void
solve_system(const gsl_vector *x0, gsl_multilarge_nlinear_fdf *fdf,
gsl_multilarge_nlinear_parameters *params)
{
const gsl_multilarge_nlinear_type *T = gsl_multilarge_nlinear_trust;
const size_t max_iter = 200;
const double xtol = 1.0e-8;
const double gtol = 1.0e-8;
const double ftol = 1.0e-8;
const size_t n = fdf->n;
const size_t p = fdf->p;
gsl_multilarge_nlinear_workspace *work =
gsl_multilarge_nlinear_alloc(T, params, n, p);
gsl_vector * f = gsl_multilarge_nlinear_residual(work);
gsl_vector * x = gsl_multilarge_nlinear_position(work);
int info;
double chisq0, chisq, rcond, xsq;
struct timeval tv0, tv1;
gettimeofday(&tv0, NULL);
/* initialize solver */
gsl_multilarge_nlinear_init(x0, fdf, work);
/* store initial cost */
gsl_blas_ddot(f, f, &chisq0);
/* iterate until convergence */
gsl_multilarge_nlinear_driver(max_iter, xtol, gtol, ftol,
NULL, NULL, &info, work);
gettimeofday(&tv1, NULL);
/* store final cost */
gsl_blas_ddot(f, f, &chisq);
/* compute final ||x||^2 */
gsl_blas_ddot(x, x, &xsq);
/* store cond(J(x)) */
gsl_multilarge_nlinear_rcond(&rcond, work);
/* print summary */
fprintf(stderr, "%-25s %-5zu %-4zu %-5zu %-6zu %-4zu %-10.4e %-10.4e %-7.2f %-11.4e %.2f\n",
gsl_multilarge_nlinear_trs_name(work),
gsl_multilarge_nlinear_niter(work),
fdf->nevalf,
fdf->nevaldfu,
fdf->nevaldf2,
fdf->nevalfvv,
chisq0,
chisq,
1.0 / rcond,
xsq,
(tv1.tv_sec - tv0.tv_sec) + 1.0e-6 * (tv1.tv_usec - tv0.tv_usec));
gsl_multilarge_nlinear_free(work);
}
gsl_multilarge_nlinear_workspace *
gsl_multilarge_nlinear_alloc (const gsl_multilarge_nlinear_type * T,
const gsl_multilarge_nlinear_parameters * params,
const size_t n, const size_t p)
{
gsl_multilarge_nlinear_workspace * w;
if (n < p)
{
GSL_ERROR_VAL ("insufficient data points, n < p", GSL_EINVAL, 0);
}
w = calloc (1, sizeof (gsl_multilarge_nlinear_workspace));
if (w == 0)
{
GSL_ERROR_VAL ("failed to allocate space for multifit workspace",
GSL_ENOMEM, 0);
}
w->n = n;
w->p = p;
w->type = T;
w->fdf = NULL;
w->niter = 0;
w->params = *params;
/* the cgst method uses its own built-in linear solver */
if (w->params.trs == gsl_multilarge_nlinear_trs_cgst)
{
w->params.solver = gsl_multilarge_nlinear_solver_none;
}
w->x = gsl_vector_calloc (p);
if (w->x == 0)
{
gsl_multilarge_nlinear_free (w);
GSL_ERROR_VAL ("failed to allocate space for x", GSL_ENOMEM, 0);
}
w->f = gsl_vector_calloc (n);
if (w->f == 0)
{
gsl_multilarge_nlinear_free (w);
GSL_ERROR_VAL ("failed to allocate space for f", GSL_ENOMEM, 0);
}
w->dx = gsl_vector_calloc (p);
if (w->dx == 0)
{
gsl_multilarge_nlinear_free (w);
GSL_ERROR_VAL ("failed to allocate space for dx", GSL_ENOMEM, 0);
}
w->g = gsl_vector_alloc (p);
if (w->g == 0)
{
gsl_multilarge_nlinear_free (w);
GSL_ERROR_VAL ("failed to allocate space for g", GSL_ENOMEM, 0);
}
if (w->params.solver == gsl_multilarge_nlinear_solver_cholesky)
{
w->JTJ = gsl_matrix_alloc (p, p);
if (w->JTJ == 0)
{
gsl_multilarge_nlinear_free (w);
GSL_ERROR_VAL ("failed to allocate space for JTJ", GSL_ENOMEM, 0);
}
}
w->sqrt_wts_work = gsl_vector_calloc (n);
if (w->sqrt_wts_work == 0)
{
gsl_multilarge_nlinear_free (w);
GSL_ERROR_VAL ("failed to allocate space for weights", GSL_ENOMEM, 0);
}
w->state = (T->alloc)(&(w->params), n, p);
if (w->state == 0)
{
gsl_multilarge_nlinear_free (w);
GSL_ERROR_VAL ("failed to allocate space for multifit state", GSL_ENOMEM, 0);
}
return w;
}
static void
test_fdf(const gsl_multilarge_nlinear_type * T,
const gsl_multilarge_nlinear_parameters * params,
const double xtol, const double gtol, const double ftol,
const double epsrel, const double x0_scale,
test_fdf_problem *problem,
const double *wts)
{
gsl_multilarge_nlinear_fdf *fdf = problem->fdf;
const size_t n = fdf->n;
const size_t p = fdf->p;
const size_t max_iter = 2500;
gsl_vector *x0 = gsl_vector_alloc(p);
gsl_vector_view x0v = gsl_vector_view_array(problem->x0, p);
gsl_multilarge_nlinear_workspace *w =
gsl_multilarge_nlinear_alloc (T, params, n, p);
const char *pname = problem->name;
char buf[2048];
char sname[2048];
int status, info;
sprintf(buf, "%s/%s/solver=%s/scale=%s%s%s",
gsl_multilarge_nlinear_name(w),
params->trs->name,
params->solver->name,
params->scale->name,
problem->fdf->df ? "" : "/fdjac",
problem->fdf->fvv ? "" : "/fdfvv");
strcpy(sname, buf);
/* scale starting point x0 */
gsl_vector_memcpy(x0, &x0v.vector);
test_scale_x0(x0, x0_scale);
if (wts)
{
gsl_vector_const_view wv = gsl_vector_const_view_array(wts, n);
gsl_multilarge_nlinear_winit(x0, &wv.vector, fdf, w);
}
else
gsl_multilarge_nlinear_init(x0, fdf, w);
status = gsl_multilarge_nlinear_driver(max_iter, xtol, gtol, ftol,
NULL, NULL, &info, w);
gsl_test(status, "%s/%s did not converge, status=%s",
sname, pname, gsl_strerror(status));
/* check solution */
test_fdf_checksol(sname, pname, epsrel, w, problem);
if (wts == NULL)
{
/* test again with weighting matrix W = I */
gsl_vector *wv = gsl_vector_alloc(n);
sprintf(sname, "%s/weighted", buf);
gsl_vector_memcpy(x0, &x0v.vector);
test_scale_x0(x0, x0_scale);
gsl_vector_set_all(wv, 1.0);
gsl_multilarge_nlinear_winit(x0, wv, fdf, w);
status = gsl_multilarge_nlinear_driver(max_iter, xtol, gtol, ftol,
NULL, NULL, &info, w);
gsl_test(status, "%s/%s did not converge, status=%s",
sname, pname, gsl_strerror(status));
test_fdf_checksol(sname, pname, epsrel, w, problem);
gsl_vector_free(wv);
}
gsl_multilarge_nlinear_free(w);
gsl_vector_free(x0);
}
