/**
* C++ version of gsl_multifit_fdfsolver_driver().
* @param maxiter Maximum iterations
* @param epsabs Absolute error bounds
* @param epsrel Relative error bounds
* @return Error code on failure.
*/
int driver( size_t const maxiter,
double const epsabs, double const epsrel ){
int const result = gsl_multifit_fdfsolver_driver( get(), maxiter, epsabs, epsrel );
x_v.wrap_gsl_vector_without_ownership( get()->x );
f_v.wrap_gsl_vector_without_ownership( get()->x );
dx_v.wrap_gsl_vector_without_ownership( get()->dx );
J_m.wrap_gsl_matrix_without_ownership( get()->J );
return result;
}
/**
* C++ version of gsl_multifit_fdfsolver_driver().
* @param s The fdfsolver
* @param maxiter Maximum iterations
* @param epsabs Absolute error bounds
* @param epsrel Relative error bounds
* @return Error code on failure.
*/
inline static int driver( fdfsolver& s, size_t const maxiter,
double const epsabs, double const epsrel ){
int const result = gsl_multifit_fdfsolver_driver( s.get(), maxiter, epsabs, epsrel );
s.x_v.wrap_gsl_vector_without_ownership( s.get()->x );
s.f_v.wrap_gsl_vector_without_ownership( s.get()->x );
s.dx_v.wrap_gsl_vector_without_ownership( s.get()->dx );
s.J_m.wrap_gsl_matrix_without_ownership( s.get()->J );
return result;
}
int
gsl_multifit_fdfridge_driver (gsl_multifit_fdfridge * w,
const size_t maxiter,
const double xtol,
const double gtol,
const double ftol,
int *info)
{
int status = gsl_multifit_fdfsolver_driver(w->s, maxiter, xtol,
gtol, ftol, info);
return status;
} /* gsl_multifit_fdfridge_driver() */
gboolean
_ncm_fit_gsl_ls_run (NcmFit *fit, NcmFitRunMsgs mtype)
{
NcmFitGSLLS *fit_gsl_ls = NCM_FIT_GSL_LS (fit);
gint status, info = 0;
if (ncm_fit_has_equality_constraints (fit) || ncm_fit_has_inequality_constraints (fit))
g_error ("_ncm_fit_gsl_ls_run: GSL algorithms do not support constraints.");
g_assert (fit->fstate->fparam_len != 0);
ncm_mset_fparams_get_vector (fit->mset, fit->fstate->fparams);
gsl_multifit_fdfsolver_set (fit_gsl_ls->ls, &fit_gsl_ls->f, ncm_vector_gsl (fit->fstate->fparams));
status = gsl_multifit_fdfsolver_driver (fit_gsl_ls->ls,
fit->maxiter,
ncm_fit_get_params_reltol (fit),
ncm_fit_get_m2lnL_reltol (fit),
ncm_fit_get_m2lnL_reltol (fit),
&info
);
{
NcmVector *_x = ncm_vector_new_gsl_static (fit_gsl_ls->ls->x);
NcmVector *_f = ncm_vector_new_gsl_static (fit_gsl_ls->ls->f);
NcmMatrix *_J = ncm_matrix_new (fit_gsl_ls->f.p, fit_gsl_ls->f.p);
gsl_multifit_fdfsolver_jac (fit_gsl_ls->ls, ncm_matrix_gsl (_J));
ncm_fit_params_set_vector (fit, _x);
ncm_fit_state_set_params_prec (fit->fstate, ncm_fit_get_params_reltol (fit));
ncm_fit_state_set_ls (fit->fstate, _f, _J);
ncm_fit_state_set_niter (fit->fstate, gsl_multifit_fdfsolver_niter (fit_gsl_ls->ls));
ncm_vector_free (_x);
ncm_vector_free (_f);
ncm_matrix_free (_J);
}
if (status == GSL_SUCCESS)
return TRUE;
else
return FALSE;
}
int
main (void)
{
const gsl_multifit_fdfsolver_type *T = gsl_multifit_fdfsolver_lmsder;
gsl_multifit_fdfsolver *s;
int status, info;
size_t i;
const size_t n = N;
const size_t p = 3;
gsl_matrix *J = gsl_matrix_alloc(n, p);
gsl_matrix *covar = gsl_matrix_alloc (p, p);
double y[N], weights[N];
struct data d = { n, y };
gsl_multifit_function_fdf f;
double x_init[3] = { 1.0, 0.0, 0.0 };
gsl_vector_view x = gsl_vector_view_array (x_init, p);
gsl_vector_view w = gsl_vector_view_array(weights, n);
const gsl_rng_type * type;
gsl_rng * r;
gsl_vector *res_f;
double chi, chi0;
const double xtol = 1e-8;
const double gtol = 1e-8;
const double ftol = 0.0;
gsl_rng_env_setup();
type = gsl_rng_default;
r = gsl_rng_alloc (type);
f.f = &expb_f;
f.df = &expb_df; /* set to NULL for finite-difference Jacobian */
f.n = n;
f.p = p;
f.params = &d;
/* This is the data to be fitted */
for (i = 0; i < n; i++)
{
double t = i;
double yi = 1.0 + 5 * exp (-0.1 * t);
double si = 0.1 * yi;
double dy = gsl_ran_gaussian(r, si);
weights[i] = 1.0 / (si * si);
y[i] = yi + dy;
printf ("data: %zu %g %g\n", i, y[i], si);
};
s = gsl_multifit_fdfsolver_alloc (T, n, p);
/* initialize solver with starting point and weights */
gsl_multifit_fdfsolver_wset (s, &f, &x.vector, &w.vector);
/* compute initial residual norm */
res_f = gsl_multifit_fdfsolver_residual(s);
chi0 = gsl_blas_dnrm2(res_f);
/* solve the system with a maximum of 20 iterations */
status = gsl_multifit_fdfsolver_driver(s, 20, xtol, gtol, ftol, &info);
gsl_multifit_fdfsolver_jac(s, J);
gsl_multifit_covar (J, 0.0, covar);
/* compute final residual norm */
chi = gsl_blas_dnrm2(res_f);
#define FIT(i) gsl_vector_get(s->x, i)
#define ERR(i) sqrt(gsl_matrix_get(covar,i,i))
fprintf(stderr, "summary from method '%s'\n",
gsl_multifit_fdfsolver_name(s));
fprintf(stderr, "number of iterations: %zu\n",
gsl_multifit_fdfsolver_niter(s));
fprintf(stderr, "function evaluations: %zu\n", f.nevalf);
fprintf(stderr, "Jacobian evaluations: %zu\n", f.nevaldf);
fprintf(stderr, "reason for stopping: %s\n",
(info == 1) ? "small step size" : "small gradient");
fprintf(stderr, "initial |f(x)| = %g\n", chi0);
fprintf(stderr, "final |f(x)| = %g\n", chi);
{
double dof = n - p;
double c = GSL_MAX_DBL(1, chi / sqrt(dof));
fprintf(stderr, "chisq/dof = %g\n", pow(chi, 2.0) / dof);
fprintf (stderr, "A = %.5f +/- %.5f\n", FIT(0), c*ERR(0));
fprintf (stderr, "lambda = %.5f +/- %.5f\n", FIT(1), c*ERR(1));
fprintf (stderr, "b = %.5f +/- %.5f\n", FIT(2), c*ERR(2));
}
fprintf (stderr, "status = %s\n", gsl_strerror (status));
gsl_multifit_fdfsolver_free (s);
gsl_matrix_free (covar);
gsl_matrix_free (J);
gsl_rng_free (r);
return 0;
}
int
magcal_proc(gsl_vector *m, const satdata_mag *data, magcal_workspace *w)
{
int s;
gsl_multifit_function_fdf f;
gsl_multifit_fdfsolver *fdf_s;
magcal_params params;
gsl_vector_view v;
const double xtol = 1e-10;
const double gtol = 1e-10;
const double ftol = 0.0;
int info;
/* copy data arrays */
s = magcal_init(data, w);
if (s)
return s;
/* scale parameters to dimensionless units */
magcal_scale(1, m, w);
params.w = w;
f.f = &magcal_f;
f.df = &magcal_df;
f.n = w->n;
f.p = w->p;
f.params = ¶ms;
v = gsl_vector_subvector(m, MAGCAL_IDX_DT, w->p);
gsl_multifit_fdfsolver_set (w->fdf_s, &f, &v.vector);
gsl_multifit_fdfridge_set (w->fdf_ridge, &f, &v.vector, w->lambda);
#if 0
s = gsl_multifit_fdfsolver_driver(w->fdf_s, 500, xtol, gtol, ftol, &info);
fdf_s = w->fdf_s;
#else
s = gsl_multifit_fdfridge_driver(w->fdf_ridge, 500, xtol, gtol, ftol, &info);
fdf_s = w->fdf_ridge->s;
#endif
if (s != GSL_SUCCESS)
{
fprintf(stderr, "magcal_proc: error computing parameters: %s\n",
gsl_strerror(s));
}
else
{
magcal_print_state (w, fdf_s);
fprintf(stderr, "magcal_proc: total data processed: %zu\n", w->n);
fprintf(stderr, "magcal_proc: number of iterations: %zu\n",
fdf_s->niter);
fprintf(stderr, "magcal_proc: function evaluations: %zu\n",
fdf_s->fdf->nevalf);
fprintf(stderr, "magcal_proc: jacobian evaluations: %zu\n",
fdf_s->fdf->nevaldf);
fprintf(stderr, "magcal_proc: reason for convergence: %d\n",
info);
/* save calibration parameters */
gsl_vector_memcpy(&v.vector, fdf_s->x);
/* restore time shift parameter */
gsl_vector_set(m, MAGCAL_IDX_DT, 0.0);
/* scale offsets back to nT */
magcal_scale(-1, m, w);
#if 0
/* compute covariance matrix */
gsl_multifit_covar(fdf_s->J, 0.0, w->covar);
#endif
}
return s;
} /* magcal_proc() */
static void
test_fdf(const gsl_multifit_fdfsolver_type * T, const double xtol,
const double gtol, const double ftol,
const double epsrel, const double x0_scale,
test_fdf_problem *problem,
const double *wts)
{
gsl_multifit_function_fdf *fdf = problem->fdf;
const size_t n = fdf->n;
const size_t p = fdf->p;
const size_t max_iter = 1500;
gsl_vector *x0 = gsl_vector_alloc(p);
gsl_vector_view x0v = gsl_vector_view_array(problem->x0, p);
gsl_multifit_fdfsolver *s = gsl_multifit_fdfsolver_alloc (T, n, p);
const char *pname = problem->name;
char sname[2048];
int status, info;
sprintf(sname, "%s/scale=%g%s",
gsl_multifit_fdfsolver_name(s), x0_scale,
problem->fdf->df ? "" : "/fdiff");
/* scale starting point x0 */
gsl_vector_memcpy(x0, &x0v.vector);
test_scale_x0(x0, x0_scale);
if (wts)
{
gsl_vector_const_view wv = gsl_vector_const_view_array(wts, n);
gsl_multifit_fdfsolver_wset(s, fdf, x0, &wv.vector);
}
else
gsl_multifit_fdfsolver_set(s, fdf, x0);
status = gsl_multifit_fdfsolver_driver(s, max_iter, xtol, gtol,
ftol, &info);
gsl_test(status, "%s/%s did not converge, status=%s",
sname, pname, gsl_strerror(status));
/* check solution */
test_fdf_checksol(sname, pname, epsrel, s, problem);
if (wts == NULL)
{
/* test again with weighting matrix W = I */
gsl_vector *wv = gsl_vector_alloc(n);
sprintf(sname, "%s/scale=%g%s/weights",
gsl_multifit_fdfsolver_name(s), x0_scale,
problem->fdf->df ? "" : "/fdiff");
gsl_vector_memcpy(x0, &x0v.vector);
test_scale_x0(x0, x0_scale);
gsl_vector_set_all(wv, 1.0);
gsl_multifit_fdfsolver_wset(s, fdf, x0, wv);
status = gsl_multifit_fdfsolver_driver(s, max_iter, xtol, gtol,
ftol, &info);
gsl_test(status, "%s/%s did not converge, status=%s",
sname, pname, gsl_strerror(status));
test_fdf_checksol(sname, pname, epsrel, s, problem);
gsl_vector_free(wv);
}
gsl_multifit_fdfsolver_free(s);
gsl_vector_free(x0);
}