include/gsl/gsl_multimin.h

0001 /* multimin/gsl_multimin.h
0002  *
0003  * Copyright (C) 1996, 1997, 1998, 1999, 2000 Fabrice Rossi
0004  *
0005  * This program is free software; you can redistribute it and/or modify
0006  * it under the terms of the GNU General Public License as published by
0007  * the Free Software Foundation; either version 3 of the License, or (at
0008  * your option) any later version.
0009  *
0010  * This program is distributed in the hope that it will be useful, but
0011  * WITHOUT ANY WARRANTY; without even the implied warranty of
0012  * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU
0013  * General Public License for more details.
0014  *
0015  * You should have received a copy of the GNU General Public License
0016  * along with this program; if not, write to the Free Software
0017  * Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301, USA.
0018  */
0019
0020 /* Modified by Tuomo Keskitalo to include fminimizer and
0021    Nelder Mead related lines */
0022
0023 #ifndef __GSL_MULTIMIN_H__
0024 #define __GSL_MULTIMIN_H__
0025
0026 #include <stdlib.h>
0027 #include <gsl/gsl_types.h>
0028 #include <gsl/gsl_math.h>
0029 #include <gsl/gsl_vector.h>
0030 #include <gsl/gsl_matrix.h>
0031 #include <gsl/gsl_min.h>
0032
0033 #undef __BEGIN_DECLS
0034 #undef __END_DECLS
0035 #ifdef __cplusplus
0036 # define __BEGIN_DECLS extern "C" {
0037 # define __END_DECLS }
0038 #else
0039 # define __BEGIN_DECLS /* empty */
0040 # define __END_DECLS /* empty */
0041 #endif
0042
0043 __BEGIN_DECLS
0044
0045 /* Definition of an arbitrary real-valued function with gsl_vector input and */
0046 /* parameters */
0047 struct gsl_multimin_function_struct
0048 {
0049   double (* f) (const gsl_vector * x, void * params);
0050   size_t n;
0051   void * params;
0052 };
0053
0054 typedef struct gsl_multimin_function_struct gsl_multimin_function;
0055
0056 #define GSL_MULTIMIN_FN_EVAL(F,x) (*((F)->f))(x,(F)->params)
0057
0058 /* Definition of an arbitrary differentiable real-valued function */
0059 /* with gsl_vector input and parameters */
0060 struct gsl_multimin_function_fdf_struct
0061 {
0062   double (* f) (const gsl_vector  * x, void * params);
0063   void (* df) (const gsl_vector * x, void * params,gsl_vector * df);
0064   void (* fdf) (const gsl_vector * x, void * params,double *f,gsl_vector * df);
0065   size_t n;
0066   void * params;
0067 };
0068
0069 typedef struct gsl_multimin_function_fdf_struct gsl_multimin_function_fdf;
0070
0071 #define GSL_MULTIMIN_FN_EVAL_F(F,x) (*((F)->f))(x,(F)->params)
0072 #define GSL_MULTIMIN_FN_EVAL_DF(F,x,g) (*((F)->df))(x,(F)->params,(g))
0073 #define GSL_MULTIMIN_FN_EVAL_F_DF(F,x,y,g) (*((F)->fdf))(x,(F)->params,(y),(g))
0074
0075 int gsl_multimin_diff (const gsl_multimin_function * f,
0076                        const gsl_vector * x, gsl_vector * g);
0077
0078 /* minimization of non-differentiable functions */
0079
0080 typedef struct
0081 {
0082   const char *name;
0083   size_t size;
0084   int (*alloc) (void *state, size_t n);
0085   int (*set) (void *state, gsl_multimin_function * f,
0086               const gsl_vector * x,
0087               double * size,
0088               const gsl_vector * step_size);
0089   int (*iterate) (void *state, gsl_multimin_function * f,
0090                   gsl_vector * x,
0091                   double * size,
0092                   double * fval);
0093   void (*free) (void *state);
0094 }
0095 gsl_multimin_fminimizer_type;
0096
0097 typedef struct
0098 {
0099   /* multi dimensional part */
0100   const gsl_multimin_fminimizer_type *type;
0101   gsl_multimin_function *f;
0102
0103   double fval;
0104   gsl_vector * x;
0105
0106   double size;
0107
0108   void *state;
0109 }
0110 gsl_multimin_fminimizer;
0111
0112 gsl_multimin_fminimizer *
0113 gsl_multimin_fminimizer_alloc(const gsl_multimin_fminimizer_type *T,
0114                               size_t n);
0115
0116 int
0117 gsl_multimin_fminimizer_set (gsl_multimin_fminimizer * s,
0118                              gsl_multimin_function * f,
0119                              const gsl_vector * x,
0120                              const gsl_vector * step_size);
0121
0122 void
0123 gsl_multimin_fminimizer_free(gsl_multimin_fminimizer *s);
0124
0125 const char *
0126 gsl_multimin_fminimizer_name (const gsl_multimin_fminimizer * s);
0127
0128 int
0129 gsl_multimin_fminimizer_iterate(gsl_multimin_fminimizer *s);
0130
0131 gsl_vector *
0132 gsl_multimin_fminimizer_x (const gsl_multimin_fminimizer * s);
0133
0134 double
0135 gsl_multimin_fminimizer_minimum (const gsl_multimin_fminimizer * s);
0136
0137 double
0138 gsl_multimin_fminimizer_size (const gsl_multimin_fminimizer * s);
0139
0140 /* Convergence test functions */
0141
0142 int
0143 gsl_multimin_test_gradient(const gsl_vector * g, double epsabs);
0144
0145 int
0146 gsl_multimin_test_size(const double size, double epsabs);
0147
0148 /* minimisation of differentiable functions */
0149
0150 typedef struct
0151 {
0152   const char *name;
0153   size_t size;
0154   int (*alloc) (void *state, size_t n);
0155   int (*set) (void *state, gsl_multimin_function_fdf * fdf,
0156               const gsl_vector * x, double * f,
0157               gsl_vector * gradient, double step_size, double tol);
0158   int (*iterate) (void *state,gsl_multimin_function_fdf * fdf,
0159                   gsl_vector * x, double * f,
0160                   gsl_vector * gradient, gsl_vector * dx);
0161   int (*restart) (void *state);
0162   void (*free) (void *state);
0163 }
0164 gsl_multimin_fdfminimizer_type;
0165
0166 typedef struct
0167 {
0168   /* multi dimensional part */
0169   const gsl_multimin_fdfminimizer_type *type;
0170   gsl_multimin_function_fdf *fdf;
0171
0172   double f;
0173   gsl_vector * x;
0174   gsl_vector * gradient;
0175   gsl_vector * dx;
0176
0177   void *state;
0178 }
0179 gsl_multimin_fdfminimizer;
0180
0181 gsl_multimin_fdfminimizer *
0182 gsl_multimin_fdfminimizer_alloc(const gsl_multimin_fdfminimizer_type *T,
0183                                 size_t n);
0184
0185 int
0186 gsl_multimin_fdfminimizer_set (gsl_multimin_fdfminimizer * s,
0187                                gsl_multimin_function_fdf *fdf,
0188                                const gsl_vector * x,
0189                                double step_size, double tol);
0190
0191 void
0192 gsl_multimin_fdfminimizer_free(gsl_multimin_fdfminimizer *s);
0193
0194 const char *
0195 gsl_multimin_fdfminimizer_name (const gsl_multimin_fdfminimizer * s);
0196
0197 int
0198 gsl_multimin_fdfminimizer_iterate(gsl_multimin_fdfminimizer *s);
0199
0200 int
0201 gsl_multimin_fdfminimizer_restart(gsl_multimin_fdfminimizer *s);
0202
0203 gsl_vector *
0204 gsl_multimin_fdfminimizer_x (const gsl_multimin_fdfminimizer * s);
0205
0206 gsl_vector *
0207 gsl_multimin_fdfminimizer_dx (const gsl_multimin_fdfminimizer * s);
0208
0209 gsl_vector *
0210 gsl_multimin_fdfminimizer_gradient (const gsl_multimin_fdfminimizer * s);
0211
0212 double
0213 gsl_multimin_fdfminimizer_minimum (const gsl_multimin_fdfminimizer * s);
0214
0215 GSL_VAR const gsl_multimin_fdfminimizer_type *gsl_multimin_fdfminimizer_steepest_descent;
0216 GSL_VAR const gsl_multimin_fdfminimizer_type *gsl_multimin_fdfminimizer_conjugate_pr;
0217 GSL_VAR const gsl_multimin_fdfminimizer_type *gsl_multimin_fdfminimizer_conjugate_fr;
0218 GSL_VAR const gsl_multimin_fdfminimizer_type *gsl_multimin_fdfminimizer_vector_bfgs;
0219 GSL_VAR const gsl_multimin_fdfminimizer_type *gsl_multimin_fdfminimizer_vector_bfgs2;
0220 GSL_VAR const gsl_multimin_fminimizer_type *gsl_multimin_fminimizer_nmsimplex;
0221 GSL_VAR const gsl_multimin_fminimizer_type *gsl_multimin_fminimizer_nmsimplex2;
0222 GSL_VAR const gsl_multimin_fminimizer_type *gsl_multimin_fminimizer_nmsimplex2rand;
0223
0224 __END_DECLS
0225
0226 #endif /* __GSL_MULTIMIN_H__ */