1 | #ifndef theplu_yat_utility_multi_minimizer_ |
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2 | #define theplu_yat_utility_multi_minimizer_ |
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3 | |
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4 | // $Id: MultiMinimizer.h 4252 2022-11-18 02:54:04Z peter $ |
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5 | |
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6 | /* |
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7 | Copyright (C) 2022 Peter Johansson |
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8 | |
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9 | This file is part of the yat library, https://dev.thep.lu.se/yat |
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10 | |
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11 | The yat library is free software; you can redistribute it and/or |
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12 | modify it under the terms of the GNU General Public License as |
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13 | published by the Free Software Foundation; either version 3 of the |
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14 | License, or (at your option) any later version. |
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15 | |
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16 | The yat library is distributed in the hope that it will be useful, |
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17 | but WITHOUT ANY WARRANTY; without even the implied warranty of |
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18 | MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU |
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19 | General Public License for more details. |
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20 | |
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21 | You should have received a copy of the GNU General Public License |
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22 | along with yat. If not, see <https://www.gnu.org/licenses/>. |
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23 | */ |
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24 | |
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25 | #include "Exception.h" |
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26 | #include "multivariable/f.h" |
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27 | |
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28 | #include "Vector.h" |
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29 | #include "yat_assert.h" |
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30 | |
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31 | #include <gsl/gsl_multimin.h> |
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32 | |
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33 | #include <memory> |
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34 | |
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35 | namespace theplu { |
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36 | namespace yat { |
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37 | namespace utility { |
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38 | |
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39 | /** |
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40 | \brief Wrapper class around gsl_multimin_fminimizer in GSL. |
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41 | |
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42 | Class is the abstract base class for several minimisation |
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43 | algorithms not using the derivative. |
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44 | |
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45 | \since New in yat 0.20 |
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46 | */ |
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47 | class MultiMinimizer |
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48 | { |
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49 | public: |
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50 | /// \brief Copy is not allowed |
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51 | MultiMinimizer(const MultiMinimizer&) = delete; |
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52 | |
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53 | /// \brief Assignment is not allowed |
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54 | MultiMinimizer& operator=(const MultiMinimizer&) = delete; |
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55 | |
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56 | /** |
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57 | \brief Number of epochs (iterations) used in last minimisation. |
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58 | */ |
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59 | unsigned int epochs(void) const; |
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60 | |
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61 | /** |
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62 | \brief The size of the first step. |
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63 | |
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64 | \see parameter \c step_size in gsl_multimin_fminimizer_set |
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65 | */ |
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66 | const yat::utility::Vector& step(void) const; |
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67 | |
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68 | /** |
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69 | \brief Modify the initial step size. |
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70 | |
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71 | The size of the vector cannot be modified but must equal the |
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72 | size set in constructor. |
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73 | */ |
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74 | yat::utility::Vector& step(void); |
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75 | |
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76 | /// Abstract class defining the interface for functions |
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77 | /// determining when the minimisation stops. |
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78 | class Stopper |
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79 | { |
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80 | public: |
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81 | /// return true when search should stop |
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82 | virtual bool operator()(const gsl_multimin_fminimizer*)=0; |
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83 | }; |
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84 | |
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85 | |
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86 | /** |
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87 | wrapper around |
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88 | <a href="https://www.gnu.org/software/gsl/doc/html/multimin.html#stopping-criteria">gsl_multimin_test_size</a> |
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89 | */ |
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90 | class Size : public Stopper |
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91 | { |
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92 | public: |
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93 | /// \param epsabs tolerance |
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94 | explicit Size(double epsabs); |
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95 | |
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96 | /** |
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97 | \return \c true if <a |
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98 | href="https://www.gnu.org/software/gsl/doc/html/multimin.html#stopping-criteria">gsl_multimin_test_size</a>(size, |
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99 | epsabs) does not return \c GSL_CONTINUE, where \c size is |
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100 | defined by \c gsl_multimin_fminimizer_size and \c epsabs is |
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101 | defined in constructor. |
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102 | */ |
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103 | bool operator()(const gsl_multimin_fminimizer*); |
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104 | private: |
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105 | double epsabs_; |
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106 | }; |
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107 | |
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108 | /** |
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109 | Function finds an \c x that minimizes the function defined by |
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110 | \c func. It calls gsl_multimin_fminimizer_iterate until either |
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111 | \c GSL_ENOPROG is returned or the \c stopper returns true. |
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112 | |
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113 | Type Requirements: |
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114 | - \c FUNC must have an operator |
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115 | double operator()(const VectorBase& x) |
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116 | */ |
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117 | template<class FUNC> |
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118 | void operator()(yat::utility::VectorMutable& x, FUNC& func, |
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119 | Stopper&& stopper); |
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120 | |
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121 | /** |
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122 | Same as |
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123 | operator()(yat::utility::VectorMutable&, FUNC& func, Stopper&&); |
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124 | but at maximum run \c max_epochs epochs (iterations). |
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125 | */ |
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126 | template<class FUNC> |
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127 | void operator()(yat::utility::VectorMutable&, FUNC& func, |
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128 | Stopper&& stopper, unsigned int max_epochs); |
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129 | protected: |
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130 | /** |
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131 | \brief Constructor |
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132 | |
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133 | \param t defines type of GSL minimizer |
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134 | \param size Number of dimensions in the input space. |
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135 | */ |
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136 | MultiMinimizer(const gsl_multimin_fminimizer_type* t, size_t size); |
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137 | private: |
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138 | const gsl_multimin_fminimizer_type* type_; |
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139 | size_t size_; |
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140 | struct GslFree |
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141 | { |
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142 | void operator()(gsl_multimin_fminimizer*) const; |
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143 | }; |
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144 | std::unique_ptr<gsl_multimin_fminimizer, GslFree> solver_; |
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145 | yat::utility::Vector step_size_; |
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146 | unsigned int epochs_; |
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147 | }; |
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148 | |
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149 | |
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150 | // template implementation |
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151 | |
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152 | template<class FUNC> |
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153 | void MultiMinimizer::operator()(yat::utility::VectorMutable& x, |
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154 | FUNC& func, |
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155 | MultiMinimizer::Stopper&& stopper) |
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156 | { |
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157 | unsigned int max_epochs = std::numeric_limits<unsigned int>::max(); |
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158 | (*this)(x, func, std::move(stopper), max_epochs); |
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159 | } |
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160 | |
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161 | |
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162 | template<class FUNC> |
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163 | void MultiMinimizer::operator()(yat::utility::VectorMutable& x, |
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164 | FUNC& func, |
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165 | MultiMinimizer::Stopper&& stopper, |
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166 | unsigned int max_epochs) |
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167 | { |
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168 | YAT_ASSERT(size_ == x.size()); |
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169 | gsl_multimin_function gsl_func; |
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170 | gsl_func.n = x.size(); |
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171 | gsl_func.f = multivariable::f<FUNC>; |
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172 | gsl_func.params = &func; |
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173 | |
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174 | gsl_multimin_fminimizer_set(solver_.get(), &gsl_func, x.gsl_vector_p(), |
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175 | step_size_.gsl_vector_p()); |
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176 | |
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177 | int status = 0; |
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178 | for (epochs_=0; epochs_<max_epochs; ++epochs_) { |
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179 | status = gsl_multimin_fminimizer_iterate(solver_.get()); |
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180 | if (status) { |
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181 | if (status == GSL_ENOPROG) |
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182 | break; |
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183 | throw GSL_error("MultiMinimizer", status); |
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184 | } |
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185 | if (stopper(solver_.get())) |
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186 | break; |
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187 | //double size = gsl_multimin_fminimizer_size(solver_.get()); |
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188 | //if (gsl_multimin_test_size(size, epsabs) != GSL_CONTINUE) |
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189 | //break; |
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190 | } |
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191 | |
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192 | // copy result to passed x |
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193 | yat::utility::VectorConstView view(solver_->x); |
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194 | x = view; |
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195 | } |
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196 | |
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197 | }}} |
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198 | #endif |
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