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// @(#)root/mathmore:$Id$
// Author: L. Moneta Wed Dec 20 17:26:06 2006
/**********************************************************************
* *
* Copyright (c) 2006 LCG ROOT Math Team, CERN/PH-SFT *
* *
* This library 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; either version 2 *
* of the License, or (at your option) any later version. *
* *
* This library 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. *
* *
* You should have received a copy of the GNU General Public License *
* along with this library (see file COPYING); if not, write *
* to the Free Software Foundation, Inc., 59 Temple Place, Suite *
* 330, Boston, MA 02111-1307 USA, or contact the author. *
* *
**********************************************************************/
// Header file for class GSLMultiFit
#ifndef ROOT_Math_GSLMultiFit
#define ROOT_Math_GSLMultiFit
#include "gsl/gsl_vector.h"
#include "gsl/gsl_matrix.h"
#include "gsl/gsl_multifit_nlin.h"
#include "gsl/gsl_blas.h"
#include "gsl/gsl_version.h"
#include "GSLMultiFitFunctionWrapper.h"
#include "Math/IFunction.h"
#include <string>
#include <cassert>
namespace ROOT {
namespace Math {
/**
GSLMultiFit, internal class for implementing GSL non linear least square GSL fitting
@ingroup MultiMin
*/
class GSLMultiFit {
public:
/**
Default constructor
No need to specify the type so far since only one solver exists so far
*/
GSLMultiFit (const gsl_multifit_fdfsolver_type * type = 0) :
fSolver(0),
fVec(0),
fTmp(0),
fCov(0),
#if GSL_MAJOR_VERSION > 1
fJac(0),
#endif
fType(type)
{
if (fType == 0) fType = gsl_multifit_fdfsolver_lmsder; // default value
}
/**
Destructor (no operations)
*/
~GSLMultiFit () {
if (fSolver) gsl_multifit_fdfsolver_free(fSolver);
if (fVec != 0) gsl_vector_free(fVec);
if (fTmp != 0) gsl_vector_free(fTmp);
if (fCov != 0) gsl_matrix_free(fCov);
#if GSL_MAJOR_VERSION > 1
if (fJac != 0) gsl_matrix_free(fJac);
#endif
}
private:
// usually copying is non trivial, so we make this unaccessible
/**
Copy constructor
*/
GSLMultiFit(const GSLMultiFit &) {}
/**
Assignment operator
*/
GSLMultiFit & operator = (const GSLMultiFit & rhs) {
if (this == &rhs) return *this; // time saving self-test
return *this;
}
public:
/// create the minimizer from the type and size of number of fitting points and number of parameters
void CreateSolver(unsigned int npoints, unsigned int npar) {
if (fSolver) gsl_multifit_fdfsolver_free(fSolver);
fSolver = gsl_multifit_fdfsolver_alloc(fType, npoints, npar);
if (fVec != 0) gsl_vector_free(fVec);
fVec = gsl_vector_alloc( npar );
if (fTmp != 0) gsl_vector_free(fTmp);
fTmp = gsl_vector_alloc( npar );
if (fCov != 0) gsl_matrix_free(fCov);
fCov = gsl_matrix_alloc( npar, npar );
#if GSL_MAJOR_VERSION > 1
if (fJac != 0) gsl_matrix_free(fJac);
fJac = gsl_matrix_alloc( npoints, npar );
#endif
}
/// set the solver parameters
template<class Func>
int Set(const std::vector<Func> & funcVec, const double * x) {
// create a vector of the fit contributions
// create function wrapper from an iterator of functions
unsigned int npts = funcVec.size();
if (npts == 0) return -1;
unsigned int npar = funcVec[0].NDim();
// Remove unused typedef to remove warning in GCC48
// http://gcc.gnu.org/gcc-4.8/porting_to.html
// typedef typename std::vector<Func> FuncVec;
//FuncIt funcIter = funcVec.begin();
fFunc.SetFunction(funcVec, npts, npar);
// create solver object
CreateSolver( npts, npar );
assert(fSolver != 0);
// set initial values
assert(fVec != 0);
std::copy(x,x+npar, fVec->data);
assert(fTmp != 0);
gsl_vector_set_zero(fTmp);
assert(fCov != 0);
gsl_matrix_set_zero(fCov);
#if GSL_MAJOR_VERSION > 1
assert(fJac != 0);
gsl_matrix_set_zero(fJac);
#endif
return gsl_multifit_fdfsolver_set(fSolver, fFunc.GetFunc(), fVec);
}
std::string Name() const {
if (fSolver == 0) return "undefined";
return std::string(gsl_multifit_fdfsolver_name(fSolver) );
}
int Iterate() {
if (fSolver == 0) return -1;
return gsl_multifit_fdfsolver_iterate(fSolver);
}
/// parameter values at the minimum
const double * X() const {
if (fSolver == 0) return 0;
gsl_vector * x = gsl_multifit_fdfsolver_position(fSolver);
return x->data;
}
/// gradient value at the minimum
const double * Gradient() const {
if (fSolver == 0) return 0;
#if GSL_MAJOR_VERSION > 1
fType->gradient(fSolver->state, fVec);
#else
gsl_multifit_gradient(fSolver->J, fSolver->f,fVec);
#endif
return fVec->data;
}
/// return covariance matrix of the parameters
const double * CovarMatrix() const {
if (fSolver == 0) return 0;
static double kEpsrel = 0.0001;
#if GSL_MAJOR_VERSION > 1
gsl_multifit_fdfsolver_jac (fSolver, fJac);
int ret = gsl_multifit_covar(fJac, kEpsrel, fCov);
#else
int ret = gsl_multifit_covar(fSolver->J, kEpsrel, fCov);
#endif
if (ret != GSL_SUCCESS) return 0;
return fCov->data;
}
/// test gradient (ask from solver gradient vector)
int TestGradient(double absTol) const {
if (fSolver == 0) return -1;
Gradient();
return gsl_multifit_test_gradient( fVec, absTol);
}
/// test using abs and relative tolerance
/// |dx| < absTol + relTol*|x| for every component
int TestDelta(double absTol, double relTol) const {
if (fSolver == 0) return -1;
return gsl_multifit_test_delta(fSolver->dx, fSolver->x, absTol, relTol);
}
// calculate edm 1/2 * ( grad^T * Cov * grad )
double Edm() const {
// product C * g
double edm = -1;
const double * g = Gradient();
if (g == 0) return edm;
const double * c = CovarMatrix();
if (c == 0) return edm;
if (fTmp == 0) return edm;
int status = gsl_blas_dgemv(CblasNoTrans, 1.0, fCov, fVec, 0.,fTmp);
if (status == 0) status |= gsl_blas_ddot(fVec, fTmp, &edm);
if (status != 0) return -1;
// need to divide by 2 ??
return 0.5*edm;
}
private:
GSLMultiFitFunctionWrapper fFunc;
gsl_multifit_fdfsolver * fSolver;
// cached vector to avoid re-allocating every time a new one
mutable gsl_vector * fVec;
mutable gsl_vector * fTmp;
mutable gsl_matrix * fCov;
#if GSL_MAJOR_VERSION > 1
mutable gsl_matrix * fJac;
#endif
const gsl_multifit_fdfsolver_type * fType;
};
} // end namespace Math
} // end namespace ROOT
#endif /* ROOT_Math_GSLMultiFit */
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