GSLMultiMinimizer.h

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// @(#)root/mathmore:$Id: GSLMultiMinimizer.h 25486 2008-09-22 12:43:03Z moneta $
// Author: L. Moneta Tue Dec 19 14:09:15 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 GSLMultiMinimizer

#ifndef ROOT_Math_GSLMultiMinimizer
#define ROOT_Math_GSLMultiMinimizer

#include "gsl/gsl_vector.h"
#include "gsl/gsl_multimin.h"
#include "GSLMultiMinFunctionWrapper.h"

#include "Math/Error.h"

#include "Math/IFunction.h"

#include <cassert> 

namespace ROOT { 

   namespace Math { 


/** 
   GSLMultiMinimizer class , for minimizing multi-dimensional function 
   using derivatives 

   @ingroup MultiMin

*/ 
class GSLMultiMinimizer {

public: 

   /** 
      Default constructor
   */ 
   GSLMultiMinimizer (ROOT::Math::EGSLMinimizerType type)  : 
      fMinimizer(0),
      fType(0),
      fVec(0)
   {
      switch(type)
      {
      case ROOT::Math::kConjugateFR :
         fType = gsl_multimin_fdfminimizer_conjugate_fr; 
         break; 
      case ROOT::Math::kConjugatePR : 
         fType = gsl_multimin_fdfminimizer_conjugate_pr; 
         break;
      case ROOT::Math::kVectorBFGS : 
         fType = gsl_multimin_fdfminimizer_vector_bfgs; 
         break; 
      case ROOT::Math::kVectorBFGS2 : 
#if defined (GSL_VERSION_NUM) && GSL_VERSION_NUM >= 1009 
         // bfgs2 is available only for v>= 1.9 
         fType = gsl_multimin_fdfminimizer_vector_bfgs2; 
#else 
         MATH_INFO_MSG("GSLMultiMinimizer","minimizer BFSG2 does not exist with this GSL version , use BFGS");
         fType = gsl_multimin_fdfminimizer_vector_bfgs;
#endif 
         break; 
      case ROOT::Math::kSteepestDescent:
         fType = gsl_multimin_fdfminimizer_steepest_descent; 
         break; 
      default: 
         fType = gsl_multimin_fdfminimizer_conjugate_fr; 
         break; 
      }
                                     
   }

   /** 
      Destructor 
   */ 
   ~GSLMultiMinimizer ()  {
      if (fMinimizer != 0 ) gsl_multimin_fdfminimizer_free(fMinimizer); 
      // can free vector (is copied inside)
      if (fVec != 0) gsl_vector_free(fVec); 
   }  

private:
   // usually copying is non trivial, so we make this unaccessible

   /** 
      Copy constructor
   */ 
   GSLMultiMinimizer(const GSLMultiMinimizer &) {} 

   /** 
      Assignment operator
   */ 
   GSLMultiMinimizer & operator = (const GSLMultiMinimizer & rhs)  {
      if (this == &rhs) return *this;  // time saving self-test
      return *this;
   }

public: 

   /**
      set the function to be minimize the initial minimizer parameters, 
      step size and tolerance in the line search 
    */ 
   int Set(const ROOT::Math::IMultiGradFunction & func, const double * x, double stepSize, double tol) { 
      // create function wrapper
      fFunc.SetFunction(func); 
      // create minimizer object (free previous one if already existing) 
      unsigned int ndim = func.NDim(); 
      CreateMinimizer( ndim ); 
      // set initial values 
      if (fVec != 0) gsl_vector_free(fVec);   
      fVec = gsl_vector_alloc( ndim ); 
      std::copy(x,x+ndim, fVec->data); 
      assert(fMinimizer != 0); 
      return gsl_multimin_fdfminimizer_set(fMinimizer, fFunc.GetFunc(), fVec, stepSize, tol); 
   }

   /// create the minimizer from the type and size 
   void CreateMinimizer(unsigned int n) { 
      if (fMinimizer) gsl_multimin_fdfminimizer_free(fMinimizer); 
      fMinimizer = gsl_multimin_fdfminimizer_alloc(fType, n);
   }  

   std::string Name() const { 
      if (fMinimizer == 0) return "undefined";
      return std::string(gsl_multimin_fdfminimizer_name(fMinimizer) ); 
   }
   
   int Iterate() { 
      if (fMinimizer == 0) return -1; 
      return gsl_multimin_fdfminimizer_iterate(fMinimizer); 
   }

   /// x values at the minimum 
   double * X() const { 
      if (fMinimizer == 0) return 0; 
      gsl_vector * x =  gsl_multimin_fdfminimizer_x(fMinimizer);       
      return x->data; 
   } 

   /// function value at the minimum 
   double Minimum() const { 
      if (fMinimizer == 0) return 0; 
      return gsl_multimin_fdfminimizer_minimum(fMinimizer);       
   }

   /// gradient value at the minimum 
   double * Gradient() const { 
      if (fMinimizer == 0) return 0; 
      gsl_vector * g =  gsl_multimin_fdfminimizer_gradient(fMinimizer);       
      return g->data; 
   }

   /// restart minimization from current point
   int Restart() { 
      if (fMinimizer == 0) return -1; 
      return gsl_multimin_fdfminimizer_restart(fMinimizer); 
   }

   /// test gradient (ask from minimizer gradient vector) 
   int TestGradient(double absTol) const { 
      if (fMinimizer == 0) return -1; 
      gsl_vector * g =  gsl_multimin_fdfminimizer_gradient(fMinimizer);       
      return gsl_multimin_test_gradient( g, absTol);      
   }

   /// test gradient (require a vector gradient) 
   int TestGradient(const double * g, double absTol) const { 
      if (fVec == 0 ) return -1; 
      unsigned int n = fVec->size; 
      if (n == 0 ) return -1; 
      std::copy(g,g+n, fVec->data);
      return gsl_multimin_test_gradient( fVec, absTol);      
   }


private: 

   gsl_multimin_fdfminimizer * fMinimizer; 
   GSLMultiMinDerivFunctionWrapper fFunc; 
   const gsl_multimin_fdfminimizer_type * fType; 
   // cached vector to avoid re-allocating every time a new one
   mutable gsl_vector * fVec; 

}; 

   } // end namespace Math

} // end namespace ROOT


#endif /* ROOT_Math_GSLMultiMinimizer */

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