FGNelderMead.h

/*
 * FGNelderMead.h
 * Copyright (C) James Goppert 2010 <james.goppert@gmail.com>
 *
 * FGNelderMead.h is free software: you can redistribute it and/or modify it
 * under the terms of the GNU Lesser General Public License as published by the
 * Free Software Foundation, either version 2 of the License, or
 * (at your option) any later version.
 *
 * FGNelderMead.h 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 program.  If not, see <http://www.gnu.org/licenses/>.
 */

#ifndef JSBSim_FGNelderMead_H
#define JSBSim_FGNelderMead_H

#include <vector>
#include <limits>
#include <cstddef>

namespace JSBSim
{

class FGNelderMead
{
public:
    class Function
    {
    public:
        virtual double eval(const std::vector<double> & v)  = 0;
        virtual ~Function() {};
    };
    class Callback
    {
    public:
        virtual void eval(const std::vector<double> & v)  = 0;
        virtual ~Callback() {};
    };

    FGNelderMead(Function * f, const std::vector<double> & initialGuess,
                 const std::vector<double> & lowerBound,
                 const std::vector<double> & upperBound,
                 const std::vector<double> & initialStepSize, int iterMax=2000,
                 double rtol=std::numeric_limits<float>::epsilon(),
                 double abstol=std::numeric_limits<float>::epsilon(),
                 double speed = 2.0,
                 double randomization=0.1,
                 bool showConvergeStatus=true,bool showSimplex=false,
                 bool pause=false,
                 Callback * callback=NULL);
    std::vector<double> getSolution();

    void update();
    int status();

private:
    // attributes
    Function * m_f;
    Callback * m_callback;
    double m_randomization;
    const std::vector<double> & m_lowerBound;
    const std::vector<double> & m_upperBound;
    size_t m_nDim, m_nVert;
    int m_iMax, m_iNextMax, m_iMin;
    std::vector< std::vector<double> > m_simplex;
    std::vector<double> m_cost;
    std::vector<double> m_elemSum;
    int m_status;
    const std::vector<double> & initialGuess;
    const std::vector<double> & initialStepSize;
    int iterMax, iter;
    double rtol,abstol,speed;
    bool showConvergeStatus, showSimplex, pause;
    double rtolI, minCostPrevResize, minCost, minCostPrev,
           maxCost, nextMaxCost;

    // methods
    double getRandomFactor();
    double tryStretch(double factor);
    void contract();
    void constructSimplex(const std::vector<double> & guess, const std::vector<double> & stepSize);
    void boundVertex(std::vector<double> & vertex,
                     const std::vector<double> & upperBound,
                     const std::vector<double> & lowerBound);
    double eval(const std::vector<double> & vertex, bool check = false);
};

} // JSBSim

#endif

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