private int DeleteAndFreeBuffers()
{
int res = NonLinLeastSqProbWithBCNative.dtrnlspbc_delete(ref solverHandle);
NonLinLeastSqProbWithBCNative.mkl_free_buffers();
return(res);
}
public IEnumerable <double> SolveOptimizationProblem(double precision = 1.0e-8d)
{
#region check parameters
if (mEventsSpaceVector == null)
{
throw new NotSetRequiredParametersException("x space values vector is null");
return(null);
}
if (mFittingValuesVector == null)
{
throw new NotSetRequiredParametersException("fitting values vector is null");
return(null);
}
if (nParametersSpacePoint == null)
{
throw new NotSetRequiredParametersException("initial guess X vector is null");
return(null);
}
if (fittingFunction == null)
{
throw new NotSetRequiredParametersException("fitting function has not been set");
return(null);
}
if (lowerBoundConstraints == null)
{
throw new NotSetRequiredParametersException("lower bound constraints has not been set");
return(null);
}
if (upperBoundConstraints == null)
{
throw new NotSetRequiredParametersException("upper bound constraints has not been set");
return(null);
}
#endregion check parameters
int m = mFittingValuesVector.Count();
mEventsSetLength = mEventsSpaceVector.Count();
//nParametersLength = nParametersSpacePoint.Count();
nParametersLength = nParametersSpacePoint.Count();
double[] eps = new double[6] {
precision, precision, precision, precision, precision, precision
};
int iter1 = 100000;
int iter2 = 10000;
int RCI_Request = 0;
double rs = 0.0d;
bool successful = false;
double r1 = 0.0d;
double r2 = 0.0d;
int[] check_info = new int[6] {
0, 0, 0, 0, 0, 0
};
double[] theta = nParametersSpacePoint.ToArray();
double[] fVec = ObjectiveFunctional(theta).ToArray();
double[,] fJacobi = new double[m, nParametersLength];
double[] lwBC = lowerBoundConstraints.ToArray();
double[] upBC = upperBoundConstraints.ToArray();
for (int i = 0; i < m; i++)
{
for (int j = 0; j < nParametersLength; j++)
{
fJacobi[i, j] = 0.0d;
}
}
unsafe
{
fixed(double *xPtr = &theta[0], fVecPtr = &fVec[0], fJacPtr = &fJacobi[0, 0], lwBCptr = &lwBC[0], upBCptr = &upBC[0], epsPtr = &eps[0])
{
int init_res = NonLinLeastSqProbWithBCNative.dtrnlspbc_init(ref solverHandle, ref nParametersLength, ref m,
(IntPtr)xPtr, (IntPtr)lwBCptr, (IntPtr)upBCptr, (IntPtr)epsPtr, ref iter1, ref iter2, ref rs);
if (init_res != MKLwrapper.DEFINE.TR_SUCCESS)
{
DeleteAndFreeBuffers();
return(theta);
}
int check_res = NonLinLeastSqProbWithBCNative.dtrnlspbc_check(ref solverHandle, ref nParametersLength, ref m,
(IntPtr)fJacPtr, (IntPtr)fVecPtr, (IntPtr)lwBCptr, (IntPtr)upBCptr, (IntPtr)epsPtr, check_info);
if (check_res != MKLwrapper.DEFINE.TR_SUCCESS)
{
DeleteAndFreeBuffers();
return(theta);
}
else
{
if (check_info.Sum() > 0)
{
resultStatus = "input parameters aren`t valid.";
DeleteAndFreeBuffers();
return(nParametersSpacePoint);
}
}
while (!successful)
{
int solve_res = NonLinLeastSqProbWithBCNative.dtrnlspbc_solve(ref solverHandle,
(IntPtr)fVecPtr, (IntPtr)fJacPtr, ref RCI_Request);
if (solve_res != MKLwrapper.DEFINE.TR_SUCCESS)
{
resultStatus = "error in dtrnlsp_solve";
DeleteAndFreeBuffers();
return(nParametersSpacePoint);
}
if (RCI_Request == -1 || RCI_Request == -2 || RCI_Request == -3 || RCI_Request == -4 || RCI_Request == -5 || RCI_Request == -6)
{
successful = true;
}
if (RCI_Request == 1)
{
double[] newFVecValues = ObjectiveFunctional(theta).ToArray();
for (int i = 0; i < m; i++)
{
fVec[i] = newFVecValues[i];
}
resultStatus = "";
}
if (RCI_Request == 2)
{
JacobianMatrixCalc jCalculator = new JacobianMatrixCalc();
//jCalculator.mSpaceVector = (new List<double>(mSpaceVector)).ToArray();
//jCalculator.mFittingValuesVector = (new List<double>(mFittingValuesVector)).ToArray();
jCalculator.mEventsPointsSetLength = mFittingValuesVector.Count();
jCalculator.nParametersSpacePoint = (new List <double>(theta)).ToArray();
jCalculator.objectiveFunction = t => ObjectiveFunctional(t).ToArray();
if (fittingFunctionPartDeriv != null)
{
double[,] tmpNewJacobiAnalytic = ObjectiveFunctionalJacobianMatrix(theta);
#region // debugging test
//DenseMatrix dmJacDev = DenseMatrix.OfArray(tmpNewJacobi) -
// DenseMatrix.OfArray(tmpNewJacobiAnalytic);
//dmJacDev.MapInplace(dVal => Math.Abs(dVal));
//double debugSum = (dmJacDev.ColumnAbsoluteSums()).Sum();
//debugSum = Math.Sqrt(debugSum);
#endregion // debugging test
System.Array.Copy(tmpNewJacobiAnalytic, fJacobi, tmpNewJacobiAnalytic.Length);
}
else
{
double[,] tmpNewJacobi = jCalculator.SolveJacobianMatrix(precision);
System.Array.Copy(tmpNewJacobi, fJacobi, tmpNewJacobi.Length);
}
//for (int i = 0; i < m; i++)
//{
// for (int j = 0; j < n; j++)
// {
// fJacobi[i, j] = tmpNewJacobi[i, j];
// }
//}
resultStatus = "";
}
}
}
}
int iterationsMade = 0;
int stopCriterion = 0;
if (NonLinLeastSqProbWithBCNative.dtrnlspbc_get(ref solverHandle, ref iterationsMade, ref stopCriterion, ref r1, ref r2) != MKLwrapper.DEFINE.TR_SUCCESS)
{
resultStatus = "error in dtrnlsp_get";
DeleteAndFreeBuffers();
return(theta);
}
DeleteAndFreeBuffers();
// stopCriterion
// 1 The algorithm has exceeded the maximum number of iterations
// 2 Δ < eps(1)
// 3 ||F(x)||_2 < eps(2)
// 4 The Jacobian matrix is singular.
// ||J(x)(1:m,j)||_2 < eps(3), j = 1, ..., n
// 5 ||s||_2 < eps(4)
// 6 ||F(x)||_2 - ||F(x) - J(x)s||_2 < eps(5)
resultStatus = "stopping criterion reached: ";
switch (stopCriterion)
{
case 1:
resultStatus += "The algorithm has exceeded the maximum number of iterations";
break;
case 2:
resultStatus += "Δ < precision(1)";
break;
case 3:
resultStatus += "||F(x)||_2 < precision(2)";
break;
case 4:
resultStatus += "The Jacobian matrix is singular";
break;
case 5:
resultStatus += "||s||_2 < precision(4)";
break;
case 6:
resultStatus += "||F(x)||_2 - ||F(x) - J(x)s||_2 < precision(5)";
break;
default:
break;
}
if (r2 < precision)
{
resultStatus += Environment.NewLine + "optimization passed successfully" +
Environment.NewLine + "precision reached: " + r2 +
Environment.NewLine + "precision needed : " + precision;
return(theta);
}
else
{
resultStatus += Environment.NewLine + "optimization failed" +
Environment.NewLine + "precision reached: " + r2 +
Environment.NewLine + "precision needed : " + precision;
return(theta);
}
}