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