int main(void) { int N, j, i, retval; double *xi, *xf; double maxstep; custom_function myvalue_min = { myvalue, 0 }; custom_gradient myvaluegrad_min = { myvaluegrad, 0 }; N = 4; xi = (double*)malloc(sizeof(double)* N); xf = (double*)malloc(sizeof(double)* N); for (i = 0; i < N; ++i) { xi[i] = 1; } printf("\n\n%-25s%-20s%-20s \n", "Method", "Return Value", "Objective Function"); maxstep = 1000.0; // Set the value accordingly. Maximum Step size for (j = 0; j < 8; ++j) { retval = fminunc(&myvalue_min, &myvaluegrad_min, N, xi,maxstep, j, xf); printf("\n\n%-25d%-20d%-20g \n", j, retval, myvalue(xf, N,0)); printf("Function Minimized At : "); for (i = 0; i < N; ++i) { printf("%g ", xf[i]); } for (i = 0; i < N; ++i) { xi[i] = 1; } } free(xi); free(xf); return 0; }
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; }
void as197(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; double *b, *tf, *x; double maxstep; alik_object obj; custom_function as197_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); 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; } //mdisplay(b, 1, pq); 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; } //custom_function as197_min = { fas197, obj }; as197_min.funcpt = fas197; as197_min.params = obj; retval = fminunc(&as197_min, NULL, pq, b, maxstep, optmethod, tf); for (i = 0; i < pq; ++i) { printf("%g ", tf[i]); } 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; } for (i = 0; i < N - d; ++i) { resid[i] = obj->x[N + i]; } *var = (obj->ssq) / (double)N; free(b); free(tf); free(x); free_alik(obj); }
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; }