pylibsparseir 0.1.0__cp312-cp312-macosx_15_0_arm64.whl → 0.6.0__cp312-cp312-macosx_15_0_arm64.whl

include/eigen3/unsupported/Eigen/src/LevenbergMarquardt/LevenbergMarquardt.h

@@ -0,0 +1,396 @@
+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra.
+//
+// Copyright (C) 2009 Thomas Capricelli <orzel@freehackers.org>
+// Copyright (C) 2012 Desire Nuentsa <desire.nuentsa_wakam@inria.fr>
+//
+// The algorithm of this class initially comes from MINPACK whose original authors are:
+// Copyright Jorge More - Argonne National Laboratory
+// Copyright Burt Garbow - Argonne National Laboratory
+// Copyright Ken Hillstrom - Argonne National Laboratory
+//
+// This Source Code Form is subject to the terms of the Minpack license
+// (a BSD-like license) described in the campaigned CopyrightMINPACK.txt file.
+//
+// This Source Code Form is subject to the terms of the Mozilla
+// Public License v. 2.0. If a copy of the MPL was not distributed
+// with this file, You can obtain one at http://mozilla.org/MPL/2.0/.
+
+#ifndef EIGEN_LEVENBERGMARQUARDT_H
+#define EIGEN_LEVENBERGMARQUARDT_H
+
+
+namespace Eigen {
+namespace LevenbergMarquardtSpace {
+    enum Status {
+        NotStarted = -2,
+        Running = -1,
+        ImproperInputParameters = 0,
+        RelativeReductionTooSmall = 1,
+        RelativeErrorTooSmall = 2,
+        RelativeErrorAndReductionTooSmall = 3,
+        CosinusTooSmall = 4,
+        TooManyFunctionEvaluation = 5,
+        FtolTooSmall = 6,
+        XtolTooSmall = 7,
+        GtolTooSmall = 8,
+        UserAsked = 9
+    };
+}
+
+template <typename _Scalar, int NX=Dynamic, int NY=Dynamic>
+struct DenseFunctor
+{
+  typedef _Scalar Scalar;
+  enum {
+    InputsAtCompileTime = NX,
+    ValuesAtCompileTime = NY
+  };
+  typedef Matrix<Scalar,InputsAtCompileTime,1> InputType;
+  typedef Matrix<Scalar,ValuesAtCompileTime,1> ValueType;
+  typedef Matrix<Scalar,ValuesAtCompileTime,InputsAtCompileTime> JacobianType;
+  typedef ColPivHouseholderQR<JacobianType> QRSolver;
+  const int m_inputs, m_values;
+
+  DenseFunctor() : m_inputs(InputsAtCompileTime), m_values(ValuesAtCompileTime) {}
+  DenseFunctor(int inputs, int values) : m_inputs(inputs), m_values(values) {}
+
+  int inputs() const { return m_inputs; }
+  int values() const { return m_values; }
+
+  //int operator()(const InputType &x, ValueType& fvec) { }
+  // should be defined in derived classes
+  
+  //int df(const InputType &x, JacobianType& fjac) { }
+  // should be defined in derived classes
+};
+
+template <typename _Scalar, typename _Index>
+struct SparseFunctor
+{
+  typedef _Scalar Scalar;
+  typedef _Index Index;
+  typedef Matrix<Scalar,Dynamic,1> InputType;
+  typedef Matrix<Scalar,Dynamic,1> ValueType;
+  typedef SparseMatrix<Scalar, ColMajor, Index> JacobianType;
+  typedef SparseQR<JacobianType, COLAMDOrdering<int> > QRSolver;
+  enum {
+    InputsAtCompileTime = Dynamic,
+    ValuesAtCompileTime = Dynamic
+  };
+  
+  SparseFunctor(int inputs, int values) : m_inputs(inputs), m_values(values) {}
+
+  int inputs() const { return m_inputs; }
+  int values() const { return m_values; }
+  
+  const int m_inputs, m_values;
+  //int operator()(const InputType &x, ValueType& fvec) { }
+  // to be defined in the functor
+  
+  //int df(const InputType &x, JacobianType& fjac) { }
+  // to be defined in the functor if no automatic differentiation
+  
+};
+namespace internal {
+template <typename QRSolver, typename VectorType>
+void lmpar2(const QRSolver &qr, const VectorType  &diag, const VectorType  &qtb,
+	    typename VectorType::Scalar m_delta, typename VectorType::Scalar &par,
+	    VectorType  &x);
+    }
+/**
+  * \ingroup NonLinearOptimization_Module
+  * \brief Performs non linear optimization over a non-linear function,
+  * using a variant of the Levenberg Marquardt algorithm.
+  *
+  * Check wikipedia for more information.
+  * http://en.wikipedia.org/wiki/Levenberg%E2%80%93Marquardt_algorithm
+  */
+template<typename _FunctorType>
+class LevenbergMarquardt : internal::no_assignment_operator
+{
+  public:
+    typedef _FunctorType FunctorType;
+    typedef typename FunctorType::QRSolver QRSolver;
+    typedef typename FunctorType::JacobianType JacobianType;
+    typedef typename JacobianType::Scalar Scalar;
+    typedef typename JacobianType::RealScalar RealScalar; 
+    typedef typename QRSolver::StorageIndex PermIndex;
+    typedef Matrix<Scalar,Dynamic,1> FVectorType;
+    typedef PermutationMatrix<Dynamic,Dynamic,int> PermutationType;
+  public:
+    LevenbergMarquardt(FunctorType& functor) 
+    : m_functor(functor),m_nfev(0),m_njev(0),m_fnorm(0.0),m_gnorm(0),
+      m_isInitialized(false),m_info(InvalidInput)
+    {
+      resetParameters();
+      m_useExternalScaling=false; 
+    }
+    
+    LevenbergMarquardtSpace::Status minimize(FVectorType &x);
+    LevenbergMarquardtSpace::Status minimizeInit(FVectorType &x);
+    LevenbergMarquardtSpace::Status minimizeOneStep(FVectorType &x);
+    LevenbergMarquardtSpace::Status lmder1(
+      FVectorType  &x, 
+      const Scalar tol = std::sqrt(NumTraits<Scalar>::epsilon())
+    );
+    static LevenbergMarquardtSpace::Status lmdif1(
+            FunctorType &functor,
+            FVectorType  &x,
+            Index *nfev,
+            const Scalar tol = std::sqrt(NumTraits<Scalar>::epsilon())
+            );
+    
+    /** Sets the default parameters */
+    void resetParameters() 
+    {
+      using std::sqrt;        
+
+      m_factor = 100.; 
+      m_maxfev = 400; 
+      m_ftol = sqrt(NumTraits<RealScalar>::epsilon());
+      m_xtol = sqrt(NumTraits<RealScalar>::epsilon());
+      m_gtol = 0. ; 
+      m_epsfcn = 0. ;
+    }
+    
+    /** Sets the tolerance for the norm of the solution vector*/
+    void setXtol(RealScalar xtol) { m_xtol = xtol; }
+    
+    /** Sets the tolerance for the norm of the vector function*/
+    void setFtol(RealScalar ftol) { m_ftol = ftol; }
+    
+    /** Sets the tolerance for the norm of the gradient of the error vector*/
+    void setGtol(RealScalar gtol) { m_gtol = gtol; }
+    
+    /** Sets the step bound for the diagonal shift */
+    void setFactor(RealScalar factor) { m_factor = factor; }    
+    
+    /** Sets the error precision  */
+    void setEpsilon (RealScalar epsfcn) { m_epsfcn = epsfcn; }
+    
+    /** Sets the maximum number of function evaluation */
+    void setMaxfev(Index maxfev) {m_maxfev = maxfev; }
+    
+    /** Use an external Scaling. If set to true, pass a nonzero diagonal to diag() */
+    void setExternalScaling(bool value) {m_useExternalScaling  = value; }
+    
+    /** \returns the tolerance for the norm of the solution vector */
+    RealScalar xtol() const {return m_xtol; }
+    
+    /** \returns the tolerance for the norm of the vector function */
+    RealScalar ftol() const {return m_ftol; }
+    
+    /** \returns the tolerance for the norm of the gradient of the error vector */
+    RealScalar gtol() const {return m_gtol; }
+    
+    /** \returns the step bound for the diagonal shift */
+    RealScalar factor() const {return m_factor; }
+    
+    /** \returns the error precision */
+    RealScalar epsilon() const {return m_epsfcn; }
+    
+    /** \returns the maximum number of function evaluation */
+    Index maxfev() const {return m_maxfev; }
+    
+    /** \returns a reference to the diagonal of the jacobian */
+    FVectorType& diag() {return m_diag; }
+    
+    /** \returns the number of iterations performed */
+    Index iterations() { return m_iter; }
+    
+    /** \returns the number of functions evaluation */
+    Index nfev() { return m_nfev; }
+    
+    /** \returns the number of jacobian evaluation */
+    Index njev() { return m_njev; }
+    
+    /** \returns the norm of current vector function */
+    RealScalar fnorm() {return m_fnorm; }
+    
+    /** \returns the norm of the gradient of the error */
+    RealScalar gnorm() {return m_gnorm; }
+    
+    /** \returns the LevenbergMarquardt parameter */
+    RealScalar lm_param(void) { return m_par; }
+    
+    /** \returns a reference to the  current vector function 
+     */
+    FVectorType& fvec() {return m_fvec; }
+    
+    /** \returns a reference to the matrix where the current Jacobian matrix is stored
+     */
+    JacobianType& jacobian() {return m_fjac; }
+    
+    /** \returns a reference to the triangular matrix R from the QR of the jacobian matrix.
+     * \sa jacobian()
+     */
+    JacobianType& matrixR() {return m_rfactor; }
+    
+    /** the permutation used in the QR factorization
+     */
+    PermutationType permutation() {return m_permutation; }
+    
+    /** 
+     * \brief Reports whether the minimization was successful
+     * \returns \c Success if the minimization was successful,
+     *         \c NumericalIssue if a numerical problem arises during the 
+     *          minimization process, for example during the QR factorization
+     *         \c NoConvergence if the minimization did not converge after 
+     *          the maximum number of function evaluation allowed
+     *          \c InvalidInput if the input matrix is invalid
+     */
+    ComputationInfo info() const
+    {
+      
+      return m_info;
+    }
+  private:
+    JacobianType m_fjac; 
+    JacobianType m_rfactor; // The triangular matrix R from the QR of the jacobian matrix m_fjac
+    FunctorType &m_functor;
+    FVectorType m_fvec, m_qtf, m_diag; 
+    Index n;
+    Index m; 
+    Index m_nfev;
+    Index m_njev; 
+    RealScalar m_fnorm; // Norm of the current vector function
+    RealScalar m_gnorm; //Norm of the gradient of the error 
+    RealScalar m_factor; //
+    Index m_maxfev; // Maximum number of function evaluation
+    RealScalar m_ftol; //Tolerance in the norm of the vector function
+    RealScalar m_xtol; // 
+    RealScalar m_gtol; //tolerance of the norm of the error gradient
+    RealScalar m_epsfcn; //
+    Index m_iter; // Number of iterations performed
+    RealScalar m_delta;
+    bool m_useExternalScaling;
+    PermutationType m_permutation;
+    FVectorType m_wa1, m_wa2, m_wa3, m_wa4; //Temporary vectors
+    RealScalar m_par;
+    bool m_isInitialized; // Check whether the minimization step has been called
+    ComputationInfo m_info; 
+};
+
+template<typename FunctorType>
+LevenbergMarquardtSpace::Status
+LevenbergMarquardt<FunctorType>::minimize(FVectorType  &x)
+{
+    LevenbergMarquardtSpace::Status status = minimizeInit(x);
+    if (status==LevenbergMarquardtSpace::ImproperInputParameters) {
+      m_isInitialized = true;
+      return status;
+    }
+    do {
+//       std::cout << " uv " << x.transpose() << "\n";
+        status = minimizeOneStep(x);
+    } while (status==LevenbergMarquardtSpace::Running);
+     m_isInitialized = true;
+     return status;
+}
+
+template<typename FunctorType>
+LevenbergMarquardtSpace::Status
+LevenbergMarquardt<FunctorType>::minimizeInit(FVectorType  &x)
+{
+    n = x.size();
+    m = m_functor.values();
+
+    m_wa1.resize(n); m_wa2.resize(n); m_wa3.resize(n);
+    m_wa4.resize(m);
+    m_fvec.resize(m);
+    //FIXME Sparse Case : Allocate space for the jacobian
+    m_fjac.resize(m, n);
+//     m_fjac.reserve(VectorXi::Constant(n,5)); // FIXME Find a better alternative
+    if (!m_useExternalScaling)
+        m_diag.resize(n);
+    eigen_assert( (!m_useExternalScaling || m_diag.size()==n) && "When m_useExternalScaling is set, the caller must provide a valid 'm_diag'");
+    m_qtf.resize(n);
+
+    /* Function Body */
+    m_nfev = 0;
+    m_njev = 0;
+
+    /*     check the input parameters for errors. */
+    if (n <= 0 || m < n || m_ftol < 0. || m_xtol < 0. || m_gtol < 0. || m_maxfev <= 0 || m_factor <= 0.){
+      m_info = InvalidInput;
+      return LevenbergMarquardtSpace::ImproperInputParameters;
+    }
+
+    if (m_useExternalScaling)
+        for (Index j = 0; j < n; ++j)
+            if (m_diag[j] <= 0.) 
+            {
+              m_info = InvalidInput;
+              return LevenbergMarquardtSpace::ImproperInputParameters;
+            }
+
+    /*     evaluate the function at the starting point */
+    /*     and calculate its norm. */
+    m_nfev = 1;
+    if ( m_functor(x, m_fvec) < 0)
+        return LevenbergMarquardtSpace::UserAsked;
+    m_fnorm = m_fvec.stableNorm();
+
+    /*     initialize levenberg-marquardt parameter and iteration counter. */
+    m_par = 0.;
+    m_iter = 1;
+
+    return LevenbergMarquardtSpace::NotStarted;
+}
+
+template<typename FunctorType>
+LevenbergMarquardtSpace::Status
+LevenbergMarquardt<FunctorType>::lmder1(
+        FVectorType  &x,
+        const Scalar tol
+        )
+{
+    n = x.size();
+    m = m_functor.values();
+
+    /* check the input parameters for errors. */
+    if (n <= 0 || m < n || tol < 0.)
+        return LevenbergMarquardtSpace::ImproperInputParameters;
+
+    resetParameters();
+    m_ftol = tol;
+    m_xtol = tol;
+    m_maxfev = 100*(n+1);
+
+    return minimize(x);
+}
+
+
+template<typename FunctorType>
+LevenbergMarquardtSpace::Status
+LevenbergMarquardt<FunctorType>::lmdif1(
+        FunctorType &functor,
+        FVectorType  &x,
+        Index *nfev,
+        const Scalar tol
+        )
+{
+    Index n = x.size();
+    Index m = functor.values();
+
+    /* check the input parameters for errors. */
+    if (n <= 0 || m < n || tol < 0.)
+        return LevenbergMarquardtSpace::ImproperInputParameters;
+
+    NumericalDiff<FunctorType> numDiff(functor);
+    // embedded LevenbergMarquardt
+    LevenbergMarquardt<NumericalDiff<FunctorType> > lm(numDiff);
+    lm.setFtol(tol);
+    lm.setXtol(tol);
+    lm.setMaxfev(200*(n+1));
+
+    LevenbergMarquardtSpace::Status info = LevenbergMarquardtSpace::Status(lm.minimize(x));
+    if (nfev)
+        * nfev = lm.nfev();
+    return info;
+}
+
+} // end namespace Eigen
+
+#endif // EIGEN_LEVENBERGMARQUARDT_H