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bfgs_test.cpp
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bfgs_test.cpp
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#include <Eigen/Dense>
#include <Eigen/Eigenvalues>
#include "gtest/gtest.h"
#include "bfgs.hpp"
namespace bfgs_test {
template <typename Mat>
bool is_posdef(Mat H)
{
Eigen::EigenSolver<Mat> eigensolver(H);
for (int i = 0; i < eigensolver.eigenvalues().rows(); i++) {
double v = eigensolver.eigenvalues()(i).real();
if (v <= 0) {
return false;
}
}
return true;
}
TEST(BFGSTestCase, Test2D_posdef) {
using Scalar = double;
using Mat = Eigen::Matrix<Scalar, 2, 2>;
using Vec = Eigen::Matrix<Scalar, 2, 1>;
Vec step, delta_grad;
Mat H; // true constant hessian;
H << 2, 0,
0, 1;
Mat B = Mat::Identity();
for (int i = 0; i < 10; i++) {
// do some random steps
step = {sin(i), cos(i)};
delta_grad = H*step;
BFGS_update(B, step, delta_grad);
EXPECT_TRUE(is_posdef(B));
}
std::cout << "B\n" << B << std::endl;
EXPECT_TRUE(B.isApprox(H, 1e-3));
}
TEST(BFGSTestCase, Test2D_indefinite) {
using Scalar = double;
using Mat = Eigen::Matrix<Scalar, 2, 2>;
using Vec = Eigen::Matrix<Scalar, 2, 1>;
Vec step, delta_grad;
Mat H; // true constant hessian;
H << 2, 0,
0, -1;
Mat B = Mat::Identity();
for (int i = 0; i < 10; i++) {
// do some random steps
step = {sin(i), cos(i)};
delta_grad = H*step;
BFGS_update(B, step, delta_grad);
EXPECT_TRUE(is_posdef(B));
}
std::cout << "B\n" << B << std::endl;
}
TEST(BFGSTestCase, TestSmallStep) {
using Scalar = float;
using Mat = Eigen::Matrix<Scalar, 2, 2>;
using Vec = Eigen::Matrix<Scalar, 2, 1>;
Vec step, y;
Mat B;
B << 418.112, 1213, 1213, 3522.27;
EXPECT_TRUE(is_posdef(B));
step << -1.2659e-06, 1.25816e-06;
y << -0.00963563, -0.00957048;
BFGS_update(B, step, y);
EXPECT_TRUE(is_posdef(B));
std::cout << "B\n" << B << std::endl;
}
} // namespace bfgs_test