LevenbergMarquardt.hpp

// Unfit: Data fitting and optimization software
//
// Copyright (C) 2012- Dr Martin Buist & Dr Alberto Corrias
// Contacts: martin.buist _at_ nus.edu.sg; alberto _at_ nus.edu.sg
//
// See the 'Contributors' file for a list of those who have contributed
// to this work.
//
// This program 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 3 of the License, or
// (at your option) any later version.
//
// This program 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 program.  If not, see <http://www.gnu.org/licenses/>.
//
#ifndef UNFIT_INCLUDE_LEVENBERGMARQUARDT_HPP_
#define UNFIT_INCLUDE_LEVENBERGMARQUARDT_HPP_

#include <vector>
#include "Bounds.hpp"
#include "GenericCostFunction.hpp"
#include "GenericOptimizer.hpp"
#include "Matrix.hpp"
#include "Options.hpp"

namespace Unfit
{
class LevenbergMarquardt : public GenericOptimizer
{
  friend class TestLevenbergMarquardt;
 public:
  LevenbergMarquardt();

  virtual ~LevenbergMarquardt() {}

  int FindMin(GenericCostFunction &cost_function,
      std::vector<double> &coordinates) override;

  void Reset() override;

 private:
  std::vector<double> LoopUntilWithinBounds(
      const std::vector<double> &point, std::vector<double> &hlm);

  std::vector<double> CalculateResiduals(GenericCostFunction &cost_function,
      const std::vector<double> &coordinates);

  void FindJacobian(GenericCostFunction &cost_function,
      const std::vector<double> &residuals,
      const std::vector<double> &coordinates, bool one_sided_difference = true);

  void BroydenUpdate(const std::vector<double> &residuals_new,
      const std::vector<double> &residuals, const std::vector<double> &hlm,
      Matrix &jacobianT);

  Matrix jacobian_;
  // MB: I need to have a look to see if it is much slower if we just make the
  // jacobian locally each time we need it, rather than storing it as a member
  // variable (as it is probably cleaner - more pure).
  std::size_t dimensions_;
  std::size_t observation_size_;
  double stored_cost_;
};

}  // namespace Unfit

#endif