//copy constructor
public NMMatrix(NMMatrix A)
{
_matrix = new double[A.N, A.M];
_n = A.N;
_m = A.M;
for (int i = 0; i < _n; i++)
for (int j = 0; j < _m; j++)
_matrix[i, j] = A[i, j];
}
public NVector Calculate(NVector par_initial, NVector t, NVector y_dat)
{
_result = 0;
m = t.N;
if (par_initial.N != n) throw new Exception("LevenbergMarquardt.Calculate: size mismatch parms");
this.p = par_initial;
this.t = t;
if (y_dat.N != m) throw new Exception("LevenbergMarquardt.Calculate: size mismatch t-y");
this.y_dat = y_dat;
// weight_sq = (m - n + 1) / y_dat.Dot(y_dat);
DOF = (double)(m - n + 1);
//initalize Jacobian and related matrices
y_hat = func(t, p);
y_old = y_hat;
if (Jfunc == null)
J = Jacobian(p, y_hat);
else
J = Jfunc(t, p);
NVector delta_y = y_dat - y_hat;
X2 = delta_y.Dot(delta_y);
JtJ = J.Transpose() * J;
Jtdy = J.Transpose() * delta_y;
iteration = 0;
if (Jtdy.Abs().Max() < eps[0])
{
_result = 1;
return p; //Good guess!!!
}
if (updateType == UpdateType.Marquardt)
lambda = 0.01D;
else
lambda = 0.01D * JtJ.Diag().Max();
bool stop = false;
/************************** Begin Main loop ***********************/
// y_hat = vector of y estimates for current value of parameters
// y_try = vector of y estimates for current trial value of parameters
// y_dat = given dependent values (fixed)
// y_old = vector of y estimates for previous value of parameters (used in Broyden estimate of J)
// t = given independent values (fixed)
// p = current accepted estimate of parameters
// h = last calculated (trial) increment for the parameters
// p_try = current trial value for the parameters
// p_old = previous accepted value of parameters (used in Broyden estimate of J)
// X2 = chi^2 of last accepted estimate
// X2_try = chi^2 of current trial estimate
// J = current estimate of Jacobian at p
while (!stop)
{
iteration++;
NVector h;
if (updateType == UpdateType.Marquardt)
h = Jtdy / (JtJ + lambda * JtJ.Diag().Diag());
else
h = Jtdy / (JtJ + lambda * NMMatrix.I(n));
NVector p_try = (p + h).Max(p_min).Min(p_max);
NVector y_try = func(t, p_try);
delta_y = y_dat - y_try;
double X2_try = delta_y.Dot(delta_y);
if (updateType == UpdateType.Quadratic)
{
alpha = Jtdy.Dot(h) / ((X2_try - X2) / 2D + 2D * Jtdy.Dot(h));
h = h * alpha;
p_try = (p_try + h).Max(p_min).Min(p_max);
delta_y = y_dat - func(t, p_try);
X2_try = delta_y .Dot(delta_y);
}
dX2 = X2_try - X2;
double rho = -dX2 / (2D * (lambda * h + Jtdy).Dot(h));
if (dX2 < 0D) //found a better estimate
{
X2 = X2_try;
p_old = p;
p = p_try;
y_old = y_hat;
y_hat = y_try;
if (iteration % (2 * n) == 0) //|| dX2 > 0 or is it rho > ep[3] ?
if (Jfunc == null)
J = Jacobian(p, y_hat);
else
J = Jfunc(t, p);
else
J = J + (y_hat - y_old - J * h).Cross(h) / h.Dot(h); //Broyden rank-1 update of J
JtJ = J.Transpose() * J;
Jtdy = J.Transpose() * delta_y;
switch (updateType)
{
case UpdateType.Marquardt:
lambda = Math.Max(lambda / lambda_DN_fac, 1E-7);
break;
case UpdateType.Quadratic:
lambda = Math.Max(lambda / (1 + alpha), 1E-7);
break;
case UpdateType.Nielsen:
lambda = lambda * Math.Max(1D / 3D, 1D - Math.Pow(2D * rho - 1D, 3));
nu = 2D;
break;
}
if (Jtdy.Abs().Max() < eps[0] && iteration > 2)
{
_result = 1;
stop = true;
}
else if ((h / p).Abs().Max() < eps[1] && iteration > 2)
{
_result = 2;
stop = true;
}
else if (X2 / (m - n + 1) < eps[2] && iteration > 2)
{
_result = 3;
stop = true;
}
}
else //Not a better estimate
{
if (iteration % (2 * n) == 0) //update J every 2n th no matter what
{
if (Jfunc == null)
J = Jacobian(p, y_hat);
else
J = Jfunc(t, p);
JtJ = J.Transpose() * J;
Jtdy = J.Transpose() * (y_dat - y_hat);
}
switch (updateType)
{
case UpdateType.Marquardt:
lambda = Math.Min(lambda * lambda_UP_fac, 1E7);
break;
case UpdateType.Quadratic:
lambda = lambda + Math.Abs(dX2 / (2D * alpha));
break;
case UpdateType.Nielsen:
lambda = lambda * nu;
nu *= 2D;
break;
}
}
if (iteration > MaxIter && !stop)
{
_result = -1;
return p;
}
}
/************************** End Main loop ************************/
return p;
}
public NMMatrix Diag()
{
NMMatrix A = new NMMatrix(_n, _n);
for (int i = 0; i < _n; i++)
A[i, i] = _vector[i];
return A;
}
public NMMatrix Cross(NVector A)
{
NMMatrix C = new NMMatrix(_n, A._n);
for (int i = 0; i < _n; i++)
for (int j = 0; j < A._n; j++)
C[i,j] += _vector[i] * A._vector[j];
return C;
}
public NMMatrix Transpose()
{
//make shallow copy, so both transposed and untransposed matrix may be used in same calculation
NMMatrix A = new NMMatrix();
A._matrix = _matrix;
A._m = _m;
A._n = _n;
A._transpose = !_transpose;
return A;
}
public static NMMatrix operator *(NMMatrix A, NMMatrix B)
{
int l1 = A.N;
int l2 = B.M;
int l3 = A.M;
if (l3 != B.N ) throw new Exception("NMMatrix.Mul: incompatable sizes");
NMMatrix C = new NMMatrix(l1, l2);
for (int i = 0; i < l1; i++)
for (int j = 0; j < l2; j++)
{
double c = 0D;
for (int k = 0; k < l3; k++)
c += A[i, k] * B[k, j];
C._matrix[i, j] = c;
}
return C;
}
public NMMatrix ExtractMatrix(int col, int coln)
{
NMMatrix A = new NMMatrix(N, coln);
for (int i = 0; i < N; i++)
for (int j = 0; j < coln; j++)
A[i, j] = this[i, col + j];
return A;
}
public NMMatrix Apply(F func)
{
NMMatrix A = new NMMatrix(this);
for (int i = 0; i < _n; i++)
for (int j = 0; j < _m; j++)
A[i, j] = func(A[i, j]);
return A;
}
public NMMatrix Augment(NVector V)
{
if (N != V.N) throw new Exception("NMMatrix.Augment(Vector): incompatable sizes");
NMMatrix B = new NMMatrix(N, M + 1);
for (int i = 0; i < N; i++)
{
for (int j = 0; j < M; j++)
B[i, j] = this[i, j];
B[i, M] = V[i];
}
return B;
}
public static NMMatrix operator /(NMMatrix A, double b)
{
int l1 = A.N;
int l2 = A.M;
NMMatrix C = new NMMatrix(l1,l2);
for (int i = 0; i < l1; i++)
for (int j = 0; j < l2; j++)
C._matrix[i, j] = A[i, j] / b;
return C;
}
public static NMMatrix I(int n)
{
NMMatrix A = new NMMatrix(n, n);
for (int i = 0; i < n; i++)
A._matrix[i, i] = 1D;
return A;
}
public static NMMatrix operator -(NMMatrix A, NMMatrix B)
{
int l1 = A.N;
int l2 = A.M;
if (l1 != B.N || l2 != B.M) throw new Exception("NMMatrix.Subtract: incompatable sizes");
NMMatrix C = new NMMatrix(A);
for (int i = 0; i < l1; i++)
for (int j = 0; j < l2; j++)
C._matrix[i, j] -= B[i, j];
return C;
}
public static NMMatrix operator +(NMMatrix A, NMMatrix B)
{
if (A.N != B.N || A.M != B.M) throw new Exception("NMMatrix.Add: incompatable sizes");
NMMatrix C = new NMMatrix(A);
for (int i = 0; i < A.N; i++)
for (int j = 0; j < A.M; j++)
C._matrix[i, j] += B[i, j];
return C;
}
public static NMMatrix operator *(double a, NMMatrix B)
{
int l1 = B.N;
int l2 = B.M;
NMMatrix C = new NMMatrix(B);
for (int i = 0; i < l1; i++)
for (int j = 0; j < l2; j++)
C._matrix[i, j] *= a;
return C;
}
private NMMatrix Broyden(NVector p_old, NVector y_old, NMMatrix J, NVector p, NVector y)
{
NVector h = p - p_old;
J = J + (y - y_old - J * h).Cross(h) / h.Dot(h);
return J;
}
public NMMatrix Augment(NMMatrix A)
{
if (N != A.N) throw new Exception("NMMatrix.Augment(Matrix): incompatable sizes");
NMMatrix B = new NMMatrix(N, M + A.M);
for (int i = 0; i < N; i++)
{
for (int j = 0; j < M; j++)
B[i, j] = this[i, j];
for (int j = 0; j < A.M; j++)
B[i, M + j] = A[i, j];
}
return B;
}
private NMMatrix Jacobian(NVector p, NVector y)
{
NVector ps = new NVector(p); //save a copy
NMMatrix J = new NMMatrix(m, n); //creating a new J from scratch
double del_p;
for (int j = 0; j < n; j++)
{
del_p = Math.Max(dp[j] * Math.Abs(p[j]), dp[j]);
p[j] = ps[j] + del_p;
NVector y1 = func(t, p);
if (dp[j] != 0D) //forward or backward difference
J.ReplaceColumn(j, (y1 - y) / del_p);
else //central difference
{
p[j] = ps[j] - del_p;
J.ReplaceColumn(j, (y1 - func(t, p)) / (2D * del_p));
}
p[j] = ps[j]; //restore this value
}
return J;
}
static NMMatrix Jfunc(NVector t, NVector p)
{
double eat;
double ebt;
NMMatrix J = new NMMatrix(t.N, p.N);
for (int i = 0; i < t.N; i++)
{
double t0 = t[i] - p[5];
eat = Math.Exp(-p[3] * t0);
ebt = Math.Exp(-p[4] * t0);
J[i, 1] = 1D - ebt; //B
J[i, 2] = ebt; //C
J[i, 4] = p[1] - p[2]; //beta
J[i, 5] = (p[2] - p[1]) * p[4]; //t0
if (t0 > 0D) //UnitStep portion
{
J[i, 0] = ebt * (1D - eat); //A
J[i, 3] = p[0] * t0 * eat * ebt; //alpha
J[i, 4] -= p[0] * (1D - eat); //beta
J[i, 5] += p[0] * (p[4] * (1D - eat) - p[3] * eat); //t0
}
J[i, 4] *= t0 * ebt; //beta
J[i, 5] *= ebt; //t0
}
return J;
}