I have done some research on function minimization algorithms implemented on .NET. Short summary can be found below.
Gradient descent is one of the simplest function optimization algorithms. You can implement it by yourself or using one of the following articles:
- “Gradient descent” by Jon Harrop
- “Gradient descent algorithm. F#” by Igor Shapiro
DotNumerics is a Numerical Library for .NET. The library is written in pure C# and has more than 100,000 lines of code with the most advanced algorithms for Linear Algebra, Differential Equations and Optimization problems.
Unfortunately, dotNumerics does not have a detailed documentation. Let’s go through all minimization algorithms implemented in dotNumerics. First of all, we implement banana function from simplex method example available on the library site.
#r @"DotNumerics.dll" open System open DotNumerics.Optimization //f(a,b) = 100*(b-a^2)^2 + (1-a)^2 let BananaFunction (x: float array) = 100.0 * Math.Pow((x. - x. * x.), 2.0) + Math.Pow((1.0 - x.), 2.0)
Downhill Simplex method of Nelder and Mead
The key advantage of Downhill Simplex method is that it does not require the gradient function. All you need is a function and an initial guess.
let initialGuess = [|0.1; 2.0|] let simplexMin = let simplex = Simplex(); simplex.ComputeMin(BananaFunction,initialGuess);
We have a bit of control over the evaluation model. We can restrict MaxFunEvaluations and specify custom Tolerance in Simplex model. In this case, model instantiation looks like below.
let simplex = Simplex(MaxFunEvaluations=10000, Tolerance=1e-5);
“A Survey of Truncated-Newton Methods”, Journal of Computational and Applied Mathematics.
All other algorithms require gradient function to make calculation.
//f'a(a,b) = (100*(b-a^2)^2 + (1-a)^2)'a = 100*2*(b-a^2)*(-2a) - 2*(1-a) //f'b(a,b) = (100*(b-a^2)^2 + (1-a)^2)'b = 100*2*(b-a^2) let BananaFunctionGradient (x: float array) = [|100.0 * 2.0 * (x. - x. * x.) * (-2.0 * x.) - 2.0 * (1.0 - x.); 100.0 * 2.0 * (x. - x. * x.)|] let newtonMin = let newton = TruncatedNewton() newton.ComputeMin(BananaFunction,BananaFunctionGradient,initialGuess);
Truncated Newton algorithm has three more configuration parameters than Downhill Simplex: Accuracy, MaximunStep and SearchSeverity.
Limited memory Broyden–Fletcher–Goldfarb–Shanno method
let bfgsMin = let lbfgsb = L_BFGS_B() lbfgsb.ComputeMin(BananaFunction, BananaFunctionGradient, initialGuess);
L-BFGS-B has one more configuration parameters than Downhill Simplex – it is AccuracyFactor.
Below you can find evaluation results received from models with default parameters.
Real: 00:00:00.024, CPU: 00:00:00.062, GC gen0: 0, gen1: 0, gen2: 0 val simplexMin : float  = [|0.999999998; 0.9999999956|] Real: 00:00:00.074, CPU: 00:00:00.078, GC gen0: 0, gen1: 0, gen2: 0 val newtonMin : float  = [|0.9999999999; 0.9999999999|] Real: 00:00:00.137, CPU: 00:00:00.140, GC gen0: 0, gen1: 0, gen2: 0 val bfgsMin : float  = [|1.0; 1.0|]