add NewtonMethod

scripts/optimization/NewtonMethod/NewtonMethod.py

@@ -0,0 +1,94 @@
+#!/usr/bin/python
+# -*- coding: utf-8 -*-
+
+import matplotlib.pyplot as plt
+import numpy as np
+import random
+
+delta = 0.1
+minXY=-5.0
+maxXY=5.0
+nContour=50
+alpha=0.01
+
+def Hessian(state):
+    u"""
+    Hessian matrix of Himmelblau's function
+    """
+    x=state[0]
+    y=state[1]
+    dxx=12*x**2+4*y-42;
+    dxy=4*x+4*y
+    dyy=4*x+12*y**2-26
+    H=np.array([[dxx,dxy],[dxy,dyy]])
+    return H
+    
+
+def Jacob(state):
+    u"""
+    jacobi matrix of Himmelblau's function
+    """
+    x=state[0]
+    y=state[1]
+    dx=4*x**3+4*x*y-44*x+2*x+2*y**2-14
+    dy=2*x**2+4*x*y+4*y**3-26*y-22
+    J=[dx,dy]
+    return J
+
+def HimmelblauFunction(x,y):
+    u"""
+    Himmelblau's function
+    see Himmelblau's function - Wikipedia, the free encyclopedia 
+    http://en.wikipedia.org/wiki/Himmelblau%27s_function
+    """
+    return (x**2+y-11)**2+(x+y**2-7)**2
+
+def CreateMeshData():
+    x = np.arange(minXY, maxXY, delta)
+    y = np.arange(minXY, maxXY, delta)
+    X, Y = np.meshgrid(x, y)
+    Z=[HimmelblauFunction(x,y) for (x,y) in zip(X,Y)]
+    return(X,Y,Z)
+
+def SteepestDescentMethod(start,Jacob):
+    u"""
+    Steepest Descent Method Optimization
+    """
+
+    result=start
+    x=start
+
+    while 1:
+        J=Jacob(x)
+        H=Hessian(x)
+        sumJ=sum([abs(alpha*j) for j in J])
+        if sumJ<=0.01:
+            print("OK")
+            break
+
+        grad=-np.linalg.inv(H).dot(J) 
+        print(grad)
+
+        x=x+[alpha*j for j in grad]
+        
+        result=np.vstack((result,x))
+
+    return result
+
+# Main
+start=np.array([random.uniform(minXY,maxXY),random.uniform(minXY,maxXY)])
+
+result=SteepestDescentMethod(start,Jacob)
+(X,Y,Z)=CreateMeshData()
+CS = plt.contour(X, Y, Z,nContour)
+#  plt.clabel(CS, inline=1, fontsize=10)
+#  plt.title('Simplest default with labels')
+
+plt.plot(start[0],start[1],"xr");
+
+optX=[x[0] for x in result]
+optY=[x[1] for x in result]
+plt.plot(optX,optY,"-r");
+
+plt.show()
+