[roboptim-commit] [SCM] roboptim branch, core, updated. 418a767ab2f1fd2e490077fc8e1fedaf3502b13b
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[roboptim-commit] [SCM] roboptim branch, core, updated. 418a767ab2f1fd2e490077fc8e1fedaf3502b13b
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From: Thomas M. <tho...@us...> - 2009-07-23 07:00:58
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- Log -----------------------------------------------------------------
commit 418a767ab2f1fd2e490077fc8e1fedaf3502b13b
Author: Thomas Moulard <tho...@gm...>
Date: Thu Jul 23 16:00:37 2009 +0900
Enhance finite difference computation.
* include/roboptim/core/finite-difference-gradient.hh:
Add BadGradient exception class and add checkGradientAndThrow
free function.
* src/finite-difference-gradient.cc: Implement new class and free
function.
Signed-off-by: Thomas Moulard <tho...@gm...>
diff --git a/ChangeLog b/ChangeLog
index 0def12e..2f29542 100644
--- a/ChangeLog
+++ b/ChangeLog
@@ -1,5 +1,14 @@
2009-07-23 Thomas Moulard <tho...@gm...>
+ Enhance finite difference computation.
+ * include/roboptim/core/finite-difference-gradient.hh:
+ Add BadGradient exception class and add checkGradientAndThrow
+ free function.
+ * src/finite-difference-gradient.cc: Implement new class and free
+ function.
+
+2009-07-23 Thomas Moulard <tho...@gm...>
+
Enhance finite difference gradient computaton.
* include/roboptim/core/finite-difference-gradient.hh:
Add missing const in checkGradient signature, fix default
diff --git a/include/roboptim/core/finite-difference-gradient.hh b/include/roboptim/core/finite-difference-gradient.hh
index 14371e6..599e57b 100644
--- a/include/roboptim/core/finite-difference-gradient.hh
+++ b/include/roboptim/core/finite-difference-gradient.hh
@@ -17,12 +17,68 @@
#ifndef ROBOPTIM_CORE_FINITE_DIFFERENCE_GRADIENT_HH
# define ROBOPTIM_CORE_FINITE_DIFFERENCE_GRADIENT_HH
+# include <stdexcept>
# include <roboptim/core/fwd.hh>
# include <roboptim/core/derivable-function.hh>
namespace roboptim
{
+ /// \brief Default threshold for checkGradient.
+ static const double finiteDifferenceThreshold = 1e-4;
+ /// \brief Default epsilon for finite difference class.
+ static const double finiteDifferenceEpsilon = 1e-8;
+
+ /// \brief Exception thrown when a gradient check fail.
+ class BadGradient : public std::runtime_error
+ {
+ public:
+ /// \brief Import vector.
+ typedef DerivableFunction::vector_t vector_t;
+ /// \brief Import gradient.
+ typedef DerivableFunction::gradient_t gradient_t;
+ /// \brief Import value_type.
+ typedef DerivableFunction::value_type value_type;
+
+ /// \brief Default constructor.
+ BadGradient (const vector_t& x,
+ const gradient_t& analyticalGradient,
+ const gradient_t& finiteDifferenceGradient,
+ const value_type& threshold);
+
+ virtual ~BadGradient () throw ();
+
+ /// \brief Display the exception on the specified output stream.
+ ///
+ /// \param o output stream used for display
+ /// \return output stream
+ virtual std::ostream& print (std::ostream& o) const throw ();
+
+
+ /// \brief Gradient has been computed for this point.
+ vector_t x_;
+
+ /// \brief Analytical gradient.
+ gradient_t analyticalGradient_;
+
+ /// \brief Gradient computed through finite differences.
+ gradient_t finiteDifferenceGradient_;
+
+ /// \brief Maximum error.
+ value_type maxDelta_;
+
+ /// \brief Allowed threshold.
+ value_type threshold_;
+ };
+
+ /// \brief Override operator<< to handle exception display.
+ ///
+ /// \param o output stream used for display
+ /// \param f function to be displayed
+ /// \return output stream
+ std::ostream& operator<< (std::ostream& o, const BadGradient& f);
+
+
/// \addtogroup roboptim_function
/// @{
@@ -49,7 +105,9 @@ namespace roboptim
/// using finite differences.
/// \param f function that will e wrapped
/// \param e epsilon used in finite difference computation
- FiniteDifferenceGradient (const Function& f, value_type e = 1e-8) throw ();
+ FiniteDifferenceGradient (const Function& f,
+ value_type e = finiteDifferenceEpsilon)
+ throw ();
~FiniteDifferenceGradient () throw ();
protected:
@@ -73,11 +131,19 @@ namespace roboptim
/// \param x point where the gradient will be evaluated
/// \param threshold maximum tolerated error
/// \return true if valid, false if not
- bool checkGradient (const DerivableFunction& function,
- int functionId,
- const Function::vector_t& x,
- Function::value_type threshold = 1e-4) throw ();
+ bool checkGradient
+ (const DerivableFunction& function,
+ int functionId,
+ const Function::vector_t& x,
+ Function::value_type threshold = finiteDifferenceThreshold)
+ throw ();
+ void checkGradientAndThrow
+ (const DerivableFunction& function,
+ int functionId,
+ const Function::vector_t& x,
+ Function::value_type threshold = finiteDifferenceThreshold)
+ throw (BadGradient);
/// Example shows finite differences gradient use.
/// \example finite-difference-gradient.cc
diff --git a/src/finite-difference-gradient.cc b/src/finite-difference-gradient.cc
index 224244a..f8cd62e 100644
--- a/src/finite-difference-gradient.cc
+++ b/src/finite-difference-gradient.cc
@@ -15,10 +15,57 @@
// You should have received a copy of the GNU Lesser General Public License
// along with roboptim. If not, see <http://www.gnu.org/licenses/>.
+#include <boost/numeric/ublas/io.hpp>
+
+#include <roboptim/core/indent.hh>
#include <roboptim/core/finite-difference-gradient.hh>
namespace roboptim
{
+ BadGradient::BadGradient (const vector_t& x,
+ const gradient_t& analyticalGradient,
+ const gradient_t& finiteDifferenceGradient,
+ const value_type& threshold)
+ : std::runtime_error ("bad gradient"),
+ x_ (x),
+ analyticalGradient_ (analyticalGradient),
+ finiteDifferenceGradient_ (finiteDifferenceGradient),
+ maxDelta_ (),
+ threshold_ (threshold)
+ {
+ gradient_t delta = analyticalGradient - finiteDifferenceGradient;
+ for (unsigned i = 0; i < delta.size (); ++i)
+ {
+ delta[i] = fabs (delta[i]);
+ if (maxDelta_ < delta[i])
+ maxDelta_ = delta[i];
+ }
+ }
+
+ BadGradient::~BadGradient () throw ()
+ {}
+
+ std::ostream&
+ BadGradient::print (std::ostream& o) const throw ()
+ {
+ o << this->what () << incindent << iendl
+ << "X: " << x_ << iendl
+ << "Analytical gradient: " << analyticalGradient_ << iendl
+ << "Finite difference gradient: " << finiteDifferenceGradient_
+ << iendl
+ << "Max. delta: " << maxDelta_ << iendl
+ << "Max. allowed delta): " << threshold_ << decindent;
+ return o;
+ }
+
+ std::ostream&
+ operator<< (std::ostream& o, const BadGradient& bg)
+ {
+ return bg.print (o);
+ }
+
+
+
FiniteDifferenceGradient::FiniteDifferenceGradient (const Function& adaptee,
value_type epsilon)
throw ()
@@ -62,10 +109,11 @@ namespace roboptim
}
- bool checkGradient (const DerivableFunction& function,
- int i,
- const Function::vector_t& x,
- Function::value_type threshold) throw ()
+ bool
+ checkGradient (const DerivableFunction& function,
+ int i,
+ const Function::vector_t& x,
+ Function::value_type threshold) throw ()
{
FiniteDifferenceGradient fdfunction (function);
DerivableFunction::gradient_t grad = function.gradient (x, i);
@@ -77,4 +125,19 @@ namespace roboptim
return true;
}
+ void
+ checkGradientAndThrow (const DerivableFunction& function,
+ int i,
+ const Function::vector_t& x,
+ Function::value_type threshold)
+ throw (BadGradient)
+ {
+ FiniteDifferenceGradient fdfunction (function);
+ DerivableFunction::gradient_t grad = function.gradient (x, i);
+ DerivableFunction::gradient_t fdgrad = fdfunction.gradient (x, i);
+
+ if (!checkGradient (function, i, x, threshold))
+ throw BadGradient (x, grad, fdgrad, threshold);
+ }
+
} // end of namespace roboptim
-----------------------------------------------------------------------
Summary of changes:
ChangeLog | 9 +++
.../roboptim/core/finite-difference-gradient.hh | 76 ++++++++++++++++++--
src/finite-difference-gradient.cc | 71 +++++++++++++++++-
3 files changed, 147 insertions(+), 9 deletions(-)
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