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Revision Log
import changes from math development branches for subdirectory math. List of changes in detail:
mathcore:
---------
MinimizerOptions:
new class for storing Minimizer option, with static default values that can be
changed by the user
FitConfig:
- use default values from MinimizerOption class
- rename method to create parameter settings from a function
FitUtil.cxx:
improve the derivative calculations used in the effective chi2 and in Fumili and
fix a bug for evaluation of likelihood or chi2 terms.
In EvaluatePdf() work and return the log of the pdf.
FitResult:
- improve the class by adding extra information like, num. of free parameters,
minimizer status, global correlation coefficients, information about fixed
and bound parameters.
- add method for getting fit confidence intervals
- improve print method
DataRange:
add method SetRange to distinguish from AddRange. SetRange deletes the existing
ranges.
ParamsSettings: make few methods const
FCN functions (Chi2FCN, LogLikelihoodFCN, etc..)
move some common methods and data members in base class (FitMethodFunction)
RootFinder: add template Solve() for any callable function.
mathmore:
--------
minimizer classes: fill status information
GSLNLSMinimizer: return error and covariance matrix
minuit2:
-------
Minuit2Minimizer: fill status information
DavidonErrorUpdator: check that delgam or gvg are not zero ( can happen when dg = 0)
FumiliFCNAdapter: work on the log of pdf
minuit:
-------
TLinearMinimizer: add support for robust fitting
TMinuitMinimizer: fill status information and fix a bug in filling the correlation matrix.
fumili:
------
add TFumiliMinimizer:
wrapper class for TFumili using Minimizer interface
// @(#)root/minuit2:$Id$
// Author: L. Moneta 10/2006
/**********************************************************************
* *
* Copyright (c) 2006 ROOT Foundation, CERN/PH-SFT *
* *
**********************************************************************/
#ifndef ROOT_Minuit2_FumiliFCNAdapter
#define ROOT_Minuit2_FumiliFCNAdapter
#ifndef ROOT_Minuit2_FumiliFCNBase
#include "Minuit2/FumiliFCNBase.h"
#endif
#ifndef ROOT_Math_FitMethodFunction
#include "Math/FitMethodFunction.h"
#endif
#ifndef ROOT_Minuit2_MnPrint
#include "Minuit2/MnPrint.h"
#endif
#ifndef ROOT_Math_Util
#include "Math/Util.h"
#endif
#include <cmath>
namespace ROOT {
namespace Minuit2 {
/**
template wrapped class for adapting to FumiliFCNBase signature
@author Lorenzo Moneta
@ingroup Minuit
*/
template< class Function>
class FumiliFCNAdapter : public FumiliFCNBase {
public:
// typedef ROOT::Math::FitMethodFunction Function;
typedef typename Function::Type Type;
FumiliFCNAdapter(const Function & f, unsigned int ndim, double up = 1.) :
FumiliFCNBase( ndim ),
fFunc(f) ,
fUp (up)
{}
~FumiliFCNAdapter() {}
double operator()(const std::vector<double>& v) const {
return fFunc.operator()(&v[0]);
}
double operator()(const double * v) const {
return fFunc.operator()(v);
}
double Up() const {return fUp;}
void SetErrorDef(double up) { fUp = up; }
//virtual std::vector<double> Gradient(const std::vector<double>&) const;
// forward interface
//virtual double operator()(int npar, double* params,int iflag = 4) const;
/**
evaluate gradient hessian and function value needed by fumili
*/
void EvaluateAll( const std::vector<double> & v);
private:
//data member
const Function & fFunc;
double fUp;
};
template<class Function>
void FumiliFCNAdapter<Function>::EvaluateAll( const std::vector<double> & v) {
//typedef FumiliFCNAdapter::Function Function;
//evaluate all elements
unsigned int npar = Dimension();
if (npar != v.size() ) std::cout << "npar = " << npar << " " << v.size() << std::endl;
assert(npar == v.size());
//must distinguish case of likelihood or LS
std::vector<double> & grad = Gradient();
std::vector<double> & hess = Hessian();
// reset
assert(grad.size() == npar);
grad.assign( npar, 0.0);
hess.assign( hess.size(), 0.0);
double sum = 0;
unsigned int ndata = fFunc.NPoints();
std::vector<double> gf(npar);
//loop on the data points
// assume for now least-square
if (fFunc.GetType() == Function::kLeastSquare) {
for (unsigned int i = 0; i < ndata; ++i) {
// calculate data element and gradient
double fval = fFunc.DataElement(&v.front(), i, &gf[0]);
// t.b.d should protect for bad values of fval
sum += fval*fval;
for (unsigned int j = 0; j < npar; ++j) {
grad[j] += 2. * fval * gf[j];
for (unsigned int k = j; k < npar; ++ k) {
int idx = j + k*(k+1)/2;
hess[idx] += 2.0 * gf[j] * gf[k];
}
}
}
}
else if (fFunc.GetType() == Function::kLogLikelihood) {
for (unsigned int i = 0; i < ndata; ++i) {
// calculate data element and gradient
// return value is log of pdf and derivative of the log(Pdf)
double fval = fFunc.DataElement(&v.front(), i, &gf[0]);
sum -= fval;
for (unsigned int j = 0; j < npar; ++j) {
double gfj = gf[j] ;
grad[j] -= gfj;
for (unsigned int k = j; k < npar; ++ k) {
int idx = j + k*(k+1)/2;
hess[idx] += gfj * gf[k] ;
}
}
}
}
else {
MN_ERROR_MSG("FumiliFCNAdapter: fit method is not supported");
}
}
} // end namespace Minuit2
} // end namespace ROOT
#endif //ROOT_Minuit2_FCNAdapter
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