from __future__ import division, print_function, absolute_import import numpy as np from numpy.testing import assert_, assert_allclose import scipy.linalg from scipy.optimize import minimize def test_1(): def f(x): return x**4, 4*x**3 for gtol in [1e-8, 1e-12, 1e-20]: for maxcor in range(20, 35): result = minimize(fun=f, jac=True, method='L-BFGS-B', x0=20, options={'gtol': gtol, 'maxcor': maxcor}) H1 = result.hess_inv(np.array([1])).reshape(1,1) H2 = result.hess_inv.todense() assert_allclose(H1, H2) def test_2(): H0 = [[3, 0], [1, 2]] def f(x): return np.dot(x, np.dot(scipy.linalg.inv(H0), x)) result1 = minimize(fun=f, method='L-BFGS-B', x0=[10, 20]) result2 = minimize(fun=f, method='BFGS', x0=[10, 20]) H1 = result1.hess_inv.todense() H2 = np.vstack(( result1.hess_inv(np.array([1, 0])), result1.hess_inv(np.array([0, 1])))) assert_allclose( result1.hess_inv(np.array([1, 0]).reshape(2,1)).reshape(-1), result1.hess_inv(np.array([1, 0]))) assert_allclose(H1, H2) assert_allclose(H1, result2.hess_inv, rtol=1e-2, atol=0.03)