numerical gradients with fmincg

gistfile1.java

import de.jungblut.math.DoubleVector;
import de.jungblut.math.MathUtils;
import de.jungblut.math.dense.DenseDoubleVector;
import de.jungblut.math.minimize.CostFunction;
import de.jungblut.math.minimize.CostGradientTuple;
import de.jungblut.math.minimize.Fmincg;

public class FminCGNumericalGradient {

  static class RealCostFunction implements CostFunction {

    @Override
    public CostGradientTuple evaluateCost(DoubleVector input) {
      // don't set the gradient since it's unknown
      return new CostGradientTuple(Math.pow(4 - input.get(0), 2) + 10, null);
    }

  }

  static class NumericalGradientCostFunction implements CostFunction {

    private final CostFunction embeddedFunction;

    public NumericalGradientCostFunction(CostFunction embeddedFunction) {
      this.embeddedFunction = embeddedFunction;
    }

    @Override
    public CostGradientTuple evaluateCost(DoubleVector input) {
      CostGradientTuple cost = embeddedFunction.evaluateCost(input);
      DoubleVector numericalGradient = MathUtils.numericalGradient(input,
          embeddedFunction);
      return new CostGradientTuple(cost.getCost(), numericalGradient);
    }
  }

  public static void main(String[] args) {
    int startPoint = -5;
    // start at x=-5
    DoubleVector start = new DenseDoubleVector(new double[] { startPoint });

    CostFunction func = new NumericalGradientCostFunction(
        new RealCostFunction());

    DoubleVector minimizeFunction = Fmincg.minimizeFunction(func, start, 100,
        false);

    System.out.println(minimizeFunction);
  }
}