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/NonLinearOptimization/HybridNonLinearSolver.h

@@ -0,0 +1,601 @@
+// -*- coding: utf-8
+// vim: set fileencoding=utf-8
+
+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra.
+//
+// Copyright (C) 2009 Thomas Capricelli <orzel@freehackers.org>
+//
+// 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_HYBRIDNONLINEARSOLVER_H
+#define EIGEN_HYBRIDNONLINEARSOLVER_H
+
+namespace Eigen { 
+
+namespace HybridNonLinearSolverSpace { 
+    enum Status {
+        Running = -1,
+        ImproperInputParameters = 0,
+        RelativeErrorTooSmall = 1,
+        TooManyFunctionEvaluation = 2,
+        TolTooSmall = 3,
+        NotMakingProgressJacobian = 4,
+        NotMakingProgressIterations = 5,
+        UserAsked = 6
+    };
+}
+
+/**
+  * \ingroup NonLinearOptimization_Module
+  * \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
+{
+public:
+    typedef DenseIndex Index;
+
+    HybridNonLinearSolver(FunctorType &_functor)
+        : functor(_functor) { nfev=njev=iter = 0;  fnorm= 0.; useExternalScaling=false;}
+
+    struct Parameters {
+        Parameters()
+            : factor(Scalar(100.))
+            , maxfev(1000)
+            , xtol(numext::sqrt(NumTraits<Scalar>::epsilon()))
+            , nb_of_subdiagonals(-1)
+            , nb_of_superdiagonals(-1)
+            , epsfcn(Scalar(0.)) {}
+        Scalar factor;
+        Index maxfev;   // maximum number of function evaluation
+        Scalar xtol;
+        Index nb_of_subdiagonals;
+        Index nb_of_superdiagonals;
+        Scalar epsfcn;
+    };
+    typedef Matrix< Scalar, Dynamic, 1 > FVectorType;
+    typedef Matrix< Scalar, Dynamic, Dynamic > JacobianType;
+    /* TODO: if eigen provides a triangular storage, use it here */
+    typedef Matrix< Scalar, Dynamic, Dynamic > UpperTriangularType;
+
+    HybridNonLinearSolverSpace::Status hybrj1(
+            FVectorType  &x,
+            const Scalar tol = numext::sqrt(NumTraits<Scalar>::epsilon())
+            );
+
+    HybridNonLinearSolverSpace::Status solveInit(FVectorType  &x);
+    HybridNonLinearSolverSpace::Status solveOneStep(FVectorType  &x);
+    HybridNonLinearSolverSpace::Status solve(FVectorType  &x);
+
+    HybridNonLinearSolverSpace::Status hybrd1(
+            FVectorType  &x,
+            const Scalar tol = numext::sqrt(NumTraits<Scalar>::epsilon())
+            );
+
+    HybridNonLinearSolverSpace::Status solveNumericalDiffInit(FVectorType  &x);
+    HybridNonLinearSolverSpace::Status solveNumericalDiffOneStep(FVectorType  &x);
+    HybridNonLinearSolverSpace::Status solveNumericalDiff(FVectorType  &x);
+
+    void resetParameters(void) { parameters = Parameters(); }
+    Parameters parameters;
+    FVectorType  fvec, qtf, diag;
+    JacobianType fjac;
+    UpperTriangularType R;
+    Index nfev;
+    Index njev;
+    Index iter;
+    Scalar fnorm;
+    bool useExternalScaling; 
+private:
+    FunctorType &functor;
+    Index n;
+    Scalar sum;
+    bool sing;
+    Scalar temp;
+    Scalar delta;
+    bool jeval;
+    Index ncsuc;
+    Scalar ratio;
+    Scalar pnorm, xnorm, fnorm1;
+    Index nslow1, nslow2;
+    Index ncfail;
+    Scalar actred, prered;
+    FVectorType wa1, wa2, wa3, wa4;
+
+    HybridNonLinearSolver& operator=(const HybridNonLinearSolver&);
+};
+
+
+
+template<typename FunctorType, typename Scalar>
+HybridNonLinearSolverSpace::Status
+HybridNonLinearSolver<FunctorType,Scalar>::hybrj1(
+        FVectorType  &x,
+        const Scalar tol
+        )
+{
+    n = x.size();
+
+    /* check the input parameters for errors. */
+    if (n <= 0 || tol < 0.)
+        return HybridNonLinearSolverSpace::ImproperInputParameters;
+
+    resetParameters();
+    parameters.maxfev = 100*(n+1);
+    parameters.xtol = tol;
+    diag.setConstant(n, 1.);
+    useExternalScaling = true;
+    return solve(x);
+}
+
+template<typename FunctorType, typename Scalar>
+HybridNonLinearSolverSpace::Status
+HybridNonLinearSolver<FunctorType,Scalar>::solveInit(FVectorType  &x)
+{
+    n = x.size();
+
+    wa1.resize(n); wa2.resize(n); wa3.resize(n); wa4.resize(n);
+    fvec.resize(n);
+    qtf.resize(n);
+    fjac.resize(n, n);
+    if (!useExternalScaling)
+        diag.resize(n);
+    eigen_assert( (!useExternalScaling || diag.size()==n) && "When useExternalScaling is set, the caller must provide a valid 'diag'");
+
+    /* Function Body */
+    nfev = 0;
+    njev = 0;
+
+    /*     check the input parameters for errors. */
+    if (n <= 0 || parameters.xtol < 0. || parameters.maxfev <= 0 || parameters.factor <= 0. )
+        return HybridNonLinearSolverSpace::ImproperInputParameters;
+    if (useExternalScaling)
+        for (Index j = 0; j < n; ++j)
+            if (diag[j] <= 0.)
+                return HybridNonLinearSolverSpace::ImproperInputParameters;
+
+    /*     evaluate the function at the starting point */
+    /*     and calculate its norm. */
+    nfev = 1;
+    if ( functor(x, fvec) < 0)
+        return HybridNonLinearSolverSpace::UserAsked;
+    fnorm = fvec.stableNorm();
+
+    /*     initialize iteration counter and monitors. */
+    iter = 1;
+    ncsuc = 0;
+    ncfail = 0;
+    nslow1 = 0;
+    nslow2 = 0;
+
+    return HybridNonLinearSolverSpace::Running;
+}
+
+template<typename FunctorType, typename Scalar>
+HybridNonLinearSolverSpace::Status
+HybridNonLinearSolver<FunctorType,Scalar>::solveOneStep(FVectorType  &x)
+{
+    using std::abs;
+    
+    eigen_assert(x.size()==n); // check the caller is not cheating us
+
+    Index j;
+    std::vector<JacobiRotation<Scalar> > v_givens(n), w_givens(n);
+
+    jeval = true;
+
+    /* calculate the jacobian matrix. */
+    if ( functor.df(x, fjac) < 0)
+        return HybridNonLinearSolverSpace::UserAsked;
+    ++njev;
+
+    wa2 = fjac.colwise().blueNorm();
+
+    /* on the first iteration and if external scaling is not used, scale according */
+    /* to the norms of the columns of the initial jacobian. */
+    if (iter == 1) {
+        if (!useExternalScaling)
+            for (j = 0; j < n; ++j)
+                diag[j] = (wa2[j]==0.) ? 1. : wa2[j];
+
+        /* on the first iteration, calculate the norm of the scaled x */
+        /* and initialize the step bound delta. */
+        xnorm = diag.cwiseProduct(x).stableNorm();
+        delta = parameters.factor * xnorm;
+        if (delta == 0.)
+            delta = parameters.factor;
+    }
+
+    /* compute the qr factorization of the jacobian. */
+    HouseholderQR<JacobianType> qrfac(fjac); // no pivoting:
+
+    /* copy the triangular factor of the qr factorization into r. */
+    R = qrfac.matrixQR();
+
+    /* accumulate the orthogonal factor in fjac. */
+    fjac = qrfac.householderQ();
+
+    /* form (q transpose)*fvec and store in qtf. */
+    qtf = fjac.transpose() * fvec;
+
+    /* rescale if necessary. */
+    if (!useExternalScaling)
+        diag = diag.cwiseMax(wa2);
+
+    while (true) {
+        /* determine the direction p. */
+        internal::dogleg<Scalar>(R, diag, qtf, delta, wa1);
+
+        /* store the direction p and x + p. calculate the norm of p. */
+        wa1 = -wa1;
+        wa2 = x + wa1;
+        pnorm = diag.cwiseProduct(wa1).stableNorm();
+
+        /* on the first iteration, adjust the initial step bound. */
+        if (iter == 1)
+            delta = (std::min)(delta,pnorm);
+
+        /* evaluate the function at x + p and calculate its norm. */
+        if ( functor(wa2, wa4) < 0)
+            return HybridNonLinearSolverSpace::UserAsked;
+        ++nfev;
+        fnorm1 = wa4.stableNorm();
+
+        /* compute the scaled actual reduction. */
+        actred = -1.;
+        if (fnorm1 < fnorm) /* Computing 2nd power */
+            actred = 1. - numext::abs2(fnorm1 / fnorm);
+
+        /* compute the scaled predicted reduction. */
+        wa3 = R.template triangularView<Upper>()*wa1 + qtf;
+        temp = wa3.stableNorm();
+        prered = 0.;
+        if (temp < fnorm) /* Computing 2nd power */
+            prered = 1. - numext::abs2(temp / fnorm);
+
+        /* compute the ratio of the actual to the predicted reduction. */
+        ratio = 0.;
+        if (prered > 0.)
+            ratio = actred / prered;
+
+        /* update the step bound. */
+        if (ratio < Scalar(.1)) {
+            ncsuc = 0;
+            ++ncfail;
+            delta = Scalar(.5) * delta;
+        } else {
+            ncfail = 0;
+            ++ncsuc;
+            if (ratio >= Scalar(.5) || ncsuc > 1)
+                delta = (std::max)(delta, pnorm / Scalar(.5));
+            if (abs(ratio - 1.) <= Scalar(.1)) {
+                delta = pnorm / Scalar(.5);
+            }
+        }
+
+        /* test for successful iteration. */
+        if (ratio >= Scalar(1e-4)) {
+            /* successful iteration. update x, fvec, and their norms. */
+            x = wa2;
+            wa2 = diag.cwiseProduct(x);
+            fvec = wa4;
+            xnorm = wa2.stableNorm();
+            fnorm = fnorm1;
+            ++iter;
+        }
+
+        /* determine the progress of the iteration. */
+        ++nslow1;
+        if (actred >= Scalar(.001))
+            nslow1 = 0;
+        if (jeval)
+            ++nslow2;
+        if (actred >= Scalar(.1))
+            nslow2 = 0;
+
+        /* test for convergence. */
+        if (delta <= parameters.xtol * xnorm || fnorm == 0.)
+            return HybridNonLinearSolverSpace::RelativeErrorTooSmall;
+
+        /* tests for termination and stringent tolerances. */
+        if (nfev >= parameters.maxfev)
+            return HybridNonLinearSolverSpace::TooManyFunctionEvaluation;
+        if (Scalar(.1) * (std::max)(Scalar(.1) * delta, pnorm) <= NumTraits<Scalar>::epsilon() * xnorm)
+            return HybridNonLinearSolverSpace::TolTooSmall;
+        if (nslow2 == 5)
+            return HybridNonLinearSolverSpace::NotMakingProgressJacobian;
+        if (nslow1 == 10)
+            return HybridNonLinearSolverSpace::NotMakingProgressIterations;
+
+        /* criterion for recalculating jacobian. */
+        if (ncfail == 2)
+            break; // leave inner loop and go for the next outer loop iteration
+
+        /* calculate the rank one modification to the jacobian */
+        /* and update qtf if necessary. */
+        wa1 = diag.cwiseProduct( diag.cwiseProduct(wa1)/pnorm );
+        wa2 = fjac.transpose() * wa4;
+        if (ratio >= Scalar(1e-4))
+            qtf = wa2;
+        wa2 = (wa2-wa3)/pnorm;
+
+        /* compute the qr factorization of the updated jacobian. */
+        internal::r1updt<Scalar>(R, wa1, v_givens, w_givens, wa2, wa3, &sing);
+        internal::r1mpyq<Scalar>(n, n, fjac.data(), v_givens, w_givens);
+        internal::r1mpyq<Scalar>(1, n, qtf.data(), v_givens, w_givens);
+
+        jeval = false;
+    }
+    return HybridNonLinearSolverSpace::Running;
+}
+
+template<typename FunctorType, typename Scalar>
+HybridNonLinearSolverSpace::Status
+HybridNonLinearSolver<FunctorType,Scalar>::solve(FVectorType  &x)
+{
+    HybridNonLinearSolverSpace::Status status = solveInit(x);
+    if (status==HybridNonLinearSolverSpace::ImproperInputParameters)
+        return status;
+    while (status==HybridNonLinearSolverSpace::Running)
+        status = solveOneStep(x);
+    return status;
+}
+
+
+
+template<typename FunctorType, typename Scalar>
+HybridNonLinearSolverSpace::Status
+HybridNonLinearSolver<FunctorType,Scalar>::hybrd1(
+        FVectorType  &x,
+        const Scalar tol
+        )
+{
+    n = x.size();
+
+    /* check the input parameters for errors. */
+    if (n <= 0 || tol < 0.)
+        return HybridNonLinearSolverSpace::ImproperInputParameters;
+
+    resetParameters();
+    parameters.maxfev = 200*(n+1);
+    parameters.xtol = tol;
+
+    diag.setConstant(n, 1.);
+    useExternalScaling = true;
+    return solveNumericalDiff(x);
+}
+
+template<typename FunctorType, typename Scalar>
+HybridNonLinearSolverSpace::Status
+HybridNonLinearSolver<FunctorType,Scalar>::solveNumericalDiffInit(FVectorType  &x)
+{
+    n = x.size();
+
+    if (parameters.nb_of_subdiagonals<0) parameters.nb_of_subdiagonals= n-1;
+    if (parameters.nb_of_superdiagonals<0) parameters.nb_of_superdiagonals= n-1;
+
+    wa1.resize(n); wa2.resize(n); wa3.resize(n); wa4.resize(n);
+    qtf.resize(n);
+    fjac.resize(n, n);
+    fvec.resize(n);
+    if (!useExternalScaling)
+        diag.resize(n);
+    eigen_assert( (!useExternalScaling || diag.size()==n) && "When useExternalScaling is set, the caller must provide a valid 'diag'");
+
+    /* Function Body */
+    nfev = 0;
+    njev = 0;
+
+    /*     check the input parameters for errors. */
+    if (n <= 0 || parameters.xtol < 0. || parameters.maxfev <= 0 || parameters.nb_of_subdiagonals< 0 || parameters.nb_of_superdiagonals< 0 || parameters.factor <= 0. )
+        return HybridNonLinearSolverSpace::ImproperInputParameters;
+    if (useExternalScaling)
+        for (Index j = 0; j < n; ++j)
+            if (diag[j] <= 0.)
+                return HybridNonLinearSolverSpace::ImproperInputParameters;
+
+    /*     evaluate the function at the starting point */
+    /*     and calculate its norm. */
+    nfev = 1;
+    if ( functor(x, fvec) < 0)
+        return HybridNonLinearSolverSpace::UserAsked;
+    fnorm = fvec.stableNorm();
+
+    /*     initialize iteration counter and monitors. */
+    iter = 1;
+    ncsuc = 0;
+    ncfail = 0;
+    nslow1 = 0;
+    nslow2 = 0;
+
+    return HybridNonLinearSolverSpace::Running;
+}
+
+template<typename FunctorType, typename Scalar>
+HybridNonLinearSolverSpace::Status
+HybridNonLinearSolver<FunctorType,Scalar>::solveNumericalDiffOneStep(FVectorType  &x)
+{
+    using std::sqrt;
+    using std::abs;
+    
+    assert(x.size()==n); // check the caller is not cheating us
+
+    Index j;
+    std::vector<JacobiRotation<Scalar> > v_givens(n), w_givens(n);
+
+    jeval = true;
+    if (parameters.nb_of_subdiagonals<0) parameters.nb_of_subdiagonals= n-1;
+    if (parameters.nb_of_superdiagonals<0) parameters.nb_of_superdiagonals= n-1;
+
+    /* calculate the jacobian matrix. */
+    if (internal::fdjac1(functor, x, fvec, fjac, parameters.nb_of_subdiagonals, parameters.nb_of_superdiagonals, parameters.epsfcn) <0)
+        return HybridNonLinearSolverSpace::UserAsked;
+    nfev += (std::min)(parameters.nb_of_subdiagonals+parameters.nb_of_superdiagonals+ 1, n);
+
+    wa2 = fjac.colwise().blueNorm();
+
+    /* on the first iteration and if external scaling is not used, scale according */
+    /* to the norms of the columns of the initial jacobian. */
+    if (iter == 1) {
+        if (!useExternalScaling)
+            for (j = 0; j < n; ++j)
+                diag[j] = (wa2[j]==0.) ? 1. : wa2[j];
+
+        /* on the first iteration, calculate the norm of the scaled x */
+        /* and initialize the step bound delta. */
+        xnorm = diag.cwiseProduct(x).stableNorm();
+        delta = parameters.factor * xnorm;
+        if (delta == 0.)
+            delta = parameters.factor;
+    }
+
+    /* compute the qr factorization of the jacobian. */
+    HouseholderQR<JacobianType> qrfac(fjac); // no pivoting:
+
+    /* copy the triangular factor of the qr factorization into r. */
+    R = qrfac.matrixQR();
+
+    /* accumulate the orthogonal factor in fjac. */
+    fjac = qrfac.householderQ();
+
+    /* form (q transpose)*fvec and store in qtf. */
+    qtf = fjac.transpose() * fvec;
+
+    /* rescale if necessary. */
+    if (!useExternalScaling)
+        diag = diag.cwiseMax(wa2);
+
+    while (true) {
+        /* determine the direction p. */
+        internal::dogleg<Scalar>(R, diag, qtf, delta, wa1);
+
+        /* store the direction p and x + p. calculate the norm of p. */
+        wa1 = -wa1;
+        wa2 = x + wa1;
+        pnorm = diag.cwiseProduct(wa1).stableNorm();
+
+        /* on the first iteration, adjust the initial step bound. */
+        if (iter == 1)
+            delta = (std::min)(delta,pnorm);
+
+        /* evaluate the function at x + p and calculate its norm. */
+        if ( functor(wa2, wa4) < 0)
+            return HybridNonLinearSolverSpace::UserAsked;
+        ++nfev;
+        fnorm1 = wa4.stableNorm();
+
+        /* compute the scaled actual reduction. */
+        actred = -1.;
+        if (fnorm1 < fnorm) /* Computing 2nd power */
+            actred = 1. - numext::abs2(fnorm1 / fnorm);
+
+        /* compute the scaled predicted reduction. */
+        wa3 = R.template triangularView<Upper>()*wa1 + qtf;
+        temp = wa3.stableNorm();
+        prered = 0.;
+        if (temp < fnorm) /* Computing 2nd power */
+            prered = 1. - numext::abs2(temp / fnorm);
+
+        /* compute the ratio of the actual to the predicted reduction. */
+        ratio = 0.;
+        if (prered > 0.)
+            ratio = actred / prered;
+
+        /* update the step bound. */
+        if (ratio < Scalar(.1)) {
+            ncsuc = 0;
+            ++ncfail;
+            delta = Scalar(.5) * delta;
+        } else {
+            ncfail = 0;
+            ++ncsuc;
+            if (ratio >= Scalar(.5) || ncsuc > 1)
+                delta = (std::max)(delta, pnorm / Scalar(.5));
+            if (abs(ratio - 1.) <= Scalar(.1)) {
+                delta = pnorm / Scalar(.5);
+            }
+        }
+
+        /* test for successful iteration. */
+        if (ratio >= Scalar(1e-4)) {
+            /* successful iteration. update x, fvec, and their norms. */
+            x = wa2;
+            wa2 = diag.cwiseProduct(x);
+            fvec = wa4;
+            xnorm = wa2.stableNorm();
+            fnorm = fnorm1;
+            ++iter;
+        }
+
+        /* determine the progress of the iteration. */
+        ++nslow1;
+        if (actred >= Scalar(.001))
+            nslow1 = 0;
+        if (jeval)
+            ++nslow2;
+        if (actred >= Scalar(.1))
+            nslow2 = 0;
+
+        /* test for convergence. */
+        if (delta <= parameters.xtol * xnorm || fnorm == 0.)
+            return HybridNonLinearSolverSpace::RelativeErrorTooSmall;
+
+        /* tests for termination and stringent tolerances. */
+        if (nfev >= parameters.maxfev)
+            return HybridNonLinearSolverSpace::TooManyFunctionEvaluation;
+        if (Scalar(.1) * (std::max)(Scalar(.1) * delta, pnorm) <= NumTraits<Scalar>::epsilon() * xnorm)
+            return HybridNonLinearSolverSpace::TolTooSmall;
+        if (nslow2 == 5)
+            return HybridNonLinearSolverSpace::NotMakingProgressJacobian;
+        if (nslow1 == 10)
+            return HybridNonLinearSolverSpace::NotMakingProgressIterations;
+
+        /* criterion for recalculating jacobian. */
+        if (ncfail == 2)
+            break; // leave inner loop and go for the next outer loop iteration
+
+        /* calculate the rank one modification to the jacobian */
+        /* and update qtf if necessary. */
+        wa1 = diag.cwiseProduct( diag.cwiseProduct(wa1)/pnorm );
+        wa2 = fjac.transpose() * wa4;
+        if (ratio >= Scalar(1e-4))
+            qtf = wa2;
+        wa2 = (wa2-wa3)/pnorm;
+
+        /* compute the qr factorization of the updated jacobian. */
+        internal::r1updt<Scalar>(R, wa1, v_givens, w_givens, wa2, wa3, &sing);
+        internal::r1mpyq<Scalar>(n, n, fjac.data(), v_givens, w_givens);
+        internal::r1mpyq<Scalar>(1, n, qtf.data(), v_givens, w_givens);
+
+        jeval = false;
+    }
+    return HybridNonLinearSolverSpace::Running;
+}
+
+template<typename FunctorType, typename Scalar>
+HybridNonLinearSolverSpace::Status
+HybridNonLinearSolver<FunctorType,Scalar>::solveNumericalDiff(FVectorType  &x)
+{
+    HybridNonLinearSolverSpace::Status status = solveNumericalDiffInit(x);
+    if (status==HybridNonLinearSolverSpace::ImproperInputParameters)
+        return status;
+    while (status==HybridNonLinearSolverSpace::Running)
+        status = solveNumericalDiffOneStep(x);
+    return status;
+}
+
+} // end namespace Eigen
+
+#endif // EIGEN_HYBRIDNONLINEARSOLVER_H
+
+//vim: ai ts=4 sts=4 et sw=4