fixed nelder-mead xtol/ftol stopping criteria, added diameter reduction test for...

darcs-hash:20081109181916-c8de0-05b8623dcf3365df05997d136b849d8c02b6adc4.gz

diff --git a/api/nlopt.c b/api/nlopt.c
index ea2a438ea7dd5011d4d9105167117561d7bf1f5b..2c083822b453bc93c2b41a113a60975d36a176e3 100644 (file)
--- a/api/nlopt.c
+++ b/api/nlopt.c
@@ -494,7 +494,7 @@ static nlopt_result nlopt_minimize_(
               if (!scale) return NLOPT_OUT_OF_MEMORY;
               for (i = 0; i < n; ++i)
                   scale[i] = initial_step(1, lb+i, ub+i, x+i);
-              ret = nldrmd_minimize(n, f,f_data, lb,ub, x, minf, scale, &stop);
+              ret = nldrmd_minimize(n, f,f_data, lb,ub,x, minf,scale,&stop,0.);
              free(scale);
              return ret;
         }

diff --git a/neldermead/neldermead.h b/neldermead/neldermead.h
index 0b19d8dc2899edad07e0ba29a124163b74579927..9531d211c65b80acb253b474ef1c30016dda039c 100644 (file)
--- a/neldermead/neldermead.h
+++ b/neldermead/neldermead.h
@@ -36,7 +36,7 @@ nlopt_result nldrmd_minimize(int n, nlopt_func f, void *f_data,
                             double *x, /* in: initial guess, out: minimizer */
                             double *minf,
                             const double *xstep, /* initial step sizes */
-                            nlopt_stopping *stop);
+                            nlopt_stopping *stop, double psi);
 
 #ifdef __cplusplus
 }  /* extern "C" */

diff --git a/neldermead/nldrmd.c b/neldermead/nldrmd.c
index 2a2b5b9c00a905bdbeae25c35252e9e301e1b6ba..b17adbf8580d7ada0fee6d08cb5b2e6ed1295988 100644 (file)
--- a/neldermead/nldrmd.c
+++ b/neldermead/nldrmd.c
@@ -65,12 +65,17 @@ static void pin(int n, double *x, const double *lb, const double *ub) {
  if (nlopt_stop_evals(stop)) { ret=NLOPT_MAXEVAL_REACHED; goto done; }   \
  if (nlopt_stop_time(stop)) { ret=NLOPT_MAXTIME_REACHED; goto done; }
 
+/* if psi > 0, then it *replaces* xtol and ftol in stop with the condition
+   that the simplex diameter |xl - xh| must be reduced by a factor of psi 
+   ... this is for when nldrmd is used within the subplex method; for
+   ordinary termination tests, set psi = 0. */
 nlopt_result nldrmd_minimize(int n, nlopt_func f, void *f_data,
                             const double *lb, const double *ub, /* bounds */
                             double *x, /* in: initial guess, out: minimizer */
                             double *minf,
                             const double *xstep, /* initial step sizes */
-                            nlopt_stopping *stop)
+                            nlopt_stopping *stop,
+                            double psi)
 {
      double *pts; /* (n+1) x (n+1) array of n+1 points plus function val [0] */
      double *c; /* centroid * n */
@@ -79,6 +84,7 @@ nlopt_result nldrmd_minimize(int n, nlopt_func f, void *f_data,
      int i, j;
      double ninv = 1.0 / n;
      nlopt_result ret = NLOPT_SUCCESS;
+     double init_diam = 0;
 
      pts = (double*) malloc(sizeof(double) * (n+1) * (n+1));
      if (!pts) return NLOPT_OUT_OF_MEMORY;
@@ -120,7 +126,13 @@ nlopt_result nldrmd_minimize(int n, nlopt_func f, void *f_data,
          double fh = high->k[0], *xh = high->k + 1;
          double fr;
 
-         if (nlopt_stop_f(stop, fl, fh)) ret = NLOPT_FTOL_REACHED;
+         if (init_diam == 0) /* initialize diam. for psi convergence test */
+              for (i = 0; i < n; ++i) init_diam = fabs(xl[i] - xh[i]);
+
+         if (psi <= 0 && nlopt_stop_f(stop, fl, fh)) {
+              ret = NLOPT_FTOL_REACHED;
+              goto done;
+         }
 
          /* compute centroid ... if we cared about the perfomance of this,
             we could do it iteratively by updating the centroid on
@@ -146,7 +158,18 @@ nlopt_result nldrmd_minimize(int n, nlopt_func f, void *f_data,
               }
          }
          for (i = 0; i < n; ++i) xcur[i] += c[i];
-         if (nlopt_stop_x(stop, c, xcur)) ret = NLOPT_XTOL_REACHED;
+         if (psi > 0) {
+              double diam = 0;
+              for (i = 0; i < n; ++i) diam += fabs(xl[i] - xh[i]);
+              if (diam < psi * init_diam) {
+                   ret = NLOPT_XTOL_REACHED;
+                   goto done;
+              }
+         }
+         else if (nlopt_stop_x(stop, c, xcur)) {
+              ret = NLOPT_XTOL_REACHED;
+              goto done;
+         }
 
          /* reflection */
          for (i = 0; i < n; ++i) xcur[i] = c[i] + alpha * (c[i] - xh[i]);