int
test_fdf(const char * desc,
gsl_multimin_function_fdf *f,
initpt_function initpt,
const gsl_multimin_fdfminimizer_type *T)
{
int status;
size_t iter = 0;
double step_size;
gsl_vector *x = gsl_vector_alloc (f->n);
gsl_multimin_fdfminimizer *s;
fcount = 0; gcount = 0;
(*initpt) (x);
step_size = 0.1 * gsl_blas_dnrm2 (x);
s = gsl_multimin_fdfminimizer_alloc(T, f->n);
gsl_multimin_fdfminimizer_set (s, f, x, step_size, 0.1);
#ifdef DEBUG
printf("x "); gsl_vector_fprintf (stdout, s->x, "%g");
printf("g "); gsl_vector_fprintf (stdout, s->gradient, "%g");
#endif
do
{
iter++;
status = gsl_multimin_fdfminimizer_iterate(s);
#ifdef DEBUG
printf("%i: \n",iter);
printf("x "); gsl_vector_fprintf (stdout, s->x, "%g");
printf("g "); gsl_vector_fprintf (stdout, s->gradient, "%g");
printf("f(x) %g\n",s->f);
printf("dx %g\n",gsl_blas_dnrm2(s->dx));
printf("\n");
#endif
status = gsl_multimin_test_gradient(s->gradient,1e-3);
}
while (iter < 5000 && status == GSL_CONTINUE);
status |= (fabs(s->f) > 1e-5);
gsl_test(status, "%s, on %s: %i iters (fn+g=%d+%d), f(x)=%g",
gsl_multimin_fdfminimizer_name(s),desc, iter, fcount, gcount, s->f);
gsl_multimin_fdfminimizer_free(s);
gsl_vector_free(x);
return status;
}
static VALUE rb_gsl_fdfminimizer_name(VALUE obj)
{
gsl_multimin_fdfminimizer *gmf = NULL;
Data_Get_Struct(obj, gsl_multimin_fdfminimizer, gmf);
return rb_str_new2(gsl_multimin_fdfminimizer_name(gmf));
}
int lua_multimin_minimize(lua_State * L) {
bool ssdel=false;
double eps=0.00001;
double tol=0.0001;
double step_size=0.01;
int maxiter=1000;
bool print=false;
array<double> * x=0;
array<double> * ss=0;
const gsl_multimin_fminimizer_type *Tf = 0;
const gsl_multimin_fdfminimizer_type *Tdf = 0;
multi_param mp;
mp.L=L;
mp.fdf_index=-1;
lua_pushstring(L,"f");
lua_gettable(L,-2);
if(lua_isfunction(L,-1)) {
mp.f_index=luaL_ref(L, LUA_REGISTRYINDEX);
} else {
luaL_error(L,"%s\n","missing function");
}
lua_pushstring(L,"df");
lua_gettable(L,-2);
if(lua_isfunction(L,-1)) {
mp.df_index=luaL_ref(L, LUA_REGISTRYINDEX);
Tdf= gsl_multimin_fdfminimizer_conjugate_fr;
} else {
lua_pop(L,1);
Tf= gsl_multimin_fminimizer_nmsimplex2;
}
lua_pushstring(L,"fdf");
lua_gettable(L,-2);
if(lua_isfunction(L,-1)) {
mp.fdf_index=luaL_ref(L, LUA_REGISTRYINDEX);
} else {
lua_pop(L,1);
mp.fdf_index=-1;
}
lua_pushstring(L,"algorithm");
lua_gettable(L,-2);
if(lua_isstring(L,-1)) {
if(Tf!=0) {
if(!strcmp(lua_tostring(L,-1),"nmsimplex")) {
Tf = gsl_multimin_fminimizer_nmsimplex;
} else if(!strcmp(lua_tostring(L,-1),"nmsimplex2rand")) {
Tf = gsl_multimin_fminimizer_nmsimplex2rand;
} else if(!strcmp(lua_tostring(L,-1),"nmsimplex2")) {
Tf = gsl_multimin_fminimizer_nmsimplex2;
} else {
luaL_error(L,"%s\n","invalid algorithm");
}
} else {
if(!strcmp(lua_tostring(L,-1),"conjugate_pr")) {
Tdf = gsl_multimin_fdfminimizer_conjugate_pr;
} else if(!strcmp(lua_tostring(L,-1),"steepest_descent")) {
Tdf = gsl_multimin_fdfminimizer_steepest_descent;
} else if(!strcmp(lua_tostring(L,-1),"vector_bfgs")) {
Tdf = gsl_multimin_fdfminimizer_vector_bfgs;
} else if(!strcmp(lua_tostring(L,-1),"vector_bfgs2")) {
Tdf = gsl_multimin_fdfminimizer_vector_bfgs2;
} else if(!strcmp(lua_tostring(L,-1),"conjugate_fr")) {
Tdf = gsl_multimin_fdfminimizer_conjugate_fr;
} else {
luaL_error(L,"%s\n","invalid algorithm");
}
}
}
lua_pop(L,1);
lua_pushstring(L,"show_iterations");
lua_gettable(L,-2);
if(lua_isboolean(L,-1)) {
print=(lua_toboolean(L,-1)==1);
}
lua_pop(L,1);
lua_pushstring(L,"eps");
lua_gettable(L,-2);
if(lua_isnumber(L,-1)) {
eps=lua_tonumber(L,-1);
}
lua_pop(L,1);
lua_pushstring(L,"step_size");
lua_gettable(L,-2);
if(lua_isnumber(L,-1)) {
step_size=lua_tonumber(L,-1);
}
lua_pop(L,1);
lua_pushstring(L,"tol");
lua_gettable(L,-2);
if(lua_isnumber(L,-1)) {
tol=lua_tonumber(L,-1);
}
lua_pop(L,1);
lua_pushstring(L,"maxiter");
lua_gettable(L,-2);
if(lua_isnumber(L,-1)) {
maxiter=(int)lua_tonumber(L,-1);
}
lua_pop(L,1);
lua_pushstring(L,"starting_point");
lua_gettable(L,-2);
if(!lua_isuserdata(L,-1)) lua_error(L);
if (!SWIG_IsOK(SWIG_ConvertPtr(L,-1,(void**)&x,SWIGTYPE_p_arrayT_double_t,0))){
luaL_error(L,"%s\n","missing starting point");
}
lua_pop(L,1);
if(Tf) {
lua_pushstring(L,"step_sizes");
lua_gettable(L,-2);
if(lua_isuserdata(L,-1)) {
if (!SWIG_IsOK(SWIG_ConvertPtr(L,-1,(void**)&ss,SWIGTYPE_p_arrayT_double_t,0))){
lua_error(L);
}
} else {
ssdel=true;
ss=new array<double>(x->size());
ss->set_all(1.0);
if(lua_isnumber(L,-1)) {
double v=lua_tonumber(L,-1);
ss->set_all(v);
}
}
lua_pop(L,1);
}
lua_pop(L,1);
if(Tf) {
gsl_multimin_fminimizer *s = NULL;
gsl_vector SS, X;
gsl_multimin_function minex_func;
int iter = 0;
int status;
double size;
int N=x->size();
/* Starting point */
X.size=x->size();
X.stride=1;
X.data=x->data();
X.owner=0;
/* Set initial step sizes */
SS.size=ss->size();
SS.stride=1;
SS.data=ss->data();
SS.owner=0;
/* Initialize method and iterate */
minex_func.n = N;
minex_func.f = multimin_f_cb;
minex_func.params = ∓
s = gsl_multimin_fminimizer_alloc (Tf, N);
gsl_multimin_fminimizer_set (s, &minex_func, &X, &SS);
if(print) printf ("running algorithm '%s'\n",
gsl_multimin_fminimizer_name (s));
do
{
iter++;
status = gsl_multimin_fminimizer_iterate(s);
if (status)
break;
size = gsl_multimin_fminimizer_size (s);
status = gsl_multimin_test_size (size, eps);
if (status == GSL_SUCCESS)
{
if(print) printf ("converged to minimum at\n");
}
if(print) printf ("%5d f() = %12.3f size = %.9f\n",
iter,
s->fval, size);
} while (status == GSL_CONTINUE && iter < maxiter);
for(int i=0;i<N;++i) x->set(i,gsl_vector_get(s->x,i));
luaL_unref(L, LUA_REGISTRYINDEX, mp.f_index);
gsl_multimin_fminimizer_free (s);
} else {
gsl_multimin_fdfminimizer *s = NULL;
gsl_vector X;
gsl_multimin_function_fdf minex_func;
int iter = 0;
int status;
double size;
int N=x->size();
/* Starting point */
X.size=x->size();
X.stride=1;
X.data=x->data();
X.owner=0;
/* Initialize method and iterate */
minex_func.n = N;
minex_func.f = multimin_f_cb;
minex_func.df = multimin_df_cb;
minex_func.fdf = multimin_fdf_cb;
minex_func.params = ∓
s = gsl_multimin_fdfminimizer_alloc (Tdf, N);
gsl_multimin_fdfminimizer_set (s, &minex_func, &X, step_size, tol);
if(print) printf ("running algorithm '%s'\n",
gsl_multimin_fdfminimizer_name (s));
do
{
iter++;
status = gsl_multimin_fdfminimizer_iterate(s);
if (status)
break;
status = gsl_multimin_test_gradient (s->gradient, eps);
if (status == GSL_SUCCESS)
{
if(print) printf ("converged to minimum at\n");
}
if(print) printf ("%5d f() = %12.3f\n",
iter,
s->f);
} while (status == GSL_CONTINUE && iter < maxiter);
for(int i=0;i<N;++i) x->set(i,gsl_vector_get(s->x,i));
luaL_unref(L, LUA_REGISTRYINDEX, mp.f_index);
luaL_unref(L, LUA_REGISTRYINDEX, mp.df_index);
gsl_multimin_fdfminimizer_free (s);
}
if(mp.fdf_index>=0) {
luaL_unref(L, LUA_REGISTRYINDEX, mp.fdf_index);
}
if(ssdel) {
delete ss;
}
return 0;
}
