Here is an example of an unconstrained nonlinear system of equations solved with nleq and minlm (dv) using C# and VB.net.
f0(x0,x1,x2,x3) = -x0^2 -x1^2 -x2^2 +x3 = 0
f1(x0,x1,x2,x3) = x0^2 +x1^2 +x2^2 +x3 -1 = 0
f2(x0,x1,x2,x3) = x1 - x2 = 0
f3(x0,x1,x2,x3) = x2 - x3 = 0
1. nleq requires you to provide the partial derivatives for your system of equations so that the jacobian matrix can formed.
2. minlm_d_v does not require the you to provide the partial derivatives.
Using nleq with c#
Code:
using System;
using System.Text;
//
// using nleq with c#
//
namespace Project1
{
class Program
{
public static void function1_func(double[] x, ref double fi, object obj)
{
//
// this callback calculates the merit function
// f(x)=F[0]^2(x)+...+F[M-1]^2(x)
// using
// f0(x0,x1,x2,x3) = -x0^2 -x1^2 -x2^2 +x3 = 0
// f1(x0,x1,x2,x3) = x0^2 +x1^2 +x2^2 +x3 -1 = 0
// f2(x0,x1,x2,x3) = x1 - x2 = 0
// f3(x0,x1,x2,x3) = x2 - x3 = 0
double f0 = -(x[0] * x[0]) - (x[1] * x[1]) - (x[2] * x[2]) + x[3];
double f1 = (x[0] * x[0]) + (x[1] * x[1]) + (x[2] * x[2]) + (x[3] * x[3]) - 1.0;
double f2 = x[0] - x[1];
double f3 = x[1] - x[2];
fi = Math.Pow(f0, 2) + Math.Pow(f1, 2) + Math.Pow(f2, 2) + Math.Pow(f3, 2); // the merit function
}
public static void function1_jac(double[] x, double[] fi, double[,] jac, object obj)
{
//
// this callback calculates the two-dimensional matrix of partial derivatives jac()
// using
// f0(x0,x1,x2,x3) = -x0^2 -x1^2 -x2^2 +x3 = 0
// f1(x0,x1,x2,x3) = x0^2 +x1^2 +x2^2 +x3 -1 = 0
// f2(x0,x1,x2,x3) = x1 - x2 = 0
// f3(x0,x1,x2,x3) = x2 - x3 = 0
fi[0] = -(x[0] * x[0]) - (x[1] * x[1]) - (x[2] * x[2]) + x[3];
fi[1] = (x[0] * x[0]) + (x[1] * x[1]) + (x[2] * x[2]) + (x[3] * x[3]) - 1.0;
fi[2] = x[0] - x[1];
fi[3] = x[1] - x[2];
// the analytic jacobian for this nonlinear system
// is obtained by partially differentiating each equation by x0,x1,x2,x3
jac[0, 0] = (-2.0) * x[0]; // partial differentiation of f0 by xo
jac[0, 1] = (-2.0) * x[1]; // partial differentiation of f0 by x1
jac[0, 2] = (-2.0) * x[2]; // partial differentiation of f0 by x2
jac[0, 3] = 1.0; // partial differentiation of f0 by x3
jac[1, 0] = 2.0 * x[0]; // partial differentiation of f1 by xo
jac[1, 1] = 2.0 * x[1]; // partial differentiation of f1 by x1
jac[1, 2] = 2.0 * x[2]; // partial differentiation of f1 by x2
jac[1, 3] = 2.0 * x[3]; // partial differentiation of f1 by x3
jac[2, 0] = 1.0; // partial differentiation of f2 by xo
jac[2, 1] = -1.0; // partial differentiation of f2 by x1
jac[2, 2] = 0.0; // partial differentiation of f2 by x2
jac[2, 3] = 0.0; // partial differentiation of f2 by x3
jac[3, 0] = 0.0; // partial differentiation of f3 by x0
jac[3, 1] = 1.0; // partial differentiation of f3 by x1
jac[3, 2] = -1.0; // partial differentiation of f3 by x2
jac[3, 3] = 0.0; // partial differentiation of f3 by x3
}
public static int Main(string[] args)
{
int n = 4; // number of x(i)
int m = 4; // number of f(i) equations
double[] x = { 1, 1, 1, 1 }; //initial values of x0,x1,x2,x3 respectively
double epsf = 0.000001;
int maxits = 0; // unlimited iterations
double stpmax = 0.0;
alglib.nleqstate state;
alglib.nleqreport rep;
alglib.nleqcreatelm(n, m, x, out state);
alglib.nleqsetcond(state, epsf, maxits);
alglib.nleqsetstpmax(state, stpmax);
alglib.nleqsetxrep(state, false);
alglib.nleqsolve(state, function1_func, function1_jac, null, null);
alglib.nleqresults(state, out x, out rep);
System.Console.WriteLine("{0}", rep.terminationtype); // EXPECTED: 1
System.Console.WriteLine("{0}", alglib.ap.format(x, 5)); // EXPECTED: [0.45388,0.45388,0.45388,0.61803]
System.Console.ReadLine();
return 0;
}
}
}
Using minlm_d_v with c#
Code:
using System;
using System.Text;
//
//using minlm_d_v with c#
//
namespace Project2
{
class Program
{
public static void function1_fvec(double[] x, double[] fi, object obj)
{
// this callback calculates the two-dimensional matrix of partial derivatives jac()
// using
// f0(x0,x1,x2,x3) = -x0^2 -x1^2 -x2^2 +x3 = 0
// f1(x0,x1,x2,x3) = x0^2 +x1^2 +x2^2 +x3 -1 = 0
// f2(x0,x1,x2,x3) = x1 - x2 = 0
// f3(x0,x1,x2,x3) = x2 - x3 = 0
fi[0] = -(x[0] * x[0]) - (x[1] * x[1]) - (x[2] * x[2]) + x[3];
fi[1] = (x[0] * x[0]) + (x[1] * x[1]) + (x[2] * x[2]) + (x[3] * x[3]) - 1.0;
fi[2] = x[0] - x[1];
fi[3] = x[1] - x[2];
}
public static int Main(string[] args)
{
int m = 4; // number of f(i) equations
double[] x = { 1, 1, 1, 1 }; //initial values of x0,x1,x2,x3 respectively
double diffstep = 0.0001;
double epsg = 0.000001;
double epsf = 0;
double epsx = 0;
int maxits = 0; // unlimited iterations
alglib.minlmstate state;
alglib.minlmreport rep;
alglib.minlmcreatev(m, x, diffstep, out state);
alglib.minlmsetcond(state, epsg, epsf, epsx, maxits);
alglib.minlmoptimize(state, function1_fvec, null, null);
alglib.minlmresults(state, out x, out rep);
System.Console.WriteLine("{0}", rep.terminationtype); // EXPECTED: 4
System.Console.WriteLine("{0}", alglib.ap.format(x, 5)); // EXPECTED: [0.45388,0.45388,0.45388,0.61803]
System.Console.ReadLine();
return 0;
}
}
}
Using nleq and vb.net
Code:
Module MainModule
Public Sub func(ByVal X As Double(), ByRef fi As Double, ByVal obj As Object)
'
'using nleq and vb.net
'
' this callback calculates the merit function
' f(x)=F[0]^2(x)+...+F[M-1]^2(x)
' using
' f0(x0,x1,x2,x3) = -x0^2 -x1^2 -x2^2 +x3 = 0
' f1(x0,x1,x2,x3) = x0^2 +x1^2 +x2^2 +x3 -1 = 0
' f2(x0,x1,x2,x3) = x1 - x2 = 0
' f3(x0,x1,x2,x3) = x2 - x3 = 0
Dim f0 As Double
Dim f1 As Double
Dim f2 As Double
Dim f3 As Double
f0 = -X(0) ^ 2 - X(1) ^ 2 - X(2) ^ 2 + X(3)
f1 = X(0) ^ 2 + X(1) ^ 2 + X(2) ^ 2 + X(3) ^ 2 - 1.0
f2 = X(0) - X(1)
f3 = X(1) - X(2)
fi = f0 ^ 2 + f1 ^ 2 + f2 ^ 2 + f3 ^ 2 ' the merit function
End Sub
Public Sub function1_jac(ByVal x As Double(), ByVal fx As Double(), ByVal jac As Double(,), ByVal obj As Object)
'
' this callback calculates the two-dimensional matrix of partial derivatives jac()
' using
' f0(x0,x1,x2,x3) = -x0^2 -x1^2 -x2^2 +x3 = 0
' f1(x0,x1,x2,x3) = x0^2 +x1^2 +x2^2 +x3 -1 = 0
' f2(x0,x1,x2,x3) = x1 - x2 = 0
' f3(x0,x1,x2,x3) = x2 - x3 = 0
fx(0) = -x(0) ^ 2 - x(1) ^ 2 - x(2) ^ 2 + x(3)
fx(1) = x(0) ^ 2 + x(1) ^ 2 + x(2) ^ 2 + x(3) ^ 2 - 1.0
fx(2) = x(0) - x(1)
fx(3) = x(1) - x(2)
' the analytic jacobian for this nonlinear system
' is obtained by partially differentiating each equation by x0,x1,x2,x3
jac(0, 0) = -2.0 * x(0) ' partial differentiation of f0 by xo
jac(0, 1) = -2.0 * x(1) ' partial differentiation of f0 by x1
jac(0, 2) = -2.0 * x(2) ' partial differentiation of f0 by x2
jac(0, 3) = 1.0 ' partial differentiation of f0 by x3
jac(1, 0) = 2.0 * x(0) ' partial differentiation of f1 by xo
jac(1, 1) = 2.0 * x(1) ' partial differentiation of f1 by x1
jac(1, 2) = 2.0 * x(2) ' partial differentiation of f1 by x2
jac(1, 3) = 2.0 * x(3) ' partial differentiation of f1 by x3
jac(2, 0) = 1.0 ' partial differentiation of f2 by xo
jac(2, 1) = -1.0 ' partial differentiation of f2 by x1
jac(2, 2) = 0.0 ' partial differentiation of f2 by x2
jac(2, 3) = 0.0 ' partial differentiation of f2 by x3
jac(3, 0) = 0.0 ' partial differentiation of f3 by x0
jac(3, 1) = 1.0 ' partial differentiation of f3 by x1
jac(3, 2) = -1.0 ' partial differentiation of f3 by x2
jac(3, 3) = 0.0 ' partial differentiation of f3 by x3
End Sub
Public Sub Main()
Dim n As Integer = 4 ' number of x(i)
Dim m As Integer = 4 ' number of f(i) equations
Dim x() As Double = {1, 1, 1, 1} 'initial values of x0,x1,x2,x3 respectively
Dim state As nleqstate = New XAlglib.nleqstate()
Dim rep As nleqreport = New XAlglib.nleqreport()
Dim epsf As Double = 0.000001
Dim maxits As Integer = 0 'unlimited iterations
Dim stpmax As Double = 0.0
XAlglib.nleqcreatelm(n, m, x, state)
XAlglib.nleqsetcond(state, epsf, maxits)
XAlglib.nleqsetstpmax(state, stpmax)
XAlglib.nleqsetxrep(state, False)
XAlglib.nleqsolve(state, AddressOf func, AddressOf function1_jac, Nothing, Nothing)
XAlglib.nleqresults(state, x, rep)
System.Console.WriteLine("{0}", rep.terminationtype) 'EXPECTED: 1
System.Console.WriteLine("{0}", alglib.ap.format(x, 5)) 'EXPECTED: [0.45388,0.45388,0.45388,0.61803]
System.Console.ReadLine()
End Sub
End Module
Using minlm (dv) with vb.net
Code:
Module Module1
Public Sub function1_fvec(ByVal x As Double(), ByVal fi As Double(), ByVal obj As Object)
'
'using minlm (dv) with vb.net
'
'
' this callback calculates
' f0(x0,x1,x2,x3) = -x0^2 -x1^2 -x2^2 +x3 = 0
' f1(x0,x1,x2,x3) = x0^2 +x1^2 +x2^2 +x3 -1 = 0
' f2(x0,x1,x2,x3) = x1 - x2 = 0
' f3(x0,x1,x2,x3) = x2 - x3 = 0
fi(0) = -x(0) ^ 2 - x(1) ^ 2 - x(2) ^ 2 + x(3)
fi(1) = x(0) ^ 2 + x(1) ^ 2 + x(2) ^ 2 + x(3) ^ 2 - 1.0
fi(2) = x(0) - x(1)
fi(3) = x(1) - x(2)
End Sub
Sub Main()
Dim m As Integer = 4 ' number of Equations
Dim diffstep As Double = 0.0001
Dim x() As Double = New Double() {1, 1, 1, 1} ' initial values of x0, x1, x2, x3 respectively
Dim epsg As Double = 0.000001
Dim epsf As Double = 0
Dim epsx As Double = 0
Dim maxits As Integer = 0 'unlimited iterations
Dim state As minlmstate = New XAlglib.minlmstate()
Dim rep As minlmreport = New XAlglib.minlmreport()
XAlglib.minlmcreatev(m, x, diffstep, state)
XAlglib.minlmsetcond(state, epsg, epsf, epsx, maxits)
XAlglib.minlmoptimize(state, AddressOf function1_fvec, Nothing, Nothing)
XAlglib.minlmresults(state, x, rep)
System.Console.WriteLine("{0}", rep.terminationtype) 'EXPECTED: 4
System.Console.WriteLine("{0}", alglib.ap.format(x, 5)) 'EXPECTED: [0.45388,0.45388,0.45388,0.61803]
System.Console.ReadLine()
Environment.Exit(0)
End Sub
End Module
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