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GSLNLSMinimizer.h
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1// @(#)root/mathmore:$Id$
2// Author: L. Moneta Wed Dec 20 17:16:32 2006
3
4/**********************************************************************
5 * *
6 * Copyright (c) 2006 LCG ROOT Math Team, CERN/PH-SFT *
7 * *
8 * This library is free software; you can redistribute it and/or *
9 * modify it under the terms of the GNU General Public License *
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13 * This library is distributed in the hope that it will be useful, *
14 * but WITHOUT ANY WARRANTY; without even the implied warranty of *
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16 * General Public License for more details. *
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18 * You should have received a copy of the GNU General Public License *
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24
25// Header file for class GSLNLSMinimizer
26
27#ifndef ROOT_Math_GSLNLSMinimizer
28#define ROOT_Math_GSLNLSMinimizer
29
30
31
32#include "Math/BasicMinimizer.h"
33
34
35#include "Math/IFunctionfwd.h"
36
38
40
42
43
44#include <vector>
45#include <map>
46#include <string>
47
48namespace ROOT {
49
50 namespace Math {
51
52 class GSLMultiFit;
53
54
55//________________________________________________________________________________
56/**
57 LSResidualFunc class description.
58 Internal class used for accessing the residuals of the Least Square function
59 and their derivates which are estimated numerically using GSL numerical derivation.
60 The class contains a pointer to the fit method function and an index specifying
61 the i-th residual and wraps it in a multi-dim gradient function interface
62 ROOT::Math::IGradientFunctionMultiDim.
63 The class is used by ROOT::Math::GSLNLSMinimizer (GSL non linear least square fitter)
64
65 @ingroup MultiMin
66*/
68public:
69
70 //default ctor (required by CINT)
72 {}
73
74
75 LSResidualFunc(const ROOT::Math::FitMethodFunction & func, unsigned int i) :
76 fIndex(i),
77 fChi2(&func),
78 fX2(std::vector<double>(func.NDim() ) )
79 {}
80
81
82 // copy ctor
86 {
87 operator=(rhs);
88 }
89
90 // assignment
92 {
93 fIndex = rhs.fIndex;
94 fChi2 = rhs.fChi2;
95 fX2 = rhs.fX2;
96 return *this;
97 }
98
100 return new LSResidualFunc(*fChi2,fIndex);
101 }
102
103 unsigned int NDim() const { return fChi2->NDim(); }
104
105 void Gradient( const double * x, double * g) const {
106 double f0 = 0;
107 FdF(x,f0,g);
108 }
109
110 void FdF (const double * x, double & f, double * g) const {
111 unsigned int n = NDim();
112 std::copy(x,x+n,fX2.begin());
113 const double kEps = 1.0E-4;
114 f = DoEval(x);
115 for (unsigned int i = 0; i < n; ++i) {
116 fX2[i] += kEps;
117 g[i] = ( DoEval(&fX2.front()) - f )/kEps;
118 fX2[i] = x[i];
119 }
120 }
121
122
123private:
124
125 double DoEval (const double * x) const {
126 return fChi2->DataElement(x, fIndex);
127 }
128
129 double DoDerivative(const double * x, unsigned int icoord) const {
130 //return ROOT::Math::Derivator::Eval(*this, x, icoord, 1E-8);
131 std::copy(x,x+NDim(),fX2.begin());
132 const double kEps = 1.0E-4;
133 fX2[icoord] += kEps;
134 return ( DoEval(&fX2.front()) - DoEval(x) )/kEps;
135 }
136
137 unsigned int fIndex;
139 mutable std::vector<double> fX2; // cached vector
140};
141
142
143//_____________________________________________________________________________________________________
144/**
145 GSLNLSMinimizer class for Non Linear Least Square fitting
146 It Uses the Levemberg-Marquardt algorithm from
147 <A HREF="http://www.gnu.org/software/gsl/manual/html_node/Nonlinear-Least_002dSquares-Fitting.html">
148 GSL Non Linear Least Square fitting</A>.
149
150 @ingroup MultiMin
151*/
153
154public:
155
156 /**
157 Default constructor
158 */
159 GSLNLSMinimizer (int type = 0);
160
161 /**
162 Destructor (no operations)
163 */
165
166private:
167 // usually copying is non trivial, so we make this unaccessible
168
169 /**
170 Copy constructor
171 */
173
174 /**
175 Assignment operator
176 */
178 if (this == &rhs) return *this; // time saving self-test
179 return *this;
180 }
181
182public:
183
184 /// set the function to minimize
185 virtual void SetFunction(const ROOT::Math::IMultiGenFunction & func);
186
187 /// set gradient the function to minimize
188 virtual void SetFunction(const ROOT::Math::IMultiGradFunction & func);
189
190
191 /// method to perform the minimization
192 virtual bool Minimize();
193
194
195 /// return expected distance reached from the minimum
196 virtual double Edm() const { return fEdm; } // not impl. }
197
198
199 /// return pointer to gradient values at the minimum
200 virtual const double * MinGradient() const;
201
202 /// number of function calls to reach the minimum
203 virtual unsigned int NCalls() const { return (fChi2Func) ? fChi2Func->NCalls() : 0; }
204
205 /// number of free variables (real dimension of the problem)
206 /// this is <= Function().NDim() which is the total
207// virtual unsigned int NFree() const { return fNFree; }
208
209 /// minimizer provides error and error matrix
210 virtual bool ProvidesError() const { return true; }
211
212 /// return errors at the minimum
213 virtual const double * Errors() const { return (fErrors.size() > 0) ? &fErrors.front() : 0; }
214// {
215// static std::vector<double> err;
216// err.resize(fDim);
217// return &err.front();
218// }
219
220 /** return covariance matrices elements
221 if the variable is fixed the matrix is zero
222 The ordering of the variables is the same as in errors
223 */
224 virtual double CovMatrix(unsigned int , unsigned int ) const;
225
226 /// return covariance matrix status
227 virtual int CovMatrixStatus() const;
228
229protected:
230
231
232private:
233
234 unsigned int fNFree; // dimension of the internal function to be minimized
235 unsigned int fSize; // number of fit points (residuals)
236
237 ROOT::Math::GSLMultiFit * fGSLMultiFit; // pointer to GSL multi fit solver
238 const ROOT::Math::FitMethodFunction * fChi2Func; // pointer to Least square function
239
240 double fEdm; // edm value
241 double fLSTolerance; // Line Search Tolerance
242 std::vector<double> fErrors;
243 std::vector<double> fCovMatrix; // cov matrix (stored as cov[ i * dim + j]
244 std::vector<LSResidualFunc> fResiduals; //! transient Vector of the residual functions
245
246
247
248};
249
250 } // end namespace Math
251
252} // end namespace ROOT
253
254
255#endif /* ROOT_Math_GSLNLSMinimizer */
#define f(i)
Definition: RSha256.hxx:104
#define g(i)
Definition: RSha256.hxx:105
int type
Definition: TGX11.cxx:120
FitMethodFunction class Interface for objective functions (like chi2 and likelihood used in the fit) ...
virtual double DataElement(const double *x, unsigned int i, double *g=0) const =0
method returning the data i-th contribution to the fit objective function For example the residual fo...
virtual unsigned int NCalls() const
return the total number of function calls (overrided if needed)
virtual unsigned int NDim() const
Number of dimension (parameters) .
Base Minimizer class, which defines the basic funcionality of various minimizer implementations (apar...
GSLMultiFit, internal class for implementing GSL non linear least square GSL fitting.
Definition: GSLMultiFit.h:52
GSLNLSMinimizer class for Non Linear Least Square fitting It Uses the Levemberg-Marquardt algorithm f...
const ROOT::Math::FitMethodFunction * fChi2Func
virtual bool Minimize()
method to perform the minimization
virtual bool ProvidesError() const
number of free variables (real dimension of the problem) this is <= Function().NDim() which is the to...
std::vector< double > fErrors
std::vector< LSResidualFunc > fResiduals
virtual double CovMatrix(unsigned int, unsigned int) const
return covariance matrices elements if the variable is fixed the matrix is zero The ordering of the v...
std::vector< double > fCovMatrix
virtual double Edm() const
return expected distance reached from the minimum
virtual int CovMatrixStatus() const
return covariance matrix status
virtual const double * Errors() const
return errors at the minimum
virtual unsigned int NCalls() const
number of function calls to reach the minimum
virtual const double * MinGradient() const
return pointer to gradient values at the minimum
GSLNLSMinimizer & operator=(const GSLNLSMinimizer &rhs)
Assignment operator.
GSLNLSMinimizer(int type=0)
Default constructor.
GSLNLSMinimizer(const GSLNLSMinimizer &)
Copy constructor.
ROOT::Math::GSLMultiFit * fGSLMultiFit
virtual void SetFunction(const ROOT::Math::IMultiGenFunction &func)
set the function to minimize
~GSLNLSMinimizer()
Destructor (no operations)
Documentation for the abstract class IBaseFunctionMultiDim.
Definition: IFunction.h:62
Interface (abstract class) for multi-dimensional functions providing a gradient calculation.
Definition: IFunction.h:327
LSResidualFunc class description.
double DoEval(const double *x) const
LSResidualFunc & operator=(const LSResidualFunc &rhs)
LSResidualFunc(const LSResidualFunc &rhs)
LSResidualFunc(const ROOT::Math::FitMethodFunction &func, unsigned int i)
unsigned int NDim() const
Retrieve the dimension of the function.
std::vector< double > fX2
void Gradient(const double *x, double *g) const
IMultiGenFunction * Clone() const
Clone a function.
const ROOT::Math::FitMethodFunction * fChi2
void FdF(const double *x, double &f, double *g) const
double DoDerivative(const double *x, unsigned int icoord) const
Double_t x[n]
Definition: legend1.C:17
const Int_t n
Definition: legend1.C:16
Namespace for new Math classes and functions.
Namespace for new ROOT classes and functions.
Definition: StringConv.hxx:21
STL namespace.