GslOptimizer.h

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//-----------------------------------------------------------------------bl-
//--------------------------------------------------------------------------
//
// QUESO - a library to support the Quantification of Uncertainty
// for Estimation, Simulation and Optimization
//
// Copyright (C) 2008-2015 The PECOS Development Team
//
// 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
//
//-----------------------------------------------------------------------el-

#ifndef UQ_GSL_OPTIMIZER_H
#define UQ_GSL_OPTIMIZER_H

#include <queso/Optimizer.h>

namespace QUESO {

class Vector;
class GslVector;
class GslMatrix;
class OptimizerMonitor;

template <class V, class M>
class BaseScalarFunction;

class GslOptimizer : public BaseOptimizer {
public:

  GslOptimizer(
      const BaseScalarFunction<GslVector, GslMatrix> & objectiveFunction);

  virtual ~GslOptimizer();


  virtual void minimize(OptimizerMonitor* monitor = NULL);

  const BaseScalarFunction<GslVector, GslMatrix> & objectiveFunction() const;

  enum SolverType { FLETCHER_REEVES_CG,
                    POLAK_RIBIERE_CG,
                    BFGS,
                    BFGS2,
                    STEEPEST_DESCENT,
                    NELDER_MEAD,
                    NELDER_MEAD2,
                    NELDER_MEAD2_RAND };

  void setInitialPoint(const GslVector & intialPoint);


  const GslVector & minimizer() const;

  void set_solver_type( SolverType solver );

  void set_solver_type( std::string& solver );

  SolverType string_to_enum( std::string& solver );


  void set_step_size( const GslVector& step_size );


  void set_step_size( double step_size );


  void set_line_tol( double tol );

private:
  const BaseScalarFunction<GslVector, GslMatrix> & m_objectiveFunction;

  GslVector * m_initialPoint;
  GslVector * m_minimizer;

  SolverType m_solver_type;

  GslVector m_fstep_size;

  double m_fdfstep_size;

  double m_line_tol;

  bool solver_needs_gradient(SolverType solver);

  void minimize_with_gradient( unsigned int dim, OptimizerMonitor* monitor );

  void minimize_no_gradient( unsigned int dim, OptimizerMonitor* monitor );

};

}  // End namespace QUESO

#endif // UQ_GSL_OPTIMIZER_H