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/* multifit/fdjac.c
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*
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* Copyright (C) 2013 Patrick Alken
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*
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* This program is free software; you can redistribute it and/or modify
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* it under the terms of the GNU General Public License as published by
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* the Free Software Foundation; either version 3 of the License, or (at
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* your option) any later version.
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*
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* This program is distributed in the hope that it will be useful, but
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* WITHOUT ANY WARRANTY; without even the implied warranty of
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* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
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* General Public License for more details.
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*
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* You should have received a copy of the GNU General Public License
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* along with this program; if not, write to the Free Software
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* Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301, USA.
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*
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*
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* This module contains routines for approximating the Jacobian with finite
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* differences for nonlinear least-squares fitting.
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*/
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#include <config.h>
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#include <gsl/gsl_math.h>
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#include <gsl/gsl_multifit_nlin.h>
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#include <gsl/gsl_vector.h>
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#include <gsl/gsl_matrix.h>
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static int fdjac(const gsl_vector *x, const gsl_vector *wts,
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gsl_multifit_function_fdf *fdf,
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const gsl_vector *f, gsl_matrix *J);
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/*
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fdjac()
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Compute approximate Jacobian using forward differences
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Inputs: x - parameter vector
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wts - data weights
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fdf - fdf struct
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f - (input) vector of function values f_i(x)
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J - (output) Jacobian matrix
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Return: success or error
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*/
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static int
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fdjac(const gsl_vector *x, const gsl_vector *wts,
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gsl_multifit_function_fdf *fdf, const gsl_vector *f, gsl_matrix *J)
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{
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int status = 0;
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size_t i, j;
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double h;
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const double epsfcn = 0.0;
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double eps = sqrt(GSL_MAX(epsfcn, GSL_DBL_EPSILON));
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for (j = 0; j < fdf->p; ++j)
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{
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double xj = gsl_vector_get(x, j);
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/* use column j of J as temporary storage for f(x + dx) */
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gsl_vector_view v = gsl_matrix_column(J, j);
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h = eps * fabs(xj);
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if (h == 0.0)
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h = eps;
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/* perturb x_j to compute forward difference */
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gsl_vector_set((gsl_vector *) x, j, xj + h);
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status += gsl_multifit_eval_wf (fdf, x, wts, &v.vector);
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if (status)
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return status;
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/* restore x_j */
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gsl_vector_set((gsl_vector *) x, j, xj);
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h = 1.0 / h;
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for (i = 0; i < fdf->n; ++i)
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{
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double fnext = gsl_vector_get(&v.vector, i);
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double fi = gsl_vector_get(f, i);
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gsl_matrix_set(J, i, j, (fnext - fi) * h);
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}
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}
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return status;
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} /* fdjac() */
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/*
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gsl_multifit_fdfsolver_dif_df()
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Compute approximate Jacobian using finite differences
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Inputs: x - parameter vector
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wts - data weights (set to NULL if not needed)
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fdf - fdf
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f - (input) function values f_i(x)
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J - (output) approximate Jacobian matrix
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Return: success or error
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*/
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int
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gsl_multifit_fdfsolver_dif_df(const gsl_vector *x, const gsl_vector *wts,
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gsl_multifit_function_fdf *fdf,
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const gsl_vector *f, gsl_matrix *J)
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{
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return fdjac(x, wts, fdf, f, J);
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} /* gsl_multifit_fdfsolver_dif_df() */
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#ifndef GSL_DISABLE_DEPRECATED
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/*
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gsl_multifit_fdfsolver_dif_fdf()
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Compute function values (analytic) and approximate Jacobian using finite
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differences
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Inputs: x - parameter vector
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fdf - fdf
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f - (output) function values f_i(x)
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J - (output) approximate Jacobian matrix
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Return: success or error
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*/
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int
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gsl_multifit_fdfsolver_dif_fdf(const gsl_vector *x,
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gsl_multifit_function_fdf *fdf,
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gsl_vector *f, gsl_matrix *J)
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{
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int status = 0;
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status = gsl_multifit_eval_wf(fdf, x, NULL, f);
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if (status)
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return status;
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status = fdjac(x, NULL, fdf, f, J);
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if (status)
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return status;
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return status;
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} /* gsl_multifit_fdfsolver_dif_fdf() */
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#endif /* !GSL_DISABLE_DEPRECATED */
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