comparison toolboxes/FullBNT-1.0.7/netlab3.3/gradchek.m @ 0:e9a9cd732c1e tip

first hg version after svn

+function [gradient, delta] = gradchek(w, func, grad, varargin)
+%GRADCHEK Checks a user-defined gradient function using finite differences.
+%
+%	Description
+%	This function is intended as a utility for other netlab functions
+%	(particularly optimisation functions) to use.  It enables the user to
+%	check whether a gradient calculation has been correctly implmented
+%	for a given function. GRADCHEK(W, FUNC, GRAD) checks how accurate the
+%	gradient  GRAD of a function FUNC is at a parameter vector X.   A
+%	central difference formula with step size 1.0e-6 is used, and the
+%	results for both gradient function and finite difference
+%	approximation are printed. The optional return value GRADIENT is the
+%	gradient calculated using the function GRAD and the return value
+%	DELTA is the difference between the functional and finite difference
+%	methods of calculating the graident.
+%
+%	GRADCHEK(X, FUNC, GRAD, P1, P2, ...) allows additional arguments to
+%	be passed to FUNC and GRAD.
+%
+%	See also
+%	CONJGRAD, GRADDESC, HMC, OLGD, QUASINEW, SCG
+%
+
+%	Copyright (c) Ian T Nabney (1996-2001)
+
+% Reasonable value for step size
+epsilon = 1.0e-6;
+
+func = fcnchk(func, length(varargin));
+grad = fcnchk(grad, length(varargin));
+
+% Treat
+nparams = length(w);
+deltaf = zeros(1, nparams);
+step = zeros(1, nparams);
+for i = 1:nparams
+  % Move a small way in the ith coordinate of w
+  step(i) = 1.0;
+  fplus  = feval('linef', epsilon, func, w, step, varargin{:});
+  fminus = feval('linef', -epsilon, func, w, step, varargin{:});
+  % Use central difference formula for approximation
+  deltaf(i) = 0.5*(fplus - fminus)/epsilon;
+  step(i) = 0.0;
+end
+gradient = feval(grad, w, varargin{:});
+fprintf(1, 'Checking gradient ...\n\n');
+delta = gradient - deltaf;
+fprintf(1, '   analytic   diffs     delta\n\n');
+disp([gradient', deltaf', delta'])