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RobustLevenbergMarquardtMinimizer.h

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// RobustLevenbergMarquardtMinimizer.h: interface for the CRobustLevenbergMarquardtMinimizer class.
//

#if !defined(AFX_ROBUSTLEVENBERGMARQUARDTMINIMIZER_H__699CF063_2C7A_408C_94EE_B02FB5D42FC3__INCLUDED_)
#define AFX_ROBUSTLEVENBERGMARQUARDTMINIMIZER_H__699CF063_2C7A_408C_94EE_B02FB5D42FC3__INCLUDED_

#if _MSC_VER > 1000
#pragma once
#endif // _MSC_VER > 1000

#ifdef _WIN32
#include <mkl.h>
#else
#include "lapack.h"
#define __min min
#define __max max
#endif

#include <iostream>
#include <fstream>
#include <cmath>
#include <cfloat>
//#include <mkl.h>
#include <assert.h>
#include "NLLSMinimizable.h"
#include "ParameterFilter.h"
#include "Minimizer.h"
using namespace std;

class CRobustLevenbergMarquardtMinimizer : public Minimizer  
{
public:
        CRobustLevenbergMarquardtMinimizer();
        CRobustLevenbergMarquardtMinimizer(CParameterFilter *pFilter, double marquardt, double chiTol, double gradTol, int nIterations);
        virtual ~CRobustLevenbergMarquardtMinimizer();
        double Minimize(double *parameters, Minimizable *minimizable);
        void ComputeDerivativeInformation(double *parameters, NLLSMinimizable *nlls);
        // solve LM system without explicit calculation of the Hessian
        void QRSolveMarquardtSystem(double *deltaP);
private:
        bool m_bBreakFlag;                              // Set to true to break out of the routine
        double m_dMarquardt;                    // Marquardt parameter
        int m_iNIterations;                             // Maximum number of LM iterations
        double m_dChiSqTol;                             // Fractional stopping criterion for Chi squared
        double m_dGradTol;                              // Stopping criterion for the norm of the gradient
        double** m_pdJacobian;                  // Jacobian matrix
        double** m_pdAlpha;                             // (1/2)*approximate Hessian matrix
        double* m_pdBeta;                               // (-1/2)*gradient
        double* m_pdScalingMatrix;              // Diagonal scaling matrix
        double* m_pdCurrentResiduals;   // Residuals at the current parameter values
        int m_iNResiduals;                              // number of residuals in NLLSMinimizable
        CParameterFilter *m_pFilter;    // Filter if parameters need to be kept positive
};

#endif // !defined(AFX_ROBUSTLEVENBERGMARQUARDTMINIMIZER_H__699CF063_2C7A_408C_94EE_B02FB5D42FC3__INCLUDED_)

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