MnPosDef.cxx

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// @(#)root/minuit2:$Id: MnPosDef.cxx 27589 2009-02-24 11:23:44Z moneta $
// Authors: M. Winkler, F. James, L. Moneta, A. Zsenei   2003-2005  

/**********************************************************************
 *                                                                    *
 * Copyright (c) 2005 LCG ROOT Math team,  CERN/PH-SFT                *
 *                                                                    *
 **********************************************************************/

#include "Minuit2/MnPosDef.h"
#include "Minuit2/MinimumState.h"
#include "Minuit2/MnMachinePrecision.h"

#if defined(DEBUG) || defined(WARNINGMSG)
#include "Minuit2/MnPrint.h" 
#endif

#include <algorithm>


namespace ROOT {

   namespace Minuit2 {


LAVector eigenvalues(const LASymMatrix&);


MinimumState MnPosDef::operator()(const MinimumState& st, const MnMachinePrecision& prec) const {
   // interface from minimum state  
   MinimumError err = (*this)(st.Error(), prec);
   return MinimumState(st.Parameters(), err, st.Gradient(), st.Edm(), st.NFcn());
}

MinimumError MnPosDef::operator()(const MinimumError& e, const MnMachinePrecision& prec) const {
   // make error matrix positive defined returning a new corrected minimum error state

   MnAlgebraicSymMatrix err(e.InvHessian());
   if(err.size() == 1 && err(0,0) < prec.Eps()) {
      err(0,0) = 1.;
      return MinimumError(err, MinimumError::MnMadePosDef());
   } 
   if(err.size() == 1 && err(0,0) > prec.Eps()) {
      return e;
   } 
   //   std::cout<<"MnPosDef init matrix= "<<err<<std::endl;
   
   double epspdf = std::max(1.e-6, prec.Eps2());
   double dgmin = err(0,0);
   
   for(unsigned int i = 0; i < err.Nrow(); i++) {
#ifdef WARNINGMSG
      if(err(i,i) <= 0 /* prec.Eps2() */ ) 
         MN_INFO_VAL2("negative or zero diagonal element in covariance matrix",i);
#endif
      if(err(i,i) < dgmin) dgmin = err(i,i);
   }
   double dg = 0.;
   if(dgmin <= 0) {
      //dg = 1. + epspdf - dgmin; 
      dg = 0.5 + epspdf - dgmin; 
      //     dg = 0.5*(1. + epspdf - dgmin); 
#ifdef WARNINGMSG
      MN_INFO_VAL2("added to diagonal of Error matrix a value",dg);
#endif
      //std::cout << "Error matrix " << err << std::endl;
   }
   
   MnAlgebraicVector s(err.Nrow());
   MnAlgebraicSymMatrix p(err.Nrow());
   for(unsigned int i = 0; i < err.Nrow(); i++) {
      err(i,i) += dg;
      if(err(i,i) < 0.) err(i,i) = 1.;
      s(i) = 1./sqrt(err(i,i));
      for(unsigned int j = 0; j <= i; j++) {
         p(i,j) = err(i,j)*s(i)*s(j);
      }
   }
   
   //std::cout<<"MnPosDef p: "<<p<<std::endl;
   MnAlgebraicVector eval = eigenvalues(p);
   double pmin = eval(0);
   double pmax = eval(eval.size() - 1);
   //std::cout<<"pmin= "<<pmin<<" pmax= "<<pmax<<std::endl;
   pmax = std::max(fabs(pmax), 1.);
   if(pmin > epspdf*pmax) return MinimumError(err, e.Dcovar());
   
   double padd = 0.001*pmax - pmin;
#ifdef DEBUG
   std::cout<<"eigenvalues: "<<std::endl;
#endif
   for(unsigned int i = 0; i < err.Nrow(); i++) {
      err(i,i) *= (1. + padd);
#ifdef DEBUG
      std::cout<<eval(i)<<std::endl;
#endif
   }
   //   std::cout<<"MnPosDef final matrix: "<<err<<std::endl;
#ifdef WARNINGMSG
   MN_INFO_VAL2("matrix forced pos-def by adding to diagonal",padd);
#endif
   return MinimumError(err, MinimumError::MnMadePosDef());
}

   }  // namespace Minuit2

}  // namespace ROOT

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