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/* multimin/steepest_descent.c
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*
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* Copyright (C) 1996, 1997, 1998, 1999, 2000 Fabrice Rossi
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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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/* steepest_descent.c -- the steepest descent algorithm */
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/* Modified by Brian Gough to use single iteration structure */
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#include <config.h>
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#include <gsl/gsl_multimin.h>
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#include <gsl/gsl_blas_types.h>
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#include <gsl/gsl_blas.h>
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typedef struct
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{
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double step;
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double max_step;
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double tol;
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gsl_vector *x1;
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gsl_vector *g1;
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}
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steepest_descent_state_t;
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static int
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steepest_descent_alloc (void *vstate, size_t n)
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{
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steepest_descent_state_t *state = (steepest_descent_state_t *) vstate;
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state->x1 = gsl_vector_alloc (n);
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if (state->x1 == NULL)
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{
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GSL_ERROR ("failed to allocate space for x1", GSL_ENOMEM);
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}
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state->g1 = gsl_vector_alloc (n);
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if (state->g1 == NULL)
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{
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gsl_vector_free (state->x1);
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GSL_ERROR ("failed to allocate space for g1", GSL_ENOMEM);
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}
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return GSL_SUCCESS;
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}
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static int
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steepest_descent_set (void *vstate, gsl_multimin_function_fdf * fdf,
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const gsl_vector * x, double *f,
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gsl_vector * gradient, double step_size, double tol)
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{
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steepest_descent_state_t *state = (steepest_descent_state_t *) vstate;
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GSL_MULTIMIN_FN_EVAL_F_DF (fdf, x, f, gradient);
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state->step = step_size;
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state->max_step = step_size;
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state->tol = tol;
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return GSL_SUCCESS;
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}
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static void
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steepest_descent_free (void *vstate)
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{
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steepest_descent_state_t *state = (steepest_descent_state_t *) vstate;
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gsl_vector_free (state->x1);
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gsl_vector_free (state->g1);
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}
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static int
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steepest_descent_restart (void *vstate)
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{
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steepest_descent_state_t *state = (steepest_descent_state_t *) vstate;
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state->step = state->max_step;
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return GSL_SUCCESS;
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}
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static int
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steepest_descent_iterate (void *vstate, gsl_multimin_function_fdf * fdf,
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gsl_vector * x, double *f,
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gsl_vector * gradient, gsl_vector * dx)
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{
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steepest_descent_state_t *state = (steepest_descent_state_t *) vstate;
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gsl_vector *x1 = state->x1;
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gsl_vector *g1 = state->g1;
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double f0 = *f;
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double f1;
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double step = state->step, tol = state->tol;
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int failed = 0;
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/* compute new trial point at x1= x - step * dir, where dir is the
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normalized gradient */
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double gnorm = gsl_blas_dnrm2 (gradient);
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if (gnorm == 0.0)
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{
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gsl_vector_set_zero (dx);
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return GSL_ENOPROG;
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}
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trial:
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gsl_vector_set_zero (dx);
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gsl_blas_daxpy (-step / gnorm, gradient, dx);
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gsl_vector_memcpy (x1, x);
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gsl_blas_daxpy (1.0, dx, x1);
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if (gsl_vector_equal (x, x1))
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{
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return GSL_ENOPROG;
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}
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/* evaluate function and gradient at new point x1 */
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GSL_MULTIMIN_FN_EVAL_F_DF (fdf, x1, &f1, g1);
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if (f1 > f0)
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{
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/* downhill step failed, reduce step-size and try again */
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failed = 1;
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step *= tol;
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goto trial;
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}
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if (failed)
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step *= tol;
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else
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step *= 2.0;
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state->step = step;
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gsl_vector_memcpy (x, x1);
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gsl_vector_memcpy (gradient, g1);
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*f = f1;
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return GSL_SUCCESS;
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}
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static const gsl_multimin_fdfminimizer_type steepest_descent_type =
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{ "steepest_descent", /* name */
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sizeof (steepest_descent_state_t),
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&steepest_descent_alloc,
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&steepest_descent_set,
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&steepest_descent_iterate,
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&steepest_descent_restart,
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&steepest_descent_free
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};
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const gsl_multimin_fdfminimizer_type
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* gsl_multimin_fdfminimizer_steepest_descent = &steepest_descent_type;
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