/************************************************************************* ARGONNE NATIONAL LABORATORY. MINPACK PROJECT. JUNE 1983 JORGE J. MORE', DAVID J. THUENTE >>> SOURCE LICENSE >>> 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 (www.fsf.org); either version 2 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. A copy of the GNU General Public License is available at http://www.fsf.org/licensing/licenses >>> END OF LICENSE >>> *************************************************************************/ using System; namespace alglib { public class linmin { public struct linminstate { public bool brackt; public bool stage1; public int infoc; public double dg; public double dgm; public double dginit; public double dgtest; public double dgx; public double dgxm; public double dgy; public double dgym; public double finit; public double ftest1; public double fm; public double fx; public double fxm; public double fy; public double fym; public double stx; public double sty; public double stmin; public double stmax; public double width; public double width1; public double xtrapf; }; public const double ftol = 0.001; public const double xtol = 100*AP.Math.MachineEpsilon; public const double gtol = 0.3; public const int maxfev = 20; public const double stpmin = 1.0E-50; public const double defstpmax = 1.0E+50; /************************************************************************* Normalizes direction/step pair: makes |D|=1, scales Stp. If |D|=0, it returns, leavind D/Stp unchanged. -- ALGLIB -- Copyright 01.04.2010 by Bochkanov Sergey *************************************************************************/ public static void linminnormalized(ref double[] d, ref double stp, int n) { double mx = 0; double s = 0; int i = 0; int i_ = 0; // // first, scale D to avoid underflow/overflow durng squaring // mx = 0; for(i=0; i<=n-1; i++) { mx = Math.Max(mx, Math.Abs(d[i])); } if( (double)(mx)==(double)(0) ) { return; } s = 1/mx; for(i_=0; i_<=n-1;i_++) { d[i_] = s*d[i_]; } stp = stp/s; // // normalize D // s = 0.0; for(i_=0; i_<=n-1;i_++) { s += d[i_]*d[i_]; } s = 1/Math.Sqrt(s); for(i_=0; i_<=n-1;i_++) { d[i_] = s*d[i_]; } stp = stp/s; } /************************************************************************* THE PURPOSE OF MCSRCH IS TO FIND A STEP WHICH SATISFIES A SUFFICIENT DECREASE CONDITION AND A CURVATURE CONDITION. AT EACH STAGE THE SUBROUTINE UPDATES AN INTERVAL OF UNCERTAINTY WITH ENDPOINTS STX AND STY. THE INTERVAL OF UNCERTAINTY IS INITIALLY CHOSEN SO THAT IT CONTAINS A MINIMIZER OF THE MODIFIED FUNCTION F(X+STP*S) - F(X) - FTOL*STP*(GRADF(X)'S). IF A STEP IS OBTAINED FOR WHICH THE MODIFIED FUNCTION HAS A NONPOSITIVE FUNCTION VALUE AND NONNEGATIVE DERIVATIVE, THEN THE INTERVAL OF UNCERTAINTY IS CHOSEN SO THAT IT CONTAINS A MINIMIZER OF F(X+STP*S). THE ALGORITHM IS DESIGNED TO FIND A STEP WHICH SATISFIES THE SUFFICIENT DECREASE CONDITION F(X+STP*S) .LE. F(X) + FTOL*STP*(GRADF(X)'S), AND THE CURVATURE CONDITION ABS(GRADF(X+STP*S)'S)) .LE. GTOL*ABS(GRADF(X)'S). IF FTOL IS LESS THAN GTOL AND IF, FOR EXAMPLE, THE FUNCTION IS BOUNDED BELOW, THEN THERE IS ALWAYS A STEP WHICH SATISFIES BOTH CONDITIONS. IF NO STEP CAN BE FOUND WHICH SATISFIES BOTH CONDITIONS, THEN THE ALGORITHM USUALLY STOPS WHEN ROUNDING ERRORS PREVENT FURTHER PROGRESS. IN THIS CASE STP ONLY SATISFIES THE SUFFICIENT DECREASE CONDITION. PARAMETERS DESCRIPRION N IS A POSITIVE INTEGER INPUT VARIABLE SET TO THE NUMBER OF VARIABLES. X IS AN ARRAY OF LENGTH N. ON INPUT IT MUST CONTAIN THE BASE POINT FOR THE LINE SEARCH. ON OUTPUT IT CONTAINS X+STP*S. F IS A VARIABLE. ON INPUT IT MUST CONTAIN THE VALUE OF F AT X. ON OUTPUT IT CONTAINS THE VALUE OF F AT X + STP*S. G IS AN ARRAY OF LENGTH N. ON INPUT IT MUST CONTAIN THE GRADIENT OF F AT X. ON OUTPUT IT CONTAINS THE GRADIENT OF F AT X + STP*S. S IS AN INPUT ARRAY OF LENGTH N WHICH SPECIFIES THE SEARCH DIRECTION. STP IS A NONNEGATIVE VARIABLE. ON INPUT STP CONTAINS AN INITIAL ESTIMATE OF A SATISFACTORY STEP. ON OUTPUT STP CONTAINS THE FINAL ESTIMATE. FTOL AND GTOL ARE NONNEGATIVE INPUT VARIABLES. TERMINATION OCCURS WHEN THE SUFFICIENT DECREASE CONDITION AND THE DIRECTIONAL DERIVATIVE CONDITION ARE SATISFIED. XTOL IS A NONNEGATIVE INPUT VARIABLE. TERMINATION OCCURS WHEN THE RELATIVE WIDTH OF THE INTERVAL OF UNCERTAINTY IS AT MOST XTOL. STPMIN AND STPMAX ARE NONNEGATIVE INPUT VARIABLES WHICH SPECIFY LOWER AND UPPER BOUNDS FOR THE STEP. MAXFEV IS A POSITIVE INTEGER INPUT VARIABLE. TERMINATION OCCURS WHEN THE NUMBER OF CALLS TO FCN IS AT LEAST MAXFEV BY THE END OF AN ITERATION. INFO IS AN INTEGER OUTPUT VARIABLE SET AS FOLLOWS: INFO = 0 IMPROPER INPUT PARAMETERS. INFO = 1 THE SUFFICIENT DECREASE CONDITION AND THE DIRECTIONAL DERIVATIVE CONDITION HOLD. INFO = 2 RELATIVE WIDTH OF THE INTERVAL OF UNCERTAINTY IS AT MOST XTOL. INFO = 3 NUMBER OF CALLS TO FCN HAS REACHED MAXFEV. INFO = 4 THE STEP IS AT THE LOWER BOUND STPMIN. INFO = 5 THE STEP IS AT THE UPPER BOUND STPMAX. INFO = 6 ROUNDING ERRORS PREVENT FURTHER PROGRESS. THERE MAY NOT BE A STEP WHICH SATISFIES THE SUFFICIENT DECREASE AND CURVATURE CONDITIONS. TOLERANCES MAY BE TOO SMALL. NFEV IS AN INTEGER OUTPUT VARIABLE SET TO THE NUMBER OF CALLS TO FCN. WA IS A WORK ARRAY OF LENGTH N. ARGONNE NATIONAL LABORATORY. MINPACK PROJECT. JUNE 1983 JORGE J. MORE', DAVID J. THUENTE *************************************************************************/ public static void mcsrch(int n, ref double[] x, ref double f, ref double[] g, ref double[] s, ref double stp, double stpmax, ref int info, ref int nfev, ref double[] wa, ref linminstate state, ref int stage) { double v = 0; double p5 = 0; double p66 = 0; double zero = 0; int i_ = 0; // // init // p5 = 0.5; p66 = 0.66; state.xtrapf = 4.0; zero = 0; if( (double)(stpmax)==(double)(0) ) { stpmax = defstpmax; } if( (double)(stp)<(double)(stpmin) ) { stp = stpmin; } if( (double)(stp)>(double)(stpmax) ) { stp = stpmax; } // // Main cycle // while( true ) { if( stage==0 ) { // // NEXT // stage = 2; continue; } if( stage==2 ) { state.infoc = 1; info = 0; // // CHECK THE INPUT PARAMETERS FOR ERRORS. // if( n<=0 | (double)(stp)<=(double)(0) | (double)(ftol)<(double)(0) | (double)(gtol)<(double)(zero) | (double)(xtol)<(double)(zero) | (double)(stpmin)<(double)(zero) | (double)(stpmax)<(double)(stpmin) | maxfev<=0 ) { stage = 0; return; } // // COMPUTE THE INITIAL GRADIENT IN THE SEARCH DIRECTION // AND CHECK THAT S IS A DESCENT DIRECTION. // v = 0.0; for(i_=0; i_<=n-1;i_++) { v += g[i_]*s[i_]; } state.dginit = v; if( (double)(state.dginit)>=(double)(0) ) { stage = 0; return; } // // INITIALIZE LOCAL VARIABLES. // state.brackt = false; state.stage1 = true; nfev = 0; state.finit = f; state.dgtest = ftol*state.dginit; state.width = stpmax-stpmin; state.width1 = state.width/p5; for(i_=0; i_<=n-1;i_++) { wa[i_] = x[i_]; } // // THE VARIABLES STX, FX, DGX CONTAIN THE VALUES OF THE STEP, // FUNCTION, AND DIRECTIONAL DERIVATIVE AT THE BEST STEP. // THE VARIABLES STY, FY, DGY CONTAIN THE VALUE OF THE STEP, // FUNCTION, AND DERIVATIVE AT THE OTHER ENDPOINT OF // THE INTERVAL OF UNCERTAINTY. // THE VARIABLES STP, F, DG CONTAIN THE VALUES OF THE STEP, // FUNCTION, AND DERIVATIVE AT THE CURRENT STEP. // state.stx = 0; state.fx = state.finit; state.dgx = state.dginit; state.sty = 0; state.fy = state.finit; state.dgy = state.dginit; // // NEXT // stage = 3; continue; } if( stage==3 ) { // // START OF ITERATION. // // SET THE MINIMUM AND MAXIMUM STEPS TO CORRESPOND // TO THE PRESENT INTERVAL OF UNCERTAINTY. // if( state.brackt ) { if( (double)(state.stx)<(double)(state.sty) ) { state.stmin = state.stx; state.stmax = state.sty; } else { state.stmin = state.sty; state.stmax = state.stx; } } else { state.stmin = state.stx; state.stmax = stp+state.xtrapf*(stp-state.stx); } // // FORCE THE STEP TO BE WITHIN THE BOUNDS STPMAX AND STPMIN. // if( (double)(stp)>(double)(stpmax) ) { stp = stpmax; } if( (double)(stp)<(double)(stpmin) ) { stp = stpmin; } // // IF AN UNUSUAL TERMINATION IS TO OCCUR THEN LET // STP BE THE LOWEST POINT OBTAINED SO FAR. // if( state.brackt & ((double)(stp)<=(double)(state.stmin) | (double)(stp)>=(double)(state.stmax)) | nfev>=maxfev-1 | state.infoc==0 | state.brackt & (double)(state.stmax-state.stmin)<=(double)(xtol*state.stmax) ) { stp = state.stx; } // // EVALUATE THE FUNCTION AND GRADIENT AT STP // AND COMPUTE THE DIRECTIONAL DERIVATIVE. // for(i_=0; i_<=n-1;i_++) { x[i_] = wa[i_]; } for(i_=0; i_<=n-1;i_++) { x[i_] = x[i_] + stp*s[i_]; } // // NEXT // stage = 4; return; } if( stage==4 ) { info = 0; nfev = nfev+1; v = 0.0; for(i_=0; i_<=n-1;i_++) { v += g[i_]*s[i_]; } state.dg = v; state.ftest1 = state.finit+stp*state.dgtest; // // TEST FOR CONVERGENCE. // if( state.brackt & ((double)(stp)<=(double)(state.stmin) | (double)(stp)>=(double)(state.stmax)) | state.infoc==0 ) { info = 6; } if( (double)(stp)==(double)(stpmax) & (double)(f)<=(double)(state.ftest1) & (double)(state.dg)<=(double)(state.dgtest) ) { info = 5; } if( (double)(stp)==(double)(stpmin) & ((double)(f)>(double)(state.ftest1) | (double)(state.dg)>=(double)(state.dgtest)) ) { info = 4; } if( nfev>=maxfev ) { info = 3; } if( state.brackt & (double)(state.stmax-state.stmin)<=(double)(xtol*state.stmax) ) { info = 2; } if( (double)(f)<=(double)(state.ftest1) & (double)(Math.Abs(state.dg))<=(double)(-(gtol*state.dginit)) ) { info = 1; } // // CHECK FOR TERMINATION. // if( info!=0 ) { stage = 0; return; } // // IN THE FIRST STAGE WE SEEK A STEP FOR WHICH THE MODIFIED // FUNCTION HAS A NONPOSITIVE VALUE AND NONNEGATIVE DERIVATIVE. // if( state.stage1 & (double)(f)<=(double)(state.ftest1) & (double)(state.dg)>=(double)(Math.Min(ftol, gtol)*state.dginit) ) { state.stage1 = false; } // // A MODIFIED FUNCTION IS USED TO PREDICT THE STEP ONLY IF // WE HAVE NOT OBTAINED A STEP FOR WHICH THE MODIFIED // FUNCTION HAS A NONPOSITIVE FUNCTION VALUE AND NONNEGATIVE // DERIVATIVE, AND IF A LOWER FUNCTION VALUE HAS BEEN // OBTAINED BUT THE DECREASE IS NOT SUFFICIENT. // if( state.stage1 & (double)(f)<=(double)(state.fx) & (double)(f)>(double)(state.ftest1) ) { // // DEFINE THE MODIFIED FUNCTION AND DERIVATIVE VALUES. // state.fm = f-stp*state.dgtest; state.fxm = state.fx-state.stx*state.dgtest; state.fym = state.fy-state.sty*state.dgtest; state.dgm = state.dg-state.dgtest; state.dgxm = state.dgx-state.dgtest; state.dgym = state.dgy-state.dgtest; // // CALL CSTEP TO UPDATE THE INTERVAL OF UNCERTAINTY // AND TO COMPUTE THE NEW STEP. // mcstep(ref state.stx, ref state.fxm, ref state.dgxm, ref state.sty, ref state.fym, ref state.dgym, ref stp, state.fm, state.dgm, ref state.brackt, state.stmin, state.stmax, ref state.infoc); // // RESET THE FUNCTION AND GRADIENT VALUES FOR F. // state.fx = state.fxm+state.stx*state.dgtest; state.fy = state.fym+state.sty*state.dgtest; state.dgx = state.dgxm+state.dgtest; state.dgy = state.dgym+state.dgtest; } else { // // CALL MCSTEP TO UPDATE THE INTERVAL OF UNCERTAINTY // AND TO COMPUTE THE NEW STEP. // mcstep(ref state.stx, ref state.fx, ref state.dgx, ref state.sty, ref state.fy, ref state.dgy, ref stp, f, state.dg, ref state.brackt, state.stmin, state.stmax, ref state.infoc); } // // FORCE A SUFFICIENT DECREASE IN THE SIZE OF THE // INTERVAL OF UNCERTAINTY. // if( state.brackt ) { if( (double)(Math.Abs(state.sty-state.stx))>=(double)(p66*state.width1) ) { stp = state.stx+p5*(state.sty-state.stx); } state.width1 = state.width; state.width = Math.Abs(state.sty-state.stx); } // // NEXT. // stage = 3; continue; } } } private static void mcstep(ref double stx, ref double fx, ref double dx, ref double sty, ref double fy, ref double dy, ref double stp, double fp, double dp, ref bool brackt, double stmin, double stmax, ref int info) { bool bound = new bool(); double gamma = 0; double p = 0; double q = 0; double r = 0; double s = 0; double sgnd = 0; double stpc = 0; double stpf = 0; double stpq = 0; double theta = 0; info = 0; // // CHECK THE INPUT PARAMETERS FOR ERRORS. // if( brackt & ((double)(stp)<=(double)(Math.Min(stx, sty)) | (double)(stp)>=(double)(Math.Max(stx, sty))) | (double)(dx*(stp-stx))>=(double)(0) | (double)(stmax)<(double)(stmin) ) { return; } // // DETERMINE IF THE DERIVATIVES HAVE OPPOSITE SIGN. // sgnd = dp*(dx/Math.Abs(dx)); // // FIRST CASE. A HIGHER FUNCTION VALUE. // THE MINIMUM IS BRACKETED. IF THE CUBIC STEP IS CLOSER // TO STX THAN THE QUADRATIC STEP, THE CUBIC STEP IS TAKEN, // ELSE THE AVERAGE OF THE CUBIC AND QUADRATIC STEPS IS TAKEN. // if( (double)(fp)>(double)(fx) ) { info = 1; bound = true; theta = 3*(fx-fp)/(stp-stx)+dx+dp; s = Math.Max(Math.Abs(theta), Math.Max(Math.Abs(dx), Math.Abs(dp))); gamma = s*Math.Sqrt(AP.Math.Sqr(theta/s)-dx/s*(dp/s)); if( (double)(stp)<(double)(stx) ) { gamma = -gamma; } p = gamma-dx+theta; q = gamma-dx+gamma+dp; r = p/q; stpc = stx+r*(stp-stx); stpq = stx+dx/((fx-fp)/(stp-stx)+dx)/2*(stp-stx); if( (double)(Math.Abs(stpc-stx))<(double)(Math.Abs(stpq-stx)) ) { stpf = stpc; } else { stpf = stpc+(stpq-stpc)/2; } brackt = true; } else { if( (double)(sgnd)<(double)(0) ) { // // SECOND CASE. A LOWER FUNCTION VALUE AND DERIVATIVES OF // OPPOSITE SIGN. THE MINIMUM IS BRACKETED. IF THE CUBIC // STEP IS CLOSER TO STX THAN THE QUADRATIC (SECANT) STEP, // THE CUBIC STEP IS TAKEN, ELSE THE QUADRATIC STEP IS TAKEN. // info = 2; bound = false; theta = 3*(fx-fp)/(stp-stx)+dx+dp; s = Math.Max(Math.Abs(theta), Math.Max(Math.Abs(dx), Math.Abs(dp))); gamma = s*Math.Sqrt(AP.Math.Sqr(theta/s)-dx/s*(dp/s)); if( (double)(stp)>(double)(stx) ) { gamma = -gamma; } p = gamma-dp+theta; q = gamma-dp+gamma+dx; r = p/q; stpc = stp+r*(stx-stp); stpq = stp+dp/(dp-dx)*(stx-stp); if( (double)(Math.Abs(stpc-stp))>(double)(Math.Abs(stpq-stp)) ) { stpf = stpc; } else { stpf = stpq; } brackt = true; } else { if( (double)(Math.Abs(dp))<(double)(Math.Abs(dx)) ) { // // THIRD CASE. A LOWER FUNCTION VALUE, DERIVATIVES OF THE // SAME SIGN, AND THE MAGNITUDE OF THE DERIVATIVE DECREASES. // THE CUBIC STEP IS ONLY USED IF THE CUBIC TENDS TO INFINITY // IN THE DIRECTION OF THE STEP OR IF THE MINIMUM OF THE CUBIC // IS BEYOND STP. OTHERWISE THE CUBIC STEP IS DEFINED TO BE // EITHER STPMIN OR STPMAX. THE QUADRATIC (SECANT) STEP IS ALSO // COMPUTED AND IF THE MINIMUM IS BRACKETED THEN THE THE STEP // CLOSEST TO STX IS TAKEN, ELSE THE STEP FARTHEST AWAY IS TAKEN. // info = 3; bound = true; theta = 3*(fx-fp)/(stp-stx)+dx+dp; s = Math.Max(Math.Abs(theta), Math.Max(Math.Abs(dx), Math.Abs(dp))); // // THE CASE GAMMA = 0 ONLY ARISES IF THE CUBIC DOES NOT TEND // TO INFINITY IN THE DIRECTION OF THE STEP. // gamma = s*Math.Sqrt(Math.Max(0, AP.Math.Sqr(theta/s)-dx/s*(dp/s))); if( (double)(stp)>(double)(stx) ) { gamma = -gamma; } p = gamma-dp+theta; q = gamma+(dx-dp)+gamma; r = p/q; if( (double)(r)<(double)(0) & (double)(gamma)!=(double)(0) ) { stpc = stp+r*(stx-stp); } else { if( (double)(stp)>(double)(stx) ) { stpc = stmax; } else { stpc = stmin; } } stpq = stp+dp/(dp-dx)*(stx-stp); if( brackt ) { if( (double)(Math.Abs(stp-stpc))<(double)(Math.Abs(stp-stpq)) ) { stpf = stpc; } else { stpf = stpq; } } else { if( (double)(Math.Abs(stp-stpc))>(double)(Math.Abs(stp-stpq)) ) { stpf = stpc; } else { stpf = stpq; } } } else { // // FOURTH CASE. A LOWER FUNCTION VALUE, DERIVATIVES OF THE // SAME SIGN, AND THE MAGNITUDE OF THE DERIVATIVE DOES // NOT DECREASE. IF THE MINIMUM IS NOT BRACKETED, THE STEP // IS EITHER STPMIN OR STPMAX, ELSE THE CUBIC STEP IS TAKEN. // info = 4; bound = false; if( brackt ) { theta = 3*(fp-fy)/(sty-stp)+dy+dp; s = Math.Max(Math.Abs(theta), Math.Max(Math.Abs(dy), Math.Abs(dp))); gamma = s*Math.Sqrt(AP.Math.Sqr(theta/s)-dy/s*(dp/s)); if( (double)(stp)>(double)(sty) ) { gamma = -gamma; } p = gamma-dp+theta; q = gamma-dp+gamma+dy; r = p/q; stpc = stp+r*(sty-stp); stpf = stpc; } else { if( (double)(stp)>(double)(stx) ) { stpf = stmax; } else { stpf = stmin; } } } } } // // UPDATE THE INTERVAL OF UNCERTAINTY. THIS UPDATE DOES NOT // DEPEND ON THE NEW STEP OR THE CASE ANALYSIS ABOVE. // if( (double)(fp)>(double)(fx) ) { sty = stp; fy = fp; dy = dp; } else { if( (double)(sgnd)<(double)(0.0) ) { sty = stx; fy = fx; dy = dx; } stx = stp; fx = fp; dx = dp; } // // COMPUTE THE NEW STEP AND SAFEGUARD IT. // stpf = Math.Min(stmax, stpf); stpf = Math.Max(stmin, stpf); stp = stpf; if( brackt & bound ) { if( (double)(sty)>(double)(stx) ) { stp = Math.Min(stx+0.66*(sty-stx), stp); } else { stp = Math.Max(stx+0.66*(sty-stx), stp); } } } } }