added double Lorentzian test function (not distributed)

darcs-hash:20091112174647-c8de0-33b9fc6d95a397a6ee3239ca8cf5a19b1ac46486.gz

diff --git a/test/lorentzfit.c b/test/lorentzfit.c
new file mode 100644 (file)
index 0000000..afa957a
--- /dev/null
+++ b/test/lorentzfit.c
@@ -0,0 +1,106 @@
+#include <stdio.h>
+#include <stdlib.h>
+#include <math.h>
+
+#include <nlopt.h>
+
+typedef struct {
+     int N;
+     double *x, *y; /* length N; */
+} lorentzdata;
+
+static double sqr(double x) { return x * x; }
+
+static int count = 0;
+
+static double lorentzerr(int n, const double *p, double *grad, void *data)
+{
+     lorentzdata *d = (lorentzdata *) data;
+     int N = d->N;
+     const double *xs = d->x;
+     const double *ys = d->y;
+     double val = 0;
+     int i, j;
+
+     for (i = 0; i < N; ++i) {
+         double x = xs[i], y = ys[i];
+         double lorsum = 0;
+         
+         for (j = 0; j < n; j += 3) {
+              double A = p[j + 0];
+              double w = p[j + 1];
+              double G = p[j + 2];
+              double lor = A / (sqr(x - w) + G*G);
+              
+              lorsum += lor;
+         }
+
+         val += sqr(y - lorsum);
+
+         if (grad)
+              for (j = 0; j < n; j += 3) {
+                   double A = p[j + 0];
+                   double w = p[j + 1];
+                   double G = p[j + 2];
+                   double deninv =  1.0 / (sqr(x - w) + G*G);
+                   
+                   grad[j + 0] += -2 * (y - lorsum) * deninv;
+                   grad[j + 1] += 4*A * (w - x) * (y - lorsum) * sqr(deninv);
+                   grad[j + 2] += 4*A * G * (y - lorsum) * sqr(deninv);
+              }
+     }
+     ++count;
+     // printf("%d: f(%g,%g,%g) = %g\n", count, p[0],p[1],p[2], val);
+     return val;
+}
+
+extern double nlopt_urand(double a, double b);
+
+int main(void)
+{
+     lorentzdata d;
+     int i;
+     double A = 1, w = 0, G = 1, noise=0.01;
+     double lb[3] = {-HUGE_VAL,-HUGE_VAL,0};
+     double ub[3] = {HUGE_VAL,HUGE_VAL,HUGE_VAL};
+     double p[3] = {0,1,2}, minf;
+
+     nlopt_srand_time();
+
+     d.N = 200;
+     d.x = (double *) malloc(sizeof(double) * d.N * 2);
+     d.y = d.x + d.N;
+     for (i = 0; i < d.N; ++i) {
+         d.x[i] = nlopt_urand(-0.5, 0.5) * 8*G + w;
+         d.y[i] = 2*noise*nlopt_urand(-0.5,0.5) + A / (sqr(d.x[i]-w) + G*G);
+     }
+
+     nlopt_minimize(NLOPT_LN_NEWUOA_BOUND, 3, lorentzerr, &d,
+                   lb, ub, p, &minf,
+                   -HUGE_VAL, 0,0, 1e-6,NULL, 0,0);
+
+     printf("%d minf=%g at A=%g, w=%g, G=%g\n", count, minf, p[0],p[1],p[2]);
+
+     count = 0;
+     nlopt_minimize(NLOPT_LN_COBYLA, 3, lorentzerr, &d,
+                   lb, ub, p, &minf,
+                   -HUGE_VAL, 0,0, 1e-6,NULL, 0,0);
+
+     printf("%d minf=%g at A=%g, w=%g, G=%g\n", count, minf, p[0],p[1],p[2]);
+
+     count = 0;
+     nlopt_minimize(NLOPT_LN_NELDERMEAD, 3, lorentzerr, &d,
+                   lb, ub, p, &minf,
+                   -HUGE_VAL, 0,0, 1e-6,NULL, 0,0);
+
+     printf("%d minf=%g at A=%g, w=%g, G=%g\n", count, minf, p[0],p[1],p[2]);
+
+     count = 0;
+     nlopt_minimize(NLOPT_LN_SBPLX, 3, lorentzerr, &d,
+                   lb, ub, p, &minf,
+                   -HUGE_VAL, 0,0, 1e-6,NULL, 0,0);
+
+     printf("%d minf=%g at A=%g, w=%g, G=%g\n", count, minf, p[0],p[1],p[2]);
+
+     return 0;
+}