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|
open Gsl_fun
let _ =
Gsl_error.init ()
let parab a b =
let f ~x =
let xa = x.{0} -. a in
let yb = x.{1} -. b in
10. *. xa *. xa +. 20. *. yb *. yb +. 30.
in
let df ~x ~g =
g.{0} <- 20. *. (x.{0} -. a) ;
g.{1} <- 40. *. (x.{1} -. b)
in
let fdf ~x ~g =
let xa = x.{0} -. a in
let yb = x.{1} -. b in
g.{0} <- 20. *. xa ;
g.{1} <- 40. *. yb ;
10. *. xa *. xa +. 20. *. yb *. yb +. 30.
in
{ multim_f = f;
multim_df = df ;
multim_fdf = fdf ;
}
let epsabs = 1e-3
let maxiter = 50
let print_state n =
let x = Gsl_vector.create n in
let g = Gsl_vector.create n in
fun mini iter ->
let f = Gsl_multimin.Deriv.minimum ~x ~g mini in
Printf.printf "%5d x=%.5f y=%.5f f=%10.5f g0=%.5g g1=%.5g\n"
iter x.{0} x.{1} f g.{0} g.{1}
let mini kind gf start ~step ~tol=
let minim = Gsl_multimin.Deriv.make kind 2 gf
~x:(Gsl_vector.of_array start) ~step ~tol in
let print_state = print_state 2 in
let rec proc iter =
Gsl_multimin.Deriv.iterate minim ;
let status = Gsl_multimin.Deriv.test_gradient minim epsabs in
match status with
| true ->
Printf.printf "Minimum found at:\n" ;
print_state minim iter
| false when iter >= maxiter ->
print_state minim iter ;
Printf.printf "Too many iterations\n" ;
| false ->
print_state minim iter ;
proc (succ iter)
in
Printf.printf "minimizer: %s\n" (Gsl_multimin.Deriv.name minim) ;
proc 1
let print_state_simplex n =
let x = Gsl_vector.create n in
fun mini iter ->
let f = Gsl_multimin.NoDeriv.minimum ~x mini in
let ssval = Gsl_multimin.NoDeriv.size mini in
Printf.printf "%5d x=%10.3f y=%10.3f f()=%-10.3f ssize=%.3f\n"
iter x.{0} x.{1} f ssval
let mini_simplex kind gf ~start ~step_size =
let minim = Gsl_multimin.NoDeriv.make kind 2 gf
~x:(Gsl_vector.of_array start)
~step_size:(Gsl_vector.of_array step_size) in
let print_state = print_state_simplex 2 in
let rec proc iter =
Gsl_multimin.NoDeriv.iterate minim ;
let status = Gsl_multimin.NoDeriv.test_size minim epsabs in
match status with
| true ->
Printf.printf "Minimum found at:\n" ;
print_state minim iter
| false when iter >= maxiter ->
print_state minim iter ;
Printf.printf "Too many iterations\n" ;
| false ->
print_state minim iter ;
proc (succ iter)
in
Printf.printf "minimizer: %s\n" (Gsl_multimin.NoDeriv.name minim) ;
proc 1
open Gsl_multimin.Deriv
let _ =
List.iter
(fun kind ->
mini kind (parab 1. 2.) [| 5. ; 7. |] 0.01 1e-4 ;
print_newline () ;
flush stdout)
[ CONJUGATE_FR ;
CONJUGATE_PR ;
VECTOR_BFGS ;
STEEPEST_DESCENT ; ] ;
mini_simplex Gsl_multimin.NoDeriv.NM_SIMPLEX
(parab 1. 2.).multim_f
~start:[| 5. ; 7. |]
~step_size:[| 1. ; 1. |]
|
