obsmat / rows(obses) ;
+  ## dv = 2*er'*obsmat ;
+endfunction
+
+##       dt = mytic()
+##
+## Returns the cputime since last call to 'mytic'.
+
+function dt = mytic()
+   persistent last_mytic = 0 ;
+   [t,u,s] = cputime() ;
+   dt = t - last_mytic ;
+   last_mytic = t ;
+endfunction
+
+
+if verbose
+  printf ("\n   Testing %s on a quadratic problem\n\n", optim_func);
+
+  printf (["     Set 'optim_func' to the name of the optimization\n",\
+          "     function you want to test (must have same synopsis\n",\
+          "     as 'bfgs')\n\n"]);
+
+  printf ("  Nparams = P = %i,  Nobses = R = %i\n",P,R);
+  fflush (stdout);
+end
+
+ctl.df = "dff";
+ctl.ftol = eps;
+ctl.dtol = 1e-7;
+mytic() ;
+if strcmp(optim_func,"bfgsmin")
+       ctl = {-1,2,1,1};
+       xinit2 = {xinit};
+else xinit2 = xinit;   
+endif
+## [xlev,vlev,nlev] = feval(optim_func, "ff", "dff", xinit) ;
+[xlev,vlev,nlev] = feval(optim_func, "ff", xinit2, ctl) ;
+tlev = mytic() ;
+
+
+if max (abs(xlev-truep)) > 1e-4,
+  if verbose
+    printf ("Error is too big : %8.3g\n", max (abs (xlev-truep)));
+  end
+  ok = 0;
+elseif verbose,  printf ("ok 1\n");
+end
+
+if verbose,
+  printf ("  Costs :     init=%8.3g, final=%8.3g, best=%8.3g\n",\
+         ff(xinit), vlev, ff(truep));    
+end
+if verbose
+    printf ( "   time : %8.3g\n",tlev);
+end
+if verbose && ok
+  printf ( "All tests ok (there's just one test)\n");
+end
+