static int
steffenson_init (void * vstate, gsl_function_fdf * fdf, double * root)
{
steffenson_state_t * state = (steffenson_state_t *) vstate;
const double x = *root ;
state->f = GSL_FN_FDF_EVAL_F (fdf, x);
state->df = GSL_FN_FDF_EVAL_DF (fdf, x) ;
state->x = x;
state->x_1 = 0.0;
state->x_2 = 0.0;
state->count = 1;
return GSL_SUCCESS;
}
static int
secant_iterate (void * vstate, gsl_function_fdf * fdf, double * root)
{
secant_state_t * state = (secant_state_t *) vstate;
const double x = *root ;
const double f = state->f;
const double df = state->df;
double x_new, f_new, df_new;
if (state->df == 0.0)
{
GSL_ERROR("derivative is zero", GSL_EZERODIV);
}
x_new = x - (f / df);
f_new = GSL_FN_FDF_EVAL_F(fdf, x_new) ;
df_new = (f_new - f) / (x_new - x) ;
*root = x_new ;
state->f = f_new ;
state->df = df_new ;
if (!gsl_finite (f_new))
{
GSL_ERROR ("function value is not finite", GSL_EBADFUNC);
}
if (!gsl_finite (df_new))
{
GSL_ERROR ("derivative value is not finite", GSL_EBADFUNC);
}
return GSL_SUCCESS;
}
static int minimize(gsl_function_fdf * fn, double rho, double sigma, double tau1, double tau2, double tau3, int order, double alpha1, double *alpha_new)
{
double f0, fp0, falpha, falpha_prev, fpalpha, fpalpha_prev, delta, alpha_next;
double alpha = alpha1, alpha_prev = 0.0;
double a, b, fa, fb, fpa, fpb;
const size_t bracket_iters = 100, section_iters = 100;
size_t i = 0;
if (debug)
printf("...enter minimize() sigma = %.12g\n", sigma);
GSL_FN_FDF_EVAL_F_DF(fn, 0.0, &f0, &fp0);
if (debug)
printf("..eval F_DF %g %g \n", f0, fp0);
falpha_prev = f0;
fpalpha_prev = fp0;
/*
* Avoid uninitialized variables morning
*/
a = 0.0;
b = alpha;
fa = f0;
fb = 0.0;
fpa = fp0;
fpb = 0.0;
/*
* Begin bracketing
*/
while (i++ < bracket_iters) {
if (debug)
printf("...begin bracketing\n");
falpha = GSL_FN_FDF_EVAL_F(fn, alpha);
if (debug)
printf("...begin bracketing: eval f %.12g\n", falpha);
/*
* Fletcher's rho test
*/
if (falpha > f0 + alpha * rho * fp0 || falpha >= falpha_prev || GMRFLib_request_optimiser_to_stop) {
a = alpha_prev;
fa = falpha_prev;
fpa = fpalpha_prev;
b = alpha;
fb = falpha;
fpb = GSL_NAN;
break; /* goto sectioning */
}
fpalpha = GSL_FN_FDF_EVAL_DF(fn, alpha);
if (debug)
printf("...begin bracketing: eval df %.12g\n", falpha);
/*
* Fletcher's sigma test
*/
if (fabs(fpalpha) <= -sigma * fp0 || GMRFLib_request_optimiser_to_stop) {
*alpha_new = alpha;
return GSL_SUCCESS;
}
if (fpalpha >= 0 || GMRFLib_request_optimiser_to_stop) {
a = alpha;
fa = falpha;
fpa = fpalpha;
b = alpha_prev;
fb = falpha_prev;
fpb = fpalpha_prev;
break; /* goto sectioning */
}
delta = alpha - alpha_prev;
{
double lower = alpha + delta;
double upper = alpha + tau1 * delta;
alpha_next = interpolate(alpha_prev, falpha_prev, fpalpha_prev, alpha, falpha, fpalpha, lower, upper, order);
}
alpha_prev = alpha;
falpha_prev = falpha;
fpalpha_prev = fpalpha;
alpha = alpha_next;
if (GMRFLib_request_optimiser_to_stop)
break;
}
if (GMRFLib_request_optimiser_to_stop) {
*alpha_new = alpha;
return GSL_SUCCESS; /* terminate */
}
/*
* Sectioning of bracket [a,b]
*/
while (i++ < section_iters) {
if (debug)
printf("...sectioning of bracket b %.12g a %.12g alpha %.12g\n", b, a, alpha);
delta = b - a;
{
double lower = a + tau2 * delta;
double upper = b - tau3 * delta;
alpha = interpolate(a, fa, fpa, b, fb, fpb, lower, upper, order);
}
falpha = GSL_FN_FDF_EVAL_F(fn, alpha);
if (debug)
printf("...eval F %.12g\n", falpha);
if (debug)
printf("... roundoff check %.12g\n", (a - alpha) * fpa);
if ((a - alpha) * fpa <= GMRFLib_eps(2.0/3.0)) { /* hrue */
/*
* roundoff prevents progress
*/
if (debug)
printf("BFGS3: minimizer: abort search as we do not seem to get any longer...\n");
*alpha_new = alpha; /* hrue */
return GSL_ENOPROG;
}
if (debug)
printf("...TEST %.12g > %.12g || %.12g >= %.12g\n", falpha, f0 + rho * alpha * fp0, falpha, fa);
if (GMRFLib_request_optimiser_to_stop) {
*alpha_new = alpha;
return GSL_SUCCESS; /* terminate */
}
if (falpha > f0 + rho * alpha * fp0 || falpha >= fa) {
/*
* a_next = a;
*/
b = alpha;
fb = falpha;
fpb = GSL_NAN;
} else {
fpalpha = GSL_FN_FDF_EVAL_DF(fn, alpha);
if (debug)
printf("...eval DF %.12g\n", fpalpha);
if (debug)
printf("... TEST %.12g <= %.12g\n", fabs(fpalpha), -sigma * fp0);
if (fabs(fpalpha) <= -sigma * fp0 || GMRFLib_request_optimiser_to_stop) {
*alpha_new = alpha;
return GSL_SUCCESS; /* terminate */
}
if (((b - a) >= 0 && fpalpha >= 0) || ((b - a) <= 0 && fpalpha <= 0)) {
b = a;
fb = fa;
fpb = fpa;
a = alpha;
fa = falpha;
fpa = fpalpha;
} else {
a = alpha;
fa = falpha;
fpa = fpalpha;
}
}
}
return GSL_SUCCESS;
}