nlls_solver_lm.h

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#ifndef NLLS_SOLVER_LM_H
#define NLLS_SOLVER_LM_H

#include <Eigen/Dense>
#include <nlls_solver.h>


namespace FullPhysics {

/******************************************************************
  \brief Homemade NLLS solver based on Levenberg-Marquardt
         algorithm.
 
  This class is the implementation of J. J. More's
  version of the Levenberg-Marquardt NLLS solver.
*******************************************************************/
class NLLSSolverLM :
    public NLLSSolver {

public:

  /******************************************************************
   * \brief Provides NLLSSolverLM with very algorithm specific
   *        parameters.
   *
   * This class is used to collect and provide a solver of NLLSSolverLM
   * type with some of the parameters that is not commonly used by
   * other types of solvers.  The constructor sets each parameter to
   * a reasonable value; however, the trust region radius "tr_rad" is
   * problem dependent and could optionally be reset to a value more
   * appropriate for the problem to be solved.
  *******************************************************************/
  class Options
  {
  public:
    Options()
      : min_W(1.0e-9), tr_rad_tol(0.1), tr_rad(1000.0), cr_ratio_tol(0.0001)
    {}

    double min_W;  

    double tr_rad_tol;  

    double tr_rad;  

    double cr_ratio_tol;  
  };


//-----------------------------------------------------------------------
//-----------------------------------------------------------------------
  NLLSSolverLM( const boost::shared_ptr<NLLSProblem>& p, int max_cost_function_calls, 
                const NLLSSolverLM::Options& opt=NLLSSolverLM::Options(),
                double dx_tol_abs=0.000001, double dx_tol_rel=0.000001,
                double g_tol_abs=0.000001, double g_tol_rel=6.0555e-06,
                bool vrbs=false );


//-----------------------------------------------------------------------
//-----------------------------------------------------------------------

  virtual ~NLLSSolverLM()
  {}


//-----------------------------------------------------------------------
//-----------------------------------------------------------------------

  virtual void solve();


//-----------------------------------------------------------------------
//-----------------------------------------------------------------------

  virtual void print_state(std::ostream &ostr=std::cout);


//-----------------------------------------------------------------------
//-----------------------------------------------------------------------

  virtual void print(std::ostream& Os) const 
  { Os << "NLLSSolverLM"; }


protected:

  virtual status_t iterate();

  static status_t test_dx_rel( const Eigen::VectorXd& dx, const Eigen::VectorXd& x, double dx_tol_rel );

  static status_t test_dx_abs( const Eigen::VectorXd& dx, double dx_tol_abs );

  static status_t test_dx( const Eigen::VectorXd& dx, const Eigen::VectorXd& x, double dx_tol_rel, double dx_tol_abs );

  static status_t test_grad_rel( const Eigen::VectorXd& g, const Eigen::VectorXd& x, double cost, double g_tol_rel );

  static status_t test_grad_abs( const Eigen::VectorXd& g, double g_tol_abs );

  double Dx_tol_abs;
  double Dx_tol_rel;
  double G_tol_abs;
  double G_tol_rel;

  Options Opt;

  double CR_ratio;
  double Lambda;

  Eigen::VectorXd W;

  Eigen::VectorXd Dx;

};  // class NLLSProblemLM

}  // namespace FullPhysics

#endif