// This file is part of Eigen, a lightweight C++ template library // for linear algebra. // // Copyright (C) 2009 Thomas Capricelli // Copyright (C) 2012 desire Nuentsa #include "main.h" #include // This disables some useless Warnings on MSVC. // It is intended to be done for this test only. #include using std::sqrt; // tolerance for chekcing number of iterations #define LM_EVAL_COUNT_TOL 4/3 struct lmder_functor : DenseFunctor { lmder_functor(void): DenseFunctor(3,15) {} int operator()(const VectorXd &x, VectorXd &fvec) const { double tmp1, tmp2, tmp3; static const double y[15] = {1.4e-1, 1.8e-1, 2.2e-1, 2.5e-1, 2.9e-1, 3.2e-1, 3.5e-1, 3.9e-1, 3.7e-1, 5.8e-1, 7.3e-1, 9.6e-1, 1.34, 2.1, 4.39}; for (int i = 0; i < values(); i++) { tmp1 = i+1; tmp2 = 16 - i - 1; tmp3 = (i>=8)? tmp2 : tmp1; fvec[i] = y[i] - (x[0] + tmp1/(x[1]*tmp2 + x[2]*tmp3)); } return 0; } int df(const VectorXd &x, MatrixXd &fjac) const { double tmp1, tmp2, tmp3, tmp4; for (int i = 0; i < values(); i++) { tmp1 = i+1; tmp2 = 16 - i - 1; tmp3 = (i>=8)? tmp2 : tmp1; tmp4 = (x[1]*tmp2 + x[2]*tmp3); tmp4 = tmp4*tmp4; fjac(i,0) = -1; fjac(i,1) = tmp1*tmp2/tmp4; fjac(i,2) = tmp1*tmp3/tmp4; } return 0; } }; void testLmder1() { int n=3, info; VectorXd x; /* the following starting values provide a rough fit. */ x.setConstant(n, 1.); // do the computation lmder_functor functor; LevenbergMarquardt lm(functor); info = lm.lmder1(x); // check return value VERIFY_IS_EQUAL(info, 1); VERIFY_IS_EQUAL(lm.nfev(), 6); VERIFY_IS_EQUAL(lm.njev(), 5); // check norm VERIFY_IS_APPROX(lm.fvec().blueNorm(), 0.09063596); // check x VectorXd x_ref(n); x_ref << 0.08241058, 1.133037, 2.343695; VERIFY_IS_APPROX(x, x_ref); } void testLmder() { const int m=15, n=3; int info; double fnorm, covfac; VectorXd x; /* the following starting values provide a rough fit. */ x.setConstant(n, 1.); // do the computation lmder_functor functor; LevenbergMarquardt lm(functor); info = lm.minimize(x); // check return values VERIFY_IS_EQUAL(info, 1); VERIFY_IS_EQUAL(lm.nfev(), 6); VERIFY_IS_EQUAL(lm.njev(), 5); // check norm fnorm = lm.fvec().blueNorm(); VERIFY_IS_APPROX(fnorm, 0.09063596); // check x VectorXd x_ref(n); x_ref << 0.08241058, 1.133037, 2.343695; VERIFY_IS_APPROX(x, x_ref); // check covariance covfac = fnorm*fnorm/(m-n); internal::covar(lm.matrixR(), lm.permutation().indices()); // TODO : move this as a function of lm MatrixXd cov_ref(n,n); cov_ref << 0.0001531202, 0.002869941, -0.002656662, 0.002869941, 0.09480935, -0.09098995, -0.002656662, -0.09098995, 0.08778727; // std::cout << fjac*covfac << std::endl; MatrixXd cov; cov = covfac*lm.matrixR().topLeftCorner(); VERIFY_IS_APPROX( cov, cov_ref); // TODO: why isn't this allowed ? : // VERIFY_IS_APPROX( covfac*fjac.topLeftCorner() , cov_ref); } struct lmdif_functor : DenseFunctor { lmdif_functor(void) : DenseFunctor(3,15) {} int operator()(const VectorXd &x, VectorXd &fvec) const { int i; double tmp1,tmp2,tmp3; static const double y[15]={1.4e-1,1.8e-1,2.2e-1,2.5e-1,2.9e-1,3.2e-1,3.5e-1,3.9e-1, 3.7e-1,5.8e-1,7.3e-1,9.6e-1,1.34e0,2.1e0,4.39e0}; assert(x.size()==3); assert(fvec.size()==15); for (i=0; i<15; i++) { tmp1 = i+1; tmp2 = 15 - i; tmp3 = tmp1; if (i >= 8) tmp3 = tmp2; fvec[i] = y[i] - (x[0] + tmp1/(x[1]*tmp2 + x[2]*tmp3)); } return 0; } }; void testLmdif1() { const int n=3; int info; VectorXd x(n), fvec(15); /* the following starting values provide a rough fit. */ x.setConstant(n, 1.); // do the computation lmdif_functor functor; DenseIndex nfev; info = LevenbergMarquardt::lmdif1(functor, x, &nfev); // check return value VERIFY_IS_EQUAL(info, 1); // VERIFY_IS_EQUAL(nfev, 26); // check norm functor(x, fvec); VERIFY_IS_APPROX(fvec.blueNorm(), 0.09063596); // check x VectorXd x_ref(n); x_ref << 0.0824106, 1.1330366, 2.3436947; VERIFY_IS_APPROX(x, x_ref); } void testLmdif() { const int m=15, n=3; int info; double fnorm, covfac; VectorXd x(n); /* the following starting values provide a rough fit. */ x.setConstant(n, 1.); // do the computation lmdif_functor functor; NumericalDiff numDiff(functor); LevenbergMarquardt > lm(numDiff); info = lm.minimize(x); // check return values VERIFY_IS_EQUAL(info, 1); // VERIFY_IS_EQUAL(lm.nfev(), 26); // check norm fnorm = lm.fvec().blueNorm(); VERIFY_IS_APPROX(fnorm, 0.09063596); // check x VectorXd x_ref(n); x_ref << 0.08241058, 1.133037, 2.343695; VERIFY_IS_APPROX(x, x_ref); // check covariance covfac = fnorm*fnorm/(m-n); internal::covar(lm.matrixR(), lm.permutation().indices()); // TODO : move this as a function of lm MatrixXd cov_ref(n,n); cov_ref << 0.0001531202, 0.002869942, -0.002656662, 0.002869942, 0.09480937, -0.09098997, -0.002656662, -0.09098997, 0.08778729; // std::cout << fjac*covfac << std::endl; MatrixXd cov; cov = covfac*lm.matrixR().topLeftCorner(); VERIFY_IS_APPROX( cov, cov_ref); // TODO: why isn't this allowed ? : // VERIFY_IS_APPROX( covfac*fjac.topLeftCorner() , cov_ref); } struct chwirut2_functor : DenseFunctor { chwirut2_functor(void) : DenseFunctor(3,54) {} static const double m_x[54]; static const double m_y[54]; int operator()(const VectorXd &b, VectorXd &fvec) { int i; assert(b.size()==3); assert(fvec.size()==54); for(i=0; i<54; i++) { double x = m_x[i]; fvec[i] = exp(-b[0]*x)/(b[1]+b[2]*x) - m_y[i]; } return 0; } int df(const VectorXd &b, MatrixXd &fjac) { assert(b.size()==3); assert(fjac.rows()==54); assert(fjac.cols()==3); for(int i=0; i<54; i++) { double x = m_x[i]; double factor = 1./(b[1]+b[2]*x); double e = exp(-b[0]*x); fjac(i,0) = -x*e*factor; fjac(i,1) = -e*factor*factor; fjac(i,2) = -x*e*factor*factor; } return 0; } }; const double chwirut2_functor::m_x[54] = { 0.500E0, 1.000E0, 1.750E0, 3.750E0, 5.750E0, 0.875E0, 2.250E0, 3.250E0, 5.250E0, 0.750E0, 1.750E0, 2.750E0, 4.750E0, 0.625E0, 1.250E0, 2.250E0, 4.250E0, .500E0, 3.000E0, .750E0, 3.000E0, 1.500E0, 6.000E0, 3.000E0, 6.000E0, 1.500E0, 3.000E0, .500E0, 2.000E0, 4.000E0, .750E0, 2.000E0, 5.000E0, .750E0, 2.250E0, 3.750E0, 5.750E0, 3.000E0, .750E0, 2.500E0, 4.000E0, .750E0, 2.500E0, 4.000E0, .750E0, 2.500E0, 4.000E0, .500E0, 6.000E0, 3.000E0, .500E0, 2.750E0, .500E0, 1.750E0}; const double chwirut2_functor::m_y[54] = { 92.9000E0 ,57.1000E0 ,31.0500E0 ,11.5875E0 ,8.0250E0 ,63.6000E0 ,21.4000E0 ,14.2500E0 ,8.4750E0 ,63.8000E0 ,26.8000E0 ,16.4625E0 ,7.1250E0 ,67.3000E0 ,41.0000E0 ,21.1500E0 ,8.1750E0 ,81.5000E0 ,13.1200E0 ,59.9000E0 ,14.6200E0 ,32.9000E0 ,5.4400E0 ,12.5600E0 ,5.4400E0 ,32.0000E0 ,13.9500E0 ,75.8000E0 ,20.0000E0 ,10.4200E0 ,59.5000E0 ,21.6700E0 ,8.5500E0 ,62.0000E0 ,20.2000E0 ,7.7600E0 ,3.7500E0 ,11.8100E0 ,54.7000E0 ,23.7000E0 ,11.5500E0 ,61.3000E0 ,17.7000E0 ,8.7400E0 ,59.2000E0 ,16.3000E0 ,8.6200E0 ,81.0000E0 ,4.8700E0 ,14.6200E0 ,81.7000E0 ,17.1700E0 ,81.3000E0 ,28.9000E0 }; // http://www.itl.nist.gov/div898/strd/nls/data/chwirut2.shtml void testNistChwirut2(void) { const int n=3; LevenbergMarquardtSpace::Status info; VectorXd x(n); /* * First try */ x<< 0.1, 0.01, 0.02; // do the computation chwirut2_functor functor; LevenbergMarquardt lm(functor); info = lm.minimize(x); // check return value VERIFY_IS_EQUAL(info, 1); // VERIFY_IS_EQUAL(lm.nfev(), 10); VERIFY_IS_EQUAL(lm.njev(), 8); // check norm^2 VERIFY_IS_APPROX(lm.fvec().squaredNorm(), 5.1304802941E+02); // check x VERIFY_IS_APPROX(x[0], 1.6657666537E-01); VERIFY_IS_APPROX(x[1], 5.1653291286E-03); VERIFY_IS_APPROX(x[2], 1.2150007096E-02); /* * Second try */ x<< 0.15, 0.008, 0.010; // do the computation lm.resetParameters(); lm.setFtol(1.E6*NumTraits::epsilon()); lm.setXtol(1.E6*NumTraits::epsilon()); info = lm.minimize(x); // check return value VERIFY_IS_EQUAL(info, 1); // VERIFY_IS_EQUAL(lm.nfev(), 7); VERIFY_IS_EQUAL(lm.njev(), 6); // check norm^2 VERIFY_IS_APPROX(lm.fvec().squaredNorm(), 5.1304802941E+02); // check x VERIFY_IS_APPROX(x[0], 1.6657666537E-01); VERIFY_IS_APPROX(x[1], 5.1653291286E-03); VERIFY_IS_APPROX(x[2], 1.2150007096E-02); } struct misra1a_functor : DenseFunctor { misra1a_functor(void) : DenseFunctor(2,14) {} static const double m_x[14]; static const double m_y[14]; int operator()(const VectorXd &b, VectorXd &fvec) { assert(b.size()==2); assert(fvec.size()==14); for(int i=0; i<14; i++) { fvec[i] = b[0]*(1.-exp(-b[1]*m_x[i])) - m_y[i] ; } return 0; } int df(const VectorXd &b, MatrixXd &fjac) { assert(b.size()==2); assert(fjac.rows()==14); assert(fjac.cols()==2); for(int i=0; i<14; i++) { fjac(i,0) = (1.-exp(-b[1]*m_x[i])); fjac(i,1) = (b[0]*m_x[i]*exp(-b[1]*m_x[i])); } return 0; } }; const double misra1a_functor::m_x[14] = { 77.6E0, 114.9E0, 141.1E0, 190.8E0, 239.9E0, 289.0E0, 332.8E0, 378.4E0, 434.8E0, 477.3E0, 536.8E0, 593.1E0, 689.1E0, 760.0E0}; const double misra1a_functor::m_y[14] = { 10.07E0, 14.73E0, 17.94E0, 23.93E0, 29.61E0, 35.18E0, 40.02E0, 44.82E0, 50.76E0, 55.05E0, 61.01E0, 66.40E0, 75.47E0, 81.78E0}; // http://www.itl.nist.gov/div898/strd/nls/data/misra1a.shtml void testNistMisra1a(void) { const int n=2; int info; VectorXd x(n); /* * First try */ x<< 500., 0.0001; // do the computation misra1a_functor functor; LevenbergMarquardt lm(functor); info = lm.minimize(x); // check return value VERIFY_IS_EQUAL(info, 1); VERIFY_IS_EQUAL(lm.nfev(), 19); VERIFY_IS_EQUAL(lm.njev(), 15); // check norm^2 VERIFY_IS_APPROX(lm.fvec().squaredNorm(), 1.2455138894E-01); // check x VERIFY_IS_APPROX(x[0], 2.3894212918E+02); VERIFY_IS_APPROX(x[1], 5.5015643181E-04); /* * Second try */ x<< 250., 0.0005; // do the computation info = lm.minimize(x); // check return value VERIFY_IS_EQUAL(info, 1); VERIFY_IS_EQUAL(lm.nfev(), 5); VERIFY_IS_EQUAL(lm.njev(), 4); // check norm^2 VERIFY_IS_APPROX(lm.fvec().squaredNorm(), 1.2455138894E-01); // check x VERIFY_IS_APPROX(x[0], 2.3894212918E+02); VERIFY_IS_APPROX(x[1], 5.5015643181E-04); } struct hahn1_functor : DenseFunctor { hahn1_functor(void) : DenseFunctor(7,236) {} static const double m_x[236]; int operator()(const VectorXd &b, VectorXd &fvec) { static const double m_y[236] = { .591E0 , 1.547E0 , 2.902E0 , 2.894E0 , 4.703E0 , 6.307E0 , 7.03E0 , 7.898E0 , 9.470E0 , 9.484E0 , 10.072E0 , 10.163E0 , 11.615E0 , 12.005E0 , 12.478E0 , 12.982E0 , 12.970E0 , 13.926E0 , 14.452E0 , 14.404E0 , 15.190E0 , 15.550E0 , 15.528E0 , 15.499E0 , 16.131E0 , 16.438E0 , 16.387E0 , 16.549E0 , 16.872E0 , 16.830E0 , 16.926E0 , 16.907E0 , 16.966E0 , 17.060E0 , 17.122E0 , 17.311E0 , 17.355E0 , 17.668E0 , 17.767E0 , 17.803E0 , 17.765E0 , 17.768E0 , 17.736E0 , 17.858E0 , 17.877E0 , 17.912E0 , 18.046E0 , 18.085E0 , 18.291E0 , 18.357E0 , 18.426E0 , 18.584E0 , 18.610E0 , 18.870E0 , 18.795E0 , 19.111E0 , .367E0 , .796E0 , 0.892E0 , 1.903E0 , 2.150E0 , 3.697E0 , 5.870E0 , 6.421E0 , 7.422E0 , 9.944E0 , 11.023E0 , 11.87E0 , 12.786E0 , 14.067E0 , 13.974E0 , 14.462E0 , 14.464E0 , 15.381E0 , 15.483E0 , 15.59E0 , 16.075E0 , 16.347E0 , 16.181E0 , 16.915E0 , 17.003E0 , 16.978E0 , 17.756E0 , 17.808E0 , 17.868E0 , 18.481E0 , 18.486E0 , 19.090E0 , 16.062E0 , 16.337E0 , 16.345E0 , 16.388E0 , 17.159E0 , 17.116E0 , 17.164E0 , 17.123E0 , 17.979E0 , 17.974E0 , 18.007E0 , 17.993E0 , 18.523E0 , 18.669E0 , 18.617E0 , 19.371E0 , 19.330E0 , 0.080E0 , 0.248E0 , 1.089E0 , 1.418E0 , 2.278E0 , 3.624E0 , 4.574E0 , 5.556E0 , 7.267E0 , 7.695E0 , 9.136E0 , 9.959E0 , 9.957E0 , 11.600E0 , 13.138E0 , 13.564E0 , 13.871E0 , 13.994E0 , 14.947E0 , 15.473E0 , 15.379E0 , 15.455E0 , 15.908E0 , 16.114E0 , 17.071E0 , 17.135E0 , 17.282E0 , 17.368E0 , 17.483E0 , 17.764E0 , 18.185E0 , 18.271E0 , 18.236E0 , 18.237E0 , 18.523E0 , 18.627E0 , 18.665E0 , 19.086E0 , 0.214E0 , 0.943E0 , 1.429E0 , 2.241E0 , 2.951E0 , 3.782E0 , 4.757E0 , 5.602E0 , 7.169E0 , 8.920E0 , 10.055E0 , 12.035E0 , 12.861E0 , 13.436E0 , 14.167E0 , 14.755E0 , 15.168E0 , 15.651E0 , 15.746E0 , 16.216E0 , 16.445E0 , 16.965E0 , 17.121E0 , 17.206E0 , 17.250E0 , 17.339E0 , 17.793E0 , 18.123E0 , 18.49E0 , 18.566E0 , 18.645E0 , 18.706E0 , 18.924E0 , 19.1E0 , 0.375E0 , 0.471E0 , 1.504E0 , 2.204E0 , 2.813E0 , 4.765E0 , 9.835E0 , 10.040E0 , 11.946E0 , 12.596E0 , 13.303E0 , 13.922E0 , 14.440E0 , 14.951E0 , 15.627E0 , 15.639E0 , 15.814E0 , 16.315E0 , 16.334E0 , 16.430E0 , 16.423E0 , 17.024E0 , 17.009E0 , 17.165E0 , 17.134E0 , 17.349E0 , 17.576E0 , 17.848E0 , 18.090E0 , 18.276E0 , 18.404E0 , 18.519E0 , 19.133E0 , 19.074E0 , 19.239E0 , 19.280E0 , 19.101E0 , 19.398E0 , 19.252E0 , 19.89E0 , 20.007E0 , 19.929E0 , 19.268E0 , 19.324E0 , 20.049E0 , 20.107E0 , 20.062E0 , 20.065E0 , 19.286E0 , 19.972E0 , 20.088E0 , 20.743E0 , 20.83E0 , 20.935E0 , 21.035E0 , 20.93E0 , 21.074E0 , 21.085E0 , 20.935E0 }; // int called=0; printf("call hahn1_functor with iflag=%d, called=%d\n", iflag, called); if (iflag==1) called++; assert(b.size()==7); assert(fvec.size()==236); for(int i=0; i<236; i++) { double x=m_x[i], xx=x*x, xxx=xx*x; fvec[i] = (b[0]+b[1]*x+b[2]*xx+b[3]*xxx) / (1.+b[4]*x+b[5]*xx+b[6]*xxx) - m_y[i]; } return 0; } int df(const VectorXd &b, MatrixXd &fjac) { assert(b.size()==7); assert(fjac.rows()==236); assert(fjac.cols()==7); for(int i=0; i<236; i++) { double x=m_x[i], xx=x*x, xxx=xx*x; double fact = 1./(1.+b[4]*x+b[5]*xx+b[6]*xxx); fjac(i,0) = 1.*fact; fjac(i,1) = x*fact; fjac(i,2) = xx*fact; fjac(i,3) = xxx*fact; fact = - (b[0]+b[1]*x+b[2]*xx+b[3]*xxx) * fact * fact; fjac(i,4) = x*fact; fjac(i,5) = xx*fact; fjac(i,6) = xxx*fact; } return 0; } }; const double hahn1_functor::m_x[236] = { 24.41E0 , 34.82E0 , 44.09E0 , 45.07E0 , 54.98E0 , 65.51E0 , 70.53E0 , 75.70E0 , 89.57E0 , 91.14E0 , 96.40E0 , 97.19E0 , 114.26E0 , 120.25E0 , 127.08E0 , 133.55E0 , 133.61E0 , 158.67E0 , 172.74E0 , 171.31E0 , 202.14E0 , 220.55E0 , 221.05E0 , 221.39E0 , 250.99E0 , 268.99E0 , 271.80E0 , 271.97E0 , 321.31E0 , 321.69E0 , 330.14E0 , 333.03E0 , 333.47E0 , 340.77E0 , 345.65E0 , 373.11E0 , 373.79E0 , 411.82E0 , 419.51E0 , 421.59E0 , 422.02E0 , 422.47E0 , 422.61E0 , 441.75E0 , 447.41E0 , 448.7E0 , 472.89E0 , 476.69E0 , 522.47E0 , 522.62E0 , 524.43E0 , 546.75E0 , 549.53E0 , 575.29E0 , 576.00E0 , 625.55E0 , 20.15E0 , 28.78E0 , 29.57E0 , 37.41E0 , 39.12E0 , 50.24E0 , 61.38E0 , 66.25E0 , 73.42E0 , 95.52E0 , 107.32E0 , 122.04E0 , 134.03E0 , 163.19E0 , 163.48E0 , 175.70E0 , 179.86E0 , 211.27E0 , 217.78E0 , 219.14E0 , 262.52E0 , 268.01E0 , 268.62E0 , 336.25E0 , 337.23E0 , 339.33E0 , 427.38E0 , 428.58E0 , 432.68E0 , 528.99E0 , 531.08E0 , 628.34E0 , 253.24E0 , 273.13E0 , 273.66E0 , 282.10E0 , 346.62E0 , 347.19E0 , 348.78E0 , 351.18E0 , 450.10E0 , 450.35E0 , 451.92E0 , 455.56E0 , 552.22E0 , 553.56E0 , 555.74E0 , 652.59E0 , 656.20E0 , 14.13E0 , 20.41E0 , 31.30E0 , 33.84E0 , 39.70E0 , 48.83E0 , 54.50E0 , 60.41E0 , 72.77E0 , 75.25E0 , 86.84E0 , 94.88E0 , 96.40E0 , 117.37E0 , 139.08E0 , 147.73E0 , 158.63E0 , 161.84E0 , 192.11E0 , 206.76E0 , 209.07E0 , 213.32E0 , 226.44E0 , 237.12E0 , 330.90E0 , 358.72E0 , 370.77E0 , 372.72E0 , 396.24E0 , 416.59E0 , 484.02E0 , 495.47E0 , 514.78E0 , 515.65E0 , 519.47E0 , 544.47E0 , 560.11E0 , 620.77E0 , 18.97E0 , 28.93E0 , 33.91E0 , 40.03E0 , 44.66E0 , 49.87E0 , 55.16E0 , 60.90E0 , 72.08E0 , 85.15E0 , 97.06E0 , 119.63E0 , 133.27E0 , 143.84E0 , 161.91E0 , 180.67E0 , 198.44E0 , 226.86E0 , 229.65E0 , 258.27E0 , 273.77E0 , 339.15E0 , 350.13E0 , 362.75E0 , 371.03E0 , 393.32E0 , 448.53E0 , 473.78E0 , 511.12E0 , 524.70E0 , 548.75E0 , 551.64E0 , 574.02E0 , 623.86E0 , 21.46E0 , 24.33E0 , 33.43E0 , 39.22E0 , 44.18E0 , 55.02E0 , 94.33E0 , 96.44E0 , 118.82E0 , 128.48E0 , 141.94E0 , 156.92E0 , 171.65E0 , 190.00E0 , 223.26E0 , 223.88E0 , 231.50E0 , 265.05E0 , 269.44E0 , 271.78E0 , 273.46E0 , 334.61E0 , 339.79E0 , 349.52E0 , 358.18E0 , 377.98E0 , 394.77E0 , 429.66E0 , 468.22E0 , 487.27E0 , 519.54E0 , 523.03E0 , 612.99E0 , 638.59E0 , 641.36E0 , 622.05E0 , 631.50E0 , 663.97E0 , 646.9E0 , 748.29E0 , 749.21E0 , 750.14E0 , 647.04E0 , 646.89E0 , 746.9E0 , 748.43E0 , 747.35E0 , 749.27E0 , 647.61E0 , 747.78E0 , 750.51E0 , 851.37E0 , 845.97E0 , 847.54E0 , 849.93E0 , 851.61E0 , 849.75E0 , 850.98E0 , 848.23E0}; // http://www.itl.nist.gov/div898/strd/nls/data/hahn1.shtml void testNistHahn1(void) { const int n=7; int info; VectorXd x(n); /* * First try */ x<< 10., -1., .05, -.00001, -.05, .001, -.000001; // do the computation hahn1_functor functor; LevenbergMarquardt lm(functor); info = lm.minimize(x); // check return value VERIFY_IS_EQUAL(info, 1); VERIFY_IS_EQUAL(lm.nfev(), 11); VERIFY_IS_EQUAL(lm.njev(), 10); // check norm^2 VERIFY_IS_APPROX(lm.fvec().squaredNorm(), 1.5324382854E+00); // check x VERIFY_IS_APPROX(x[0], 1.0776351733E+00); VERIFY_IS_APPROX(x[1],-1.2269296921E-01); VERIFY_IS_APPROX(x[2], 4.0863750610E-03); VERIFY_IS_APPROX(x[3],-1.426264e-06); // shoulde be : -1.4262662514E-06 VERIFY_IS_APPROX(x[4],-5.7609940901E-03); VERIFY_IS_APPROX(x[5], 2.4053735503E-04); VERIFY_IS_APPROX(x[6],-1.2314450199E-07); /* * Second try */ x<< .1, -.1, .005, -.000001, -.005, .0001, -.0000001; // do the computation info = lm.minimize(x); // check return value VERIFY_IS_EQUAL(info, 1); // VERIFY_IS_EQUAL(lm.nfev(), 11); VERIFY_IS_EQUAL(lm.njev(), 10); // check norm^2 VERIFY_IS_APPROX(lm.fvec().squaredNorm(), 1.5324382854E+00); // check x VERIFY_IS_APPROX(x[0], 1.077640); // should be : 1.0776351733E+00 VERIFY_IS_APPROX(x[1], -0.1226933); // should be : -1.2269296921E-01 VERIFY_IS_APPROX(x[2], 0.004086383); // should be : 4.0863750610E-03 VERIFY_IS_APPROX(x[3], -1.426277e-06); // shoulde be : -1.4262662514E-06 VERIFY_IS_APPROX(x[4],-5.7609940901E-03); VERIFY_IS_APPROX(x[5], 0.00024053772); // should be : 2.4053735503E-04 VERIFY_IS_APPROX(x[6], -1.231450e-07); // should be : -1.2314450199E-07 } struct misra1d_functor : DenseFunctor { misra1d_functor(void) : DenseFunctor(2,14) {} static const double x[14]; static const double y[14]; int operator()(const VectorXd &b, VectorXd &fvec) { assert(b.size()==2); assert(fvec.size()==14); for(int i=0; i<14; i++) { fvec[i] = b[0]*b[1]*x[i]/(1.+b[1]*x[i]) - y[i]; } return 0; } int df(const VectorXd &b, MatrixXd &fjac) { assert(b.size()==2); assert(fjac.rows()==14); assert(fjac.cols()==2); for(int i=0; i<14; i++) { double den = 1.+b[1]*x[i]; fjac(i,0) = b[1]*x[i] / den; fjac(i,1) = b[0]*x[i]*(den-b[1]*x[i])/den/den; } return 0; } }; const double misra1d_functor::x[14] = { 77.6E0, 114.9E0, 141.1E0, 190.8E0, 239.9E0, 289.0E0, 332.8E0, 378.4E0, 434.8E0, 477.3E0, 536.8E0, 593.1E0, 689.1E0, 760.0E0}; const double misra1d_functor::y[14] = { 10.07E0, 14.73E0, 17.94E0, 23.93E0, 29.61E0, 35.18E0, 40.02E0, 44.82E0, 50.76E0, 55.05E0, 61.01E0, 66.40E0, 75.47E0, 81.78E0}; // http://www.itl.nist.gov/div898/strd/nls/data/misra1d.shtml void testNistMisra1d(void) { const int n=2; int info; VectorXd x(n); /* * First try */ x<< 500., 0.0001; // do the computation misra1d_functor functor; LevenbergMarquardt lm(functor); info = lm.minimize(x); // check return value VERIFY_IS_EQUAL(info, 1); VERIFY_IS_EQUAL(lm.nfev(), 9); VERIFY_IS_EQUAL(lm.njev(), 7); // check norm^2 VERIFY_IS_APPROX(lm.fvec().squaredNorm(), 5.6419295283E-02); // check x VERIFY_IS_APPROX(x[0], 4.3736970754E+02); VERIFY_IS_APPROX(x[1], 3.0227324449E-04); /* * Second try */ x<< 450., 0.0003; // do the computation info = lm.minimize(x); // check return value VERIFY_IS_EQUAL(info, 1); VERIFY_IS_EQUAL(lm.nfev(), 4); VERIFY_IS_EQUAL(lm.njev(), 3); // check norm^2 VERIFY_IS_APPROX(lm.fvec().squaredNorm(), 5.6419295283E-02); // check x VERIFY_IS_APPROX(x[0], 4.3736970754E+02); VERIFY_IS_APPROX(x[1], 3.0227324449E-04); } struct lanczos1_functor : DenseFunctor { lanczos1_functor(void) : DenseFunctor(6,24) {} static const double x[24]; static const double y[24]; int operator()(const VectorXd &b, VectorXd &fvec) { assert(b.size()==6); assert(fvec.size()==24); for(int i=0; i<24; i++) fvec[i] = b[0]*exp(-b[1]*x[i]) + b[2]*exp(-b[3]*x[i]) + b[4]*exp(-b[5]*x[i]) - y[i]; return 0; } int df(const VectorXd &b, MatrixXd &fjac) { assert(b.size()==6); assert(fjac.rows()==24); assert(fjac.cols()==6); for(int i=0; i<24; i++) { fjac(i,0) = exp(-b[1]*x[i]); fjac(i,1) = -b[0]*x[i]*exp(-b[1]*x[i]); fjac(i,2) = exp(-b[3]*x[i]); fjac(i,3) = -b[2]*x[i]*exp(-b[3]*x[i]); fjac(i,4) = exp(-b[5]*x[i]); fjac(i,5) = -b[4]*x[i]*exp(-b[5]*x[i]); } return 0; } }; const double lanczos1_functor::x[24] = { 0.000000000000E+00, 5.000000000000E-02, 1.000000000000E-01, 1.500000000000E-01, 2.000000000000E-01, 2.500000000000E-01, 3.000000000000E-01, 3.500000000000E-01, 4.000000000000E-01, 4.500000000000E-01, 5.000000000000E-01, 5.500000000000E-01, 6.000000000000E-01, 6.500000000000E-01, 7.000000000000E-01, 7.500000000000E-01, 8.000000000000E-01, 8.500000000000E-01, 9.000000000000E-01, 9.500000000000E-01, 1.000000000000E+00, 1.050000000000E+00, 1.100000000000E+00, 1.150000000000E+00 }; const double lanczos1_functor::y[24] = { 2.513400000000E+00 ,2.044333373291E+00 ,1.668404436564E+00 ,1.366418021208E+00 ,1.123232487372E+00 ,9.268897180037E-01 ,7.679338563728E-01 ,6.388775523106E-01 ,5.337835317402E-01 ,4.479363617347E-01 ,3.775847884350E-01 ,3.197393199326E-01 ,2.720130773746E-01 ,2.324965529032E-01 ,1.996589546065E-01 ,1.722704126914E-01 ,1.493405660168E-01 ,1.300700206922E-01 ,1.138119324644E-01 ,1.000415587559E-01 ,8.833209084540E-02 ,7.833544019350E-02 ,6.976693743449E-02 ,6.239312536719E-02 }; // http://www.itl.nist.gov/div898/strd/nls/data/lanczos1.shtml void testNistLanczos1(void) { const int n=6; LevenbergMarquardtSpace::Status info; VectorXd x(n); /* * First try */ x<< 1.2, 0.3, 5.6, 5.5, 6.5, 7.6; // do the computation lanczos1_functor functor; LevenbergMarquardt lm(functor); info = lm.minimize(x); // check return value VERIFY_IS_EQUAL(info, LevenbergMarquardtSpace::RelativeErrorTooSmall); VERIFY_IS_EQUAL(lm.nfev(), 79); VERIFY_IS_EQUAL(lm.njev(), 72); // check norm^2 VERIFY(lm.fvec().squaredNorm() <= 1.4307867721E-25); // check x VERIFY_IS_APPROX(x[0], 9.5100000027E-02); VERIFY_IS_APPROX(x[1], 1.0000000001E+00); VERIFY_IS_APPROX(x[2], 8.6070000013E-01); VERIFY_IS_APPROX(x[3], 3.0000000002E+00); VERIFY_IS_APPROX(x[4], 1.5575999998E+00); VERIFY_IS_APPROX(x[5], 5.0000000001E+00); /* * Second try */ x<< 0.5, 0.7, 3.6, 4.2, 4., 6.3; // do the computation info = lm.minimize(x); // check return value VERIFY_IS_EQUAL(info, LevenbergMarquardtSpace::RelativeErrorTooSmall); VERIFY_IS_EQUAL(lm.nfev(), 9); VERIFY_IS_EQUAL(lm.njev(), 8); // check norm^2 VERIFY(lm.fvec().squaredNorm() <= 1.4307867721E-25); // check x VERIFY_IS_APPROX(x[0], 9.5100000027E-02); VERIFY_IS_APPROX(x[1], 1.0000000001E+00); VERIFY_IS_APPROX(x[2], 8.6070000013E-01); VERIFY_IS_APPROX(x[3], 3.0000000002E+00); VERIFY_IS_APPROX(x[4], 1.5575999998E+00); VERIFY_IS_APPROX(x[5], 5.0000000001E+00); } struct rat42_functor : DenseFunctor { rat42_functor(void) : DenseFunctor(3,9) {} static const double x[9]; static const double y[9]; int operator()(const VectorXd &b, VectorXd &fvec) { assert(b.size()==3); assert(fvec.size()==9); for(int i=0; i<9; i++) { fvec[i] = b[0] / (1.+exp(b[1]-b[2]*x[i])) - y[i]; } return 0; } int df(const VectorXd &b, MatrixXd &fjac) { assert(b.size()==3); assert(fjac.rows()==9); assert(fjac.cols()==3); for(int i=0; i<9; i++) { double e = exp(b[1]-b[2]*x[i]); fjac(i,0) = 1./(1.+e); fjac(i,1) = -b[0]*e/(1.+e)/(1.+e); fjac(i,2) = +b[0]*e*x[i]/(1.+e)/(1.+e); } return 0; } }; const double rat42_functor::x[9] = { 9.000E0, 14.000E0, 21.000E0, 28.000E0, 42.000E0, 57.000E0, 63.000E0, 70.000E0, 79.000E0 }; const double rat42_functor::y[9] = { 8.930E0 ,10.800E0 ,18.590E0 ,22.330E0 ,39.350E0 ,56.110E0 ,61.730E0 ,64.620E0 ,67.080E0 }; // http://www.itl.nist.gov/div898/strd/nls/data/ratkowsky2.shtml void testNistRat42(void) { const int n=3; LevenbergMarquardtSpace::Status info; VectorXd x(n); /* * First try */ x<< 100., 1., 0.1; // do the computation rat42_functor functor; LevenbergMarquardt lm(functor); info = lm.minimize(x); // check return value VERIFY_IS_EQUAL(info, LevenbergMarquardtSpace::RelativeReductionTooSmall); VERIFY_IS_EQUAL(lm.nfev(), 10); VERIFY_IS_EQUAL(lm.njev(), 8); // check norm^2 VERIFY_IS_APPROX(lm.fvec().squaredNorm(), 8.0565229338E+00); // check x VERIFY_IS_APPROX(x[0], 7.2462237576E+01); VERIFY_IS_APPROX(x[1], 2.6180768402E+00); VERIFY_IS_APPROX(x[2], 6.7359200066E-02); /* * Second try */ x<< 75., 2.5, 0.07; // do the computation info = lm.minimize(x); // check return value VERIFY_IS_EQUAL(info, LevenbergMarquardtSpace::RelativeReductionTooSmall); VERIFY_IS_EQUAL(lm.nfev(), 6); VERIFY_IS_EQUAL(lm.njev(), 5); // check norm^2 VERIFY_IS_APPROX(lm.fvec().squaredNorm(), 8.0565229338E+00); // check x VERIFY_IS_APPROX(x[0], 7.2462237576E+01); VERIFY_IS_APPROX(x[1], 2.6180768402E+00); VERIFY_IS_APPROX(x[2], 6.7359200066E-02); } struct MGH10_functor : DenseFunctor { MGH10_functor(void) : DenseFunctor(3,16) {} static const double x[16]; static const double y[16]; int operator()(const VectorXd &b, VectorXd &fvec) { assert(b.size()==3); assert(fvec.size()==16); for(int i=0; i<16; i++) fvec[i] = b[0] * exp(b[1]/(x[i]+b[2])) - y[i]; return 0; } int df(const VectorXd &b, MatrixXd &fjac) { assert(b.size()==3); assert(fjac.rows()==16); assert(fjac.cols()==3); for(int i=0; i<16; i++) { double factor = 1./(x[i]+b[2]); double e = exp(b[1]*factor); fjac(i,0) = e; fjac(i,1) = b[0]*factor*e; fjac(i,2) = -b[1]*b[0]*factor*factor*e; } return 0; } }; const double MGH10_functor::x[16] = { 5.000000E+01, 5.500000E+01, 6.000000E+01, 6.500000E+01, 7.000000E+01, 7.500000E+01, 8.000000E+01, 8.500000E+01, 9.000000E+01, 9.500000E+01, 1.000000E+02, 1.050000E+02, 1.100000E+02, 1.150000E+02, 1.200000E+02, 1.250000E+02 }; const double MGH10_functor::y[16] = { 3.478000E+04, 2.861000E+04, 2.365000E+04, 1.963000E+04, 1.637000E+04, 1.372000E+04, 1.154000E+04, 9.744000E+03, 8.261000E+03, 7.030000E+03, 6.005000E+03, 5.147000E+03, 4.427000E+03, 3.820000E+03, 3.307000E+03, 2.872000E+03 }; // http://www.itl.nist.gov/div898/strd/nls/data/mgh10.shtml void testNistMGH10(void) { const int n=3; LevenbergMarquardtSpace::Status info; VectorXd x(n); /* * First try */ x<< 2., 400000., 25000.; // do the computation MGH10_functor functor; LevenbergMarquardt lm(functor); info = lm.minimize(x); ++g_test_level; VERIFY_IS_EQUAL(info, LevenbergMarquardtSpace::RelativeReductionTooSmall); --g_test_level; // was: VERIFY_IS_EQUAL(info, 1); // check norm^2 VERIFY_IS_APPROX(lm.fvec().squaredNorm(), 8.7945855171E+01); // check x VERIFY_IS_APPROX(x[0], 5.6096364710E-03); VERIFY_IS_APPROX(x[1], 6.1813463463E+03); VERIFY_IS_APPROX(x[2], 3.4522363462E+02); // check return value ++g_test_level; VERIFY_IS_EQUAL(lm.nfev(), 284 ); VERIFY_IS_EQUAL(lm.njev(), 249 ); --g_test_level; VERIFY(lm.nfev() < 284 * LM_EVAL_COUNT_TOL); VERIFY(lm.njev() < 249 * LM_EVAL_COUNT_TOL); /* * Second try */ x<< 0.02, 4000., 250.; // do the computation info = lm.minimize(x); ++g_test_level; VERIFY_IS_EQUAL(info, LevenbergMarquardtSpace::RelativeReductionTooSmall); // was: VERIFY_IS_EQUAL(info, 1); --g_test_level; // check norm^2 VERIFY_IS_APPROX(lm.fvec().squaredNorm(), 8.7945855171E+01); // check x VERIFY_IS_APPROX(x[0], 5.6096364710E-03); VERIFY_IS_APPROX(x[1], 6.1813463463E+03); VERIFY_IS_APPROX(x[2], 3.4522363462E+02); // check return value ++g_test_level; VERIFY_IS_EQUAL(lm.nfev(), 126); VERIFY_IS_EQUAL(lm.njev(), 116); --g_test_level; VERIFY(lm.nfev() < 126 * LM_EVAL_COUNT_TOL); VERIFY(lm.njev() < 116 * LM_EVAL_COUNT_TOL); } struct BoxBOD_functor : DenseFunctor { BoxBOD_functor(void) : DenseFunctor(2,6) {} static const double x[6]; int operator()(const VectorXd &b, VectorXd &fvec) { static const double y[6] = { 109., 149., 149., 191., 213., 224. }; assert(b.size()==2); assert(fvec.size()==6); for(int i=0; i<6; i++) fvec[i] = b[0]*(1.-exp(-b[1]*x[i])) - y[i]; return 0; } int df(const VectorXd &b, MatrixXd &fjac) { assert(b.size()==2); assert(fjac.rows()==6); assert(fjac.cols()==2); for(int i=0; i<6; i++) { double e = exp(-b[1]*x[i]); fjac(i,0) = 1.-e; fjac(i,1) = b[0]*x[i]*e; } return 0; } }; const double BoxBOD_functor::x[6] = { 1., 2., 3., 5., 7., 10. }; // http://www.itl.nist.gov/div898/strd/nls/data/boxbod.shtml void testNistBoxBOD(void) { const int n=2; int info; VectorXd x(n); /* * First try */ x<< 1., 1.; // do the computation BoxBOD_functor functor; LevenbergMarquardt lm(functor); lm.setFtol(1.E6*NumTraits::epsilon()); lm.setXtol(1.E6*NumTraits::epsilon()); lm.setFactor(10); info = lm.minimize(x); // check norm^2 VERIFY_IS_APPROX(lm.fvec().squaredNorm(), 1.1680088766E+03); // check x VERIFY_IS_APPROX(x[0], 2.1380940889E+02); VERIFY_IS_APPROX(x[1], 5.4723748542E-01); // check return value VERIFY_IS_EQUAL(info, 1); VERIFY(lm.nfev() < 31); // 31 VERIFY(lm.njev() < 25); // 25 /* * Second try */ x<< 100., 0.75; // do the computation lm.resetParameters(); lm.setFtol(NumTraits::epsilon()); lm.setXtol( NumTraits::epsilon()); info = lm.minimize(x); // check return value VERIFY_IS_EQUAL(info, 1); ++g_test_level; VERIFY_IS_EQUAL(lm.nfev(), 16 ); VERIFY_IS_EQUAL(lm.njev(), 15 ); --g_test_level; VERIFY(lm.nfev() < 16 * LM_EVAL_COUNT_TOL); VERIFY(lm.njev() < 15 * LM_EVAL_COUNT_TOL); // check norm^2 VERIFY_IS_APPROX(lm.fvec().squaredNorm(), 1.1680088766E+03); // check x VERIFY_IS_APPROX(x[0], 2.1380940889E+02); VERIFY_IS_APPROX(x[1], 5.4723748542E-01); } struct MGH17_functor : DenseFunctor { MGH17_functor(void) : DenseFunctor(5,33) {} static const double x[33]; static const double y[33]; int operator()(const VectorXd &b, VectorXd &fvec) { assert(b.size()==5); assert(fvec.size()==33); for(int i=0; i<33; i++) fvec[i] = b[0] + b[1]*exp(-b[3]*x[i]) + b[2]*exp(-b[4]*x[i]) - y[i]; return 0; } int df(const VectorXd &b, MatrixXd &fjac) { assert(b.size()==5); assert(fjac.rows()==33); assert(fjac.cols()==5); for(int i=0; i<33; i++) { fjac(i,0) = 1.; fjac(i,1) = exp(-b[3]*x[i]); fjac(i,2) = exp(-b[4]*x[i]); fjac(i,3) = -x[i]*b[1]*exp(-b[3]*x[i]); fjac(i,4) = -x[i]*b[2]*exp(-b[4]*x[i]); } return 0; } }; const double MGH17_functor::x[33] = { 0.000000E+00, 1.000000E+01, 2.000000E+01, 3.000000E+01, 4.000000E+01, 5.000000E+01, 6.000000E+01, 7.000000E+01, 8.000000E+01, 9.000000E+01, 1.000000E+02, 1.100000E+02, 1.200000E+02, 1.300000E+02, 1.400000E+02, 1.500000E+02, 1.600000E+02, 1.700000E+02, 1.800000E+02, 1.900000E+02, 2.000000E+02, 2.100000E+02, 2.200000E+02, 2.300000E+02, 2.400000E+02, 2.500000E+02, 2.600000E+02, 2.700000E+02, 2.800000E+02, 2.900000E+02, 3.000000E+02, 3.100000E+02, 3.200000E+02 }; const double MGH17_functor::y[33] = { 8.440000E-01, 9.080000E-01, 9.320000E-01, 9.360000E-01, 9.250000E-01, 9.080000E-01, 8.810000E-01, 8.500000E-01, 8.180000E-01, 7.840000E-01, 7.510000E-01, 7.180000E-01, 6.850000E-01, 6.580000E-01, 6.280000E-01, 6.030000E-01, 5.800000E-01, 5.580000E-01, 5.380000E-01, 5.220000E-01, 5.060000E-01, 4.900000E-01, 4.780000E-01, 4.670000E-01, 4.570000E-01, 4.480000E-01, 4.380000E-01, 4.310000E-01, 4.240000E-01, 4.200000E-01, 4.140000E-01, 4.110000E-01, 4.060000E-01 }; // http://www.itl.nist.gov/div898/strd/nls/data/mgh17.shtml void testNistMGH17(void) { const int n=5; int info; VectorXd x(n); /* * First try */ x<< 50., 150., -100., 1., 2.; // do the computation MGH17_functor functor; LevenbergMarquardt lm(functor); lm.setFtol(NumTraits::epsilon()); lm.setXtol(NumTraits::epsilon()); lm.setMaxfev(1000); info = lm.minimize(x); // check norm^2 VERIFY_IS_APPROX(lm.fvec().squaredNorm(), 5.4648946975E-05); // check x VERIFY_IS_APPROX(x[0], 3.7541005211E-01); VERIFY_IS_APPROX(x[1], 1.9358469127E+00); VERIFY_IS_APPROX(x[2], -1.4646871366E+00); VERIFY_IS_APPROX(x[3], 1.2867534640E-02); VERIFY_IS_APPROX(x[4], 2.2122699662E-02); // check return value // VERIFY_IS_EQUAL(info, 2); //FIXME Use (lm.info() == Success) VERIFY(lm.nfev() < 700 ); // 602 VERIFY(lm.njev() < 600 ); // 545 /* * Second try */ x<< 0.5 ,1.5 ,-1 ,0.01 ,0.02; // do the computation lm.resetParameters(); info = lm.minimize(x); // check return value VERIFY_IS_EQUAL(info, 1); VERIFY_IS_EQUAL(lm.nfev(), 18); VERIFY_IS_EQUAL(lm.njev(), 15); // check norm^2 VERIFY_IS_APPROX(lm.fvec().squaredNorm(), 5.4648946975E-05); // check x VERIFY_IS_APPROX(x[0], 3.7541005211E-01); VERIFY_IS_APPROX(x[1], 1.9358469127E+00); VERIFY_IS_APPROX(x[2], -1.4646871366E+00); VERIFY_IS_APPROX(x[3], 1.2867534640E-02); VERIFY_IS_APPROX(x[4], 2.2122699662E-02); } struct MGH09_functor : DenseFunctor { MGH09_functor(void) : DenseFunctor(4,11) {} static const double _x[11]; static const double y[11]; int operator()(const VectorXd &b, VectorXd &fvec) { assert(b.size()==4); assert(fvec.size()==11); for(int i=0; i<11; i++) { double x = _x[i], xx=x*x; fvec[i] = b[0]*(xx+x*b[1])/(xx+x*b[2]+b[3]) - y[i]; } return 0; } int df(const VectorXd &b, MatrixXd &fjac) { assert(b.size()==4); assert(fjac.rows()==11); assert(fjac.cols()==4); for(int i=0; i<11; i++) { double x = _x[i], xx=x*x; double factor = 1./(xx+x*b[2]+b[3]); fjac(i,0) = (xx+x*b[1]) * factor; fjac(i,1) = b[0]*x* factor; fjac(i,2) = - b[0]*(xx+x*b[1]) * x * factor * factor; fjac(i,3) = - b[0]*(xx+x*b[1]) * factor * factor; } return 0; } }; const double MGH09_functor::_x[11] = { 4., 2., 1., 5.E-1 , 2.5E-01, 1.670000E-01, 1.250000E-01, 1.E-01, 8.330000E-02, 7.140000E-02, 6.250000E-02 }; const double MGH09_functor::y[11] = { 1.957000E-01, 1.947000E-01, 1.735000E-01, 1.600000E-01, 8.440000E-02, 6.270000E-02, 4.560000E-02, 3.420000E-02, 3.230000E-02, 2.350000E-02, 2.460000E-02 }; // http://www.itl.nist.gov/div898/strd/nls/data/mgh09.shtml void testNistMGH09(void) { const int n=4; int info; VectorXd x(n); /* * First try */ x<< 25., 39, 41.5, 39.; // do the computation MGH09_functor functor; LevenbergMarquardt lm(functor); lm.setMaxfev(1000); info = lm.minimize(x); // check norm^2 VERIFY_IS_APPROX(lm.fvec().squaredNorm(), 3.0750560385E-04); // check x VERIFY_IS_APPROX(x[0], 0.1928077089); // should be 1.9280693458E-01 VERIFY_IS_APPROX(x[1], 0.19126423573); // should be 1.9128232873E-01 VERIFY_IS_APPROX(x[2], 0.12305309914); // should be 1.2305650693E-01 VERIFY_IS_APPROX(x[3], 0.13605395375); // should be 1.3606233068E-01 // check return value VERIFY_IS_EQUAL(info, 1); VERIFY(lm.nfev() < 510 ); // 490 VERIFY(lm.njev() < 400 ); // 376 /* * Second try */ x<< 0.25, 0.39, 0.415, 0.39; // do the computation lm.resetParameters(); info = lm.minimize(x); // check return value VERIFY_IS_EQUAL(info, 1); VERIFY_IS_EQUAL(lm.nfev(), 18); VERIFY_IS_EQUAL(lm.njev(), 16); // check norm^2 VERIFY_IS_APPROX(lm.fvec().squaredNorm(), 3.0750560385E-04); // check x VERIFY_IS_APPROX(x[0], 0.19280781); // should be 1.9280693458E-01 VERIFY_IS_APPROX(x[1], 0.19126265); // should be 1.9128232873E-01 VERIFY_IS_APPROX(x[2], 0.12305280); // should be 1.2305650693E-01 VERIFY_IS_APPROX(x[3], 0.13605322); // should be 1.3606233068E-01 } struct Bennett5_functor : DenseFunctor { Bennett5_functor(void) : DenseFunctor(3,154) {} static const double x[154]; static const double y[154]; int operator()(const VectorXd &b, VectorXd &fvec) { assert(b.size()==3); assert(fvec.size()==154); for(int i=0; i<154; i++) fvec[i] = b[0]* pow(b[1]+x[i],-1./b[2]) - y[i]; return 0; } int df(const VectorXd &b, MatrixXd &fjac) { assert(b.size()==3); assert(fjac.rows()==154); assert(fjac.cols()==3); for(int i=0; i<154; i++) { double e = pow(b[1]+x[i],-1./b[2]); fjac(i,0) = e; fjac(i,1) = - b[0]*e/b[2]/(b[1]+x[i]); fjac(i,2) = b[0]*e*log(b[1]+x[i])/b[2]/b[2]; } return 0; } }; const double Bennett5_functor::x[154] = { 7.447168E0, 8.102586E0, 8.452547E0, 8.711278E0, 8.916774E0, 9.087155E0, 9.232590E0, 9.359535E0, 9.472166E0, 9.573384E0, 9.665293E0, 9.749461E0, 9.827092E0, 9.899128E0, 9.966321E0, 10.029280E0, 10.088510E0, 10.144430E0, 10.197380E0, 10.247670E0, 10.295560E0, 10.341250E0, 10.384950E0, 10.426820E0, 10.467000E0, 10.505640E0, 10.542830E0, 10.578690E0, 10.613310E0, 10.646780E0, 10.679150E0, 10.710520E0, 10.740920E0, 10.770440E0, 10.799100E0, 10.826970E0, 10.854080E0, 10.880470E0, 10.906190E0, 10.931260E0, 10.955720E0, 10.979590E0, 11.002910E0, 11.025700E0, 11.047980E0, 11.069770E0, 11.091100E0, 11.111980E0, 11.132440E0, 11.152480E0, 11.172130E0, 11.191410E0, 11.210310E0, 11.228870E0, 11.247090E0, 11.264980E0, 11.282560E0, 11.299840E0, 11.316820E0, 11.333520E0, 11.349940E0, 11.366100E0, 11.382000E0, 11.397660E0, 11.413070E0, 11.428240E0, 11.443200E0, 11.457930E0, 11.472440E0, 11.486750E0, 11.500860E0, 11.514770E0, 11.528490E0, 11.542020E0, 11.555380E0, 11.568550E0, 11.581560E0, 11.594420E0, 11.607121E0, 11.619640E0, 11.632000E0, 11.644210E0, 11.656280E0, 11.668200E0, 11.679980E0, 11.691620E0, 11.703130E0, 11.714510E0, 11.725760E0, 11.736880E0, 11.747890E0, 11.758780E0, 11.769550E0, 11.780200E0, 11.790730E0, 11.801160E0, 11.811480E0, 11.821700E0, 11.831810E0, 11.841820E0, 11.851730E0, 11.861550E0, 11.871270E0, 11.880890E0, 11.890420E0, 11.899870E0, 11.909220E0, 11.918490E0, 11.927680E0, 11.936780E0, 11.945790E0, 11.954730E0, 11.963590E0, 11.972370E0, 11.981070E0, 11.989700E0, 11.998260E0, 12.006740E0, 12.015150E0, 12.023490E0, 12.031760E0, 12.039970E0, 12.048100E0, 12.056170E0, 12.064180E0, 12.072120E0, 12.080010E0, 12.087820E0, 12.095580E0, 12.103280E0, 12.110920E0, 12.118500E0, 12.126030E0, 12.133500E0, 12.140910E0, 12.148270E0, 12.155570E0, 12.162830E0, 12.170030E0, 12.177170E0, 12.184270E0, 12.191320E0, 12.198320E0, 12.205270E0, 12.212170E0, 12.219030E0, 12.225840E0, 12.232600E0, 12.239320E0, 12.245990E0, 12.252620E0, 12.259200E0, 12.265750E0, 12.272240E0 }; const double Bennett5_functor::y[154] = { -34.834702E0 ,-34.393200E0 ,-34.152901E0 ,-33.979099E0 ,-33.845901E0 ,-33.732899E0 ,-33.640301E0 ,-33.559200E0 ,-33.486801E0 ,-33.423100E0 ,-33.365101E0 ,-33.313000E0 ,-33.260899E0 ,-33.217400E0 ,-33.176899E0 ,-33.139198E0 ,-33.101601E0 ,-33.066799E0 ,-33.035000E0 ,-33.003101E0 ,-32.971298E0 ,-32.942299E0 ,-32.916302E0 ,-32.890202E0 ,-32.864101E0 ,-32.841000E0 ,-32.817799E0 ,-32.797501E0 ,-32.774300E0 ,-32.757000E0 ,-32.733799E0 ,-32.716400E0 ,-32.699100E0 ,-32.678799E0 ,-32.661400E0 ,-32.644001E0 ,-32.626701E0 ,-32.612202E0 ,-32.597698E0 ,-32.583199E0 ,-32.568699E0 ,-32.554298E0 ,-32.539799E0 ,-32.525299E0 ,-32.510799E0 ,-32.499199E0 ,-32.487598E0 ,-32.473202E0 ,-32.461601E0 ,-32.435501E0 ,-32.435501E0 ,-32.426800E0 ,-32.412300E0 ,-32.400799E0 ,-32.392101E0 ,-32.380501E0 ,-32.366001E0 ,-32.357300E0 ,-32.348598E0 ,-32.339901E0 ,-32.328400E0 ,-32.319698E0 ,-32.311001E0 ,-32.299400E0 ,-32.290699E0 ,-32.282001E0 ,-32.273300E0 ,-32.264599E0 ,-32.256001E0 ,-32.247299E0 ,-32.238602E0 ,-32.229900E0 ,-32.224098E0 ,-32.215401E0 ,-32.203800E0 ,-32.198002E0 ,-32.189400E0 ,-32.183601E0 ,-32.174900E0 ,-32.169102E0 ,-32.163300E0 ,-32.154598E0 ,-32.145901E0 ,-32.140099E0 ,-32.131401E0 ,-32.125599E0 ,-32.119801E0 ,-32.111198E0 ,-32.105400E0 ,-32.096699E0 ,-32.090900E0 ,-32.088001E0 ,-32.079300E0 ,-32.073502E0 ,-32.067699E0 ,-32.061901E0 ,-32.056099E0 ,-32.050301E0 ,-32.044498E0 ,-32.038799E0 ,-32.033001E0 ,-32.027199E0 ,-32.024300E0 ,-32.018501E0 ,-32.012699E0 ,-32.004002E0 ,-32.001099E0 ,-31.995300E0 ,-31.989500E0 ,-31.983700E0 ,-31.977900E0 ,-31.972099E0 ,-31.969299E0 ,-31.963501E0 ,-31.957701E0 ,-31.951900E0 ,-31.946100E0 ,-31.940300E0 ,-31.937401E0 ,-31.931601E0 ,-31.925800E0 ,-31.922899E0 ,-31.917101E0 ,-31.911301E0 ,-31.908400E0 ,-31.902599E0 ,-31.896900E0 ,-31.893999E0 ,-31.888201E0 ,-31.885300E0 ,-31.882401E0 ,-31.876600E0 ,-31.873699E0 ,-31.867901E0 ,-31.862101E0 ,-31.859200E0 ,-31.856300E0 ,-31.850500E0 ,-31.844700E0 ,-31.841801E0 ,-31.838900E0 ,-31.833099E0 ,-31.830200E0 , -31.827299E0 ,-31.821600E0 ,-31.818701E0 ,-31.812901E0 ,-31.809999E0 ,-31.807100E0 ,-31.801300E0 ,-31.798401E0 ,-31.795500E0 ,-31.789700E0 ,-31.786800E0 }; // http://www.itl.nist.gov/div898/strd/nls/data/bennett5.shtml void testNistBennett5(void) { const int n=3; int info; VectorXd x(n); /* * First try */ x<< -2000., 50., 0.8; // do the computation Bennett5_functor functor; LevenbergMarquardt lm(functor); lm.setMaxfev(1000); info = lm.minimize(x); // check return value VERIFY_IS_EQUAL(info, 1); VERIFY_IS_EQUAL(lm.nfev(), 758); VERIFY_IS_EQUAL(lm.njev(), 744); // check norm^2 VERIFY_IS_APPROX(lm.fvec().squaredNorm(), 5.2404744073E-04); // check x VERIFY_IS_APPROX(x[0], -2.5235058043E+03); VERIFY_IS_APPROX(x[1], 4.6736564644E+01); VERIFY_IS_APPROX(x[2], 9.3218483193E-01); /* * Second try */ x<< -1500., 45., 0.85; // do the computation lm.resetParameters(); info = lm.minimize(x); // check return value VERIFY_IS_EQUAL(info, 1); VERIFY_IS_EQUAL(lm.nfev(), 203); VERIFY_IS_EQUAL(lm.njev(), 192); // check norm^2 VERIFY_IS_APPROX(lm.fvec().squaredNorm(), 5.2404744073E-04); // check x VERIFY_IS_APPROX(x[0], -2523.3007865); // should be -2.5235058043E+03 VERIFY_IS_APPROX(x[1], 46.735705771); // should be 4.6736564644E+01); VERIFY_IS_APPROX(x[2], 0.93219881891); // should be 9.3218483193E-01); } struct thurber_functor : DenseFunctor { thurber_functor(void) : DenseFunctor(7,37) {} static const double _x[37]; static const double _y[37]; int operator()(const VectorXd &b, VectorXd &fvec) { // int called=0; printf("call hahn1_functor with iflag=%d, called=%d\n", iflag, called); if (iflag==1) called++; assert(b.size()==7); assert(fvec.size()==37); for(int i=0; i<37; i++) { double x=_x[i], xx=x*x, xxx=xx*x; fvec[i] = (b[0]+b[1]*x+b[2]*xx+b[3]*xxx) / (1.+b[4]*x+b[5]*xx+b[6]*xxx) - _y[i]; } return 0; } int df(const VectorXd &b, MatrixXd &fjac) { assert(b.size()==7); assert(fjac.rows()==37); assert(fjac.cols()==7); for(int i=0; i<37; i++) { double x=_x[i], xx=x*x, xxx=xx*x; double fact = 1./(1.+b[4]*x+b[5]*xx+b[6]*xxx); fjac(i,0) = 1.*fact; fjac(i,1) = x*fact; fjac(i,2) = xx*fact; fjac(i,3) = xxx*fact; fact = - (b[0]+b[1]*x+b[2]*xx+b[3]*xxx) * fact * fact; fjac(i,4) = x*fact; fjac(i,5) = xx*fact; fjac(i,6) = xxx*fact; } return 0; } }; const double thurber_functor::_x[37] = { -3.067E0, -2.981E0, -2.921E0, -2.912E0, -2.840E0, -2.797E0, -2.702E0, -2.699E0, -2.633E0, -2.481E0, -2.363E0, -2.322E0, -1.501E0, -1.460E0, -1.274E0, -1.212E0, -1.100E0, -1.046E0, -0.915E0, -0.714E0, -0.566E0, -0.545E0, -0.400E0, -0.309E0, -0.109E0, -0.103E0, 0.010E0, 0.119E0, 0.377E0, 0.790E0, 0.963E0, 1.006E0, 1.115E0, 1.572E0, 1.841E0, 2.047E0, 2.200E0 }; const double thurber_functor::_y[37] = { 80.574E0, 84.248E0, 87.264E0, 87.195E0, 89.076E0, 89.608E0, 89.868E0, 90.101E0, 92.405E0, 95.854E0, 100.696E0, 101.060E0, 401.672E0, 390.724E0, 567.534E0, 635.316E0, 733.054E0, 759.087E0, 894.206E0, 990.785E0, 1090.109E0, 1080.914E0, 1122.643E0, 1178.351E0, 1260.531E0, 1273.514E0, 1288.339E0, 1327.543E0, 1353.863E0, 1414.509E0, 1425.208E0, 1421.384E0, 1442.962E0, 1464.350E0, 1468.705E0, 1447.894E0, 1457.628E0}; // http://www.itl.nist.gov/div898/strd/nls/data/thurber.shtml void testNistThurber(void) { const int n=7; int info; VectorXd x(n); /* * First try */ x<< 1000 ,1000 ,400 ,40 ,0.7,0.3,0.0 ; // do the computation thurber_functor functor; LevenbergMarquardt lm(functor); lm.setFtol(1.E4*NumTraits::epsilon()); lm.setXtol(1.E4*NumTraits::epsilon()); info = lm.minimize(x); // check return value VERIFY_IS_EQUAL(info, 1); VERIFY_IS_EQUAL(lm.nfev(), 39); VERIFY_IS_EQUAL(lm.njev(), 36); // check norm^2 VERIFY_IS_APPROX(lm.fvec().squaredNorm(), 5.6427082397E+03); // check x VERIFY_IS_APPROX(x[0], 1.2881396800E+03); VERIFY_IS_APPROX(x[1], 1.4910792535E+03); VERIFY_IS_APPROX(x[2], 5.8323836877E+02); VERIFY_IS_APPROX(x[3], 7.5416644291E+01); VERIFY_IS_APPROX(x[4], 9.6629502864E-01); VERIFY_IS_APPROX(x[5], 3.9797285797E-01); VERIFY_IS_APPROX(x[6], 4.9727297349E-02); /* * Second try */ x<< 1300 ,1500 ,500 ,75 ,1 ,0.4 ,0.05 ; // do the computation lm.resetParameters(); lm.setFtol(1.E4*NumTraits::epsilon()); lm.setXtol(1.E4*NumTraits::epsilon()); info = lm.minimize(x); // check return value VERIFY_IS_EQUAL(info, 1); VERIFY_IS_EQUAL(lm.nfev(), 29); VERIFY_IS_EQUAL(lm.njev(), 28); // check norm^2 VERIFY_IS_APPROX(lm.fvec().squaredNorm(), 5.6427082397E+03); // check x VERIFY_IS_APPROX(x[0], 1.2881396800E+03); VERIFY_IS_APPROX(x[1], 1.4910792535E+03); VERIFY_IS_APPROX(x[2], 5.8323836877E+02); VERIFY_IS_APPROX(x[3], 7.5416644291E+01); VERIFY_IS_APPROX(x[4], 9.6629502864E-01); VERIFY_IS_APPROX(x[5], 3.9797285797E-01); VERIFY_IS_APPROX(x[6], 4.9727297349E-02); } struct rat43_functor : DenseFunctor { rat43_functor(void) : DenseFunctor(4,15) {} static const double x[15]; static const double y[15]; int operator()(const VectorXd &b, VectorXd &fvec) { assert(b.size()==4); assert(fvec.size()==15); for(int i=0; i<15; i++) fvec[i] = b[0] * pow(1.+exp(b[1]-b[2]*x[i]),-1./b[3]) - y[i]; return 0; } int df(const VectorXd &b, MatrixXd &fjac) { assert(b.size()==4); assert(fjac.rows()==15); assert(fjac.cols()==4); for(int i=0; i<15; i++) { double e = exp(b[1]-b[2]*x[i]); double power = -1./b[3]; fjac(i,0) = pow(1.+e, power); fjac(i,1) = power*b[0]*e*pow(1.+e, power-1.); fjac(i,2) = -power*b[0]*e*x[i]*pow(1.+e, power-1.); fjac(i,3) = b[0]*power*power*log(1.+e)*pow(1.+e, power); } return 0; } }; const double rat43_functor::x[15] = { 1., 2., 3., 4., 5., 6., 7., 8., 9., 10., 11., 12., 13., 14., 15. }; const double rat43_functor::y[15] = { 16.08, 33.83, 65.80, 97.20, 191.55, 326.20, 386.87, 520.53, 590.03, 651.92, 724.93, 699.56, 689.96, 637.56, 717.41 }; // http://www.itl.nist.gov/div898/strd/nls/data/ratkowsky3.shtml void testNistRat43(void) { const int n=4; int info; VectorXd x(n); /* * First try */ x<< 100., 10., 1., 1.; // do the computation rat43_functor functor; LevenbergMarquardt lm(functor); lm.setFtol(1.E6*NumTraits::epsilon()); lm.setXtol(1.E6*NumTraits::epsilon()); info = lm.minimize(x); // check return value VERIFY_IS_EQUAL(info, 1); VERIFY_IS_EQUAL(lm.nfev(), 27); VERIFY_IS_EQUAL(lm.njev(), 20); // check norm^2 VERIFY_IS_APPROX(lm.fvec().squaredNorm(), 8.7864049080E+03); // check x VERIFY_IS_APPROX(x[0], 6.9964151270E+02); VERIFY_IS_APPROX(x[1], 5.2771253025E+00); VERIFY_IS_APPROX(x[2], 7.5962938329E-01); VERIFY_IS_APPROX(x[3], 1.2792483859E+00); /* * Second try */ x<< 700., 5., 0.75, 1.3; // do the computation lm.resetParameters(); lm.setFtol(1.E5*NumTraits::epsilon()); lm.setXtol(1.E5*NumTraits::epsilon()); info = lm.minimize(x); // check return value VERIFY_IS_EQUAL(info, 1); VERIFY_IS_EQUAL(lm.nfev(), 9); VERIFY_IS_EQUAL(lm.njev(), 8); // check norm^2 VERIFY_IS_APPROX(lm.fvec().squaredNorm(), 8.7864049080E+03); // check x VERIFY_IS_APPROX(x[0], 6.9964151270E+02); VERIFY_IS_APPROX(x[1], 5.2771253025E+00); VERIFY_IS_APPROX(x[2], 7.5962938329E-01); VERIFY_IS_APPROX(x[3], 1.2792483859E+00); } struct eckerle4_functor : DenseFunctor { eckerle4_functor(void) : DenseFunctor(3,35) {} static const double x[35]; static const double y[35]; int operator()(const VectorXd &b, VectorXd &fvec) { assert(b.size()==3); assert(fvec.size()==35); for(int i=0; i<35; i++) fvec[i] = b[0]/b[1] * exp(-0.5*(x[i]-b[2])*(x[i]-b[2])/(b[1]*b[1])) - y[i]; return 0; } int df(const VectorXd &b, MatrixXd &fjac) { assert(b.size()==3); assert(fjac.rows()==35); assert(fjac.cols()==3); for(int i=0; i<35; i++) { double b12 = b[1]*b[1]; double e = exp(-0.5*(x[i]-b[2])*(x[i]-b[2])/b12); fjac(i,0) = e / b[1]; fjac(i,1) = ((x[i]-b[2])*(x[i]-b[2])/b12-1.) * b[0]*e/b12; fjac(i,2) = (x[i]-b[2])*e*b[0]/b[1]/b12; } return 0; } }; const double eckerle4_functor::x[35] = { 400.0, 405.0, 410.0, 415.0, 420.0, 425.0, 430.0, 435.0, 436.5, 438.0, 439.5, 441.0, 442.5, 444.0, 445.5, 447.0, 448.5, 450.0, 451.5, 453.0, 454.5, 456.0, 457.5, 459.0, 460.5, 462.0, 463.5, 465.0, 470.0, 475.0, 480.0, 485.0, 490.0, 495.0, 500.0}; const double eckerle4_functor::y[35] = { 0.0001575, 0.0001699, 0.0002350, 0.0003102, 0.0004917, 0.0008710, 0.0017418, 0.0046400, 0.0065895, 0.0097302, 0.0149002, 0.0237310, 0.0401683, 0.0712559, 0.1264458, 0.2073413, 0.2902366, 0.3445623, 0.3698049, 0.3668534, 0.3106727, 0.2078154, 0.1164354, 0.0616764, 0.0337200, 0.0194023, 0.0117831, 0.0074357, 0.0022732, 0.0008800, 0.0004579, 0.0002345, 0.0001586, 0.0001143, 0.0000710 }; // http://www.itl.nist.gov/div898/strd/nls/data/eckerle4.shtml void testNistEckerle4(void) { const int n=3; int info; VectorXd x(n); /* * First try */ x<< 1., 10., 500.; // do the computation eckerle4_functor functor; LevenbergMarquardt lm(functor); info = lm.minimize(x); // check return value VERIFY_IS_EQUAL(info, 1); VERIFY_IS_EQUAL(lm.nfev(), 18); VERIFY_IS_EQUAL(lm.njev(), 15); // check norm^2 VERIFY_IS_APPROX(lm.fvec().squaredNorm(), 1.4635887487E-03); // check x VERIFY_IS_APPROX(x[0], 1.5543827178); VERIFY_IS_APPROX(x[1], 4.0888321754); VERIFY_IS_APPROX(x[2], 4.5154121844E+02); /* * Second try */ x<< 1.5, 5., 450.; // do the computation info = lm.minimize(x); // check return value VERIFY_IS_EQUAL(info, 1); VERIFY_IS_EQUAL(lm.nfev(), 7); VERIFY_IS_EQUAL(lm.njev(), 6); // check norm^2 VERIFY_IS_APPROX(lm.fvec().squaredNorm(), 1.4635887487E-03); // check x VERIFY_IS_APPROX(x[0], 1.5543827178); VERIFY_IS_APPROX(x[1], 4.0888321754); VERIFY_IS_APPROX(x[2], 4.5154121844E+02); } EIGEN_DECLARE_TEST(levenberg_marquardt) { // Tests using the examples provided by (c)minpack CALL_SUBTEST(testLmder1()); CALL_SUBTEST(testLmder()); CALL_SUBTEST(testLmdif1()); // CALL_SUBTEST(testLmstr1()); // CALL_SUBTEST(testLmstr()); CALL_SUBTEST(testLmdif()); // NIST tests, level of difficulty = "Lower" CALL_SUBTEST(testNistMisra1a()); CALL_SUBTEST(testNistChwirut2()); // NIST tests, level of difficulty = "Average" CALL_SUBTEST(testNistHahn1()); CALL_SUBTEST(testNistMisra1d()); CALL_SUBTEST(testNistMGH17()); CALL_SUBTEST(testNistLanczos1()); // // NIST tests, level of difficulty = "Higher" CALL_SUBTEST(testNistRat42()); CALL_SUBTEST(testNistMGH10()); CALL_SUBTEST(testNistBoxBOD()); // CALL_SUBTEST(testNistMGH09()); CALL_SUBTEST(testNistBennett5()); CALL_SUBTEST(testNistThurber()); CALL_SUBTEST(testNistRat43()); CALL_SUBTEST(testNistEckerle4()); }