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35 lines
1.0 KiB
C++
35 lines
1.0 KiB
C++
#include "test_autodiff_reverse.hpp" // reuse for same test infra
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#include "test_functions_for_optimization.hpp"
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#include <boost/math/differentiation/autodiff_reverse.hpp>
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#include <boost/math/optimization/lbfgs.hpp>
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#include <boost/math/optimization/minimizer.hpp>
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namespace rdiff = boost::math::differentiation::reverse_mode;
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namespace bopt = boost::math::optimization;
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BOOST_AUTO_TEST_SUITE(basic_lbfgs)
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BOOST_AUTO_TEST_CASE(default_lbfgs_test) {
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using T = double;
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constexpr size_t NITER = 10;
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constexpr size_t M = 10;
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const T eps = T{1e-8};
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RandomSample<T> rng{T(-10), T(10)};
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std::array<rdiff::rvar<T, 1>, 2> x;
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x[0] = rng.next();
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x[1] = rng.next();
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auto opt = bopt::make_lbfgs<decltype(&rosenbrock_saddle<rdiff::rvar<T, 1>>),
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std::array<rdiff::rvar<T, 1>, 2>, T>(
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&rosenbrock_saddle<rdiff::rvar<T, 1>>, x, M);
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auto result = minimize(opt);
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std::cout << result << std::endl;
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for (auto &xi : x) {
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BOOST_REQUIRE_CLOSE(xi, T{1.0}, eps);
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}
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}
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BOOST_AUTO_TEST_SUITE_END()
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