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GSLMultiMinimizer.h
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1// @(#)root/mathmore:$Id$
2// Author: L. Moneta Tue Dec 19 14:09:15 2006
3
4/**********************************************************************
5 * *
6 * Copyright (c) 2006 LCG ROOT Math Team, CERN/PH-SFT *
7 * *
8 * This library is free software; you can redistribute it and/or *
9 * modify it under the terms of the GNU General Public License *
10 * as published by the Free Software Foundation; either version 2 *
11 * of the License, or (at your option) any later version. *
12 * *
13 * This library is distributed in the hope that it will be useful, *
14 * but WITHOUT ANY WARRANTY; without even the implied warranty of *
15 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU *
16 * General Public License for more details. *
17 * *
18 * You should have received a copy of the GNU General Public License *
19 * along with this library (see file COPYING); if not, write *
20 * to the Free Software Foundation, Inc., 59 Temple Place, Suite *
21 * 330, Boston, MA 02111-1307 USA, or contact the author. *
22 * *
23 **********************************************************************/
24
25// Header file for class GSLMultiMinimizer
26
27#ifndef ROOT_Math_GSLMultiMinimizer
28#define ROOT_Math_GSLMultiMinimizer
29
30#include "gsl/gsl_vector.h"
31#include "gsl/gsl_multimin.h"
32#include "gsl/gsl_version.h"
34
35#include "Math/Error.h"
36
37#include "Math/IFunction.h"
38
39#include <cassert>
40
41namespace ROOT {
42
43 namespace Math {
44
45
46/**
47 GSLMultiMinimizer class , for minimizing multi-dimensional function
48 using derivatives
49
50 @ingroup MultiMin
51
52*/
54
55public:
56
57 /**
58 Default constructor
59 */
61 fMinimizer(0),
62 fType(0),
63 fVec(0)
64 {
65 switch(type)
66 {
68 fType = gsl_multimin_fdfminimizer_conjugate_fr;
69 break;
71 fType = gsl_multimin_fdfminimizer_conjugate_pr;
72 break;
74 fType = gsl_multimin_fdfminimizer_vector_bfgs;
75 break;
77#if (GSL_MAJOR_VERSION > 1) || ((GSL_MAJOR_VERSION == 1) && (GSL_MINOR_VERSION >= 9))
78 // bfgs2 is available only for v>= 1.9
79 fType = gsl_multimin_fdfminimizer_vector_bfgs2;
80#else
81 MATH_INFO_MSG("GSLMultiMinimizer","minimizer BFSG2 does not exist with this GSL version , use BFGS");
82 fType = gsl_multimin_fdfminimizer_vector_bfgs;
83#endif
84 break;
86 fType = gsl_multimin_fdfminimizer_steepest_descent;
87 break;
88 default:
89 fType = gsl_multimin_fdfminimizer_conjugate_fr;
90 break;
91 }
92
93 }
94
95 /**
96 Destructor
97 */
99 if (fMinimizer != 0 ) gsl_multimin_fdfminimizer_free(fMinimizer);
100 // can free vector (is copied inside)
101 if (fVec != 0) gsl_vector_free(fVec);
102 }
103
104private:
105 // usually copying is non trivial, so we make this unaccessible
106
107 /**
108 Copy constructor
109 */
111
112 /**
113 Assignment operator
114 */
116 if (this == &rhs) return *this; // time saving self-test
117 return *this;
118 }
119
120public:
121
122 /**
123 set the function to be minimize the initial minimizer parameters,
124 step size and tolerance in the line search
125 */
126 int Set(const ROOT::Math::IMultiGradFunction & func, const double * x, double stepSize, double tol) {
127 // create function wrapper
128 fFunc.SetFunction(func);
129 // create minimizer object (free previous one if already existing)
130 unsigned int ndim = func.NDim();
131 CreateMinimizer( ndim );
132 // set initial values
133 if (fVec != 0) gsl_vector_free(fVec);
134 fVec = gsl_vector_alloc( ndim );
135 std::copy(x,x+ndim, fVec->data);
136 assert(fMinimizer != 0);
137 return gsl_multimin_fdfminimizer_set(fMinimizer, fFunc.GetFunc(), fVec, stepSize, tol);
138 }
139
140 /// create the minimizer from the type and size
141 void CreateMinimizer(unsigned int n) {
142 if (fMinimizer) gsl_multimin_fdfminimizer_free(fMinimizer);
143 fMinimizer = gsl_multimin_fdfminimizer_alloc(fType, n);
144 }
145
146 std::string Name() const {
147 if (fMinimizer == 0) return "undefined";
148 return std::string(gsl_multimin_fdfminimizer_name(fMinimizer) );
149 }
150
151 int Iterate() {
152 if (fMinimizer == 0) return -1;
153 return gsl_multimin_fdfminimizer_iterate(fMinimizer);
154 }
155
156 /// x values at the minimum
157 double * X() const {
158 if (fMinimizer == 0) return 0;
159 gsl_vector * x = gsl_multimin_fdfminimizer_x(fMinimizer);
160 return x->data;
161 }
162
163 /// function value at the minimum
164 double Minimum() const {
165 if (fMinimizer == 0) return 0;
166 return gsl_multimin_fdfminimizer_minimum(fMinimizer);
167 }
168
169 /// gradient value at the minimum
170 double * Gradient() const {
171 if (fMinimizer == 0) return 0;
172 gsl_vector * g = gsl_multimin_fdfminimizer_gradient(fMinimizer);
173 return g->data;
174 }
175
176 /// restart minimization from current point
177 int Restart() {
178 if (fMinimizer == 0) return -1;
179 return gsl_multimin_fdfminimizer_restart(fMinimizer);
180 }
181
182 /// test gradient (ask from minimizer gradient vector)
183 int TestGradient(double absTol) const {
184 if (fMinimizer == 0) return -1;
185 gsl_vector * g = gsl_multimin_fdfminimizer_gradient(fMinimizer);
186 return gsl_multimin_test_gradient( g, absTol);
187 }
188
189 /// test gradient (require a vector gradient)
190 int TestGradient(const double * g, double absTol) const {
191 if (fVec == 0 ) return -1;
192 unsigned int n = fVec->size;
193 if (n == 0 ) return -1;
194 std::copy(g,g+n, fVec->data);
195 return gsl_multimin_test_gradient( fVec, absTol);
196 }
197
198
199private:
200
201 gsl_multimin_fdfminimizer * fMinimizer;
203 const gsl_multimin_fdfminimizer_type * fType;
204 // cached vector to avoid re-allocating every time a new one
205 mutable gsl_vector * fVec;
206
207};
208
209 } // end namespace Math
210
211} // end namespace ROOT
212
213
214#endif /* ROOT_Math_GSLMultiMinimizer */
#define MATH_INFO_MSG(loc, str)
Pre-processor macro to report messages which can be configured to use ROOT error or simply an std::io...
Definition: Error.h:76
#define g(i)
Definition: RSha256.hxx:105
int type
Definition: TGX11.cxx:120
Wrapper for a multi-dimensional function with derivatives used in GSL multidim minimization algorithm...
void SetFunction(const FuncType &f)
Fill gsl function structure from a C++ Function class.
GSLMultiMinimizer class , for minimizing multi-dimensional function using derivatives.
GSLMultiMinimizer & operator=(const GSLMultiMinimizer &rhs)
Assignment operator.
GSLMultiMinDerivFunctionWrapper fFunc
int Set(const ROOT::Math::IMultiGradFunction &func, const double *x, double stepSize, double tol)
set the function to be minimize the initial minimizer parameters, step size and tolerance in the line...
const gsl_multimin_fdfminimizer_type * fType
gsl_multimin_fdfminimizer * fMinimizer
double Minimum() const
function value at the minimum
double * Gradient() const
gradient value at the minimum
int Restart()
restart minimization from current point
int TestGradient(const double *g, double absTol) const
test gradient (require a vector gradient)
GSLMultiMinimizer(ROOT::Math::EGSLMinimizerType type)
Default constructor.
GSLMultiMinimizer(const GSLMultiMinimizer &)
Copy constructor.
double * X() const
x values at the minimum
void CreateMinimizer(unsigned int n)
create the minimizer from the type and size
int TestGradient(double absTol) const
test gradient (ask from minimizer gradient vector)
Interface (abstract class) for multi-dimensional functions providing a gradient calculation.
Definition: IFunction.h:327
virtual unsigned int NDim() const=0
Retrieve the dimension of the function.
EGSLMinimizerType
enumeration specifying the types of GSL minimizers
Definition: GSLMinimizer.h:56
@ kSteepestDescent
Definition: GSLMinimizer.h:61
Double_t x[n]
Definition: legend1.C:17
const Int_t n
Definition: legend1.C:16
Namespace for new Math classes and functions.
VSD Structures.
Definition: StringConv.hxx:21