void BrentMinimizer::minimize(
double starting_value, double second_candidate) {
double a = starting_value;
double b = second_candidate;
if (b < a) std::swap(a, b);
bracket_minimum(target_, &a, &b);
minimizing_x_ = fminbr(a, b, target_, tolerance_);
minimum_value_ = target_(minimizing_x_);
}
double opt_knot_psgold(void){
int j;
double oldgcv, currgcv, a, b;
oldgcv = gcv_fit( dat_psgold, sp_psgold, lambda_psgold, MIN_SPACE_PSGOLD);
for(j=0; j<99; j++){
for(iknot_psgold = sp_psgold->order; iknot_psgold < sp_psgold->n ; iknot_psgold++){
a = sp_psgold->knot[iknot_psgold-1], b = sp_psgold->knot[iknot_psgold+1];
sp_psgold->knot[iknot_psgold] = fminbr(a, b, fknot_psgold, KNOT_TOL_PSGOLD);
}
for(iknot_psgold = sp_psgold->n -1; iknot_psgold >= sp_psgold->order ; iknot_psgold--){
a = sp_psgold->knot[iknot_psgold-1], b = sp_psgold->knot[iknot_psgold+1];
sp_psgold->knot[iknot_psgold] = fminbr(a, b, fknot_psgold, KNOT_TOL_PSGOLD);
}
for(iknot_psgold = sp_psgold->n -1; iknot_psgold >= sp_psgold->order ; iknot_psgold--){
a = sp_psgold->knot[iknot_psgold-1], b = sp_psgold->knot[iknot_psgold+1];
sp_psgold->knot[iknot_psgold] = fminbr(a, b, fknot_psgold, KNOT_TOL_PSGOLD);
}
for(iknot_psgold = sp_psgold->order; iknot_psgold < sp_psgold->n ; iknot_psgold++){
a = sp_psgold->knot[iknot_psgold-1], b = sp_psgold->knot[iknot_psgold+1];
sp_psgold->knot[iknot_psgold] = fminbr(a, b, fknot_psgold, KNOT_TOL_PSGOLD);
}
currgcv = gcv_fit( dat_psgold, sp_psgold, lambda_psgold, MIN_SPACE_PSGOLD );
if( fabs( (currgcv-oldgcv)/(oldgcv + .0001) ) < .0001 )
break;
oldgcv = currgcv;
}
currgcv = gcv_fit( dat_psgold, sp_psgold, lambda_psgold, MIN_SPACE_PSGOLD );
return currgcv;
}
double lambda_loop_psgold(double shift, double scale)
{
int i, j;
double glob_min_gcv, loc_min_gcv, currgcv;
double loc_best_lambda = 0, glob_best_lambda = 0;
double oldgcv, a, b;
glob_min_gcv = INFINITY;
for (j = 0; j < NUMBER_LAMBDA_LOOPS_PSGOLD; j++)
{
loc_min_gcv = INFINITY;
for (i = 0; i < NUMBER_LAMBDA_ITER_PSGOLD; i++)
{
lambda_psgold = exp(RandomDouble(MIN_LOG_LAMBDA_PSGOLD, MAX_LOG_LAMBDA_PSGOLD));
currgcv = gcv_fit(dat_psgold, sp_psgold, lambda_psgold, MIN_SPACE_PSGOLD);
if (currgcv < loc_min_gcv)
{
loc_best_lambda = lambda_psgold;
loc_min_gcv = currgcv;
}
}
lambda_psgold = loc_best_lambda;
currgcv = loc_min_gcv;
get_pen_1D_spline(dat_psgold, sp_psgold, lambda_psgold);
if (currgcv < glob_min_gcv)
{
glob_best_lambda = lambda_psgold;
glob_min_gcv = currgcv;
}
for(i=0; i<99; i++)
{
oldgcv = currgcv;
a = log(lambda_psgold) + log(LAMBDA_MULT_PSGOLD);
b = log(lambda_psgold) - log(LAMBDA_MULT_PSGOLD);
lambda_psgold = exp(fminbr(a, b, flambda_psgold, LAMBDA_TOL_PSGOLD));
currgcv = gcv_fit( dat_psgold, sp_psgold, lambda_psgold, MIN_SPACE_PSGOLD );
if( fabs( (currgcv-oldgcv)/(oldgcv + .0001) ) < .0001 )
break;
}
currgcv = gcv_fit(dat_psgold, sp_psgold, lambda_psgold, MIN_SPACE_PSGOLD );
if (currgcv < glob_min_gcv)
{
glob_best_lambda = lambda_psgold;
glob_min_gcv = currgcv;
}
} /* end j loop */
lambda_psgold = glob_best_lambda;
currgcv = gcv_fit(dat_psgold, sp_psgold, lambda_psgold, MIN_SPACE_PSGOLD);
/* printf("The overall best GCV is %e\n", currgcv);
printf("The value of lambda is %e \n", lambda_psgold*pow(scale, 2*sp_psgold->order-2));
for(i=0; i< sp_psgold->n + sp_psgold->order; i++)
printf("%f ", shift + scale * sp_psgold->knot[i]);
printf("\n\n"); */
return currgcv;
}