int
gsl_multifit_fdfridge_set (gsl_multifit_fdfridge * w,
gsl_multifit_function_fdf * f,
const gsl_vector * x,
const double lambda)
{
return gsl_multifit_fdfridge_wset(w, f, x, lambda, NULL);
} /* gsl_multifit_fdfridge_set() */
static void
test_fdfridge(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_fdfridge *w = gsl_multifit_fdfridge_alloc (T, n, p);
const char *pname = problem->name;
char sname[2048];
int status, info;
double lambda = 0.0;
sprintf(sname, "ridge/%s", gsl_multifit_fdfridge_name(w));
/* scale starting point x0 */
gsl_vector_memcpy(x0, &x0v.vector);
test_scale_x0(x0, x0_scale);
/* test undamped case with lambda = 0 */
if (wts)
{
gsl_vector_const_view wv = gsl_vector_const_view_array(wts, n);
gsl_multifit_fdfridge_wset(w, fdf, x0, lambda, &wv.vector);
}
else
gsl_multifit_fdfridge_set(w, fdf, x0, lambda);
status = gsl_multifit_fdfridge_driver(w, 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, w->s, problem);
/* test for self consisent solution with L = \lambda I */
{
const double eps = 1.0e-10;
gsl_matrix *L = gsl_matrix_calloc(p, p);
gsl_vector_view diag = gsl_matrix_diagonal(L);
gsl_multifit_fdfridge *w2 = gsl_multifit_fdfridge_alloc (T, n, p);
gsl_vector *y0 = gsl_vector_alloc(p);
size_t i;
/* pick some value for lambda and set L = \lambda I */
lambda = 5.0;
gsl_vector_set_all(&diag.vector, lambda);
/* scale initial vector */
gsl_vector_memcpy(x0, &x0v.vector);
test_scale_x0(x0, x0_scale);
gsl_vector_memcpy(y0, x0);
if (wts)
{
gsl_vector_const_view wv = gsl_vector_const_view_array(wts, n);
gsl_multifit_fdfridge_wset(w, fdf, x0, lambda, &wv.vector);
gsl_multifit_fdfridge_wset3(w2, fdf, y0, L, &wv.vector);
}
else
{
gsl_multifit_fdfridge_set(w, fdf, x0, lambda);
gsl_multifit_fdfridge_set3(w2, fdf, y0, L);
}
/* solve with scalar lambda routine */
status = gsl_multifit_fdfridge_driver(w, max_iter, xtol, gtol,
ftol, &info);
gsl_test(status, "%s/lambda/%s did not converge, status=%s",
sname, pname, gsl_strerror(status));
/* solve with general matrix routine */
status = gsl_multifit_fdfridge_driver(w2, max_iter, xtol, gtol,
ftol, &info);
gsl_test(status, "%s/L/%s did not converge, status=%s",
sname, pname, gsl_strerror(status));
/* test x = y */
for (i = 0; i < p; ++i)
{
double xi = gsl_vector_get(w->s->x, i);
double yi = gsl_vector_get(w2->s->x, i);
if (fabs(xi) < eps)
{
gsl_test_abs(yi, xi, eps, "%s/%s ridge lambda=%g i="F_ZU,
sname, pname, lambda, i);
}
else
{
gsl_test_rel(yi, xi, eps, "%s/%s ridge lambda=%g i="F_ZU,
sname, pname, lambda, i);
}
}
gsl_matrix_free(L);
gsl_vector_free(y0);
gsl_multifit_fdfridge_free(w2);
}
gsl_multifit_fdfridge_free(w);
gsl_vector_free(x0);
}