added Box test function (not distributed)

darcs-hash:20091112174619-c8de0-ac18ec39b3066b38a10863df20813946365aa97f.gz

diff --git a/test/box.c b/test/box.c
new file mode 100644 (file)
index 0000000..2253f58
--- /dev/null
+++ b/test/box.c
@@ -0,0 +1,146 @@
+#include <stdio.h>
+#include <math.h>
+
+#include <nlopt.h>
+
+/****************************************************************************/
+/* test function from M. J. Box, "A new method of constrained optimization
+   and a comparison with other methods," Computer J. 8 (1), 42-52 (1965) */
+
+int testfuncs_verbose = 1;
+int testfuncs_counter = 0;
+
+static double testfuncs_status(int n, const double *x, double f)
+{
+     ++testfuncs_counter;
+     if (testfuncs_verbose) {
+          int i;
+          printf("f_%d (%g", testfuncs_counter, x[0]);
+          for (i = 1; i < n; ++i) printf(", %g", x[i]);
+          printf(") = %g\n", f);
+     }
+     return f;
+}
+
+#define RETURN(f) return testfuncs_status(n, x, f);
+
+static const double k1=-145421.402, k2=2931.1506, k3=-40.427932, k4=5106.192,
+     k5=15711.36, k6=-161622.577, k7=4176.15328, k8=2.8260078,
+     k9=9200.476, k10=13160.295, k11=-21686.9194, k12=123.56928,
+     k13=-21.1188894, k14=706.834, k15=2898.573, k16=28298.388,
+     k17=60.81096, k18=31.242116, k19=329.574, k20=-2882.082,
+     k21=74095.3845, k22=-306.262544, k23=16.243649, k24=-3094.252,
+     k25=-5566.2628, k26=-26237, k27=99, k28=-0.42,
+     k29=1300, k30=2100, k31=925548.252, k32=-61968.8432,
+     k33=23.3088196, k34=-27096.648, k35=-50843.766;
+
+static double box(int n, const double *x, double *grad, void *data)
+{
+     double x1 = x[0], x2 = x[1], x3 = x[2], x4 = x[3], x5 = x[4];
+     double b, x6, y1, y2, y3, y4, u;
+     const double a0=9, a1=15, a2=50, a3=9.583, a4=20, a5=15, a6=6, a7=0.75;
+     b = x2 + 0.01*x3;
+     x6 = (k1 + k2*x2 + k3*x3 + k4*x4 + k5*x5) * x1;
+     y1 = k6 + k7*x2 + k8*x3 + k9*x4 + k10*x5;
+     y2 = k11 + k12*x2 + k13*x3 + k14*x4 + k15*x5;
+     y3 = k16 + k17*x2 + k18*x3 + k19*x4 + k20*x5;
+     y4 = k21 + k22*x2 + k23*x3 + k24*x4 + k25*x5;
+     u = a2*y1 + a3*y2 + a4*y3 + a5*y4 + 7840*a6 - 100000*a0
+         -50800*b*a7 + k31 + k32*x2 + k33*x3 + k34*x4 + k35*x5;
+     if (grad) {
+         int i;
+         grad[0] = u + a1*(k1 + k2*x2 + k3*x3 + k4*x4 + k5*x5);
+         grad[1] = x1 * (a2*k7 + a3*k12 + a4*k17 + a5*k22 - 50800*a7 + k32) + a1 * (k2 * x1);
+         grad[2] = x1 * (a2*k8 + a3*k13 + a4*k18 + a5*k23 - 50800*a7*0.01) + a1*x1*k3;
+         grad[3] = x1 * (a2*k9 + a3*k14 + a4*k19 + a5*k24) + a1*x1*k4;
+         grad[4] = x1 * (a2*k10 + a3*k15 + a4*k20 + a5*k25) + a1*x1*k5;
+         for (i = 0; i < 5; ++i) grad[i] = -grad[i];
+     }
+     RETURN(-(u*x1 - 24345 + a1*x6));
+}
+
+static double box_constraint(int n, const double *x, double *grad, void *data)
+{
+     int which_constraint = *((int*) data);
+     double x1 = x[0], x2 = x[1], x3 = x[2], x4 = x[3], x5 = x[4];
+     double x6, y1, y2, y3, x7, x8;
+     int i;
+
+     x6 = (k1 + k2*x2 + k3*x3 + k4*x4 + k5*x5) * x1;
+     y1 = k6 + k7*x2 + k8*x3 + k9*x4 + k10*x5;
+     y2 = k11 + k12*x2 + k13*x3 + k14*x4 + k15*x5;
+     y3 = k16 + k17*x2 + k18*x3 + k19*x4 + k20*x5;
+     x7 = (y1 + y2 + y3) * x1;
+     x8 = (k26 + k27*x2 + k28*x3 + k29*x4 + k30*x5) * x1 + x6 + x7;
+
+     if (grad) {
+         grad[0] = grad[1] = grad[2] = grad[3] = grad[4] = 0;
+
+         if (which_constraint != 2 && which_constraint != -2) {
+              /* grad x6 */
+              grad[0] += (k1 + k2*x2 + k3*x3 + k4*x4 + k5*x5);
+              grad[1] += x1 * k2;
+              grad[2] += x1 * k3;
+              grad[3] += x1 * k4;
+              grad[4] += x1 * k5;
+         }
+         if (which_constraint != 1 && which_constraint != -1) {
+              /* grad x7 */
+              grad[0] += (y1 + y2 + y3);
+              grad[1] += x1 * (k7 + k12 + k17);
+              grad[2] += x1 * (k8 + k13 + k18);
+              grad[3] += x1 * (k9 + k14 + k19);
+              grad[4] += x1 * (k10 + k15 + k20);
+         }
+         if (which_constraint == 3 || which_constraint == -3) {
+              /* grad (x8 - x6 - x7) */
+              grad[0] += k26 + k27*x2 + k28*x3 + k29*x4 + k30*x5;
+              grad[1] += x1 * k27;
+              grad[2] += x1 * k28;
+              grad[3] += x1 * k29;
+              grad[4] += x1 * k30;
+         }
+     }
+
+     if (which_constraint == -1) {
+         if (grad) for (i = 0; i < 5; ++i) grad[i] = -grad[i];
+         return -x6;
+     }
+     else if (which_constraint == 1) {
+         return x6 - 294000;
+     }
+     else if (which_constraint == -2) {
+         if (grad) for (i = 0; i < 5; ++i) grad[i] = -grad[i];
+         return -x7;
+     }
+     else if (which_constraint == 2) {
+         return x7 - 294000;
+     }
+     else if (which_constraint == -3) {
+         if (grad) for (i = 0; i < 5; ++i) grad[i] = -grad[i];
+         return -x8;
+     }
+     else if (which_constraint == 3) {
+         return x8 - 277200;
+     }
+     return 0;
+}
+
+static const double box_lb[5] = {0,1.2,20,9,6.5};
+static const double box_ub[5] = {HUGE_VAL, 2.4, 60, 9.3, 7.0};
+static const double box_xmin[5] = {4.53743, 2.4, 60, 9.3, 7.0};
+
+int main(void) {
+     int cdata[6] = {-1,1,-2,2,-3,3};
+     double x[5] = {2.52, 2, 37.5, 9.25, 6.8};
+     double minf;
+ 
+     nlopt_minimize_constrained(NLOPT_LN_COBYLA, 5, box, NULL,
+                               6, box_constraint, cdata, sizeof(int),
+                               box_lb, box_ub, x, &minf,
+                               -HUGE_VAL,
+                               1e-10, 0, 0, NULL, 0, 0);
+     printf("found f(%g,%g,%g,%g,%g) = %0.8f after %d iters\n",
+           x[0],x[1],x[2],x[3],x[4], minf, testfuncs_counter);
+     return 0;
+}