FumiliErrorUpdator.cxx

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// @(#)root/minuit2:$Id$
// Authors: M. Winkler, F. James, L. Moneta, A. Zsenei   2003-2005

/**********************************************************************
 *                                                                    *
 * Copyright (c) 2005 LCG ROOT Math team,  CERN/PH-SFT                *
 *                                                                    *
 **********************************************************************/

#include "Minuit2/FumiliErrorUpdator.h"
#include "Minuit2/MnFcn.h"
#include "Minuit2/MnStrategy.h"
#include "Minuit2/MnUserParameterState.h"
#include "Minuit2/FumiliGradientCalculator.h"
#include "Minuit2/MinimumParameters.h"
#include "Minuit2/FunctionGradient.h"
#include "Minuit2/MnMatrix.h"
#include "Minuit2/MinimumError.h"
#include "Minuit2/MinimumState.h"
#include "Minuit2/LaSum.h"
#include <limits>

#if defined(DEBUG) || defined(WARNINGMSG)
#include "Minuit2/MnPrint.h"
#endif


namespace ROOT {

namespace Minuit2 {



double sum_of_elements(const LASymMatrix&);


MinimumError FumiliErrorUpdator::Update(const MinimumState& s0,
                                        const MinimumParameters& p1,
                                        const FunctionGradient& g1) const {
   // dummy methods to suppress unused variable warnings
   // this member function should never be called within
   // the Fumili method...
   s0.Fval();
   p1.Fval();
   g1.IsValid();
   return MinimumError(2);
}


MinimumError FumiliErrorUpdator::Update(const MinimumState& s0,
                                        const MinimumParameters& p1,
                                        const GradientCalculator&  gc ,
                                        double lambda) const {
   // calculate the error matrix using approximation of Fumili
   // use only first derivatives (see tutorial par. 5.1,5.2)
   // The Fumili Hessian is provided by the FumiliGRadientCalculator class
   // we apply also the Marquard lambda factor to increase weight of diagonal term
   // as suggester in Numerical Receipt for Marquard method

   // need to downcast to FumiliGradientCalculator
   FumiliGradientCalculator * fgc = dynamic_cast< FumiliGradientCalculator *>( const_cast<GradientCalculator *>(&gc) );
   assert(fgc != 0);


   // get Hessian from Gradient calculator

   MnAlgebraicSymMatrix h = fgc->Hessian();

   int nvar = p1.Vec().size();

   // apply Marquard lambda factor
   double eps = 8*std::numeric_limits<double>::min();
   for (int j = 0; j < nvar; j++) {
      h(j,j) *= (1. + lambda);
      // if h(j,j) is zero what to do ?
      if ( fabs( h(j,j) ) < eps ) { // should use DBL_MIN
                                       // put a cut off to avoid zero on diagonals
         if ( lambda > 1)
            h(j,j) = lambda*eps;
         else
            h(j,j) = eps;
      }
   }



   int ifail = Invert(h);
   if(ifail != 0) {
#ifdef WARNINGMSG
      MN_INFO_MSG("FumiliErrorUpdator inversion fails; return diagonal matrix.");
#endif
      for(unsigned int i = 0; i < h.Nrow(); i++) {
         h(i,i) = 1./h(i,i);
      }
   }


   const MnAlgebraicSymMatrix& v0 = s0.Error().InvHessian();

   // calculate by how much did the covariance matrix changed
   // (if it changed a lot since the last step, probably we
   // are not yet near the Minimum)
   double dcov = 0.5*(s0.Error().Dcovar() + sum_of_elements(h-v0)/sum_of_elements(h));



   return MinimumError(h, dcov);

}


}  // namespace Minuit2

}  // namespace ROOT