- use GoogleTestingFramework

- tidy up unit tests
- add makefile
- removed message on wrong gradient (instead return false/true)
- add short intro in README.md

README.md

@@ -1,11 +1,22 @@
 CppNumericalSolvers (C++11 implementation with MATLAB bindings)
 =================================================================
 
+Quick Intro
+-----------
+- run `make install` to download and build dependencies
+- run `make test` to verify the results by unit tests
+- run `make main` to build cpp examples
+- run `make.m` within MATLAB to build the MATLAB wrapper
+
+Long Intro
+-----------
+
 This repository contains solvers implemented in C++11 using the [Eigen3][eigen3] library. All implementations were written from scratch. 
 You can use this library in **C++ and [Matlab][matlab]** in an easy way.
 
 The library currently contains the following solvers:
 - gradient descent solver
+- conjugate gradient descent solver
 - Newton descent solver
 - BFGS solver
 - L-BFGS solver

makefile

@@ -0,0 +1,56 @@
+CXX=g++
+CXXFLAGS := -Wall -Wextra -pedantic-errors -std=c++11 -fopenmp -Ieigen 
+CXXFLAGSTEST := -Wall -Wextra -pedantic-errors -std=c++11 -fopenmp -Ieigen -Igtest/include 
+
+
+main: src/main.cpp 
+	$(CXX) $(CXXFLAGS) -o main src/Meta.cpp src/ISolver.cpp src/GradientDescentSolver.cpp src/ConjugateGradientSolver.cpp src/NewtonDescentSolver.cpp src/BfgsSolver.cpp src/LbfgsSolver.cpp src/LbfgsbSolver.cpp src/main.cpp  
+
+test: src/unittests.cpp 
+	$(CXX) $(CXXFLAGSTEST) -o test src/Meta.cpp src/ISolver.cpp src/GradientDescentSolver.cpp src/ConjugateGradientSolver.cpp src/NewtonDescentSolver.cpp src/BfgsSolver.cpp src/LbfgsSolver.cpp src/LbfgsbSolver.cpp src/unittests.cpp  libgtest.a 
+
+
+install:
+	# google-testing-framework
+	rm -f gtest-1.7.0.zip
+	rm -fR gtest-1.7.0
+	wget -O gtest-1.7.0.zip https://googletest.googlecode.com/files/gtest-1.7.0.zip
+	unzip gtest-1.7.0.zip
+	g++ -Igtest-1.7.0/include -Igtest-1.7.0 -c "gtest-1.7.0/src/gtest-all.cc" 
+	ar -rv libgtest.a gtest-all.o
+	rm -f gtest-1.7.0.zip
+	mv gtest-1.7.0 gtest
+	# eigen library
+	wget -c http://bitbucket.org/eigen/eigen/get/3.2.2.tar.bz2 -O eigen-3.2.2.tar.bz2
+	bunzip2 eigen-3.2.2.tar.bz2
+	tar xvf eigen-3.2.2.tar
+	mv eigen-eigen-* eigen 
+	rm -Rf eigen-3.2.2.tar
+	rm -Rf eigen-3.2.2.tar.bz2
+
+
+
+# test: unittests.cpp 
+# 	$(CXX) $(CXXFLAGSTEST) -o test Neighborhood.hpp Neighborhood.cpp Vector.hpp Vector.cpp ProQuantization.hpp ProQuantization.cpp ProTree.hpp ProTree.cpp unittests.cpp libgtest.a  -lglog
+# 	GLOG_logtostderr=1 ./test
+
+# gtest:
+# 	rm -f gtest-1.7.0.zip
+# 	rm -fR gtest-1.7.0
+# 	wget -O gtest-1.7.0.zip https://googletest.googlecode.com/files/gtest-1.7.0.zip
+# 	unzip gtest-1.7.0.zip
+# 	g++ -Igtest-1.7.0/include -Igtest-1.7.0 -c "gtest-1.7.0/src/gtest-all.cc" 
+# 	ar -rv libgtest.a gtest-all.o
+# 	rm -f gtest-1.7.0.zip
+# 	mv gtest-1.7.0 gtest
+
+
+# cleanall:
+# 	rm -f test
+# 	rm -f main
+
+# cleanmain:
+# 	rm -f main
+
+# cleantest:
+# 	rm -f test

matlab-bindings/make.m

@@ -1,7 +1,7 @@
 
 if exist('eigen/Eigen/Dense','file')
     disp('compiling ...');
-    mex -I./../matlab-bindings/eigen ...
+    mex -I./../eigen ...
         ../src/Meta.cpp ../src/ISolver.cpp ...
         ../src/GradientDescentSolver.cpp ...
         ../src/NewtonDescentSolver.cpp ...

src/BfgsSolver.cpp

@@ -36,7 +36,7 @@ void BfgsSolver::internalSolve(Vector & x,
                                const GradientOracleType & FunctionGradient,
                                const HessianOracleType & FunctionHessian)
 {
-
+    UNUSED(FunctionHessian);
 
     const size_t DIM = x.rows();
     size_t iter = 0;

src/ConjugateGradientSolver.cpp

@@ -0,0 +1,73 @@
+/**
+ * Copyright (c) 2014 Patrick Wieschollek
+ *
+ * Permission is hereby granted, free of charge, to any person obtaining a copy
+ * of this software and associated documentation files (the "Software"), to deal
+ * in the Software without restriction, including without limitation the rights
+ * to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+ * copies of the Software, and to permit persons to whom the Software is
+ * furnished to do so, subject to the following conditions:
+
+ * The above copyright notice and this permission notice shall be included in all
+ * copies or substantial portions of the Software.
+
+ * THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+ * IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+ * FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+ * AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+ * LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+ * OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+ * SOFTWARE.
+ */
+
+#include "ConjugateGradientSolver.h"
+#include <iostream>
+namespace pwie
+{
+
+ConjugateGradientSolver::ConjugateGradientSolver() : ISolver()
+{
+
+
+}
+
+
+void ConjugateGradientSolver::internalSolve(Vector & x,
+        const FunctionOracleType & FunctionValue,
+        const GradientOracleType & FunctionGradient,
+        const HessianOracleType & FunctionHessian)
+{
+    UNUSED(FunctionHessian);
+    size_t iter = 0;
+
+    Vector grad(x.rows());
+    Vector grad_old(x.rows());
+    Vector Si(x.rows());
+    Vector Si_old(x.rows());
+    do
+    { 
+        FunctionGradient(x, grad);
+
+        if(iter==0){
+            Si = -grad;
+        }else{
+            const double beta = grad.dot(grad)/(grad_old.dot(grad_old));
+            Si = -grad + beta*Si_old;
+        }
+
+        const double rate = linesearch(x, Si, FunctionValue, FunctionGradient) ;
+
+        x = x + rate * Si;
+
+        iter++;
+        grad_old = grad;
+        Si_old = Si;
+
+    }
+    while((grad.lpNorm<Eigen::Infinity>() > settings.gradTol) && (iter < settings.maxIter));
+
+
+}
+}
+
+/* namespace pwie */

src/ConjugateGradientSolver.h

@@ -0,0 +1,42 @@
+/**
+ * Copyright (c) 2014 Patrick Wieschollek
+ *
+ * Permission is hereby granted, free of charge, to any person obtaining a copy
+ * of this software and associated documentation files (the "Software"), to deal
+ * in the Software without restriction, including without limitation the rights
+ * to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+ * copies of the Software, and to permit persons to whom the Software is
+ * furnished to do so, subject to the following conditions:
+
+ * The above copyright notice and this permission notice shall be included in all
+ * copies or substantial portions of the Software.
+
+ * THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+ * IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+ * FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+ * AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+ * LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+ * OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+ * SOFTWARE.
+ */
+
+#ifndef CONJUGATEGRADIENTSOLVER_H_
+#define CONJUGATEGRADIENTSOLVER_H_
+#include "ISolver.h"
+namespace pwie
+{
+
+class ConjugateGradientSolver : public ISolver
+{
+public:
+    ConjugateGradientSolver();
+    void internalSolve(Vector & x0,
+                       const FunctionOracleType & FunctionValue,
+                       const GradientOracleType & FunctionGradient,
+                       const HessianOracleType & FunctionHessian = std::function<void(const Eigen::VectorXd & x, Eigen::MatrixXd & hessian)>());
+
+};
+
+} /* namespace pwie */
+
+#endif /* CONJUGATEGRADIENTSOLVER_H_ */

src/GradientDescentSolver.cpp

@@ -37,20 +37,16 @@ void GradientDescentSolver::internalSolve(Vector & x,
         const GradientOracleType & FunctionGradient,
         const HessianOracleType & FunctionHessian)
 {
+    UNUSED(FunctionHessian);
     Vector grad(x.rows());
 
-    double x_old, x_new = FunctionValue(x);
-
     size_t iter = 0;
     do
     {
-        x_old = x_new;
         FunctionGradient(x, grad);
         const double rate = linesearch(x, -grad, FunctionValue, FunctionGradient) ;
 
         x = x - rate * grad;
-        x_new = FunctionValue(x);
-
         iter++;
     }
     while((grad.lpNorm<Eigen::Infinity>() > settings.gradTol) && (iter < settings.maxIter));

src/LbfgsSolver.cpp

@@ -37,7 +37,7 @@ void LbfgsSolver::internalSolve(Vector & x,
                                 const GradientOracleType & FunctionGradient,
                                 const HessianOracleType & FunctionHessian)
 {
-
+    UNUSED(FunctionHessian);
     const size_t m = 10;
     const size_t DIM = x.rows();
 

src/LbfgsbSolver.cpp

@@ -306,7 +306,7 @@ void LbfgsbSolver::internalSolve(Vector & x0,
                                  const GradientOracleType & FunctionGradient,
                                  const HessianOracleType & FunctionHessian)
 {
-
+    UNUSED(FunctionHessian);
     DIM = x0.rows();
 
     if(!hasbound_lower)
@@ -349,7 +349,7 @@ void LbfgsbSolver::internalSolve(Vector & x0,
     Matrix sHistory = Matrix::Zero(DIM, 0);
 
     Vector x = x0, g;
-    int k = 0;
+    size_t k = 0;
 
     double f = FunctionObjectiveOracle_(x);
 

src/Meta.cpp

@@ -41,17 +41,9 @@ bool checkGradient(const FunctionOracleType & FunctionValue, const Vector & x, c
     }
     const double error = static_cast<Vector>((finite - grad)).norm() / static_cast<Vector>((finite + grad)).norm();
 
-
-    if(error > eps)
-    {
-        std::cout << "Warning! Gradient could be wrong." << std::endl;
-        return false;
-    }
-
-    return true;
+    return !(error > eps);
 }
 
-
 void computeGradient(const FunctionOracleType & FunctionValue, const Vector & x, Vector & grad, const double eps)
 {
     const size_t DIM = x.rows();
@@ -65,8 +57,8 @@ void computeGradient(const FunctionOracleType & FunctionValue, const Vector & x,
         finite[i] = (FunctionValue(xx) - FunctionValue(xy)) / (2.0 * eps);
     }
     grad = finite;
-
 }
+
 void computeHessian(const FunctionOracleType & FunctionValue, const Vector & x, Matrix & hessian, const double eps)
 {
     Assert(x.rows() == hessian.rows(), "hessian has wrong dimension (number of rows)");
@@ -90,12 +82,8 @@ void computeHessian(const FunctionOracleType & FunctionValue, const Vector & x,
             double f3 = FunctionValue(xx);
 
             hessian(i, j) = (f1 - f2 - f3 + f4) / (eps * eps);
-
-
         }
     }
-
-
 }
 
 

src/Meta.h

@@ -37,13 +37,14 @@ typedef std::function<void(const Eigen::VectorXd & x, Eigen::MatrixXd & hessian)
 typedef Eigen::MatrixXd Matrix;
 typedef Eigen::VectorXd Vector;
 typedef Eigen::VectorXd::Scalar Scalar;
+typedef unsigned int uint;
 
 typedef struct Options
 {
     double gradTol;
     double rate;
     size_t maxIter;
-    int m;
+    size_t m;
 
     Options()
     {
@@ -89,7 +90,7 @@ bool AssertEqual(T a, T b)
 #define INF HUGE_VAL
 #define Assert(x,m) if (!(x)) { throw (std::runtime_error(m)); }
 
-
+#define UNUSED(arg) (void)arg;    //  trick of Qt
 
 #define FAST