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-rw-r--r--unsupported/Eigen/NonLinearOptimization32
-rw-r--r--unsupported/Eigen/NumericalDiff16
-rw-r--r--unsupported/Eigen/src/NonLinearOptimization/HybridNonLinearSolver.h10
-rw-r--r--unsupported/Eigen/src/NumericalDiff/NumericalDiff.h21
4 files changed, 59 insertions, 20 deletions
diff --git a/unsupported/Eigen/NonLinearOptimization b/unsupported/Eigen/NonLinearOptimization
index 774e37a20..80a11f174 100644
--- a/unsupported/Eigen/NonLinearOptimization
+++ b/unsupported/Eigen/NonLinearOptimization
@@ -33,12 +33,41 @@ namespace Eigen {
/** \ingroup Unsupported_modules
* \defgroup NonLinearOptimization_Module Non linear optimization module
*
+ * This module provides implementation of two important algorithms in non linear
+ * optimization. In both cases, we consider a system of non linear functions. Of
+ * course, this should work, and even work very well if those functions are
+ * actually linear. But if this is so, you should probably better use other
+ * methods more fitted to this special case.
+ *
+ * One algorithm allows to find the extremum of such a system (Levenberg
+ * Marquardt algorithm) and the second one is used to find
+ * a zero for the system (Powell hybrid "dogleg" method).
+ *
+ * This code is a port of a reknown implementation for both algorithms,
+ * called minpack (http://en.wikipedia.org/wiki/MINPACK). Those
+ * implementations have been carefully tuned, tested, and used for several
+ * decades.
+ * The original fortran code was automatically translated in C and then c++,
+ * and then cleaned by several authors
+ * (check http://devernay.free.fr/hacks/cminpack.html).
+ *
+ * Finally, we ported this code to Eigen, creating classes and API
+ * coherent with Eigen. When possible, we switched to Eigen
+ * implementation, such as most linear algebra (vectors, matrices, "good" norms).
+ *
+ * Doing so, we were very careful to check the tests we setup at the very
+ * beginning, which ensure that the same results are found, with the same
+ * number of iterations.
+ *
* \code
* #include <unsupported/Eigen/NonLinearOptimization>
* \endcode
*/
+
//@{
+#ifndef EIGEN_PARSED_BY_DOXYGEN
+
#include "src/NonLinearOptimization/qrsolv.h"
#include "src/NonLinearOptimization/r1updt.h"
#include "src/NonLinearOptimization/r1mpyq.h"
@@ -52,9 +81,10 @@ namespace Eigen {
#include "src/NonLinearOptimization/chkder.h"
+#endif
+
#include "src/NonLinearOptimization/HybridNonLinearSolver.h"
#include "src/NonLinearOptimization/LevenbergMarquardt.h"
-
//@}
}
diff --git a/unsupported/Eigen/NumericalDiff b/unsupported/Eigen/NumericalDiff
index 16e9f629a..3a8bc3287 100644
--- a/unsupported/Eigen/NumericalDiff
+++ b/unsupported/Eigen/NumericalDiff
@@ -36,6 +36,22 @@ namespace Eigen {
* Warning : this should NOT be confused with automatic differentiation, which
* is a different method and has its own module in Eigen.
*
+ * Currently only "Forward" and "Central" scheme are implemented. Those
+ * are basic methods, and there exist some more elaborated way of
+ * computing such approximates. They are implemented using both
+ * proprietary and free software, and usually requires linking to an
+ * external library. It is very easy for you to write a functor
+ * using such software, and the purpose is quite orthogonal to what we
+ * want to achieve with Eigen.
+ *
+ * This is why we will not provide wrappers for every great numerical
+ * differenciation software that exist, but should rather stick with those
+ * basic ones, that still are useful for testing.
+ *
+ * Also, the module "Non linear optimization" needs this in order to
+ * provide full features compatibility with the original (c)minpack
+ * package.
+ *
* \code
* #include <unsupported/Eigen/NumericalDiff>
* \endcode
diff --git a/unsupported/Eigen/src/NonLinearOptimization/HybridNonLinearSolver.h b/unsupported/Eigen/src/NonLinearOptimization/HybridNonLinearSolver.h
index e86401a78..e944f0e1b 100644
--- a/unsupported/Eigen/src/NonLinearOptimization/HybridNonLinearSolver.h
+++ b/unsupported/Eigen/src/NonLinearOptimization/HybridNonLinearSolver.h
@@ -28,6 +28,16 @@
#ifndef EIGEN_HYBRIDNONLINEARSOLVER_H
#define EIGEN_HYBRIDNONLINEARSOLVER_H
+/**
+ * \brief Finds a zero of a system of n
+ * nonlinear functions in n variables by a modification of the Powell
+ * hybrid method ("dogleg").
+ *
+ * The user must provide a subroutine which calculates the
+ * functions. The Jacobian is either provided by the user, or approximated
+ * using a forward-difference method.
+ *
+ */
template<typename FunctorType, typename Scalar=double>
class HybridNonLinearSolver
{
diff --git a/unsupported/Eigen/src/NumericalDiff/NumericalDiff.h b/unsupported/Eigen/src/NumericalDiff/NumericalDiff.h
index 4a8480230..98872e0bc 100644
--- a/unsupported/Eigen/src/NumericalDiff/NumericalDiff.h
+++ b/unsupported/Eigen/src/NumericalDiff/NumericalDiff.h
@@ -35,32 +35,15 @@ enum NumericalDiffMode {
/**
- * \brief asdf
- *
* This class allows you to add a method df() to your functor, which will
* use numerical differentiation to compute an approximate of the
* derivative for the functor. Of course, if you have an analytical form
- * for the derivative, you should rather implement df() using it.
+ * for the derivative, you should rather implement df() by yourself.
*
* More information on
* http://en.wikipedia.org/wiki/Numerical_differentiation
*
- * Currently only "Forward" and "Central" scheme are implemented. Those
- * are basic methods, and there exist some more elaborated way of
- * computing such approximates. They are implemented using both
- * proprietary and free software, and usually requires linking to an
- * external library. It is very easy for you to write a functor
- * using such software, and the purpose is quite orthogonal to what we
- * want to achieve with Eigen.
- *
- * This is why we will not provide wrappers for every great numerical
- * differenciation software that exist, but should rather stick with those
- * basic ones, that still are useful for testing.
- *
- * Also, the module "Non linear optimization" needs this in order to
- * provide full features compatibility with the original (c)minpack
- * package.
- *
+ * Currently only "Forward" and "Central" scheme are implemented.
*/
template<typename Functor, NumericalDiffMode mode=Forward>
class NumericalDiff : public Functor