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/* multimin/steepest_descent.c
*
* Copyright (C) 1996, 1997, 1998, 1999, 2000 Fabrice Rossi
*
* 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; either version 3 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.
*
* You should have received a copy of the GNU General Public License
* along with this program; if not, write to the Free Software
* Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301, USA.
*/
/* steepest_descent.c -- the steepest descent algorithm */
/* Modified by Brian Gough to use single iteration structure */
#include <config.h>
#include <gsl/gsl_multimin.h>
#include <gsl/gsl_blas_types.h>
#include <gsl/gsl_blas.h>
typedef struct
{
double step;
double max_step;
double tol;
gsl_vector *x1;
gsl_vector *g1;
}
steepest_descent_state_t;
static int
steepest_descent_alloc (void *vstate, size_t n)
{
steepest_descent_state_t *state = (steepest_descent_state_t *) vstate;
state->x1 = gsl_vector_alloc (n);
if (state->x1 == NULL)
{
GSL_ERROR ("failed to allocate space for x1", GSL_ENOMEM);
}
state->g1 = gsl_vector_alloc (n);
if (state->g1 == NULL)
{
gsl_vector_free (state->x1);
GSL_ERROR ("failed to allocate space for g1", GSL_ENOMEM);
}
return GSL_SUCCESS;
}
static int
steepest_descent_set (void *vstate, gsl_multimin_function_fdf * fdf,
const gsl_vector * x, double *f,
gsl_vector * gradient, double step_size, double tol)
{
steepest_descent_state_t *state = (steepest_descent_state_t *) vstate;
GSL_MULTIMIN_FN_EVAL_F_DF (fdf, x, f, gradient);
state->step = step_size;
state->max_step = step_size;
state->tol = tol;
return GSL_SUCCESS;
}
static void
steepest_descent_free (void *vstate)
{
steepest_descent_state_t *state = (steepest_descent_state_t *) vstate;
gsl_vector_free (state->x1);
gsl_vector_free (state->g1);
}
static int
steepest_descent_restart (void *vstate)
{
steepest_descent_state_t *state = (steepest_descent_state_t *) vstate;
state->step = state->max_step;
return GSL_SUCCESS;
}
static int
steepest_descent_iterate (void *vstate, gsl_multimin_function_fdf * fdf,
gsl_vector * x, double *f,
gsl_vector * gradient, gsl_vector * dx)
{
steepest_descent_state_t *state = (steepest_descent_state_t *) vstate;
gsl_vector *x1 = state->x1;
gsl_vector *g1 = state->g1;
double f0 = *f;
double f1;
double step = state->step, tol = state->tol;
int failed = 0;
/* compute new trial point at x1= x - step * dir, where dir is the
normalized gradient */
double gnorm = gsl_blas_dnrm2 (gradient);
if (gnorm == 0.0)
{
gsl_vector_set_zero (dx);
return GSL_ENOPROG;
}
trial:
gsl_vector_set_zero (dx);
gsl_blas_daxpy (-step / gnorm, gradient, dx);
gsl_vector_memcpy (x1, x);
gsl_blas_daxpy (1.0, dx, x1);
if (gsl_vector_equal (x, x1))
{
return GSL_ENOPROG;
}
/* evaluate function and gradient at new point x1 */
GSL_MULTIMIN_FN_EVAL_F_DF (fdf, x1, &f1, g1);
if (f1 > f0)
{
/* downhill step failed, reduce step-size and try again */
failed = 1;
step *= tol;
goto trial;
}
if (failed)
step *= tol;
else
step *= 2.0;
state->step = step;
gsl_vector_memcpy (x, x1);
gsl_vector_memcpy (gradient, g1);
*f = f1;
return GSL_SUCCESS;
}
static const gsl_multimin_fdfminimizer_type steepest_descent_type =
{ "steepest_descent", /* name */
sizeof (steepest_descent_state_t),
&steepest_descent_alloc,
&steepest_descent_set,
&steepest_descent_iterate,
&steepest_descent_restart,
&steepest_descent_free
};
const gsl_multimin_fdfminimizer_type
* gsl_multimin_fdfminimizer_steepest_descent = &steepest_descent_type;
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