1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449
450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
470
471
472
473
474
475
476
477
478
479
480
481
482
483
484
485
486
487
488
489
490
491
492
493
494
495
496
497
498
499
500
501
502
503
504
505
506
507
508
509
510
511
512
513
514
515
516
517
518
519
520
521
522
523
524
525
526
527
528
529
530
531
532
533
534
535
536
537
538
539
540
541
542
543
544
545
546
547
548
549
550
551
552
553
554
555
556
557
558
559
560
561
562
563
564
565
566
567
568
569
570
571
572
573
574
575
576
577
578
579
580
581
582
583
584
585
586
587
588
589
590
591
592
593
594
595
596
597
598
599
600
601
602
603
604
605
606
607
608
609
610
611
612
613
614
615
616
617
618
619
620
621
622
623
624
625
626
627
628
629
630
631
632
633
634
635
636
637
638
639
640
641
642
643
644
645
646
647
648
649
650
651
652
653
654
655
656
657
658
659
660
661
662
663
664
665
666
667
668
669
670
671
672
673
674
675
676
677
678
679
680
681
682
683
684
685
686
687
688
689
690
691
|
/* Multi-dimentional minizer using Powell or Conjugate Gradient methods */
/* This is good for smoother, well behaved functions. */
/* Code is an original expression of the algorithms decsribed in */
/* "Numerical Recipes in C", by W.H.Press, B.P.Flannery, */
/* S.A.Teukolsky & W.T.Vetterling. */
/*
* Copyright 2000, 2006 Graeme W. Gill
* All rights reserved.
*
* This material is licenced under the GNU AFFERO GENERAL PUBLIC LICENSE Version 3 :-
* see the License.txt file for licencing details.
*/
/* TTBD:
Fix error handling to return status (malloc, excessive itters)
Create to "safe" library ?
Make standalone - ie remove numsup ?
*/
/*
Idea for improving progress accounting:
count number of itterations already done (pitter)
estimate number yet needed (fitter)
progress = pitter/(pitter + fitter)
Number yet needed estimated by progress of retval delta
againsth threshold target.
ie fitters = (lastdel - curdel)/(curdel - stopth)
*/
/* Note that all arrays are indexed from 0 */
#include "numsup.h"
#include "powell.h"
#undef SLOPE_SANITY_CHECK /* exermental */
#undef ABSTOL /* Make tollerance absolute */
#undef DEBUG /* Some debugging printfs (not comprehensive) */
#ifdef DEBUG
#undef DBG
#define DBG(xxx) printf xxx ;
#else
#undef DBG
#define DBG(xxx)
#endif
static double linmin(double p[], double xi[], int n, double ftol,
double (*func)(void *fdata, double tp[]), void *fdata);
/* Standard interface for powell function */
/* return 0 on sucess, 1 on failure due to excessive itterions */
/* Result will be in cp */
int powell(
double *rv, /* If not NULL, return the residual error */
int di, /* Dimentionality */
double cp[], /* Initial starting point */
double s[], /* Size of initial search area */
#ifdef ABSTOL
double ftol, /* Absolute tollerance of error change to stop on */
#else
double ftol, /* Relative tollerance of error change to stop on */
#endif
int maxit, /* Maximum iterations allowed */
double (*func)(void *fdata, double tp[]), /* Error function to evaluate */
void *fdata, /* Opaque data needed by function */
void (*prog)(void *pdata, int perc), /* Optional progress percentage callback */
void *pdata /* Opaque data needed by prog() */
) {
int i;
double **dmtx; /* Direction vector */
double *spt; /* Sarting point before exploring all the directions */
double *xpt; /* Extrapolated point */
double *svec; /* Search vector */
int iter;
double retv; /* Returned function value at p */
double stopth; /* Current stop threshold */
double startdel = -1.0; /* Initial change in function value */
double curdel; /* Current change in function value */
int pc = 0; /* Percentage complete */
dmtx = dmatrixz(0, di-1, 0, di-1); /* Zero filled */
spt = dvector(0,di-1);
xpt = dvector(0,di-1);
svec = dvector(0,di-1);
/* Create initial direction matrix by */
/* placing search start on diagonal */
for (i = 0; i < di; i++)
dmtx[i][i] = s[i];
/* Save the starting point */
for (i = 0; i < di; i++)
spt[i] = cp[i];
if (prog != NULL) /* Report initial progress */
prog(pdata, pc);
/* Initial function evaluation */
retv = (*func)(fdata, cp);
//printf("~1 ### initial retv = %f\n",retv);
/* Itterate untill we converge on a solution, or give up. */
for (iter = 1; iter < maxit; iter++) {
int j;
double lretv; /* Last function return value */
int ibig = 0; /* Index of biggest delta */
double del = 0.0; /* Biggest function value decrease */
double pretv; /* Previous function return value */
pretv = retv; /* Save return value at top of itteration */
/* Loop over all directions in the set */
for (i = 0; i < di; i++) {
DBG(("Looping over direction %d\n",i))
for (j = 0; j < di; j++) /* Extract this direction to make search vector */
svec[j] = dmtx[j][i];
//printf("~1 ### chosen dir = %f %f\n", svec[0],svec[1]);
/* Minimize in that direction */
lretv = retv;
retv = linmin(cp, svec, di, ftol, func, fdata);
/* Record bigest function decrease, and dimension it occured on */
if (fabs(lretv - retv) > del) {
del = fabs(lretv - retv);
ibig = i;
}
}
//printf("~1 ### biggest change was dir %d by %f\n", ibig, del);
#ifdef ABSTOL
stopth = ftol; /* Absolute tollerance */
#else
stopth = ftol * 0.5 * (fabs(pretv) + fabs(retv) + DBL_EPSILON);
#endif
curdel = fabs(pretv - retv);
if (startdel < 0.0) {
startdel = curdel;
} else {
int tt;
tt = (int)(100.0 * pow((log(curdel) - log(startdel))/(log(stopth) - log(startdel)), 4.0) + 0.5);
if (tt > pc && tt < 100) {
pc = tt;
if (prog != NULL) /* Report initial progress */
prog(pdata, pc);
}
}
/* If we have had at least one change of direction and */
/* reached a suitable tollerance, then finish */
if (iter > 1 && curdel <= stopth) {
//printf("~1 ### stopping on itter %d because curdel %f <= stopth %f\n",iter, curdel,stopth);
DBG(("Reached stop tollerance because curdel %f <= stopth %f\n",curdel,stopth))
break;
}
DBG(("Not stopping because curdel %f > stopth %f\n",curdel,stopth))
//printf("~1 ### recomputing direction\n");
for (i = 0; i < di; i++) {
svec[i] = cp[i] - spt[i]; /* Average direction moved after minimization round */
xpt[i] = cp[i] + svec[i]; /* Extrapolated point after round of minimization */
spt[i] = cp[i]; /* New start point for next round */
}
//printf("~1 ### new dir = %f %f\n", svec[0],svec[1]);
/* Function value at extrapolated point */
lretv = (*func)(fdata, xpt);
if (lretv < pretv) { /* If extrapolation is an improvement */
double t, t1, t2;
//printf("~1 ### extrap is improvement\n");
t1 = pretv - retv - del;
t2 = pretv - lretv;
t = 2.0 * (pretv -2.0 * retv + lretv) * t1 * t1 - del * t2 * t2;
if (t < 0.0) {
//printf("~1 ### move to min in new direction\n");
/* Move to the minimum of the new direction */
retv = linmin(cp, svec, di, ftol, func, fdata);
for (i = 0; i < di; i++) { /* Save the new direction */
dmtx[i][ibig] = svec[i]; /* by replacing best previous */
}
}
}
}
//printf("~1 iters = %d\n",iter);
/* Free up all the temporary vectors and matrix */
free_dvector(svec,0,di-1);
free_dvector(xpt,0,di-1);
free_dvector(spt,0,di-1);
free_dmatrix(dmtx, 0, di-1, 0, di-1);
if (prog != NULL) /* Report final progress */
prog(pdata, 100);
if (rv != NULL)
*rv = retv;
if (iter < maxit)
return 0;
DBG(("powell: returning 1 due to excessive itterations\n"))
return 1; /* Failed due to execessive itterations */
}
/* -------------------------------------- */
/* Conjugate Gradient optimiser */
/* return 0 on sucess, 1 on failure due to excessive itterions */
/* Result will be in cp */
/* Note that we could use gradient in line minimiser, */
/* but haven't bothered yet. */
int conjgrad(
double *rv, /* If not NULL, return the residual error */
int di, /* Dimentionality */
double cp[], /* Initial starting point */
double s[], /* Size of initial search area */
#ifdef ABSTOL
double ftol, /* Absolute tollerance of error change to stop on */
#else
double ftol, /* Relative tollerance of error change to stop on */
#endif
int maxit, /* Maximum iterations allowed */
double (*func)(void *fdata, double tp[]), /* Error function to evaluate */
double (*dfunc)(void *fdata, double dp[], double tp[]), /* Gradient function to evaluate */
void *fdata, /* Opaque data needed by function */
void (*prog)(void *pdata, int perc), /* Optional progress percentage callback */
void *pdata /* Opaque data needed by prog() */
) {
int i, iter;
double *svec; /* Search vector */
double *gvec; /* G direction vector */
double *hvec; /* H direction vector */
double retv; /* Returned function value at p */
double stopth; /* Current stop threshold */
double startdel = -1.0; /* Initial change in function value */
double curdel; /* Current change in function value */
double svec_sca; /* initial svec scale factor */
int pc = 0; /* Percentage complete */
svec = dvector(0,di-1);
gvec = dvector(0,di-1);
hvec = dvector(0,di-1);
if (prog != NULL) /* Report initial progress */
prog(pdata, pc);
/* Initial function evaluation */
retv = (*dfunc)(fdata, svec, cp);
/* svec[] seems to be large after this. */
/* Rescale it to conform to maximum of s[] */
for (svec_sca = 0.0, i = 0; i < di; i++) {
if (fabs(svec[i]) > svec_sca)
svec_sca = fabs(svec[i]);
}
/* set scale so largest <= 1 */
if (svec_sca < 1e-12)
svec_sca = 1.0;
else
svec_sca = 1.0/svec_sca;
//printf("~1 ### initial dir = %f %f\n", svec[0],svec[1]);
//printf("~1 ### initial retv = %f\n",retv);
/* Initial vector setup */
for (i = 0; i < di; i++) {
gvec[i] = hvec[i] = -svec[i]; /* Inverse gradient */
svec[i] = s[i] * -svec[i] * svec_sca; /* Scale the search vector */
}
//printf("~1 ### svec = %f %f\n", svec[0],svec[1]);
/* Itterate untill we converge on a solution, or give up. */
for (iter = 1; iter < maxit; iter++) {
double gamden, gamnum, gam;
double pretv; /* Previous function return value */
DBG(("conjrad: about to do linmin\n"))
pretv = retv;
retv = linmin(cp, svec, di, ftol, func, fdata);
#ifdef ABSTOL
stopth = ftol; /* Absolute tollerance */
#else
stopth = ftol * 0.5 * (fabs(pretv) + fabs(retv) + DBL_EPSILON); // Old code
#endif
curdel = fabs(pretv - retv);
//printf("~1 ### this retv = %f, pretv = %f, curdel = %f\n",retv,pretv,curdel);
if (startdel < 0.0) {
startdel = curdel;
} else {
int tt;
tt = (int)(100.0 * pow((log(curdel) - log(startdel))/(log(stopth) - log(startdel)), 4.0) + 0.5);
if (tt > pc && tt < 100) {
pc = tt;
if (prog != NULL) /* Report initial progress */
prog(pdata, pc);
}
}
/* If we have had at least one change of direction and */
/* reached a suitable tollerance, then finish */
if (iter > 1 && curdel <= stopth) {
//printf("~1 ### stopping on itter %d because curdel %f <= stopth %f\n",iter, curdel,stopth);
break;
}
//printf("~1 ### Not stopping on itter %d because curdel %f > stopth %f\n",iter, curdel,stopth);
DBG(("conjrad: recomputing direction\n"))
//printf("~1 ### recomputing direction\n");
(*dfunc)(fdata, svec, cp); /* (Don't use retv as it wrecks stop test) */
//printf("~1 ### pderiv = %f %f\n", svec[0],svec[1]);
/* Compute gamma */
for (gamnum = gamden = 0.0, i = 0; i < di; i++) {
gamnum += svec[i] * (gvec[i] + svec[i]);
gamden += gvec[i] * gvec[i];
}
//printf("~1 ### gamnum = %f, gamden = %f\n", gamnum,gamden);
if (gamden == 0.0) { /* Gradient is exactly zero */
DBG(("conjrad: gradient is exactly zero\n"))
break;
}
gam = gamnum/gamden;
DBG(("conjrad: gamma = %f = %f/%f\n",gam,gamnum,gamden))
//printf("~1 ### gvec[] = %f %f, gamma = %f, hvec = %f %f\n", gvec[0],gvec[1],gam,hvec[0],hvec[1]);
/* Adjust seach direction */
for (i = 0; i < di; i++) {
gvec[i] = -svec[i];
svec[i] = hvec[i] = gvec[i] + gam * hvec[i];
}
/* svec[] seems to be large after this. */
/* Rescale it to conform to maximum of s[] */
for (svec_sca = 0.0, i = 0; i < di; i++) {
if (fabs(svec[i]) > svec_sca)
svec_sca = fabs(svec[i]);
}
/* set scale so largest <= 1 */
if (svec_sca < 1e-12)
svec_sca = 1.0;
else
svec_sca = 1.0/svec_sca;
for (i = 0; i < di; i++)
svec[i] = svec[i] * s[i] * svec_sca;
//printf("~1 ### svec = %f %f\n", svec[0],svec[1]);
}
/* Free up all the temporary vectors and matrix */
free_dvector(hvec,0,di-1);
free_dvector(gvec,0,di-1);
free_dvector(svec,0,di-1);
if (prog != NULL) /* Report final progress */
prog(pdata, 100);
if (rv != NULL)
*rv = retv;
//printf("~1 ### done\n");
if (iter < maxit)
return 0;
return 1; /* Failed due to execessive itterations */
}
/*------------------------------*/
#define POWELL_GOLD 1.618034
#define POWELL_CGOLD 0.3819660
#define POWELL_MAXIT 100
/* Line bracketing and minimisation routine. */
/* Return value at minimum. */
static double linmin(
double cp[], /* Start point, and returned value */
double xi[], /* Search vector */
int di, /* Dimensionality */
#ifdef ABSTOL
double ftol, /* Absolute tolerance to stop on */
#else
double ftol, /* Relative tolerance to stop on */
#endif
double (*func)(void *fdata, double tp[]), /* Error function to evaluate */
void *fdata) /* Opaque data for func() */
{
int i;
double ax, xx, bx; /* Search vector multipliers */
double af, xf, bf; /* Function values at those points */
double *xt, XT[10]; /* Trial point */
if (di <= 10)
xt = XT;
else
xt = dvector(0, di-1); /* Vector for trial point */
/* -------------------------- */
/* First bracket the solution */
DBG(("linmin: Bracketing solution\n"))
/* The line is measured as startpoint + offset * search vector. */
/* (Search isn't symetric, but it seems to depend on cp being */
/* best current solution ?) */
ax = 0.0;
for (i = 0; i < di; i++)
xt[i] = cp[i] + ax * xi[i];
af = (*func)(fdata, xt);
/* xx being vector offset 0.618 */
xx = 1.0/POWELL_GOLD;
for (i = 0; i < di; i++)
xt[i] = cp[i] + xx * xi[i];
xf = (*func)(fdata, xt);
DBG(("linmin: Initial points a:%f:%f -> b:%f:%f\n",ax,af,xx,xf))
/* Fix it so that we are decreasing from point a -> x */
if (xf > af) {
double tt;
tt = ax; ax = xx; xx = tt;
tt = af; af = xf; xf = tt;
}
DBG(("linmin: Ordered Initial points a:%f:%f -> b:%f:%f\n",ax,af,xx,xf))
bx = xx + POWELL_GOLD * (xx-ax); /* Guess b beyond a -> x */
for (i = 0; i < di; i++)
xt[i] = cp[i] + bx * xi[i];
bf = (*func)(fdata, xt);
DBG(("linmin: Initial bracket a:%f:%f x:%f:%f b:%f:%f\n",ax,af,xx,xf,bx,bf))
#ifdef SLOPE_SANITY_CHECK
/* If we're not seeing a slope indicitive of progress */
/* of order ftol, give up straight away */
if (2000.0 * fabs(xf - bf) <= ftol * (fabs(xf) + fabs(bf))
&& 2000.0 * fabs(af - xf) <= ftol * (fabs(af) + fabs(xf))) {
DBG(("linmin: giving up because slope is too shallow\n"))
if (xt != XT)
free_dvector(xt,0,di-1);
if (bf < xf) {
xf = bf;
xx = bx;
}
/* Compute solution vector */
for (i = 0; i < di; i++)
cp[i] += xx * xi[i];
return xf;
}
#endif /* SLOPE_SANITY_CHECK */
/* While not bracketed */
while (xf > bf) {
double ulim, ux, uf;
double tt, r, q;
// DBG(("linmin: Not bracketed a:%f:%f x:%f%f b:%f:%f\n",ax,af,xx,xf,bx,bf))
DBG(("linmin: Not bracketed because xf %f > bf %f\n",xf, bf))
DBG((" ax = %f, xx = %f, bx = %f\n",ax,xx,bx))
/* Compute ux by parabolic interpolation from a, x & b */
q = (xx - bx) * (xf - af);
r = (xx - ax) * (xf - bf);
tt = q - r;
if (tt >= 0.0 && tt < 1e-20) /* If +ve too small */
tt = 1e-20;
else if (tt <= 0.0 && tt > -1e-20) /* If -ve too small */
tt = -1e-20;
ux = xx - ((xx - bx) * q - (xx - ax) * r) / (2.0 * tt);
ulim = xx + 100.0 * (bx - xx); /* Extrapolation limit */
//printf("~1 ux = %f, ulim = %f\n",ux,ulim);
if ((xx - ux) * (ux - bx) > 0.0) { /* u is between x and b */
for (i = 0; i < di; i++) /* Evaluate u */
xt[i] = cp[i] + ux * xi[i];
uf = (*func)(fdata, xt);
//printf("~1 u is between x and b, uf = %f\n",uf);
if (uf < bf) { /* Minimum is between x and b */
//printf("~1 min is between x and b\n");
ax = xx; af = xf;
xx = ux; xf = uf;
break;
} else if (uf > xf) { /* Minimum is between a and u */
//printf("~1 min is between a and u\n");
bx = ux; bf = uf;
break;
}
/* Parabolic fit didn't work, look further out in direction of b */
ux = bx + POWELL_GOLD * (bx-xx);
//printf("~1 parabolic fit didn't work,look further in direction of b (%f)\n",ux);
} else if ((bx - ux) * (ux - ulim) > 0.0) { /* u is between b and limit */
for (i = 0; i < di; i++) /* Evaluate u */
xt[i] = cp[i] + ux * xi[i];
uf = (*func)(fdata, xt);
//printf("~1 u is between b and limit uf = %f\n",uf);
if (uf > bf) { /* Minimum is between x and u */
//printf("~1 min is between x and uf\n");
ax = xx; af = xf;
xx = bx; xf = bf;
bx = ux; bf = uf;
break;
}
xx = bx; xf = bf; /* Continue looking */
bx = ux; bf = uf;
ux = bx + POWELL_GOLD * (bx - xx); /* Test beyond b */
//printf("~1 continue looking beyond b (%f)\n",ux);
} else if ((ux - ulim) * (ulim - bx) >= 0.0) { /* u is beyond limit */
ux = ulim;
//printf("~1 use limit\n");
} else { /* u is to left side of x ? */
ux = bx + POWELL_GOLD * (bx-xx);
//printf("~1 look gold beyond b (%f)\n",ux);
}
/* Evaluate u, and move into place at b */
for (i = 0; i < di; i++)
xt[i] = cp[i] + ux * xi[i];
uf = (*func)(fdata, xt);
//printf("~1 lookup ux %f value uf = %f\n",ux,uf);
ax = xx; af = xf;
xx = bx; xf = bf;
bx = ux; bf = uf;
//printf("~1 move along to the right (a<-x, x<-b, b-<u)\n");
}
DBG(("linmin: Got bracket a:%f:%f x:%f:%f b:%f:%f\n",ax,af,xx,xf,bx,bf))
/* Got bracketed minimum between a -> x -> b */
//printf("~1 got bracketed minimum at %f (%f), %f (%f), %f (%f)\n",ax,af,xx,xf,bx,bf);
/* --------------------------------------- */
/* Now use brent minimiser bewteen a and b */
{
/* a and b bracket solution */
/* x is best function value so far */
/* w is second best function value so far */
/* v is previous second best, or third best */
/* u is most recently tested point */
double wx, vx, ux; /* Search vector multipliers */
double wf, vf = 0.0, uf; /* Function values at those points */
int iter;
double de = 0.0; /* Distance moved on previous step */
double e = 0.0; /* Distance moved on 2nd previous step */
/* Make sure a and b are in ascending order */
if (ax > bx) {
double tt;
tt = ax; ax = bx; bx = tt;
tt = af; af = bf; bf = tt;
}
wx = vx = xx; /* Initial values of other center points */
wf = xf = xf;
for (iter = 1; iter <= POWELL_MAXIT; iter++) {
double mx = 0.5 * (ax + bx); /* m is center of bracket values */
#ifdef ABSTOL
double tol1 = ftol; /* Absolute tollerance */
#else
double tol1 = ftol * fabs(xx) + 1e-10;
#endif
double tol2 = 2.0 * tol1;
DBG(("linmin: Got bracket a:%f:%f x:%f:%f b:%f:%f\n",ax,af,xx,xf,bx,bf))
/* See if we're done */
//printf("~1 linmin check %f <= %f\n",fabs(xx - mx), tol2 - 0.5 * (bx - ax));
if (fabs(xx - mx) <= (tol2 - 0.5 * (bx - ax))) {
DBG(("linmin: We're done because %f <= %f\n",fabs(xx - mx), tol2 - 0.5 * (bx - ax)))
break;
}
if (fabs(e) > tol1) { /* Do a trial parabolic fit */
double te, p, q, r;
r = (xx-wx) * (xf-vf);
q = (xx-vx) * (xf-wf);
p = (xx-vx) * q - (xx-wx) * r;
q = 2.0 * (q - r);
if (q > 0.0)
p = -p;
else
q = -q;
te = e; /* Save previous e value */
e = de; /* Previous steps distance moved */
DBG(("linmin: Trial parabolic fit\n" ))
if (fabs(p) >= fabs(0.5 * q * te) || p <= q * (ax-xx) || p >= q * (bx-xx)) {
/* Give up on the parabolic fit, and use the golden section search */
e = ((xx >= mx) ? ax-xx : bx-xx); /* Override previous distance moved */
de = POWELL_CGOLD * e;
DBG(("linmin: Moving to golden section search\n" ))
} else { /* Use parabolic fit */
de = p/q; /* Change in xb */
ux = xx + de; /* Trial point according to parabolic fit */
if ((ux - ax) < tol2 || (bx - ux) < tol2) {
if ((mx - xx) > 0.0) /* Don't use parabolic, use tol1 */
de = tol1; /* tol1 is +ve */
else
de = -tol1;
}
DBG(("linmin: Using parabolic fit\n" ))
}
} else { /* Keep using the golden section search */
e = ((xx >= mx) ? ax-xx : bx-xx); /* Override previous distance moved */
de = POWELL_CGOLD * e;
DBG(("linmin: Continuing golden section search\n" ))
}
if (fabs(de) >= tol1) { /* If de moves as much as tol1 would */
ux = xx + de; /* use it */
DBG(("linmin: ux = %f = xx %f + de %f\n",ux,xx,de))
} else { /* else move by tol1 in direction de */
if (de > 0.0) {
ux = xx + tol1;
DBG(("linmin: ux = %f = xx %f + tol1 %f\n",ux,xx,tol1))
} else {
ux = xx - tol1;
DBG(("linmin: ux = %f = xx %f - tol1 %f\n",ux,xx,tol1))
}
}
/* Evaluate function */
for (i = 0; i < di; i++)
xt[i] = cp[i] + ux * xi[i];
uf = (*func)(fdata, xt);
if (uf <= xf) { /* Found new best solution */
if (ux >= xx) {
ax = xx; af = xf; /* New lower bracket */
} else {
bx = xx; bf = xf; /* New upper bracket */
}
vx = wx; vf = wf; /* New previous 2nd best solution */
wx = xx; wf = xf; /* New 2nd best solution from previous best */
xx = ux; xf = uf; /* New best solution from latest */
DBG(("linmin: found new best solution\n"))
} else { /* Found a worse solution */
if (ux < xx) {
ax = ux; af = uf; /* New lower bracket */
} else {
bx = ux; bf = uf; /* New upper bracket */
}
if (uf <= wf || wx == xx) { /* New 2nd best solution, or equal best */
vx = wx; vf = wf; /* New previous 2nd best solution */
wx = ux; wf = uf; /* New 2nd best from latest */
} else if (uf <= vf || vx == xx || vx == wx) { /* New 3rd best, or equal 1st & 2nd */
vx = ux; vf = uf; /* New previous 2nd best from latest */
}
DBG(("linmin: found new worse solution\n"))
}
}
/* !!! should do something if iter > POWELL_MAXIT !!!! */
/* Solution is at xx, xf */
/* Compute solution vector */
for (i = 0; i < di; i++)
cp[i] += xx * xi[i];
}
if (xt != XT)
free_dvector(xt,0,di-1);
//printf("~~~ line minimizer returning %e\n",xf);
return xf;
}
#undef POWELL_GOLD
#undef POWELL_CGOLD
#undef POWELL_MAXIT
/**************************************************/
|