diff options
Diffstat (limited to 'gsl-1.9/multiroots/dnewton.c')
-rw-r--r-- | gsl-1.9/multiroots/dnewton.c | 186 |
1 files changed, 186 insertions, 0 deletions
diff --git a/gsl-1.9/multiroots/dnewton.c b/gsl-1.9/multiroots/dnewton.c new file mode 100644 index 0000000..5a43a74 --- /dev/null +++ b/gsl-1.9/multiroots/dnewton.c @@ -0,0 +1,186 @@ +/* multiroots/dnewton.c + * + * Copyright (C) 1996, 1997, 1998, 1999, 2000 Brian Gough + * + * 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. + */ + +#include <config.h> + +#include <stddef.h> +#include <stdlib.h> +#include <stdio.h> +#include <math.h> +#include <float.h> + +#include <gsl/gsl_math.h> +#include <gsl/gsl_errno.h> +#include <gsl/gsl_multiroots.h> +#include <gsl/gsl_linalg.h> + +/* Newton method using a finite difference approximation to the jacobian. + The derivatives are estimated using a step size of + + h_i = sqrt(DBL_EPSILON) * x_i + + */ + +typedef struct + { + gsl_matrix * J; + gsl_matrix * lu; + gsl_permutation * permutation; + } +dnewton_state_t; + +static int dnewton_alloc (void * vstate, size_t n); +static int dnewton_set (void * vstate, gsl_multiroot_function * function, gsl_vector * x, gsl_vector * f, gsl_vector * dx); +static int dnewton_iterate (void * vstate, gsl_multiroot_function * function, gsl_vector * x, gsl_vector * f, gsl_vector * dx); +static void dnewton_free (void * vstate); + +static int +dnewton_alloc (void * vstate, size_t n) +{ + dnewton_state_t * state = (dnewton_state_t *) vstate; + gsl_permutation * p; + gsl_matrix * m, * J; + + m = gsl_matrix_calloc (n,n); + + if (m == 0) + { + GSL_ERROR ("failed to allocate space for lu", GSL_ENOMEM); + } + + state->lu = m ; + + p = gsl_permutation_calloc (n); + + if (p == 0) + { + gsl_matrix_free(m); + + GSL_ERROR ("failed to allocate space for permutation", GSL_ENOMEM); + } + + state->permutation = p ; + + J = gsl_matrix_calloc (n,n); + + if (J == 0) + { + gsl_permutation_free(p); + gsl_matrix_free(m); + + GSL_ERROR ("failed to allocate space for d", GSL_ENOMEM); + } + + state->J = J; + + return GSL_SUCCESS; +} + +static int +dnewton_set (void * vstate, gsl_multiroot_function * function, gsl_vector * x, gsl_vector * f, gsl_vector * dx) +{ + dnewton_state_t * state = (dnewton_state_t *) vstate; + size_t i, n = function->n ; + int status; + + status = GSL_MULTIROOT_FN_EVAL (function, x, f); + if (status) + return status; + + status = gsl_multiroot_fdjacobian (function, x, f, GSL_SQRT_DBL_EPSILON, + state->J); + if (status) + return status; + + for (i = 0; i < n; i++) + { + gsl_vector_set (dx, i, 0.0); + } + + return GSL_SUCCESS; +} + +static int +dnewton_iterate (void * vstate, gsl_multiroot_function * function, gsl_vector * x, gsl_vector * f, gsl_vector * dx) +{ + dnewton_state_t * state = (dnewton_state_t *) vstate; + + int signum ; + + size_t i; + + size_t n = function->n ; + + gsl_matrix_memcpy (state->lu, state->J); + + { + int status = gsl_linalg_LU_decomp (state->lu, state->permutation, &signum); + if (status) + return status; + } + + { + int status = gsl_linalg_LU_solve (state->lu, state->permutation, f, dx); + if (status) + return status; + } + + for (i = 0; i < n; i++) + { + double e = gsl_vector_get (dx, i); + double y = gsl_vector_get (x, i); + gsl_vector_set (dx, i, -e); + gsl_vector_set (x, i, y - e); + } + + { + int status = GSL_MULTIROOT_FN_EVAL (function, x, f); + + if (status != GSL_SUCCESS) + { + return GSL_EBADFUNC; + } + } + + gsl_multiroot_fdjacobian (function, x, f, GSL_SQRT_DBL_EPSILON, state->J); + + return GSL_SUCCESS; +} + + +static void +dnewton_free (void * vstate) +{ + dnewton_state_t * state = (dnewton_state_t *) vstate; + + gsl_matrix_free(state->J); + gsl_matrix_free(state->lu); + gsl_permutation_free(state->permutation); +} + + +static const gsl_multiroot_fsolver_type dnewton_type = +{"dnewton", /* name */ + sizeof (dnewton_state_t), + &dnewton_alloc, + &dnewton_set, + &dnewton_iterate, + &dnewton_free}; + +const gsl_multiroot_fsolver_type * gsl_multiroot_fsolver_dnewton = &dnewton_type; |