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merge both c methods lmder/lmder1 into one class LevenbergMarquardt with

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two methods.
This commit is contained in:
Thomas Capricelli 2009-08-25 13:40:45 +02:00
parent 86cb9364c9
commit 602b13815f
4 changed files with 144 additions and 85 deletions
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1
unsupported/Eigen/NonLinear
View File

@ -53,7 +53,6 @@ namespace Eigen {
#include "src/NonLinear/lmstr.h" #include "src/NonLinear/lmstr.h"
#include "src/NonLinear/lmdif.h" #include "src/NonLinear/lmdif.h"
#include "src/NonLinear/hybrj.h" #include "src/NonLinear/hybrj.h"
#include "src/NonLinear/lmder1.h"
#include "src/NonLinear/lmstr1.h" #include "src/NonLinear/lmstr1.h"
#include "src/NonLinear/hybrd1.h" #include "src/NonLinear/hybrd1.h"
#include "src/NonLinear/hybrj1.h" #include "src/NonLinear/hybrj1.h"

98
unsupported/Eigen/src/NonLinear/lmder.h
View File

@ -1,7 +1,74 @@
template<typename FunctorType, typename Scalar> template<typename FunctorType, typename Scalar>
int ei_lmder( class LevenbergMarquardt
const FunctorType &Functor, {
public:
LevenbergMarquardt(const FunctorType &_functor)
: functor(_functor) {}
int minimize(
Matrix< Scalar, Dynamic, 1 > &x,
Matrix< Scalar, Dynamic, 1 > &fvec,
const Scalar tol = ei_sqrt(epsilon<Scalar>())
);
int minimize(
Matrix< Scalar, Dynamic, 1 > &x,
Matrix< Scalar, Dynamic, 1 > &fvec,
int &nfev,
int &njev,
Matrix< Scalar, Dynamic, Dynamic > &fjac,
VectorXi &ipvt,
Matrix< Scalar, Dynamic, 1 > &qtf,
Matrix< Scalar, Dynamic, 1 > &diag,
int mode=1,
Scalar factor = 100.,
int maxfev = 400,
Scalar ftol = ei_sqrt(epsilon<Scalar>()),
Scalar xtol = ei_sqrt(epsilon<Scalar>()),
Scalar gtol = Scalar(0.),
int nprint=0
);
private:
const FunctorType &functor;
};
template<typename FunctorType, typename Scalar>
int LevenbergMarquardt<FunctorType,Scalar>::minimize(
Matrix< Scalar, Dynamic, 1 > &x,
Matrix< Scalar, Dynamic, 1 > &fvec,
const Scalar tol
)
{
const int n = x.size(), m=fvec.size();
int info, nfev=0, njev=0;
Matrix< Scalar, Dynamic, Dynamic > fjac(m, n);
Matrix< Scalar, Dynamic, 1> diag, qtf;
VectorXi ipvt(n);
/* check the input parameters for errors. */
if (n <= 0 || m < n || tol < 0.) {
printf("ei_lmder1 bad args : m,n,tol,...");
return 0;
}
info = minimize(
x, fvec,
nfev, njev,
fjac, ipvt, qtf, diag,
1,
100.,
(n+1)*100,
tol, tol, Scalar(0.)
);
return (info==8)?4:info;
}
template<typename FunctorType, typename Scalar>
int LevenbergMarquardt<FunctorType,Scalar>::minimize(
Matrix< Scalar, Dynamic, 1 > &x, Matrix< Scalar, Dynamic, 1 > &x,
Matrix< Scalar, Dynamic, 1 > &fvec, Matrix< Scalar, Dynamic, 1 > &fvec,
int &nfev, int &nfev,
@ -10,13 +77,13 @@ int ei_lmder(
VectorXi &ipvt, VectorXi &ipvt,
Matrix< Scalar, Dynamic, 1 > &qtf, Matrix< Scalar, Dynamic, 1 > &qtf,
Matrix< Scalar, Dynamic, 1 > &diag, Matrix< Scalar, Dynamic, 1 > &diag,
int mode=1, int mode,
Scalar factor = 100., Scalar factor,
int maxfev = 400, int maxfev,
Scalar ftol = ei_sqrt(epsilon<Scalar>()), Scalar ftol,
Scalar xtol = ei_sqrt(epsilon<Scalar>()), Scalar xtol,
Scalar gtol = Scalar(0.), Scalar gtol,
int nprint=0 int nprint
) )
{ {
const int m = fvec.size(), n = x.size(); const int m = fvec.size(), n = x.size();
@ -57,7 +124,7 @@ int ei_lmder(
/* evaluate the function at the starting point */ /* evaluate the function at the starting point */
/* and calculate its norm. */ /* and calculate its norm. */
iflag = Functor.f(x, fvec); iflag = functor.f(x, fvec);
nfev = 1; nfev = 1;
if (iflag < 0) if (iflag < 0)
goto algo_end; goto algo_end;
@ -74,17 +141,17 @@ int ei_lmder(
/* calculate the jacobian matrix. */ /* calculate the jacobian matrix. */
iflag = Functor.df(x, fjac); iflag = functor.df(x, fjac);
++njev; ++njev;
if (iflag < 0) if (iflag < 0)
break; break;
/* if requested, call Functor.f to enable printing of iterates. */ /* if requested, call functor.f to enable printing of iterates. */
if (nprint > 0) { if (nprint > 0) {
iflag = 0; iflag = 0;
if ((iter - 1) % nprint == 0) if ((iter - 1) % nprint == 0)
iflag = Functor.debug(x, fvec, fjac); iflag = functor.debug(x, fvec, fjac);
if (iflag < 0) if (iflag < 0)
break; break;
} }
@ -180,7 +247,7 @@ int ei_lmder(
/* evaluate the function at x + p and calculate its norm. */ /* evaluate the function at x + p and calculate its norm. */
iflag = Functor.f(wa2, wa4); iflag = functor.f(wa2, wa4);
++nfev; ++nfev;
if (iflag < 0) if (iflag < 0)
goto algo_end; goto algo_end;
@ -277,7 +344,6 @@ algo_end:
if (iflag < 0) if (iflag < 0)
info = iflag; info = iflag;
if (nprint > 0) if (nprint > 0)
iflag = Functor.debug(x, fvec, fjac); iflag = functor.debug(x, fvec, fjac);
return info; return info;
} }

35
unsupported/Eigen/src/NonLinear/lmder1.h
View File

@ -1,35 +0,0 @@
template<typename FunctorType, typename Scalar>
int ei_lmder1(
const FunctorType &Functor,
Matrix< Scalar, Dynamic, 1 > &x,
Matrix< Scalar, Dynamic, 1 > &fvec,
VectorXi &ipvt,
const Scalar tol = ei_sqrt(epsilon<Scalar>())
)
{
const int n = x.size(), m=fvec.size();
int info, nfev=0, njev=0;
Matrix< Scalar, Dynamic, Dynamic > fjac(m, n);
Matrix< Scalar, Dynamic, 1> diag, qtf;
/* check the input parameters for errors. */
if (n <= 0 || m < n || tol < 0.) {
printf("ei_lmder1 bad args : m,n,tol,...");
return 0;
}
ipvt.resize(n);
info = ei_lmder(
Functor,
x, fvec,
nfev, njev,
fjac, ipvt, qtf, diag,
1,
100.,
(n+1)*100,
tol, tol, Scalar(0.)
);
return (info==8)?4:info;
}

95
unsupported/test/NonLinear.cpp
View File

@ -146,13 +146,14 @@ void testLmder1()
int m=15, n=3, info; int m=15, n=3, info;
VectorXd x(n), fvec(m); VectorXd x(n), fvec(m);
VectorXi ipvt;
/* the following starting values provide a rough fit. */ /* the following starting values provide a rough fit. */
x.setConstant(n, 1.); x.setConstant(n, 1.);
// do the computation // do the computation
info = ei_lmder1(lmder_functor(), x, fvec, ipvt); lmder_functor functor;
LevenbergMarquardt<lmder_functor,double> lm(functor);
info = lm.minimize(x, fvec);
// check return value // check return value
VERIFY( 1 == info); VERIFY( 1 == info);
@ -179,7 +180,9 @@ void testLmder()
x.setConstant(n, 1.); x.setConstant(n, 1.);
// do the computation // do the computation
info = ei_lmder(lmder_functor(), x, fvec, nfev, njev, fjac, ipvt, qtf, diag); lmder_functor functor;
LevenbergMarquardt<lmder_functor,double> lm(functor);
info = lm.minimize(x, fvec, nfev, njev, fjac, ipvt, qtf, diag);
// check return values // check return values
VERIFY( 1 == info); VERIFY( 1 == info);
@ -641,7 +644,9 @@ void testNistChwirut2(void)
*/ */
x<< 0.1, 0.01, 0.02; x<< 0.1, 0.01, 0.02;
// do the computation // do the computation
info = ei_lmder(chwirut2_functor(), x, fvec, nfev, njev, fjac, ipvt, qtf, diag); chwirut2_functor functor;
LevenbergMarquardt<chwirut2_functor,double> lm(functor);
info = lm.minimize(x, fvec, nfev, njev, fjac, ipvt, qtf, diag);
// check return value // check return value
VERIFY( 1 == info); VERIFY( 1 == info);
@ -659,7 +664,7 @@ void testNistChwirut2(void)
*/ */
x<< 0.15, 0.008, 0.010; x<< 0.15, 0.008, 0.010;
// do the computation // do the computation
info = ei_lmder(chwirut2_functor(), x, fvec, nfev, njev, fjac, ipvt, qtf, diag, info = lm.minimize(x, fvec, nfev, njev, fjac, ipvt, qtf, diag,
1, 100., 400, 1.E6*epsilon<double>(), 1.E6*epsilon<double>()); 1, 100., 400, 1.E6*epsilon<double>(), 1.E6*epsilon<double>());
// check return value // check return value
@ -718,7 +723,9 @@ void testNistMisra1a(void)
*/ */
x<< 500., 0.0001; x<< 500., 0.0001;
// do the computation // do the computation
info = ei_lmder(misra1a_functor(), x, fvec, nfev, njev, fjac, ipvt, qtf, diag); misra1a_functor functor;
LevenbergMarquardt<misra1a_functor,double> lm(functor);
info = lm.minimize(x, fvec, nfev, njev, fjac, ipvt, qtf, diag);
// check return value // check return value
VERIFY( 1 == info); VERIFY( 1 == info);
@ -735,7 +742,7 @@ void testNistMisra1a(void)
*/ */
x<< 250., 0.0005; x<< 250., 0.0005;
// do the computation // do the computation
info = ei_lmder(misra1a_functor(), x, fvec, nfev, njev, fjac, ipvt, qtf, diag); info = lm.minimize(x, fvec, nfev, njev, fjac, ipvt, qtf, diag);
// check return value // check return value
VERIFY( 1 == info); VERIFY( 1 == info);
@ -803,7 +810,9 @@ void testNistHahn1(void)
*/ */
x<< 10., -1., .05, -.00001, -.05, .001, -.000001; x<< 10., -1., .05, -.00001, -.05, .001, -.000001;
// do the computation // do the computation
info = ei_lmder(hahn1_functor(), x, fvec, nfev, njev, fjac, ipvt, qtf, diag); hahn1_functor functor;
LevenbergMarquardt<hahn1_functor,double> lm(functor);
info = lm.minimize(x, fvec, nfev, njev, fjac, ipvt, qtf, diag);
// check return value // check return value
VERIFY( 1 == info); VERIFY( 1 == info);
@ -825,7 +834,7 @@ void testNistHahn1(void)
*/ */
x<< .1, -.1, .005, -.000001, -.005, .0001, -.0000001; x<< .1, -.1, .005, -.000001, -.005, .0001, -.0000001;
// do the computation // do the computation
info = ei_lmder(hahn1_functor(), x, fvec, nfev, njev, fjac, ipvt, qtf, diag); info = lm.minimize(x, fvec, nfev, njev, fjac, ipvt, qtf, diag);
// check return value // check return value
VERIFY( 1 == info); VERIFY( 1 == info);
@ -888,7 +897,9 @@ void testNistMisra1d(void)
*/ */
x<< 500., 0.0001; x<< 500., 0.0001;
// do the computation // do the computation
info = ei_lmder(misra1d_functor(), x, fvec, nfev, njev, fjac, ipvt, qtf, diag); misra1d_functor functor;
LevenbergMarquardt<misra1d_functor,double> lm(functor);
info = lm.minimize(x, fvec, nfev, njev, fjac, ipvt, qtf, diag);
// check return value // check return value
VERIFY( 3 == info); VERIFY( 3 == info);
@ -905,7 +916,7 @@ void testNistMisra1d(void)
*/ */
x<< 450., 0.0003; x<< 450., 0.0003;
// do the computation // do the computation
info = ei_lmder(misra1d_functor(), x, fvec, nfev, njev, fjac, ipvt, qtf, diag); info = lm.minimize(x, fvec, nfev, njev, fjac, ipvt, qtf, diag);
// check return value // check return value
VERIFY( 1 == info); VERIFY( 1 == info);
@ -965,7 +976,9 @@ void testNistLanczos1(void)
*/ */
x<< 1.2, 0.3, 5.6, 5.5, 6.5, 7.6; x<< 1.2, 0.3, 5.6, 5.5, 6.5, 7.6;
// do the computation // do the computation
info = ei_lmder(lanczos1_functor(), x, fvec, nfev, njev, fjac, ipvt, qtf, diag); lanczos1_functor functor;
LevenbergMarquardt<lanczos1_functor,double> lm(functor);
info = lm.minimize(x, fvec, nfev, njev, fjac, ipvt, qtf, diag);
// check return value // check return value
VERIFY( 2 == info); VERIFY( 2 == info);
@ -986,7 +999,7 @@ void testNistLanczos1(void)
*/ */
x<< 0.5, 0.7, 3.6, 4.2, 4., 6.3; x<< 0.5, 0.7, 3.6, 4.2, 4., 6.3;
// do the computation // do the computation
info = ei_lmder(lanczos1_functor(), x, fvec, nfev, njev, fjac, ipvt, qtf, diag); info = lm.minimize(x, fvec, nfev, njev, fjac, ipvt, qtf, diag);
// check return value // check return value
VERIFY( 2 == info); VERIFY( 2 == info);
@ -1050,7 +1063,9 @@ void testNistRat42(void)
*/ */
x<< 100., 1., 0.1; x<< 100., 1., 0.1;
// do the computation // do the computation
info = ei_lmder(rat42_functor(), x, fvec, nfev, njev, fjac, ipvt, qtf, diag); rat42_functor functor;
LevenbergMarquardt<rat42_functor,double> lm(functor);
info = lm.minimize(x, fvec, nfev, njev, fjac, ipvt, qtf, diag);
// check return value // check return value
VERIFY( 1 == info); VERIFY( 1 == info);
@ -1068,7 +1083,7 @@ void testNistRat42(void)
*/ */
x<< 75., 2.5, 0.07; x<< 75., 2.5, 0.07;
// do the computation // do the computation
info = ei_lmder(rat42_functor(), x, fvec, nfev, njev, fjac, ipvt, qtf, diag); info = lm.minimize(x, fvec, nfev, njev, fjac, ipvt, qtf, diag);
// check return value // check return value
VERIFY( 1 == info); VERIFY( 1 == info);
@ -1127,7 +1142,9 @@ void testNistMGH10(void)
*/ */
x<< 2., 400000., 25000.; x<< 2., 400000., 25000.;
// do the computation // do the computation
info = ei_lmder(MGH10_functor(), x, fvec, nfev, njev, fjac, ipvt, qtf, diag); MGH10_functor functor;
LevenbergMarquardt<MGH10_functor,double> lm(functor);
info = lm.minimize(x, fvec, nfev, njev, fjac, ipvt, qtf, diag);
// check return value // check return value
VERIFY( 2 == info); VERIFY( 2 == info);
@ -1145,7 +1162,7 @@ void testNistMGH10(void)
*/ */
x<< 0.02, 4000., 250.; x<< 0.02, 4000., 250.;
// do the computation // do the computation
info = ei_lmder(MGH10_functor(), x, fvec, nfev, njev, fjac, ipvt, qtf, diag); info = lm.minimize(x, fvec, nfev, njev, fjac, ipvt, qtf, diag);
// check return value // check return value
VERIFY( 2 == info); VERIFY( 2 == info);
@ -1202,7 +1219,9 @@ void testNistBoxBOD(void)
*/ */
x<< 1., 1.; x<< 1., 1.;
// do the computation // do the computation
info = ei_lmder(BoxBOD_functor(), x, fvec, nfev, njev, fjac, ipvt, qtf, diag, BoxBOD_functor functor;
LevenbergMarquardt<BoxBOD_functor,double> lm(functor);
info = lm.minimize(x, fvec, nfev, njev, fjac, ipvt, qtf, diag,
1, 10., 400, 1E6*epsilon<double>(), 1E6*epsilon<double>()); 1, 10., 400, 1E6*epsilon<double>(), 1E6*epsilon<double>());
// check return value // check return value
@ -1220,7 +1239,7 @@ void testNistBoxBOD(void)
*/ */
x<< 100., 0.75; x<< 100., 0.75;
// do the computation // do the computation
info = ei_lmder(BoxBOD_functor(), x, fvec, nfev, njev, fjac, ipvt, qtf, diag, info = lm.minimize(x, fvec, nfev, njev, fjac, ipvt, qtf, diag,
1, 100., 14000, epsilon<double>(), epsilon<double>()); 1, 100., 14000, epsilon<double>(), epsilon<double>());
// check return value // check return value
@ -1279,8 +1298,9 @@ void testNistMGH17(void)
*/ */
x<< 50., 150., -100., 1., 2.; x<< 50., 150., -100., 1., 2.;
// do the computation // do the computation
info = ei_lmder(MGH17_functor(), MGH17_functor functor;
x, fvec, nfev, njev, fjac, ipvt, qtf, diag, LevenbergMarquardt<MGH17_functor,double> lm(functor);
info = lm.minimize(x, fvec, nfev, njev, fjac, ipvt, qtf, diag,
1, 100., 5000, epsilon<double>(), epsilon<double>()); 1, 100., 5000, epsilon<double>(), epsilon<double>());
// check return value // check return value
@ -1301,7 +1321,7 @@ void testNistMGH17(void)
*/ */
x<< 0.5 ,1.5 ,-1 ,0.01 ,0.02; x<< 0.5 ,1.5 ,-1 ,0.01 ,0.02;
// do the computation // do the computation
info = ei_lmder(MGH17_functor(), x, fvec, nfev, njev, fjac, ipvt, qtf, diag); info = lm.minimize(x, fvec, nfev, njev, fjac, ipvt, qtf, diag);
// check return value // check return value
VERIFY( 1 == info); VERIFY( 1 == info);
@ -1365,7 +1385,9 @@ void testNistMGH09(void)
*/ */
x<< 25., 39, 41.5, 39.; x<< 25., 39, 41.5, 39.;
// do the computation // do the computation
info = ei_lmder(MGH09_functor(), x, fvec, nfev, njev, fjac, ipvt, qtf, diag, MGH09_functor functor;
LevenbergMarquardt<MGH09_functor,double> lm(functor);
info = lm.minimize(x, fvec, nfev, njev, fjac, ipvt, qtf, diag,
1, 100., 5000); 1, 100., 5000);
// check return value // check return value
@ -1385,7 +1407,7 @@ void testNistMGH09(void)
*/ */
x<< 0.25, 0.39, 0.415, 0.39; x<< 0.25, 0.39, 0.415, 0.39;
// do the computation // do the computation
info = ei_lmder(MGH09_functor(), x, fvec, nfev, njev, fjac, ipvt, qtf, diag); info = lm.minimize(x, fvec, nfev, njev, fjac, ipvt, qtf, diag);
// check return value // check return value
VERIFY( 1 == info); VERIFY( 1 == info);
@ -1446,8 +1468,9 @@ void testNistBennett5(void)
*/ */
x<< -2000., 50., 0.8; x<< -2000., 50., 0.8;
// do the computation // do the computation
info = ei_lmder(Bennett5_functor(), x, fvec, nfev, njev, fjac, ipvt, qtf, diag, Bennett5_functor functor;
1, 100., 5000); LevenbergMarquardt<Bennett5_functor,double> lm(functor);
info = lm.minimize(x, fvec, nfev, njev, fjac, ipvt, qtf, diag, 1, 100., 5000);
// check return value // check return value
VERIFY( 1 == info); VERIFY( 1 == info);
@ -1464,7 +1487,7 @@ void testNistBennett5(void)
*/ */
x<< -1500., 45., 0.85; x<< -1500., 45., 0.85;
// do the computation // do the computation
info = ei_lmder(Bennett5_functor(), x, fvec, nfev, njev, fjac, ipvt, qtf, diag); info = lm.minimize(x, fvec, nfev, njev, fjac, ipvt, qtf, diag);
// check return value // check return value
VERIFY( 1 == info); VERIFY( 1 == info);
@ -1531,7 +1554,9 @@ void testNistThurber(void)
*/ */
x<< 1000 ,1000 ,400 ,40 ,0.7,0.3,0.0 ; x<< 1000 ,1000 ,400 ,40 ,0.7,0.3,0.0 ;
// do the computation // do the computation
info = ei_lmder(thurber_functor(), x, fvec, nfev, njev, fjac, ipvt, qtf, diag, thurber_functor functor;
LevenbergMarquardt<thurber_functor,double> lm(functor);
info = lm.minimize(x, fvec, nfev, njev, fjac, ipvt, qtf, diag,
1, 100., 400, 1.E4*epsilon<double>(), 1.E4*epsilon<double>()); 1, 100., 400, 1.E4*epsilon<double>(), 1.E4*epsilon<double>());
// check return value // check return value
@ -1554,7 +1579,7 @@ void testNistThurber(void)
*/ */
x<< 1300 ,1500 ,500 ,75 ,1 ,0.4 ,0.05 ; x<< 1300 ,1500 ,500 ,75 ,1 ,0.4 ,0.05 ;
// do the computation // do the computation
info = ei_lmder(thurber_functor(), x, fvec, nfev, njev, fjac, ipvt, qtf, diag, info = lm.minimize(x, fvec, nfev, njev, fjac, ipvt, qtf, diag,
1, 100., 400, 1.E4*epsilon<double>(), 1.E4*epsilon<double>()); 1, 100., 400, 1.E4*epsilon<double>(), 1.E4*epsilon<double>());
// check return value // check return value
@ -1619,7 +1644,9 @@ void testNistRat43(void)
*/ */
x<< 100., 10., 1., 1.; x<< 100., 10., 1., 1.;
// do the computation // do the computation
info = ei_lmder(rat43_functor(), x, fvec, nfev, njev, fjac, ipvt, qtf, diag, rat43_functor functor;
LevenbergMarquardt<rat43_functor,double> lm(functor);
info = lm.minimize(x, fvec, nfev, njev, fjac, ipvt, qtf, diag,
1, 100., 400, 1.E6*epsilon<double>(), 1.E6*epsilon<double>()); 1, 100., 400, 1.E6*epsilon<double>(), 1.E6*epsilon<double>());
// check return value // check return value
@ -1639,7 +1666,7 @@ void testNistRat43(void)
*/ */
x<< 700., 5., 0.75, 1.3; x<< 700., 5., 0.75, 1.3;
// do the computation // do the computation
info = ei_lmder(rat43_functor(), x, fvec, nfev, njev, fjac, ipvt, qtf, diag, info = lm.minimize(x, fvec, nfev, njev, fjac, ipvt, qtf, diag,
1, 100., 400, 1.E5*epsilon<double>(), 1.E5*epsilon<double>()); 1, 100., 400, 1.E5*epsilon<double>(), 1.E5*epsilon<double>());
// check return value // check return value
@ -1702,7 +1729,9 @@ void testNistEckerle4(void)
*/ */
x<< 1., 10., 500.; x<< 1., 10., 500.;
// do the computation // do the computation
info = ei_lmder(eckerle4_functor(), x, fvec, nfev, njev, fjac, ipvt, qtf, diag); eckerle4_functor functor;
LevenbergMarquardt<eckerle4_functor,double> lm(functor);
info = lm.minimize(x, fvec, nfev, njev, fjac, ipvt, qtf, diag);
// check return value // check return value
VERIFY( 1 == info); VERIFY( 1 == info);
@ -1720,7 +1749,7 @@ void testNistEckerle4(void)
*/ */
x<< 1.5, 5., 450.; x<< 1.5, 5., 450.;
// do the computation // do the computation
info = ei_lmder(eckerle4_functor(), x, fvec, nfev, njev, fjac, ipvt, qtf, diag); info = lm.minimize(x, fvec, nfev, njev, fjac, ipvt, qtf, diag);
// check return value // check return value
VERIFY( 1 == info); VERIFY( 1 == info);