void newton_fd(double (*funcpt)(double *,int),double *xi,int N,double *x) {
int it,i;
double *jac,*hess,*L,*xf;
double stop,result;
jac = (double*) malloc(sizeof(double) *N);
xf = (double*) malloc(sizeof(double) *N);
hess = (double*) malloc(sizeof(double) *N * N);
L = (double*) malloc(sizeof(double) *N * N);
it = 0;
stop = 1.0;
while (stop > 1e-05 && it < 100) {
//result = funcpt(xi,N,jac,hess);
jacobian_fd(funcpt,xi,N,jac);
hessian_fd(funcpt,xi,N,hess);
//mdisplay(jac,1,N);
//mdisplay(hess,N,N);
modelhess2(hess,N,L);
//mdisplay(L,N,N);
scale(jac,1,N,-1.0);
linsolve_lower(L,N,jac,x);
madd(x,xi,x,1,N);
msub(x,xi,xf,1,N);
stop = array_max_abs(xf,N);
for(i=0;i < N;++i) {
xi[i] = x[i];
}
it++;
//printf("result %lf \n",result);
printf("Values obtained %lf , %lf after %d Iterations \n",x[0],x[1],it);
}
free(jac);
free(hess);
free(xf);
free(L);
}
int as154_seas(double *inp, int N, int optmethod, int p, int d, int q, int s, int P, int D, int Q,
double *phi, double *theta, double *PHI, double *THETA, double *wmean,double *var,double *loglik,double *hess) {
int i, pq, retval, length, offset,ret;
double *b, *tf, *x,*inp2,*dx,*thess;
int *ipiv;
double maxstep;
alik_seas_object obj;
custom_function as154_min;
obj = alik_seas_init(p, d, q, s, P, D, Q, N);
inp2 = (double*)malloc(sizeof(double)* (N - s*D));
pq = obj->pq;
b = (double*)malloc(sizeof(double)* pq);
tf = (double*)malloc(sizeof(double)* pq);
thess = (double*)malloc(sizeof(double)* pq*pq);
dx = (double*)malloc(sizeof(double)* pq);
ipiv = (int*)malloc(sizeof(int)* pq);
length = N;
maxstep = 1.0;
css_seas(inp, N, optmethod, p, d, q, s, P, D, Q, phi, theta, PHI, THETA, wmean, var,loglik,hess);
/*
*/
if (D > 0) {
N = diffs(inp, N, D, s, inp2);
}
else {
for (i = 0; i < N; ++i) {
inp2[i] = inp[i];
}
}
x = (double*)malloc(sizeof(double)* (N - d));
if (d > 0) {
N = diff(inp2, N, d, x); // No need to demean x
}
else {
for (i = 0; i < N; ++i) {
x[i] = inp2[i];
}
}
obj->N = N;
offset = obj->offset;
for (i = 0; i < p; ++i) {
b[i] = phi[i];
}
for (i = 0; i < q; ++i) {
b[p + i] = -theta[i];
}
for (i = 0; i < P; ++i) {
b[p + q + i] = PHI[i];
}
for (i = 0; i < Q; ++i) {
b[p + q + P + i] = -THETA[i];
}
if (obj->M == 1) {
b[p + q + P + Q] = *wmean;
}
obj->mean = *wmean;
//mdisplay(b, 1, p + q + P + Q);
for (i = 0; i < N; ++i) {
obj->x[offset + i] = obj->x[offset + 2 * N + i] = x[i];
}
for (i = N; i < 2 * N; ++i) {
obj->x[offset + i] = 0.0;
}
//printf("\n %d %g ", pq,maxstep);
// custom_function as154_min = { fas154_seas, obj };
as154_min.funcpt = fas154_seas;
as154_min.params = obj;
retval = fminunc(&as154_min, NULL, pq, b, maxstep, optmethod, tf);
if (retval == 0) {
ret = 0;
}
else if (retval == 15) {
ret = 15;
}
else if (retval == 4) {
ret = 4;
}
else {
ret = 1;
}
for (i = 0; i < pq; ++i) {
dx[i] = 1.0;
}
hessian_fd(&as154_min, tf, pq, dx, obj->eps, hess);
mtranspose(hess, pq, pq, thess);
for (i = 0; i < pq*pq; ++i) {
thess[i] = (N - d - s*D) * 0.5 * (hess[i] + thess[i]);
}
ludecomp(thess, pq, ipiv);
minverse(thess, pq, ipiv, hess);
for (i = 0; i < p; ++i) {
phi[i] = tf[i];
}
for (i = 0; i < q; ++i) {
theta[i] = -tf[p + i];
}
for (i = 0; i < P; ++i) {
PHI[i] = tf[p + q + i];
}
for (i = 0; i < Q; ++i) {
THETA[i] = -tf[p + q + P + i];
}
if (obj->M == 1) {
*wmean = tf[p + q + Q + P];
}
else {
*wmean = 0.0;
}
*var = (obj->ssq) / (double) N;
*loglik = obj->loglik;
//printf("MEAN %g \n", mean(obj->x+N,N));
//mdisplay(obj->x + N, 1, N);
free(b);
free(tf);
free(inp2);
free(x);
free(dx);
free(thess);
free(ipiv);
free_alik_seas(obj);
return ret;
}
int as154(double *inp, int N, int optmethod, int p, int d, int q, double *phi, double *theta, double *wmean, double *var,double *resid,double *loglik,double *hess) {
int i,pq,retval,length,ret;
double *b,*tf,*x,*dx,*thess;
int *ipiv;
double maxstep;
alik_object obj;
custom_function as154_min;
x = (double*)malloc(sizeof(double)* (N - d));
length = N;
maxstep = 1.0;
obj = alik_init(p, d, q, N);
css(inp, N, optmethod, p, d, q, phi, theta, wmean, var,resid,loglik,hess);
if (d > 0) {
N = diff(inp, N, d, x); // No need to demean x
}
else {
for (i = 0; i < N; ++i) {
x[i] = inp[i];
}
}
obj->N = N;
obj->mean = *wmean;
pq = obj->pq;
b = (double*)malloc(sizeof(double)* pq);
tf = (double*)malloc(sizeof(double)* pq);
thess = (double*)malloc(sizeof(double)* pq*pq);
dx = (double*)malloc(sizeof(double)* pq);
ipiv = (int*)malloc(sizeof(int)* pq);
for (i = 0; i < p; ++i) {
b[i] = phi[i];
}
for (i = 0; i < q; ++i) {
b[p + i] = -theta[i];
}
if (obj->M == 1) {
b[p + q] = obj->mean;
}
for (i = 0; i < N; ++i) {
obj->x[i] = obj->x[2 * N + i] = x[i];
}
for (i = N; i < 2 * N; ++i) {
obj->x[i] = 0.0;
}
//20141121ÐÞ¸Ä
//custom_function as154_min = { fas154, obj };
as154_min.funcpt = fas154;
as154_min.params = obj;
retval = fminunc(&as154_min, NULL, pq, b,maxstep, optmethod, tf);
if (retval == 0) {
ret = 0;
}
else if (retval == 15) {
ret = 15;
}
else if (retval == 4) {
ret = 4;
}
else {
ret = 1;
}
for (i = 0; i < pq; ++i) {
dx[i] = 1.0;
}
hessian_fd(&as154_min, tf, pq, dx, obj->eps, hess);
mtranspose(hess, pq, pq, thess);
for (i = 0; i < pq*pq; ++i) {
thess[i] = (N-d) * 0.5 * (hess[i] + thess[i]);
}
ludecomp(thess, pq, ipiv);
minverse(thess, pq, ipiv, hess);
for (i = 0; i < p; ++i) {
phi[i] = tf[i];
}
for (i = 0; i < q; ++i) {
theta[i] = -tf[p + i];
}
if (obj->M == 1) {
*wmean = tf[p + q];
}
else {
*wmean = 0.0;
}
/*
wmean = 0.0;
for (i = 0; i < N; ++i) {
wmean += (obj->x[N + i] * obj->x[N + i]);
}*/
*var = (obj->ssq) / (double) N;
for (i = 0; i < N - d; ++i) {
resid[i] = obj->x[N + i];
}
*loglik = obj->loglik;
//printf("MEAN %g \n", mean(obj->x+N,N));
//mdisplay(obj->x + N, 1, N);
free(b);
free(tf);
free(x);
free(thess);
free(ipiv);
free(dx);
free_alik(obj);
return ret;
}
int newton_min_func(double (*funcpt)(double *,int),double *xi,int N,double *dx,double fsval,double *xf) {
int rcode,iter;
int i,siter,retval;
double gtol,stol;
double fx,num,den,stop0,maxstep,fxf;
double *jac,*hess,*scheck,*xc,*L,*step;
jac = (double*) malloc(sizeof(double) *N);
scheck = (double*) malloc(sizeof(double) *N);
xc = (double*) malloc(sizeof(double) *N);
step = (double*) malloc(sizeof(double) *N);
hess = (double*) malloc(sizeof(double) *N * N);
L = (double*) malloc(sizeof(double) *N * N);
rcode = 0;
iter = 0;
siter = (int) SETITER;
gtol = pow((double) FDVAL,1.0/3.0);
stol = gtol * gtol;
fx = funcpt(xi,N);
jacobian_fd(funcpt,xi,N,jac);
//set values
maxstep = 1.0;
for(i = 0; i < N;++i) {
dx[i] = 1.0 / dx[i];
}
//Check Stop0
if (fabs(fx) > fabs(fsval)) {
den = fabs(fx);
} else {
den = fabs(fsval);
}
for(i = 0; i < N;++i) {
if (fabs(xi[i]) > 1.0 / fabs(dx[i])) {
num = fabs(xi[i]);
} else {
num = 1.0 / fabs(dx[i]);
}
scheck[i] = fabs(jac[i]) * num / den;
}
stop0 = array_max_abs(scheck,N);
if (stop0 <= gtol * 1e-03) {
rcode = 1;
for(i = 0; i < N;++i) {
xf[i] = xi[i];
}
return rcode;
}
hessian_fd(funcpt,xi,N,hess);
for(i = 0; i < N;++i) {
xc[i] = xi[i];
}
while (rcode == 0 && iter < siter) {
modelhess(hess,N,dx,L);
scale(jac,1,N,-1.0);
linsolve_lower(L,N,jac,step);
scale(jac,1,N,-1.0);
retval = lnsrch(funcpt,xc,jac,step,N,maxstep,dx,stol,xf);
fxf = funcpt(xf,N);
jacobian_fd(funcpt,xf,N,jac);
rcode = stopcheck(fxf,N,xc,xf,jac,dx,fsval,gtol,stol,retval);
hessian_fd(funcpt,xf,N,hess);
for(i = 0; i < N;++i) {
xc[i] = xf[i];
}
}
free(jac);
free(hess);
free(scheck);
free(xc);
free(L);
free(step);
return rcode;
}