summaryrefslogtreecommitdiff
path: root/gsl-1.9/multimin/conjugate_pr.c
diff options
context:
space:
mode:
Diffstat (limited to 'gsl-1.9/multimin/conjugate_pr.c')
-rw-r--r--gsl-1.9/multimin/conjugate_pr.c276
1 files changed, 276 insertions, 0 deletions
diff --git a/gsl-1.9/multimin/conjugate_pr.c b/gsl-1.9/multimin/conjugate_pr.c
new file mode 100644
index 0000000..56f453c
--- /dev/null
+++ b/gsl-1.9/multimin/conjugate_pr.c
@@ -0,0 +1,276 @@
+/* multimin/conjugate_pr.c
+ *
+ * Copyright (C) 1996, 1997, 1998, 1999, 2000 Fabrice Rossi
+ *
+ * This program is free software; you can redistribute it and/or modify
+ * it under the terms of the GNU General Public License as published by
+ * the Free Software Foundation; either version 2 of the License, or (at
+ * your option) any later version.
+ *
+ * This program is distributed in the hope that it will be useful, but
+ * WITHOUT ANY WARRANTY; without even the implied warranty of
+ * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
+ * General Public License for more details.
+ *
+ * You should have received a copy of the GNU General Public License
+ * along with this program; if not, write to the Free Software
+ * Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301, USA.
+ */
+
+/* conjugate_pr.c -- Conjugate gradient Polak-Ribiere algorithm */
+
+/* Modified by Brian Gough to use single iteration structure */
+
+#include <config.h>
+#include <gsl/gsl_multimin.h>
+#include <gsl/gsl_blas.h>
+
+#include "directional_minimize.c"
+
+typedef struct
+{
+ int iter;
+ double step;
+ double max_step;
+ double tol;
+ gsl_vector *x1;
+ gsl_vector *dx1;
+ gsl_vector *x2;
+ double pnorm;
+ gsl_vector *p;
+ double g0norm;
+ gsl_vector *g0;
+}
+conjugate_pr_state_t;
+
+static int
+conjugate_pr_alloc (void *vstate, size_t n)
+{
+ conjugate_pr_state_t *state = (conjugate_pr_state_t *) vstate;
+
+ state->x1 = gsl_vector_calloc (n);
+
+ if (state->x1 == 0)
+ {
+ GSL_ERROR ("failed to allocate space for x1", GSL_ENOMEM);
+ }
+
+ state->dx1 = gsl_vector_calloc (n);
+
+ if (state->dx1 == 0)
+ {
+ gsl_vector_free (state->x1);
+ GSL_ERROR ("failed to allocate space for dx1", GSL_ENOMEM);
+ }
+
+ state->x2 = gsl_vector_calloc (n);
+
+ if (state->x2 == 0)
+ {
+ gsl_vector_free (state->dx1);
+ gsl_vector_free (state->x1);
+ GSL_ERROR ("failed to allocate space for x2", GSL_ENOMEM);
+ }
+
+ state->p = gsl_vector_calloc (n);
+
+ if (state->p == 0)
+ {
+ gsl_vector_free (state->x2);
+ gsl_vector_free (state->dx1);
+ gsl_vector_free (state->x1);
+ GSL_ERROR ("failed to allocate space for p", GSL_ENOMEM);
+ }
+
+ state->g0 = gsl_vector_calloc (n);
+
+ if (state->g0 == 0)
+ {
+ gsl_vector_free (state->p);
+ gsl_vector_free (state->x2);
+ gsl_vector_free (state->dx1);
+ gsl_vector_free (state->x1);
+ GSL_ERROR ("failed to allocate space for g0", GSL_ENOMEM);
+ }
+
+ return GSL_SUCCESS;
+}
+
+static int
+conjugate_pr_set (void *vstate, gsl_multimin_function_fdf * fdf,
+ const gsl_vector * x, double *f, gsl_vector * gradient,
+ double step_size, double tol)
+{
+ conjugate_pr_state_t *state = (conjugate_pr_state_t *) vstate;
+
+ state->iter = 0;
+ state->step = step_size;
+ state->max_step = step_size;
+ state->tol = tol;
+
+ GSL_MULTIMIN_FN_EVAL_F_DF (fdf, x, f, gradient);
+
+ /* Use the gradient as the initial direction */
+
+ gsl_vector_memcpy (state->p, gradient);
+ gsl_vector_memcpy (state->g0, gradient);
+
+ {
+ double gnorm = gsl_blas_dnrm2 (gradient);
+
+ state->pnorm = gnorm;
+ state->g0norm = gnorm;
+ }
+
+ return GSL_SUCCESS;
+}
+
+static void
+conjugate_pr_free (void *vstate)
+{
+ conjugate_pr_state_t *state = (conjugate_pr_state_t *) vstate;
+
+ gsl_vector_free (state->g0);
+ gsl_vector_free (state->p);
+ gsl_vector_free (state->x2);
+ gsl_vector_free (state->dx1);
+ gsl_vector_free (state->x1);
+}
+
+static int
+conjugate_pr_restart (void *vstate)
+{
+ conjugate_pr_state_t *state = (conjugate_pr_state_t *) vstate;
+
+ state->iter = 0;
+ return GSL_SUCCESS;
+}
+
+static int
+conjugate_pr_iterate (void *vstate, gsl_multimin_function_fdf * fdf,
+ gsl_vector * x, double *f,
+ gsl_vector * gradient, gsl_vector * dx)
+{
+ conjugate_pr_state_t *state = (conjugate_pr_state_t *) vstate;
+
+ gsl_vector *x1 = state->x1;
+ gsl_vector *dx1 = state->dx1;
+ gsl_vector *x2 = state->x2;
+ gsl_vector *p = state->p;
+ gsl_vector *g0 = state->g0;
+
+ double pnorm = state->pnorm;
+ double g0norm = state->g0norm;
+
+ double fa = *f, fb, fc;
+ double dir;
+ double stepa = 0.0, stepb, stepc = state->step, tol = state->tol;
+
+ double g1norm;
+ double pg;
+
+ if (pnorm == 0.0 || g0norm == 0.0)
+ {
+ gsl_vector_set_zero (dx);
+ return GSL_ENOPROG;
+ }
+
+ /* Determine which direction is downhill, +p or -p */
+
+ gsl_blas_ddot (p, gradient, &pg);
+
+ dir = (pg >= 0.0) ? +1.0 : -1.0;
+
+ /* Compute new trial point at x_c= x - step * p, where p is the
+ current direction */
+
+ take_step (x, p, stepc, dir / pnorm, x1, dx);
+
+ /* Evaluate function and gradient at new point xc */
+
+ fc = GSL_MULTIMIN_FN_EVAL_F (fdf, x1);
+
+ if (fc < fa)
+ {
+ /* Success, reduced the function value */
+ state->step = stepc * 2.0;
+ *f = fc;
+ gsl_vector_memcpy (x, x1);
+ GSL_MULTIMIN_FN_EVAL_DF (fdf, x1, gradient);
+ return GSL_SUCCESS;
+ }
+
+#ifdef DEBUG
+ printf ("got stepc = %g fc = %g\n", stepc, fc);
+#endif
+
+ /* Do a line minimisation in the region (xa,fa) (xc,fc) to find an
+ intermediate (xb,fb) satisifying fa > fb < fc. Choose an initial
+ xb based on parabolic interpolation */
+
+ intermediate_point (fdf, x, p, dir / pnorm, pg,
+ stepa, stepc, fa, fc, x1, dx1, gradient, &stepb, &fb);
+
+ if (stepb == 0.0)
+ {
+ return GSL_ENOPROG;
+ }
+
+ minimize (fdf, x, p, dir / pnorm,
+ stepa, stepb, stepc, fa, fb, fc, tol,
+ x1, dx1, x2, dx, gradient, &(state->step), f, &g1norm);
+
+ gsl_vector_memcpy (x, x2);
+
+ /* Choose a new conjugate direction for the next step */
+
+ state->iter = (state->iter + 1) % x->size;
+
+ if (state->iter == 0)
+ {
+ gsl_vector_memcpy (p, gradient);
+ state->pnorm = g1norm;
+ }
+ else
+ {
+ /* p' = g1 - beta * p */
+
+ double g0g1, beta;
+
+ gsl_blas_daxpy (-1.0, gradient, g0); /* g0' = g0 - g1 */
+ gsl_blas_ddot(g0, gradient, &g0g1); /* g1g0 = (g0-g1).g1 */
+ beta = g0g1 / (g0norm*g0norm); /* beta = -((g1 - g0).g1)/(g0.g0) */
+
+ gsl_blas_dscal (-beta, p);
+ gsl_blas_daxpy (1.0, gradient, p);
+ state->pnorm = gsl_blas_dnrm2 (p);
+ }
+
+ state->g0norm = g1norm;
+ gsl_vector_memcpy (g0, gradient);
+
+#ifdef DEBUG
+ printf ("updated conjugate directions\n");
+ printf ("p: ");
+ gsl_vector_fprintf (stdout, p, "%g");
+ printf ("g: ");
+ gsl_vector_fprintf (stdout, gradient, "%g");
+#endif
+
+ return GSL_SUCCESS;
+}
+
+
+
+static const gsl_multimin_fdfminimizer_type conjugate_pr_type = {
+ "conjugate_pr", /* name */
+ sizeof (conjugate_pr_state_t),
+ &conjugate_pr_alloc,
+ &conjugate_pr_set,
+ &conjugate_pr_iterate,
+ &conjugate_pr_restart,
+ &conjugate_pr_free
+};
+
+const gsl_multimin_fdfminimizer_type
+ * gsl_multimin_fdfminimizer_conjugate_pr = &conjugate_pr_type;