84 lines
1.8 KiB
C++
84 lines
1.8 KiB
C++
#include <cmath>
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#include <limits>
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#include "nr.h"
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using namespace std;
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void NR::dfpmin(Vec_IO_DP &p, const DP gtol, int &iter, DP &fret,
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DP func(Vec_I_DP &), void dfunc(Vec_I_DP &, Vec_O_DP &))
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{
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const int ITMAX=200;
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const DP EPS=numeric_limits<DP>::epsilon();
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const DP TOLX=4*EPS,STPMX=100.0;
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bool check;
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int i,its,j;
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DP den,fac,fad,fae,fp,stpmax,sum=0.0,sumdg,sumxi,temp,test;
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int n=p.size();
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Vec_DP dg(n),g(n),hdg(n),pnew(n),xi(n);
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Mat_DP hessin(n,n);
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fp=func(p);
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dfunc(p,g);
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for (i=0;i<n;i++) {
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for (j=0;j<n;j++) hessin[i][j]=0.0;
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hessin[i][i]=1.0;
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xi[i] = -g[i];
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sum += p[i]*p[i];
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}
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stpmax=STPMX*MAX(sqrt(sum),DP(n));
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for (its=0;its<ITMAX;its++) {
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iter=its;
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lnsrch(p,fp,g,xi,pnew,fret,stpmax,check,func);
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fp=fret;
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for (i=0;i<n;i++) {
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xi[i]=pnew[i]-p[i];
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p[i]=pnew[i];
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}
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test=0.0;
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for (i=0;i<n;i++) {
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temp=fabs(xi[i])/MAX(fabs(p[i]),1.0);
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if (temp > test) test=temp;
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}
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if (test < TOLX)
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return;
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for (i=0;i<n;i++) dg[i]=g[i];
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dfunc(p,g);
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test=0.0;
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den=MAX(fret,1.0);
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for (i=0;i<n;i++) {
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temp=fabs(g[i])*MAX(fabs(p[i]),1.0)/den;
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if (temp > test) test=temp;
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}
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if (test < gtol)
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return;
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for (i=0;i<n;i++) dg[i]=g[i]-dg[i];
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for (i=0;i<n;i++) {
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hdg[i]=0.0;
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for (j=0;j<n;j++) hdg[i] += hessin[i][j]*dg[j];
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}
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fac=fae=sumdg=sumxi=0.0;
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for (i=0;i<n;i++) {
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fac += dg[i]*xi[i];
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fae += dg[i]*hdg[i];
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sumdg += SQR(dg[i]);
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sumxi += SQR(xi[i]);
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}
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if (fac > sqrt(EPS*sumdg*sumxi)) {
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fac=1.0/fac;
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fad=1.0/fae;
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for (i=0;i<n;i++) dg[i]=fac*xi[i]-fad*hdg[i];
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for (i=0;i<n;i++) {
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for (j=i;j<n;j++) {
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hessin[i][j] += fac*xi[i]*xi[j]
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-fad*hdg[i]*hdg[j]+fae*dg[i]*dg[j];
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hessin[j][i]=hessin[i][j];
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}
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}
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}
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for (i=0;i<n;i++) {
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xi[i]=0.0;
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for (j=0;j<n;j++) xi[i] -= hessin[i][j]*g[j];
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}
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}
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nrerror("too many iterations in dfpmin");
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}
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