gsl_try_2.c

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/* 
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#include <stdlib.h>
#include <stdio.h>
#include <gsl/gsl_rng.h>
#include <gsl/gsl_randist.h>
#include <gsl/gsl_matrix.h>
#include <gsl/gsl_vector.h>
#include <gsl/gsl_blas.h>
#include <gsl/gsl_multifit_nlinear.h>

#define N      18    /* number of data points to fit */
#define TMAX   (40.0) /* time variable in [0,TMAX] */

struct INDATA {
        double x;
        double y;
        double wt;
};

struct INDATA indata[] = {
        {     (96740.0-96739.4),  1.039670408E-02,  1.0 },
        {     (96740.2-96739.4),  1.489661168E-02,  1.0 },
        {     (96740.3-96739.4),  5.147212651E-03,  1.0 },
        {     (96740.5-96739.4),  7.694352418E-03,  1.0 },
        {     (96740.7-96739.4),  2.027618140E-02,  1.0 },
        {     (96740.8-96739.4),  3.102330491E-02,  1.0 },
        {     (96741.0-96739.4),  6.541901827E-02,  1.0 },
        {     (96741.1-96739.4),  1.259476393E-01,  1.0 },
        {     (96741.3-96739.4),  1.189766824E-01,  1.0 },
        {     (96741.4-96739.4),  6.505819410E-02,  1.0 },
        {     (96741.6-96739.4),  4.259039834E-02,  1.0 },
        {     (96741.7-96739.4),  3.023725376E-02,  1.0 },
        {     (96741.9-96739.4),  1.395332254E-02,  1.0 },
        {     (96742.1-96739.4),  1.104300097E-02,  1.0 },
        {     (96742.2-96739.4),  4.119268619E-03,  1.0 },
        {     (96742.4-96739.4),  3.464561305E-04,  1.0 },
        {     (96742.5-96739.4), -3.346168669E-03,  1.0 },
        {     (96742.7-96739.4),  1.483750762E-03,  1.0 }
};


struct data {
  size_t n;
  double * t;
  double * y;
};

int
expb_f (const gsl_vector * x, void *data,
        gsl_vector * f)
{
  size_t n = ((struct data *)data)->n;
  double *t = ((struct data *)data)->t;
  double *y = ((struct data *)data)->y;

  double A = gsl_vector_get (x, 0);
  double lambda = gsl_vector_get (x, 1);
  double b = gsl_vector_get (x, 2);

  size_t i;

  for (i = 0; i < n; i++)
    {
      /* Model Yi = A * exp(-lambda * t_i) + b */
      double Yi = A * exp (-lambda * t[i]) + b;
      gsl_vector_set (f, i, Yi - y[i]);
    }

  return GSL_SUCCESS;
}

int
expb_df (const gsl_vector * x, void *data,
         gsl_matrix * J)
{
  size_t n = ((struct data *)data)->n;
  double *t = ((struct data *)data)->t;

  double A = gsl_vector_get (x, 0);
  double lambda = gsl_vector_get (x, 1);

  size_t i;

  for (i = 0; i < n; i++)
    {
      /* Jacobian matrix J(i,j) = dfi / dxj, */
      /* where fi = (Yi - yi)/sigma[i],      */
      /*       Yi = A * exp(-lambda * t_i) + b  */
      /* and the xj are the parameters (A,lambda,b) */
      double e = exp(-lambda * t[i]);
      gsl_matrix_set (J, i, 0, e);
      gsl_matrix_set (J, i, 1, -t[i] * A * e);
      gsl_matrix_set (J, i, 2, 1.0);
    }

  return GSL_SUCCESS;
}

void
callback(const size_t iter, void *params,
         const gsl_multifit_nlinear_workspace *w)
{
  gsl_vector *f = gsl_multifit_nlinear_residual(w);
  gsl_vector *x = gsl_multifit_nlinear_position(w);
  double rcond;

  /* compute reciprocal condition number of J(x) */
  gsl_multifit_nlinear_rcond(&rcond, w);

  fprintf(stderr, "iter %2zu: A = %.4f, lambda = %.4f, b = %.4f, cond(J) = %8.4f, |f(x)| = %.4f\n",
          iter,
          gsl_vector_get(x, 0),
          gsl_vector_get(x, 1),
          gsl_vector_get(x, 2),
          1.0 / rcond,
          gsl_blas_dnrm2(f));
}

int
main (void)
{
  const gsl_multifit_nlinear_type *T = gsl_multifit_nlinear_trust;
  gsl_multifit_nlinear_workspace *w;
  gsl_multifit_nlinear_fdf fdf;
  gsl_multifit_nlinear_parameters fdf_params =
    gsl_multifit_nlinear_default_parameters();
  const size_t n = N;
  const size_t p = 3;

  gsl_vector *f;
  gsl_matrix *J;
  gsl_matrix *covar = gsl_matrix_alloc (p, p);
  double t[N], y[N], weights[N];
  struct data d = { n, t, y };
  double x_init[3] = { 1.0, 1.0, 0.0 }; /* starting values */
//  double x_init[3] = { 0.125, 1.9, 0.78125 }; /* starting values */
  gsl_vector_view x = gsl_vector_view_array (x_init, p);
  gsl_vector_view wts = gsl_vector_view_array(weights, n);
  gsl_rng * r;
  double chisq, chisq0;
  int status, info;
  size_t i;

  const double xtol = 1e-8;
  const double gtol = 1e-8;
  const double ftol = 0.0;

  gsl_rng_env_setup();
  r = gsl_rng_alloc(gsl_rng_default);

  /* define the function to be minimized */
  fdf.f = expb_f;
  fdf.df = expb_df;   /* set to NULL for finite-difference Jacobian */
  fdf.fvv = NULL;     /* not using geodesic acceleration */
  fdf.n = n;
  fdf.p = p;
  fdf.params = &d;

  /* this is the data to be fitted */
//  for (i = 0; i < n; i++)
//    {
//      double ti = i * TMAX / (n - 1.0);
//      double yi = 1.0 + 5 * exp (-0.1 * ti);
//      double si = 0.1 * yi;
//      double dy = gsl_ran_gaussian(r, si);
//
//      t[i] = ti;
//      y[i] = yi + dy;
//      weights[i] = 1.0 / (si * si);
//      printf ("data: %g %g %g\n", ti, y[i], si);
//    };

  for(i=0;i<n;i++)
  {
    t[i]       = indata[i].x;
    y[i]       = indata[i].y;
    weights[i] = indata[i].wt;

    printf ("data: %g %g %g\n", t[i], y[i], weights[i]);
  }

  /* allocate workspace with default parameters */
  w = gsl_multifit_nlinear_alloc (T, &fdf_params, n, p);

  /* initialize solver with starting point and weights */
  gsl_multifit_nlinear_winit (&x.vector, &wts.vector, &fdf, w);

  /* compute initial cost function */
  f = gsl_multifit_nlinear_residual(w);
  gsl_blas_ddot(f, f, &chisq0);

  /* solve the system with a maximum of 100 iterations */
  status = gsl_multifit_nlinear_driver(100, xtol, gtol, ftol,
                                       callback, NULL, &info, w);

  /* compute covariance of best fit parameters */
  J = gsl_multifit_nlinear_jac(w);
  gsl_multifit_nlinear_covar (J, 0.0, covar);

  /* compute final cost */
  gsl_blas_ddot(f, f, &chisq);

#define FIT(i) gsl_vector_get(w->x, i)
#define ERR(i) sqrt(gsl_matrix_get(covar,i,i))

  fprintf(stderr, "summary from method '%s/%s'\n",
          gsl_multifit_nlinear_name(w),
          gsl_multifit_nlinear_trs_name(w));
  fprintf(stderr, "number of iterations: %zu\n",
          gsl_multifit_nlinear_niter(w));
  fprintf(stderr, "function evaluations: %zu\n", fdf.nevalf);
  fprintf(stderr, "Jacobian evaluations: %zu\n", fdf.nevaldf);
  fprintf(stderr, "reason for stopping: %s\n",
          (info == 1) ? "small step size" : "small gradient");
  fprintf(stderr, "initial |f(x)| = %f\n", sqrt(chisq0));
  fprintf(stderr, "final   |f(x)| = %f\n", sqrt(chisq));

  {
    double dof = n - p;
    double c = GSL_MAX_DBL(1, sqrt(chisq / dof));

    fprintf(stderr, "chisq/dof = %g\n", chisq / dof);

    fprintf (stderr, "A      = %.5f +/- %.5f\n", FIT(0), c*ERR(0));
    fprintf (stderr, "lambda = %.5f +/- %.5f\n", FIT(1), c*ERR(1));
    fprintf (stderr, "b      = %.5f +/- %.5f\n", FIT(2), c*ERR(2));
  }

  fprintf (stderr, "status = %s\n", gsl_strerror (status));

  gsl_multifit_nlinear_free (w);
  gsl_matrix_free (covar);
  gsl_rng_free (r);

  return 0;
}