/************************lmdif*************************/ /* * Solves or minimizes the sum of squares of m nonlinear * functions of n variables. * * From public domain Fortran version * of Argonne National Laboratories MINPACK * * C translation by Steve Moshier */ /****************Sample main program******************/ #define BUG 0 #define N 4 #define M 4 double ftol = 1.0e-14; double xtol = 1.0e-14; double gtol = 1.0e-14; double epsfcn = 1.0e-15; double factor = 0.1; double x[N] = {0.0}; double fvec[M] = {0.0}; double diag[N] = {0.0}; double fjac[M*N] = {0.0}; double qtf[N] = {0.0}; double wa1[N] = {0.0}; double wa2[N] = {0.0}; double wa3[N] = {0.0}; double wa4[M] = {0.0}; int ipvt[N] = {0}; int maxfev = 200 * (N+1); /* resolution of arithmetic */ double MACHEP = 1.2e-16; extern double MACHEP; /* smallest nonzero number */ double DWARF = 1.0e-38; extern double DWARF; int fcn(); char *infmsg[] = { "improper input parameters", "the relative error in the sum of squares is at most tol", "the relative error between x and the solution is at most tol", "conditions for info = 1 and info = 2 both hold", "fvec is orthogonal to the columns of the jacobian to machine precision", "number of calls to fcn has reached or exceeded 200*(n+1)", "tol is too small. no further reduction in the sum of squares is possible", "tol too small. no further improvement in approximate solution x possible" }; double enorm(); main() { int m,n,info; /* * fcn is the name of the user-supplied subroutine which * calculates the functions. fcn must be declared * in an external statement in the user calling * program, and should be written as follows. * * subroutine fcn(m,n,x,fvec,iflag) * integer m,n,iflag * double precision x(n),fvec(m) * ---------- * calculate the functions at x and * return this vector in fvec. * ---------- * return * end * * the value of iflag should not be changed by fcn unless * the user wants to terminate execution of lmdif1. * in this case set iflag to a negative integer. * * m is a positive integer input variable set to the number * of functions. * * n is a positive integer input variable set to the number * of variables. n must not exceed m. * * x is an array of length n. on input x must contain * an initial estimate of the solution vector. on output x * contains the final estimate of the solution vector. * * fvec is an output array of length m which contains * the functions evaluated at the output x. * * * argonne national laboratory. minpack project. march 1980. * burton s. garbow, kenneth e. hillstrom, jorge j. more * * ********** */ int mode,nfev,nprint; int iflag, ldfjac; static double zero = 0.0; n = N; m = M; fcn(m, n, x, fvec, &iflag); printf( "initial x\n" ); pmat( 1, n, x ); /* display 1 by n matrix */ printf( "initial function\n" ); pmat( 1, m, fvec ); /* Call lmdif. */ ldfjac = m; mode = 1; nprint = 1; info = 0; lmdif(m,n,x,fvec,ftol,xtol,gtol,maxfev,epsfcn, diag,mode,factor,nprint,&info,&nfev,fjac, ldfjac,ipvt,qtf,wa1,wa2,wa3,wa4); printf( "%d function evalutations\n", nfev ); /* display solution and function vector */ printf( "x\n" ); pmat( 1, n, x ); printf( "fvec\n" ); pmat( 1, m, fvec ); printf( "function norm = %.15e\n", enorm(m, fvec) ); /* display info returned by lmdif */ if(info >= 8) info = 4; printf( "%s\n", infmsg[info] ); } /***********Sample of user supplied function**************** * m = number of functions * n = number of variables * x = vector of function arguments * fvec = vector of function values * iflag = error return variable */ fcn(m,n,x,fvec,iflag) int m,n; int *iflag; double x[],fvec[]; { double temp; double exp(), sin(), log(); /* an arbitrary test function: */ fvec[0] = 1.0 - 0.3 * x[0] + 0.9 * x[1] - 1.7 * x[2] +log(1.5+x[3]); fvec[1] = sin(-4.0*x[0] ) - 3.0 * x[1] + 0.1 * x[2] + x[3]*x[3]; temp = (x[2] + 2.0) * x[2] * x[1]; fvec[2] = 0.5 * x[1] - sin( x[2] + 1.0 ) + temp + .3 * x[3]; fvec[3] = x[0]*x[1] + x[1]*x[2] + x[0]*x[2] - x[3]*x[3]; } /*********************** lmdif.c ****************************/ #define BUG 0 extern double MACHEP; lmdif(m,n,x,fvec,ftol,xtol,gtol,maxfev,epsfcn, diag,mode,factor,nprint,info,nfev,fjac, ldfjac,ipvt,qtf,wa1,wa2,wa3,wa4) int m,n,maxfev,mode,nprint,ldfjac; int *info, *nfev; double ftol, xtol, gtol, epsfcn, factor; double x[], fvec[], diag[], fjac[], qtf[]; double wa1[], wa2[], wa3[], wa4[]; int ipvt[]; { /* * ********** * * subroutine lmdif * * the purpose of lmdif is to minimize the sum of the squares of * m nonlinear functions in n variables by a modification of * the levenberg-marquardt algorithm. the user must provide a * subroutine which calculates the functions. the jacobian is * then calculated by a forward-difference approximation. * * the subroutine statement is * * subroutine lmdif(fcn,m,n,x,fvec,ftol,xtol,gtol,maxfev,epsfcn, * diag,mode,factor,nprint,info,nfev,fjac, * ldfjac,ipvt,qtf,wa1,wa2,wa3,wa4) * * where * * fcn is the name of the user-supplied subroutine which * calculates the functions. fcn must be declared * in an external statement in the user calling * program, and should be written as follows. * * subroutine fcn(m,n,x,fvec,iflag) * integer m,n,iflag * double precision x(n),fvec(m) * ---------- * calculate the functions at x and * return this vector in fvec. * ---------- * return * end * * the value of iflag should not be changed by fcn unless * the user wants to terminate execution of lmdif. * in this case set iflag to a negative integer. * * m is a positive integer input variable set to the number * of functions. * * n is a positive integer input variable set to the number * of variables. n must not exceed m. * * x is an array of length n. on input x must contain * an initial estimate of the solution vector. on output x * contains the final estimate of the solution vector. * * fvec is an output array of length m which contains * the functions evaluated at the output x. * * ftol is a nonnegative input variable. termination * occurs when both the actual and predicted relative * reductions in the sum of squares are at most ftol. * therefore, ftol measures the relative error desired * in the sum of squares. * * xtol is a nonnegative input variable. termination * occurs when the relative error between two consecutive * iterates is at most xtol. therefore, xtol measures the * relative error desired in the approximate solution. * * gtol is a nonnegative input variable. termination * occurs when the cosine of the angle between fvec and * any column of the jacobian is at most gtol in absolute * value. therefore, gtol measures the orthogonality * desired between the function vector and the columns * of the jacobian. * * maxfev is a positive integer input variable. termination * occurs when the number of calls to fcn is at least * maxfev by the end of an iteration. * * epsfcn is an input variable used in determining a suitable * step length for the forward-difference approximation. this * approximation assumes that the relative errors in the * functions are of the order of epsfcn. if epsfcn is less * than the machine precision, it is assumed that the relative * errors in the functions are of the order of the machine * precision. * * diag is an array of length n. if mode = 1 (see * below), diag is internally set. if mode = 2, diag * must contain positive entries that serve as * multiplicative scale factors for the variables. * * mode is an integer input variable. if mode = 1, the * variables will be scaled internally. if mode = 2, * the scaling is specified by the input diag. other * values of mode are equivalent to mode = 1. * * factor is a positive input variable used in determining the * initial step bound. this bound is set to the product of * factor and the euclidean norm of diag*x if nonzero, or else * to factor itself. in most cases factor should lie in the * interval (.1,100.). 100. is a generally recommended value. * * nprint is an integer input variable that enables controlled * printing of iterates if it is positive. in this case, * fcn is called with iflag = 0 at the beginning of the first * iteration and every nprint iterations thereafter and * immediately prior to return, with x and fvec available * for printing. if nprint is not positive, no special calls * of fcn with iflag = 0 are made. * * info is an integer output variable. if the user has * terminated execution, info is set to the (negative) * value of iflag. see description of fcn. otherwise, * info is set as follows. * * info = 0 improper input parameters. * * info = 1 both actual and predicted relative reductions * in the sum of squares are at most ftol. * * info = 2 relative error between two consecutive iterates * is at most xtol. * * info = 3 conditions for info = 1 and info = 2 both hold. * * info = 4 the cosine of the angle between fvec and any * column of the jacobian is at most gtol in * absolute value. * * info = 5 number of calls to fcn has reached or * exceeded maxfev. * * info = 6 ftol is too small. no further reduction in * the sum of squares is possible. * * info = 7 xtol is too small. no further improvement in * the approximate solution x is possible. * * info = 8 gtol is too small. fvec is orthogonal to the * columns of the jacobian to machine precision. * * nfev is an integer output variable set to the number of * calls to fcn. * * fjac is an output m by n array. the upper n by n submatrix * of fjac contains an upper triangular matrix r with * diagonal elements of nonincreasing magnitude such that * * t t t * p *(jac *jac)*p = r *r, * * where p is a permutation matrix and jac is the final * calculated jacobian. column j of p is column ipvt(j) * (see below) of the identity matrix. the lower trapezoidal * part of fjac contains information generated during * the computation of r. * * ldfjac is a positive integer input variable not less than m * which specifies the leading dimension of the array fjac. * * ipvt is an integer output array of length n. ipvt * defines a permutation matrix p such that jac*p = q*r, * where jac is the final calculated jacobian, q is * orthogonal (not stored), and r is upper triangular * with diagonal elements of nonincreasing magnitude. * column j of p is column ipvt(j) of the identity matrix. * * qtf is an output array of length n which contains * the first n elements of the vector (q transpose)*fvec. * * wa1, wa2, and wa3 are work arrays of length n. * * wa4 is a work array of length m. * * subprograms called * * user-supplied ...... fcn * * minpack-supplied ... dpmpar,enorm,fdjac2,lmpar,qrfac * * fortran-supplied ... dabs,dmax1,dmin1,dsqrt,mod * * argonne national laboratory. minpack project. march 1980. * burton s. garbow, kenneth e. hillstrom, jorge j. more * * ********** */ int i,iflag,ij,jj,iter,j,l; double actred,delta,dirder,fnorm,fnorm1,gnorm; double par,pnorm,prered,ratio; double sum,temp,temp1,temp2,temp3,xnorm; double enorm(), fabs(), dmax1(), dmin1(), sqrt(); int fcn(); /* user supplied function */ static double one = 1.0; static double p1 = 0.1; static double p5 = 0.5; static double p25 = 0.25; static double p75 = 0.75; static double p0001 = 1.0e-4; static double zero = 0.0; static double p05 = 0.05; *info = 0; iflag = 0; *nfev = 0; /* * check the input parameters for errors. */ if( (n <= 0) || (m < n) || (ldfjac < m) || (ftol < zero) || (xtol < zero) || (gtol < zero) || (maxfev <= 0) || (factor <= zero) ) goto L300; if( mode == 2 ) { /* scaling by diag[] */ for( j=0; j 0 ) { iflag = 0; if(mod(iter-1,nprint) == 0) { fcn(m,n,x,fvec,&iflag); if(iflag < 0) goto L300; printf( "fnorm %.15e\n", enorm(m,fvec) ); } } /* * compute the qr factorization of the jacobian. */ qrfac(m,n,fjac,ldfjac,1,ipvt,n,wa1,wa2,wa3); /* * on the first iteration and if mode is 1, scale according * to the norms of the columns of the initial jacobian. */ if(iter == 1) { if(mode != 2) { for( j=0; j= zero) temp = p5; else temp = p5*dirder/(dirder + p5*actred); if( ((p1*fnorm1) >= fnorm) || (temp < p1) ) temp = p1; delta = temp*dmin1(delta,pnorm/p1); par = par/temp; } else { if( (par == zero) || (ratio >= p75) ) { delta = pnorm/p5; par = p5*par; } } /* * test for successful iteration. */ if(ratio >= p0001) { /* * successful iteration. update x, fvec, and their norms. */ for( j=0; j= maxfev) *info = 5; if( (fabs(actred) <= MACHEP) && (prered <= MACHEP) && (p5*ratio <= one) ) *info = 6; if(delta <= MACHEP*xnorm) *info = 7; if(gnorm <= MACHEP) *info = 8; if( *info != 0) goto L300; /* * end of the inner loop. repeat if iteration unsuccessful. */ if(ratio < p0001) goto L200; /* * end of the outer loop. */ goto L30; L300: /* * termination, either normal or user imposed. */ if(iflag < 0) *info = iflag; iflag = 0; if(nprint > 0) fcn(m,n,x,fvec,&iflag); /* last card of subroutine lmdif. */ } /************************lmpar.c*************************/ #define BUG 0 lmpar(n,r,ldr,ipvt,diag,qtb,delta,par,x,sdiag,wa1,wa2) int n,ldr; int ipvt[]; double delta; double *par; double r[],diag[],qtb[],x[],sdiag[],wa1[],wa2[]; { /* ********** * * subroutine lmpar * * given an m by n matrix a, an n by n nonsingular diagonal * matrix d, an m-vector b, and a positive number delta, * the problem is to determine a value for the parameter * par such that if x solves the system * * a*x = b , sqrt(par)*d*x = 0 , * * in the least squares sense, and dxnorm is the euclidean * norm of d*x, then either par is zero and * * (dxnorm-delta) .le. 0.1*delta , * * or par is positive and * * abs(dxnorm-delta) .le. 0.1*delta . * * this subroutine completes the solution of the problem * if it is provided with the necessary information from the * qr factorization, with column pivoting, of a. that is, if * a*p = q*r, where p is a permutation matrix, q has orthogonal * columns, and r is an upper triangular matrix with diagonal * elements of nonincreasing magnitude, then lmpar expects * the full upper triangle of r, the permutation matrix p, * and the first n components of (q transpose)*b. on output * lmpar also provides an upper triangular matrix s such that * * t t t * p *(a *a + par*d*d)*p = s *s . * * s is employed within lmpar and may be of separate interest. * * only a few iterations are generally needed for convergence * of the algorithm. if, however, the limit of 10 iterations * is reached, then the output par will contain the best * value obtained so far. * * the subroutine statement is * * subroutine lmpar(n,r,ldr,ipvt,diag,qtb,delta,par,x,sdiag, * wa1,wa2) * * where * * n is a positive integer input variable set to the order of r. * * r is an n by n array. on input the full upper triangle * must contain the full upper triangle of the matrix r. * on output the full upper triangle is unaltered, and the * strict lower triangle contains the strict upper triangle * (transposed) of the upper triangular matrix s. * * ldr is a positive integer input variable not less than n * which specifies the leading dimension of the array r. * * ipvt is an integer input array of length n which defines the * permutation matrix p such that a*p = q*r. column j of p * is column ipvt(j) of the identity matrix. * * diag is an input array of length n which must contain the * diagonal elements of the matrix d. * * qtb is an input array of length n which must contain the first * n elements of the vector (q transpose)*b. * * delta is a positive input variable which specifies an upper * bound on the euclidean norm of d*x. * * par is a nonnegative variable. on input par contains an * initial estimate of the levenberg-marquardt parameter. * on output par contains the final estimate. * * x is an output array of length n which contains the least * squares solution of the system a*x = b, sqrt(par)*d*x = 0, * for the output par. * * sdiag is an output array of length n which contains the * diagonal elements of the upper triangular matrix s. * * wa1 and wa2 are work arrays of length n. * * subprograms called * * minpack-supplied ... dpmpar,enorm,qrsolv * * fortran-supplied ... dabs,dmax1,dmin1,dsqrt * * argonne national laboratory. minpack project. march 1980. * burton s. garbow, kenneth e. hillstrom, jorge j. more * * ********** */ int i,iter,ij,jj,j,jm1,jp1,k,l,nsing; double dxnorm,fp,gnorm,parc,parl,paru; double sum,temp; double enorm(), fabs(), dmax1(), dmin1(), sqrt(); static double zero = 0.0; static double one = 1.0; static double p1 = 0.1; static double p001 = 0.001; extern double MACHEP; extern double DWARF; #if BUG printf( "lmpar\n" ); #endif /* * compute and store in x the gauss-newton direction. if the * jacobian is rank-deficient, obtain a least squares solution. */ nsing = n; jj = 0; for( j=0; j= 1) { for( k=0; k= 0) { ij = ldr * j; for( i=0; i<=jm1; i++ ) { wa1[i] -= r[ij]*temp; ij += 1; } } } } for( j=0; j= n) { for( j=0; j= 0) { ij = jj; for( i=0; i<=jm1; i++ ) { sum += r[ij]*wa1[i]; ij += 1; } } wa1[j] = (wa1[j] - sum)/r[j+ldr*j]; jj += ldr; /* [i+ldr*j] */ } temp = enorm(n,wa1); parl = ((fp/delta)/temp)/temp; } /* * calculate an upper bound, paru, for the zero of the function. */ jj = 0; for( j=0; j zero) parl = dmax1(parl, *par); if(fp < zero) paru = dmin1(paru, *par); /* * compute an improved estimate for par. */ *par = dmax1(parl, *par + parc); /* * end of an iteration. */ goto L150; L220: /* * termination. */ if(iter == 0) *par = zero; /* * last card of subroutine lmpar. */ } /************************qrfac.c*************************/ #define BUG 0 qrfac(m,n,a,lda,pivot,ipvt,lipvt,rdiag,acnorm,wa) int m,n,lda,lipvt; int ipvt[]; int pivot; double a[],rdiag[],acnorm[],wa[]; { /* * ********** * * subroutine qrfac * * this subroutine uses householder transformations with column * pivoting (optional) to compute a qr factorization of the * m by n matrix a. that is, qrfac determines an orthogonal * matrix q, a permutation matrix p, and an upper trapezoidal * matrix r with diagonal elements of nonincreasing magnitude, * such that a*p = q*r. the householder transformation for * column k, k = 1,2,...,min(m,n), is of the form * * t * i - (1/u(k))*u*u * * where u has zeros in the first k-1 positions. the form of * this transformation and the method of pivoting first * appeared in the corresponding linpack subroutine. * * the subroutine statement is * * subroutine qrfac(m,n,a,lda,pivot,ipvt,lipvt,rdiag,acnorm,wa) * * where * * m is a positive integer input variable set to the number * of rows of a. * * n is a positive integer input variable set to the number * of columns of a. * * a is an m by n array. on input a contains the matrix for * which the qr factorization is to be computed. on output * the strict upper trapezoidal part of a contains the strict * upper trapezoidal part of r, and the lower trapezoidal * part of a contains a factored form of q (the non-trivial * elements of the u vectors described above). * * lda is a positive integer input variable not less than m * which specifies the leading dimension of the array a. * * pivot is a logical input variable. if pivot is set true, * then column pivoting is enforced. if pivot is set false, * then no column pivoting is done. * * ipvt is an integer output array of length lipvt. ipvt * defines the permutation matrix p such that a*p = q*r. * column j of p is column ipvt(j) of the identity matrix. * if pivot is false, ipvt is not referenced. * * lipvt is a positive integer input variable. if pivot is false, * then lipvt may be as small as 1. if pivot is true, then * lipvt must be at least n. * * rdiag is an output array of length n which contains the * diagonal elements of r. * * acnorm is an output array of length n which contains the * norms of the corresponding columns of the input matrix a. * if this information is not needed, then acnorm can coincide * with rdiag. * * wa is a work array of length n. if pivot is false, then wa * can coincide with rdiag. * * subprograms called * * minpack-supplied ... dpmpar,enorm * * fortran-supplied ... dmax1,dsqrt,min0 * * argonne national laboratory. minpack project. march 1980. * burton s. garbow, kenneth e. hillstrom, jorge j. more * * ********** */ int i,ij,jj,j,jp1,k,kmax,minmn; double ajnorm,sum,temp; static double zero = 0.0; static double one = 1.0; static double p05 = 0.05; extern double MACHEP; double enorm(), dmax1(), sqrt(); /* * compute the initial column norms and initialize several arrays. */ ij = 0; for( j=0; j rdiag[kmax]) kmax = k; } if(kmax == j) goto L40; ij = m * j; jj = m * kmax; for( i=0; i kp1 ) { ik = kk + 1; for( i=kp1; i jp1) { ij = jp1 + ldr * j; for( i=jp1; i rdwarf) && (xabs < agiant) ) { /* * sum for intermediate components. */ s2 += xabs*xabs; continue; } if(xabs > rdwarf) { /* * sum for large components. */ if(xabs > x1max) { temp = x1max/xabs; s1 = one + s1*temp*temp; x1max = xabs; } else { temp = xabs/x1max; s1 += temp*temp; } continue; } /* * sum for small components. */ if(xabs > x3max) { temp = x3max/xabs; s3 = one + s3*temp*temp; x3max = xabs; } else { if(xabs != zero) { temp = xabs/x3max; s3 += temp*temp; } } } /* * calculation of norm. */ if(s1 != zero) { temp = s1 + (s2/x1max)/x1max; ans = x1max*sqrt(temp); return(ans); } if(s2 != zero) { if(s2 >= x3max) temp = s2*(one+(x3max/s2)*(x3max*s3)); else temp = x3max*((s2/x3max)+(x3max*s3)); ans = sqrt(temp); } else { ans = x3max*sqrt(s3); } return(ans); /* * last card of function enorm. */ } /************************fdjac2.c*************************/ #define BUG 0 fdjac2(m,n,x,fvec,fjac,ldfjac,iflag,epsfcn,wa) int m,n,ldfjac; int *iflag; double epsfcn; double x[],fvec[],fjac[],wa[]; { /* * ********** * * subroutine fdjac2 * * this subroutine computes a forward-difference approximation * to the m by n jacobian matrix associated with a specified * problem of m functions in n variables. * * the subroutine statement is * * subroutine fdjac2(fcn,m,n,x,fvec,fjac,ldfjac,iflag,epsfcn,wa) * * where * * fcn is the name of the user-supplied subroutine which * calculates the functions. fcn must be declared * in an external statement in the user calling * program, and should be written as follows. * * subroutine fcn(m,n,x,fvec,iflag) * integer m,n,iflag * double precision x(n),fvec(m) * ---------- * calculate the functions at x and * return this vector in fvec. * ---------- * return * end * * the value of iflag should not be changed by fcn unless * the user wants to terminate execution of fdjac2. * in this case set iflag to a negative integer. * * m is a positive integer input variable set to the number * of functions. * * n is a positive integer input variable set to the number * of variables. n must not exceed m. * * x is an input array of length n. * * fvec is an input array of length m which must contain the * functions evaluated at x. * * fjac is an output m by n array which contains the * approximation to the jacobian matrix evaluated at x. * * ldfjac is a positive integer input variable not less than m * which specifies the leading dimension of the array fjac. * * iflag is an integer variable which can be used to terminate * the execution of fdjac2. see description of fcn. * * epsfcn is an input variable used in determining a suitable * step length for the forward-difference approximation. this * approximation assumes that the relative errors in the * functions are of the order of epsfcn. if epsfcn is less * than the machine precision, it is assumed that the relative * errors in the functions are of the order of the machine * precision. * * wa is a work array of length m. * * subprograms called * * user-supplied ...... fcn * * minpack-supplied ... dpmpar * * fortran-supplied ... dabs,dmax1,dsqrt * * argonne national laboratory. minpack project. march 1980. * burton s. garbow, kenneth e. hillstrom, jorge j. more * ********** */ int i,j,ij; double eps,h,temp; double fabs(), dmax1(), sqrt(); static double zero = 0.0; extern double MACHEP; temp = dmax1(epsfcn,MACHEP); eps = sqrt(temp); #if BUG printf( "fdjac2\n" ); #endif ij = 0; for( j=0; j= b ) return(a); else return(b); } double dmin1(a,b) double a,b; { if( a <= b ) return(a); else return(b); } int min0(a,b) int a,b; { if( a <= b ) return(a); else return(b); } int mod( k, m ) int k, m; { return( k % m ); } pmat( m, n, y ) int m, n; double y[]; { int i, j, k; k = 0; for( i=0; i