gsl_multidim_fminimizer.h

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//

//--------------------------------------------------------------------------
//--------------------------------------------------------------------------
//  
//  libMoM Library - a library for stochastic simulations in engineering.
// 
//  Copyright (C) 2010 Rochan R. Upadhyay
// 
//  This library is free software; you can redistribute it and/or
//  modify it under the terms of the Version 2.1 GNU Lesser General
//  Public License as published by the Free Software Foundation.
// 
//  This library is distributed in the hope that it will be useful,
//  but WITHOUT ANY WARRANTY; without even the implied warranty of
//  MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
//  Lesser General Public License for more details.
// 
//  You should have received a copy of the GNU Lesser General Public
//  License along with this library; if not, write to the Free Software
//  Foundation, Inc. 51 Franklin Street, Fifth Floor, 
//  Boston, MA  02110-1301  USA
// 
//--------------------------------------------------------------------------

#ifndef _GSL_MULTIDIM_FMINIMIZER_H
#define _GSL_MULTIDIM_FMINIMIZER_H

#include <gsl/gsl_errno.h>
#include <gsl/gsl_multimin.h>
#include "gsl_vector_double.h"

typedef unsigned int uint;


//

class multimin_f
{
    public:
    
//
//
    
    virtual double operator()(const vector& x); 

//
//

        static double f(const gsl_vector* x, void *p);

//
//

    void set_params(const vector &vpass);
   
//

    double *params;
   
};

//

class multimin_fminimizer 
{
 public:
 
//
//
 
        multimin_fminimizer(uint _dim, double _etol, 
                                                  const gsl_multimin_fminimizer_type* type=gsl_multimin_fminimizer_nmsimplex2rand);

//
//
        
        ~multimin_fminimizer();

//
//

        int set(multimin_f& function, const vector& initial_x, const vector& step_size);

//

        int iterate();

//

        double minimum();
        
//

        vector x_value();

//
//

        void SetMaxIterations(int n);

//
        
        int GetNIterations();

//
//
        
        bool is_converged();
        
 private:
 
//

        void assert_set();

//

        uint dim;

//

        double etol;

//

        bool isSet;

//

        bool isConverged;
        
//

        int nIterations;

//

        int maxIterations;

//

        gsl_multimin_fminimizer* s;

//

        gsl_multimin_function f;
};


#endif // _GSL_MULTIDIM_FMINIMIZER_H