nonlin.cpp

// Definitions for module nonlin

#include <iostream>
#include <fstream>
#include <iomanip>
#include <string>
#include <vector>
#include <cmath>
#include "newmat.h"
#include "newmatio.h"
#include "bfmatrix.h"
#include "nonlin.h"
#include "utils/fsl_isfinite.h"

using namespace std;
using namespace NEWMAT;

namespace MISCMATHS {

// Declarations of routines for use only in this module

// Main routine for Variable-Metric optimisation

NonlinOut varmet(const NonlinParam& p, const NonlinCF& cfo);

// Main routine for Conjugate-Gradient optimisation

NonlinOut congra(const NonlinParam& p, const NonlinCF& cfo);

// Main routine for scaled conjugate-gradient optimisation

NonlinOut sccngr(const NonlinParam& p, const NonlinCF& cfo);

// Main routine for Levenberg-Marquardt optimisation

NonlinOut levmar(const NonlinParam& p, const NonlinCF& cfo);

LinOut linsrch(// Input
               const ColumnVector&  pdir,    // Search direction
               const ColumnVector&  p0,      // Current parameter values
               const ColumnVector&  grad,    // Gradient at p0
               const NonlinCF&      cfo,     // Cost-function object
               double               f0,      // Current cost-function value
               double               sf,      // Scale factor for cost-function
               double               maxiter, // Max # of iterations in line minimisation
               double               sm,      // Stepmax
               double               alpha,   // Alpha (sorry).
               double               ptol,    // Tolerance in parameter space
               // Output
               double               *lambda,// Resulting step length
               double               *of,    // Value of cost-function on output
               ColumnVector         *np);   // New parameters

double scale_factor(const ColumnVector&  p,       // Current parameter values
                    const ColumnVector&  pdir,    // Search direction
                    const NonlinCF&      cfo,     // Cost-function object
                    int                  maxiter, // Max # of iterations
                    double               sf);     // Scale factor.

LinOut linmin(// Input
              const ColumnVector&   p,      // Current parameter values
              const ColumnVector&   pdir,   // Search direction
              const NonlinCF&       cfo,    // Cost-function object
              double                sf,     // Scale factor for cost-function
              pair<double,double>   lp,     // Left point
              pair<double,double>   mp,     // Point somewhere in interval
              pair<double,double>   rp,     // Right point
              double                ftol,   // Fractional tolerance
              int                   maxiter,// Max # of iterations
              // Output