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-rw-r--r--gsl-1.9/multimin/vector_bfgs.c350
1 files changed, 350 insertions, 0 deletions
diff --git a/gsl-1.9/multimin/vector_bfgs.c b/gsl-1.9/multimin/vector_bfgs.c
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+/* multimin/vector_bfgs.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.
+ */
+
+/* vector_bfgs.c -- Limited memory Broyden-Fletcher-Goldfarb-Shanno method */
+
+/* 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 g0norm;
+ double pnorm;
+ gsl_vector *p;
+ gsl_vector *x0;
+ gsl_vector *g0;
+ gsl_vector *dx0;
+ gsl_vector *dg0;
+}
+vector_bfgs_state_t;
+
+static int
+vector_bfgs_alloc (void *vstate, size_t n)
+{
+ vector_bfgs_state_t *state = (vector_bfgs_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->x0 = gsl_vector_calloc (n);
+
+ if (state->x0 == 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);
+ }
+
+ state->g0 = gsl_vector_calloc (n);
+
+ if (state->g0 == 0)
+ {
+ gsl_vector_free (state->x0);
+ 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);
+ }
+
+ state->dx0 = gsl_vector_calloc (n);
+
+ if (state->dx0 == 0)
+ {
+ gsl_vector_free (state->g0);
+ gsl_vector_free (state->x0);
+ 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);
+ }
+
+ state->dg0 = gsl_vector_calloc (n);
+
+ if (state->dg0 == 0)
+ {
+ gsl_vector_free (state->dx0);
+ gsl_vector_free (state->g0);
+ gsl_vector_free (state->x0);
+ 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
+vector_bfgs_set (void *vstate, gsl_multimin_function_fdf * fdf,
+ const gsl_vector * x, double *f, gsl_vector * gradient,
+ double step_size, double tol)
+{
+ vector_bfgs_state_t *state = (vector_bfgs_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->x0, x);
+ 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
+vector_bfgs_free (void *vstate)
+{
+ vector_bfgs_state_t *state = (vector_bfgs_state_t *) vstate;
+
+ gsl_vector_free (state->dg0);
+ gsl_vector_free (state->dx0);
+ gsl_vector_free (state->g0);
+ gsl_vector_free (state->x0);
+ gsl_vector_free (state->p);
+ gsl_vector_free (state->x2);
+ gsl_vector_free (state->dx1);
+ gsl_vector_free (state->x1);
+}
+
+static int
+vector_bfgs_restart (void *vstate)
+{
+ vector_bfgs_state_t *state = (vector_bfgs_state_t *) vstate;
+
+ state->iter = 0;
+ return GSL_SUCCESS;
+}
+
+static int
+vector_bfgs_iterate (void *vstate, gsl_multimin_function_fdf * fdf,
+ gsl_vector * x, double *f,
+ gsl_vector * gradient, gsl_vector * dx)
+{
+ vector_bfgs_state_t *state = (vector_bfgs_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;
+ gsl_vector *x0 = state->x0;
+
+ 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 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
+ {
+ /* This is the BFGS update: */
+ /* p' = g1 - A dx - B dg */
+ /* A = - (1+ dg.dg/dx.dg) B + dg.g/dx.dg */
+ /* B = dx.g/dx.dg */
+
+ gsl_vector *dx0 = state->dx0;
+ gsl_vector *dg0 = state->dg0;
+
+ double dxg, dgg, dxdg, dgnorm, A, B;
+
+ /* dx0 = x - x0 */
+ gsl_vector_memcpy (dx0, x);
+ gsl_blas_daxpy (-1.0, x0, dx0);
+
+ /* dg0 = g - g0 */
+ gsl_vector_memcpy (dg0, gradient);
+ gsl_blas_daxpy (-1.0, g0, dg0);
+
+ gsl_blas_ddot (dx0, gradient, &dxg);
+ gsl_blas_ddot (dg0, gradient, &dgg);
+ gsl_blas_ddot (dx0, dg0, &dxdg);
+
+ dgnorm = gsl_blas_dnrm2 (dg0);
+
+ if (dxdg != 0)
+ {
+ B = dxg / dxdg;
+ A = -(1.0 + dgnorm * dgnorm / dxdg) * B + dgg / dxdg;
+ }
+ else
+ {
+ B = 0;
+ A = 0;
+ }
+
+ gsl_vector_memcpy (p, gradient);
+ gsl_blas_daxpy (-A, dx0, p);
+ gsl_blas_daxpy (-B, dg0, p);
+
+ state->pnorm = gsl_blas_dnrm2 (p);
+ }
+
+ gsl_vector_memcpy (g0, gradient);
+ gsl_vector_memcpy (x0, x);
+ state->g0norm = gsl_blas_dnrm2 (g0);
+
+#ifdef DEBUG
+ printf ("updated 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 vector_bfgs_type = {
+ "vector_bfgs", /* name */
+ sizeof (vector_bfgs_state_t),
+ &vector_bfgs_alloc,
+ &vector_bfgs_set,
+ &vector_bfgs_iterate,
+ &vector_bfgs_restart,
+ &vector_bfgs_free
+};
+
+const gsl_multimin_fdfminimizer_type
+ * gsl_multimin_fdfminimizer_vector_bfgs = &vector_bfgs_type;
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